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Correlated disturbances and US business cycles
Cúrdia, Vasco; Reis, Ricardo - 2010
The dynamic stochastic general equilibrium (DSGE) models used to study business cycles typically assume that exogenous disturbances are independent first-order autoregressions. This paper relaxes this tight and arbitrary restriction by allowing for disturbances that have a rich contemporaneous...
Persistent link: https://www.econbiz.de/10003948805
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Stochastic Volatility and DSGE Models
Andreasen, Martin M. - 2011
This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may...
Persistent link: https://www.econbiz.de/10013134553
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Estimating Dynamic Equilibrium Models with Stochastic Volatility
Fernández-Villaverde, Jesús - 2013
We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the properties of the solution to this class of models. Second, we take advantage of the results about the structure of the solution to build a sequential Monte Carlo algorithm to...
Persistent link: https://www.econbiz.de/10013082016
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Correlated Disturbances and U.S. Business Cycles
Cúrdia, Vasco - 2010
The dynamic stochastic general equilibrium (DSGE) models used to study business cycles typically assume that exogenous disturbances are independent first-order autoregressions. This paper relaxes this tight and arbitrary restriction by allowing for disturbances that have a rich contemporaneous...
Persistent link: https://www.econbiz.de/10013147334
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Ambiguous business cycles, recessions and uncertainty : a quantitative analysis
Piccillo, Giulia; Poonpakdee, Poramapa - 2023
This paper investigates the effects of uncertainty on the macro economy by replicating its micro effects on individual subjective beliefs. In our model, the representative household has smooth ambiguity preferences and is uncertain about which scenario the economy will be in the next period:...
Persistent link: https://www.econbiz.de/10014364652
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Sector specific news shocks in aggregate and sectoral fluctuations
Görtz, Christoph; Tsoukalas, John D. - 2013 - First version: March 2011, This version: May 2013
Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for … expansionary while those in the investment sector are broadly contractionary. Our results indicate a significant role of TFP news … shocks as a predictive force behind fluctuations. Consumption sector TFP news shocks generate both aggregate and sectoral co …
Persistent link: https://www.econbiz.de/10009753003
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Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors
Ikeda, Yuichi; Fujiwara, Yoshi; Aoyama, Hideaki; … - 2008
Labour productivity distribution (dispersion) is studied both theoretically and empirically. Superstatistics is presented as a natural theoretical framework for productivity. The demand index ê is proposed within this framework as a new business index. Japanese productivity data covering...
Persistent link: https://www.econbiz.de/10010298578
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Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors
Ikeda, Yuichi; Fujiwara, Yoshi; Aoyama, Hideaki; … - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-22, pp. 1-17
Labour productivity distribution (dispersion) is studied within the framework of statistical physics and the result is compared with the outcome of the empirical analysis. Superstatistics is presented as a natural theoretical framework for the productivity distribution. The demand index ê is...
Persistent link: https://www.econbiz.de/10010298640
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Sovereign Risk and Macroeconomic Fluctuations in an Emerging Market Economy
Kirchner, Markus; Rieth, Malte - 2010
This paper assesses the role of sovereign risk in explaining macroeconomic fluctuations in Turkey. We estimate two versions of a simple New Keynesian small open economy model on quarterly data for the period 1994Q3-2008Q2: A basic version and a version augmented by a default premium on...
Persistent link: https://www.econbiz.de/10010325979
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Estimating the cross-sectional distribution of price stickiness from aggregate data
Carvalho, Carlos; Dam, Niels Arne - 2010
We estimate a multi-sector sticky-price model for the U.S. economy in which the degree of price stickiness is allowed to vary across sectors. For this purpose, we use a specification that allows us to extract information about the underlying cross-sectional distribution from aggregate data....
Persistent link: https://www.econbiz.de/10010321241