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Aggregate Comovements, Anticipation, and Business Cycles.

Love, David R.F. - Department of Economics, Brock University - 2009

allowing for ``anticipation effects'' in response to ``news shocks'' enables standard RBC models to predict both the observed …This paper shows that negative comovements between major macroeconomic variables at business-cycle frequencies are … patterns of negative comovement and overall positive correlations. Anticipation also improves magnification of shocks in the …

Persistent link: https://www.econbiz.de/10008469770

Anticipation and Real Business Cycles

Love, David R.F.; Lamarche, Jean-Francois - Department of Economics, Brock University - 2004

conditions are fully anticipated provides evidence on the relevance of this alternative. We find that anticipation effects i …

Persistent link: https://www.econbiz.de/10005040612

Bayesian Estimation of a DSGE Model for the Portuguese Economy

Almeida, Vanda - 2010

In this paper, a New-Keynesian DSGE model for a small open economy integrated in a monetary union is developed and estimated for the Portuguese economy, using a Bayesian approach. Estimates for some key structural parameters are obtained and a set of exercises exploring the model's statistical...

Persistent link: https://www.econbiz.de/10013149135

Cúrdia, Vasco; Reis, Ricardo - 2010

The dynamic stochastic general equilibrium (DSGE) models used to study business cycles typically assume that exogenous disturbances are independent first-order autoregressions. This paper relaxes this tight and arbitrary restriction by allowing for disturbances that have a rich contemporaneous...

Persistent link: https://www.econbiz.de/10003948805

Sufficient Conditions for Finite Objective Functions in DSGE Models with Deterministic and Stochastic Trends

Andreasen, Martin M. - 2009

It is well-established that the presence of deterministic and/or stochastic trends in DSGE models may imply that the agents' objective functions attain infinite values. This is the case even if the subjective discount factor is strictly less than one. Currently, sufficient conditions ensuring...

Persistent link: https://www.econbiz.de/10012720847

Competitive Search Equilibrium in a DSGE Model

Arseneau, David M. - 2008

We show how to implement a competitive search equilibrium in a fully-specified DSGE environment. Competitive search, an equilibrium concept well-understood in labor market theory, offers an alternative to the commonly-used Nash bargaining in search-based macro models. Our simulation-based...

Persistent link: https://www.econbiz.de/10012724465

Ambiguous business cycles, recessions and uncertainty : a quantitative analysis

Piccillo, Giulia; Poonpakdee, Poramapa - 2023

This paper investigates the effects of uncertainty on the macro economy by replicating its micro effects on individual subjective beliefs. In our model, the representative household has smooth ambiguity preferences and is uncertain about which scenario the economy will be in the next period:...

Persistent link: https://www.econbiz.de/10014364652

Aggregate Implications of Lumpy Investment : New Evidence and a DSGE Model

Bachmann, Ruediger; Caballero, Ricardo J.; Engel, … - 2011

The sensitivity of U.S. aggregate investment to shocks is procyclical: the response upon impact increases by approximately 50% from the trough to the peak of the business cycle. This feature of the data follows naturally from a DSGE model with lumpy microeconomic capital adjustment. Beyond...

Persistent link: https://www.econbiz.de/10014217331

Lumpy Investment in Dynamic General Equilibrium

Bachmann, Ruediger; Engel, Eduardo M. R. A.; Caballero, … - 2006

Microeconomic lumpiness matters for macroeconomics. According to our DSGE model, it explains roughly 60% of the smoothing in the investment response to aggregate shocks. The remaining 40% is explained by general equilibrium forces. The central role played by micro frictions for aggregate...

Persistent link: https://www.econbiz.de/10014057432

Reading the Recent Monetary History of the U.S., 1959-2007

Fernández-Villaverde, Jesús - 2010

The authors report the results of the estimation of a rich dynamic stochastic general equilibrium model of the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. They use the results of this estimation to examine the recent monetary history of the U.S. and to...

Persistent link: https://www.econbiz.de/10013143868

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