This paper examines empirically the nonlinear business cycle dynamics due to the presence of financial frictions. Using a threshold vector auto regression, the authors estimate the behavior of interest rate shocks in which a regime change occurs if the two respective threshold variables namely...

The paper studies the interactions between credit, financial asset prices (namely equity prices), and consumer price inflation for the countries belonging to the Gulf Cooperation Council using quarterly observations from 1998:1 to 2009:4. The stock price is seen to have a positive and...

This paper examines the statistical properties of energy consumption in the GCC countries applying fractional integration methods to annual data from 1980 to 2014. The results indicate that both the raw and the logged series exhibit a (statistically significant) linear time trend in the case of...

This paper examines the statistical properties of energy consumption in the GCC countries applying fractional integration methods to annual data from 1980 to 2014. The results indicate that both the raw and the logged series exhibit a (statistically significant) linear time trend in the case of...

Indicators of "trust", "confidence", "optimism" or "sentiment" among consumers and/or investors, are published continuously in the mass media. More importantly, these indices seem not only to reflect how the state of the real economy is perceived by private agents, but can also help predict the...

This paper shows how risk may aggravate fluctuations in economies with imperfect insurance and multiple assets. A two period job matching model is studied, in which risk averse agents act both as workers and as entrepreneurs. They choose between two types of investment: one type is riskless,...

We investigate what amount of risk sharing European countries entering a monetary union can hope to achieve by looking at the regions of Italy and the UK: two countries with very different financial systems and policy regimes. More precisely, we measure the contribution to risk sharing stemming...

The authors compute the potential economic benefits that would accrue to a typical pre-WWII era U.S. worker from the post-WWII macroeconomic policy regime. The authors assume that workers face undiversifiable income risk but can self-insure by saving in nominal assets. The worker's average...

We study the effects of aging population on the sustainability of fiscal policy in overlapping generations models with government debt and a pay-as-you-go pension system. The smaller the population growth rate, the lower the maximum sustainable level of deficits. When the utility function is of...