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Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
The Great Recession and the subsequent period of subdued GDP growth in most advanced economies have highlighted the need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility, and fluctuations in trend GDP growth. In this paper, we...
Persistent link: https://www.econbiz.de/10012227436
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Melting down : systemic financial instability and the macroeconomy ; conference paper
Hubrich, Kirstin; Hartmann, Philipp; Kremer, Manfred; … - 2013 - This version: August 30, 2013, Preliminary and incomplete
We integrate systemic financial instability in an empirical macroeconomic model for the euro area. We find that at times of widespread financial instability the macroeconomy functions fundamentally differently from tranquil times. We employ a richly specified Markov-Switching...
Persistent link: https://www.econbiz.de/10010336276
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Business Cycles and Financial Crises : The Roles of Credit Supply and Demand Shocks
Nason, James M. - 2016
This paper explores the hypothesis that the sources of economic and financial crises differ from non-crisis business cycle fluctuations. We employ Markov-switching Bayesian vector autoregressions (MS-BVARs) to gather evidence about the hypothesis on a long annual U.S. sample running from 1890 to...
Persistent link: https://www.econbiz.de/10013007877
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Business Cycles and Financial Crises : The Roles of Credit Supply and Demand Shocks
Nason, James M. - 2013
This paper explores the hypothesis that the sources of economic and financial crises differ from non-crisis business cycle fluctuations. We employ Markov-switching Bayesian vector autoregressions (MS-BVARs) to gather evidence about the hypothesis on a long annual U.S. sample running from 1890 to...
Persistent link: https://www.econbiz.de/10013078965
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Booms, recessions and financial turmoil : a fresh look at investment decisions under cyclical uncertainty
Chen, Yu-Fu; Funke, Michael - 2009
The paper studies the interaction between cyclical uncertainty and investment in a stochastic real option framework where demand shifts stochastically between three different states, each with different rates of drift and volatility. In our setting the shifts are governed by a three-state Markov...
Persistent link: https://www.econbiz.de/10003872827
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Booms, recessions and financial turmoil : a fresh look at investment decisions under cyclical uncertainty
Chen, Yu-Fu; Funke, Michael - In: Scottish journal of political economy : the journal of … 57 (2010) 3, pp. 290-317
Persistent link: https://www.econbiz.de/10003971036
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Booms, Recessions and Financial Turmoil : A Fresh Look at Investment Decisions under Cyclical Uncertainty
Chen, Yu-Fu - 2009
The paper studies the interaction between cyclical uncertainty and investment in a stochastic real option framework where demand shifts stochastically between three different states, each with different rates of drift and volatility. In our setting the shifts are governed by a three-state Markov...
Persistent link: https://www.econbiz.de/10013156881
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The Two Greatest. Great Recession vs. Great Moderation
Gadea Rivas, Maria Dolores - 2014
Many have argued that the Great Recession of 2008 marked the end of the Great Moderation of the eighties and nineties. Through painstaking empirical analysis of the data, this paper shows this is not the case. Output volatility remains subdued despite the turmoil created by the Great Recession....
Persistent link: https://www.econbiz.de/10013047225
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Financial crisis and slow recovery with Bayesian learning agents
Horii, Ryo; Ono, Yoshiyasu - 2020
In a simple continuous-time model where the learning process affects the willingness to hold liquidity, we provide an intuitive explanation of business cycle asymmetry and post-crisis slow recovery. When observing a liquidity shock, individuals rationally increase their subjective probability of...
Persistent link: https://www.econbiz.de/10012195742
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Bank Ownership, Lending, and Local Economic Performance During the 2008-2010 Financial Crisis
Coleman, Nicholas - 2014
banks can help mitigate financial shocks. This paper examines the role of Brazil's government banks in preventing a … recession during the 2008-2010 financial crisis. Government banks in Brazil provided more credit, which offset declines in … lending by private banks. Areas in Brazil with a high share of government banks experienced increases in lending, production …
Persistent link: https://www.econbiz.de/10013055701