This paper investigates the conditions under which a dynamic, stochastic macroeconomic model with many interacting agents will exhibit the ‘small shocks, large shocks’ property that is often said to characterize observed time series: small shocks have a transient impact on the system,...

The sign of the relationship between expected stock market returns and volatility appears to vary over time, a result that seems at odds with basic notions of risk and return. In this paper we construct an economy where production involves the use of both labor and capital as inputs. We show...

This paper investigates the relationship between money growth, inflation, and productive activity in a general equilibrium model of search. The use of a multiple-matching technique, where trade frictions are captured by limited consumption variety, allows us to study price determination in a...

Firms with private information about the outcomes of production under uncertainty may face capital (liquidity) constraints that prevent them from attaining efficient levels of investment in a world with costly and/or imperfect monitoring. As an alternative, we examine the efficiency of a simple...

Recent research showing negative correlations between detrended output and prices during the postwar period has brought into question the conventional wisdom that prices are procyclical. However, this finding has been shown to be sensitive to the sample period considered. This paper examines the...

The acceleration of productivity growth during the latter half of the 1990s was both the defining economic event of the decade and a major topic of debate among Federal Reserve policymakers. A key aspect of the debate was the conflict between incoming aggregate data, which initially suggested...

This paper describes a non-parametric, unconditional, hyperbolic quantile estimator that unlike traditional non-parametric frontier estimators is both robust to data outliers and has a root-n convergence rate. We use this estimator to examine changes in the efficiency and productivity of U.S....

The authors introduce home production into the neoclassical growth model and examine its consequences for development economics. They focus on how well differences in policies that distort capital accumulation explain international income differences. In models with home production, such...