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Liu, Zheng; Miao, Jianjun; Zha, Tao - 2013

We integrate the housing market and the labor market in a dynamic general equilibrium model with credit and search frictions. The model is confronted with the U.S. macroeconomic time series. Our estimated model can account for two prominent facts observed in the data. First, the land price and...

Persistent link: https://www.econbiz.de/10010126854

Land Prices and Unemployment

Liu, Zheng - 2015

Persistent link: https://www.econbiz.de/10013026076

Dynamics of Consumption and Dividends Over the Business Cycle

Pidkuyko, Myroslav - 2015

We examine a trivariate time series model that is subject to a regime switch, where the shifts are governed by an unobserved, two-state variable that follows a Markov process. The analysis is performed in a Bayesian framework developed by Albert and Chib (1993), where the unobserved states are...

Persistent link: https://www.econbiz.de/10013031069

Financial Frictions and the Role of Investment Specific Technology Shocks in the Business Cycle

Kamber, Güneş - 2012

Various papers have identified shocks to investment as major drivers of output, investment, hours, and interest rates …. These investment shocks have been linked to financial frictions because financial markets are instrumental in transforming … consumption goods into installed capital. However, the importance of investment shocks is not robust once we explicitly account …

Persistent link: https://www.econbiz.de/10013105098

Financial frictions and the real economy

Pietrunti, Mario - 2017

This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks' capital induces a relevant non-linearity. The model -...

Persistent link: https://www.econbiz.de/10011976236

Investment in productivity and the long-run effect of financial crises in output

Ridder, Maarten de - 2016

This paper analyzes the channels through which financial crises exert long-term negative effects on output. Recent models suggest that a shortfall in productivity-enhancing investments temporarily slows technological progress, creating a gap between pre-crisis trend and actual GDP. This...

Persistent link: https://www.econbiz.de/10011573282

Cyclical lending standards : a structural analysis

Chen, Kaiji; Higgins, Patrick; Zha, Tao - 2020

Lending standards are a direct measure of credit conditions. We use the micro data merged from three separate sources to construct this measure and document that an uncertain macroeconomic outlook, rather than banks' balance sheet positions, was an important reason that a majority of banks...

Persistent link: https://www.econbiz.de/10012219575

Do credit constraints amplify macroeconomic fluctuations?

Liu, Zheng; Wang, Pengfei; Zha, Tao - 2010

mechanism to explain the observed persistent comovements between housing prices and business investment. We develop such a … fluctuations through credit constraints. -- credit constraints ; collateral asset ; housing prices ; investment ; financial …

Persistent link: https://www.econbiz.de/10008664169

When is the trend the cycle?

Cao, Dan Vu; L'Huillier, Jean-Paul; Yoo, Donghoon - 2022

-walk, permanent income model. The result is general and applies to economies with endogenous investment and production. The …

Persistent link: https://www.econbiz.de/10013252973

Do Credit Constraints Amplify Macroeconomic Fluctuations?

Liu, Zheng - 2015

mechanism to explain the observed persistent comovements between housing prices and business investment. We develop such a …

Persistent link: https://www.econbiz.de/10013032901

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