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A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles

Miao, Jianjun; Wang, Pengfei; Xu, Zhiwei - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 599-635

We present an estimated dynamic stochastic general equilibrium model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock that drives the movements of...

Persistent link: https://www.econbiz.de/10011757753

Dispersion over the business cycle : passthrough, productivity, and demand

Carlsson, Mikael; Clymo, Alex; Joslin, Knut-Eric - 2022

We characterize the dispersion of firm-level productivity and demand shocks using Swedish microdata including prices … TFPQ dispersion in recessions. Productivity shocks pass through incompletely to prices and have limited effect on sales … facts, demand dispersion has unambiguously negative effects on output via a "wait and see" channel. Productivity dispersion …

Persistent link: https://www.econbiz.de/10013256973

Technology, demand, and productivity : what an industry model tells us about business cycles

Molnárová, Zuzana; Reiter, Michael - 2021

is highly disaggregated at the industry level with an input-output network structure. Measured productivity in the model …-specific, uncorrelated across industries. The bulk of the aggregate fluctuations, including those in aggregate measured productivity, are … data. Our second finding is that about half of the decrease in the cyclicality of measured productivity in the U.S. after …

Persistent link: https://www.econbiz.de/10012415920

Dispersion over the business cycle : passthrough, productivity, and demand?

Carlsson, Mikael; Clymo, Alex; Joslin, Knut-Eric - 2023

We characterize the dispersion of firm-level productivity and demand shocks over the business cycle using Swedish … than productivity dispersion in recessions. Productivity shocks pass through incompletely to prices and have limited effect … and see" channel. Productivity dispersion does not generate "wait and see" effects, but affects output negatively by …

Persistent link: https://www.econbiz.de/10013488861

Time series properties of the German monthly production index

Flaig, Gebhard - 2003

The production index is an important indicator for assessing the cyclical state of the economy. Unfortunately, the monthly time series is contaminated by many noisy components like seasonal variations, calendar and vacation effects. Only part of those nuisance components are explicitly...

Persistent link: https://www.econbiz.de/10011514105

Re-examining the role of financial constraints in business cycles : is something wrong with the credit multiplier?

Olivella, Virginia; Roldán-Peña, Jessica - 2013

Motivated by the apparent failure of the credit multiplier mechanism (CM) to deliver amplification in DSGE models, we re-examine its role in business cycles to address the question: is something wrong with the CM? Our answer is no. In coming to this answer we construct a model with reproducible...

Persistent link: https://www.econbiz.de/10009762039

Housing and Debt Over the Life Cycle and Over the Business Cycle

Iacoviello, Matteo - 2012

We study housing and debt in a quantitative general equilibrium model. In the cross-section, the model matches the wealth distribution, the age profiles of homeownership and mortgage debt, and the frequency of housing adjustment. In the time-series, the model matches the procyclicality and...

Persistent link: https://www.econbiz.de/10013113410

Housing and Debt Over the Life Cycle and Over the Business Cycle

Iacoviello, Matteo - 2015

borrowing limit, and housing investment, home-ownership, and household debt closely track aggregate productivity. In the late …

Persistent link: https://www.econbiz.de/10013038658

Does variable shift work explain away productivity shocks? : a bayesian approach

Engelhardt, Lucas M. - In: Jahrbücher für Nationalökonomie und Statistik 242 (2022) 3, pp. 343-369

Persistent link: https://www.econbiz.de/10013259456

Debunking the granular origins of aggregate fluctuations : from real business cycles back to Keynes

Dosi, Giovanni; Napoletano, Mauro; Roventini, Andrea; … - 2018

", as proxied by productivity growth shocks - in line with the Real Business Cycle framework -, and we provide empirical …

Persistent link: https://www.econbiz.de/10011873811

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