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Credit, bankruptcy, and aggregate fluctuations

Nakajima, Makoto; Ríos-Rull, José-Víctor - 2019

We document the cyclical properties of unsecured consumer credit (procyclical and volatile) and of consumer bankruptcies (countercyclical and very volatile). Using a growth model with household heterogeneity in earnings and assets with access to unsecured credit (because of bankruptcy costs) and...

Persistent link: https://www.econbiz.de/10012197797

Household search and the aggregate labor market

Mankart, Jochen; Oikonomou, Rigas - 2015

We develop a theoretical model with labor market frictions, incomplete financial markets and with households which have two members. Households face unemployment risks but their members adjust their labor supplies to insure against unemployment. We use the model to explain the cyclical...

Persistent link: https://www.econbiz.de/10011312576

Intermediary balance sheets

Adrian, Tobias; Boyarchenko, Nina - 2013

We document the cyclical properties of the balance sheets of different types of intermediaries. While the leverage of the bank sector is highly procyclical, the leverage of the nonbank financial sector is acyclical. We propose a theory of a two-agent financial intermediary sector within a...

Persistent link: https://www.econbiz.de/10010202648

Adverse selection, risk sharing and business cycles

Veracierto, Marcelo - 2014

I consider a real business cycle model in which agents have private information about an idiosyncratic shock to their value of leisure. I consider the mechanism design problem for this economy and describe a computational method to solve it. This is an important contribution of the paper since...

Persistent link: https://www.econbiz.de/10010424280

Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison

Cozzi, Marco - 2014

This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...

Persistent link: https://www.econbiz.de/10010434845

Credit, bankruptcy, and aggregate fluctuations

Nakajima, Makoto; Rios-Rull, Jose-Victor - Federal Reserve Bank of Philadelphia - 2014

We ask two questions related to how access to credit affects the nature of business cycles. First, does the standard theory of unsecured credit account for the high volatility and procyclicality of credit and the high volatility and countercyclicality of bankruptcy filings found in U.S. data?...

Persistent link: https://www.econbiz.de/10010941009

Micro jumps, macro humps : monetary policy and business cycles in an estimated HANK model

Auclert, Adrien; Rognlie, Matthew; Straub, Ludwig - 2020

shock. Our estimated model uncovers a central role for investment in the transmission mechanism of monetary policy, as high … MPCs amplify the investment response in the data. This force also generates a procyclical response of consumption to … investment shocks, leading our model to infer a central role for these shocks as a source of business cycles. …

Persistent link: https://www.econbiz.de/10012154622

The dynamics of business investment following banking crises and normal recessions

Jannsen, Nils - 2015

I empirically analyze the dynamics of business investment following normal recessions (declines in business investment … for significant non-linear trend reversion or bounce-back effects on the level of business investment following normal … recessions, i.e., the deeper the previous recession was, the higher the growth rate of business investment will be. The trend …

Persistent link: https://www.econbiz.de/10010518645

Evidence and ideology in macroeconomics : the case of investment cycles

Hillinger, Claude - 2005

form of investment cycles. These quasi-periodic movements can be represented as low order, stochastic, dynamic processes … with complex eigenvalues. Specifically, there is a fixed investment cycle of about 8 years and an inventory cycle of about … adjustment costs both in relation to the capital stock and the rate of investment. By means of parametric resonance it was …

Persistent link: https://www.econbiz.de/10010440436

Investment of Czech Institutional Sectors in the Business Cycle

Kučera, Lukáš - In: European Financial and Accounting Journal 9 (2014) 1, pp. 41-61

Paper deals with the analysis of investment in the business cycle. Analysis is based on available quarterly data for … the Czech Republic since 1st quarter 1999 till 1st quarter 2014. It concludes that investment on the macroeconomic level … is highly pro-cyclical component of demand, which fluctuates in the business cycle more than GDP. Investment of …

Persistent link: https://www.econbiz.de/10010512934

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