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Estimating Fluctuations in Oil and Gas Investment
Dahl, Roy Endré; Osmundsen, Petter - 2014
Governments in extraction countries are anxious to estimate expected investment in development projects, since they represent an essential element of the macro economy. The overall level of activity is also crucial to oil companies, since the macro picture affects cost levels, the supplies...
Persistent link: https://www.econbiz.de/10010420694
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Overdeterminacy and endogenous cycles : Trygve Haavelmo's business cycle model and its implications for monetary policy
Anundsen, André K.; Krogh, Tord S. H.; Nymoen, Ragnar; … - 2011
This paper presents the business cycle model that Trygve Haavelmo developed as part of his research program in macroeconomic and monetary theory. Driven by a mismatch between the marginal return to capital and the rate of return required by capital owners, this model generates endogenous cycles....
Persistent link: https://www.econbiz.de/10010285598
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Non-Linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003
Akram, Q. Farooq; Eitrheim, Øyvind; Sarno, Lucio - 2005
We characterise the behaviour of Norwegian output, the real exchange rate and real money balances over a period of almost two centuries. The empirical analysis is based on a new annual data set that has recently been compiled and covers the period 1830-2003. We apply multivariate linear and...
Persistent link: https://www.econbiz.de/10012143638
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A Contribution to the Theory of Financial Fragility and Crisis
Bhaduri, Amit - 2010
Three interrelated aspects typical of most financial crisis of domestic origin are brought together in a model in this paper. The first aspect is debt financed consumption boom supported by rising asset prices which ultimately leads to credit crunch and debt deflation as lenders lose confidence...
Persistent link: https://www.econbiz.de/10012099894
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A contribution to the theory of financial fragility and crisis
Bhaduri, Amit - 2010
The paper examines three aspects of a financial crisis of domestic origin. The first section studies the evolution of a debt-financed consumption boom supported by rising asset prices, leading to a credit crunch and fluctuations in the real economy, and, ultimately, to debt deflation. The next...
Persistent link: https://www.econbiz.de/10010286546
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Consumption, wealth and business cycles: why is Germany different?
Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - 2005
This paper studies the long-run relationship between consumption, asset wealth and income - the consumption-wealth ratio - in Germany, based on data from 1980 to 2003. Earlier papers for the Anglo-Saxon economies have documented that departures of these three variables from their common trend...
Persistent link: https://www.econbiz.de/10010295684
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Macroeconomic implications of time-varying risk premia
Gourio, François - 2012
A large empirical literature suggests that risk premia on stocks or corporate bonds are large and countercyclical. This … paper studies a simple real business cycle model with a small, exogenously time-varying risk of disaster, and shows that it … can replicate several important facts documented in the literature. In the model, an increase in disaster risk leads to a …
Persistent link: https://www.econbiz.de/10011605508
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The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative Economics 14 (2023) 3, pp. 855-896
endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and … analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and …
Persistent link: https://www.econbiz.de/10014536883
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Macro-financial volatility under dispersed information
Miao, Jianjun; Wu, Jieran; Young, Eric R. - In: Theoretical Economics 16 (2021) 1, pp. 275-315
We provide a production-based asset pricing model with dispersed information and small deviations from full rational expectations. In the model, aggregate output and equity prices depend on the higher-order beliefs about aggregate demand and individual stochastic discount factors. We prove that...
Persistent link: https://www.econbiz.de/10013189051
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On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles
Gracia, Eduard - 2012
A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if the hypothesis holds, then market valuations must follow a random walk. This postulate has frequently been criticized on the basis of empirical evidence. Yet the assertion itself incurs what we...
Persistent link: https://www.econbiz.de/10010309044