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We extend the Carlstrom and Fuerst (1997) agency cost model of business cycles by including time varying uncertainty in the technology shocks that affect capital production. We first demonstrate that standard linearization methods can be used to solve the model yet second moment effects still...
Persistent link: https://www.econbiz.de/10010292743
Oft wird befürchtet, dass die Globalisierung zu einer erhöhten Schwankungsanfälligkeit besonders kleiner offener Volkswirtschaften führen könnte. Auch wird vermutet, dass die nationalen Konjunkturzyklen im Zeitalter der Globalisierung synchroner verlaufen als zuvor. Sind diese Vermutungen...
Persistent link: https://www.econbiz.de/10010303077
This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...
Persistent link: https://www.econbiz.de/10010324815
Cyclical components are analytically computed in a theoretical model of stochastic endogenous fluctuations and growth. Volatility is shown to depend on the speed of convergence of the cyclical component, the expected length of a cycle and on the altitude of the slump. Taxes affect these channels...
Persistent link: https://www.econbiz.de/10010263938
In der vorliegenden Arbeit wird die Konjunktur als eine mehrfristig wellenförmige Veränderung der wirtschaftlichen …
Persistent link: https://www.econbiz.de/10010275375
The recent financial crisis has put the spotlight on the rapid rise in credit which preceded it. In this paper, we provide an empirical and theoretical analysis of the credit boom and the macroeconomic context in which it developed. We find that the boom was unusually long and associated with...
Persistent link: https://www.econbiz.de/10010277874
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Persistent link: https://www.econbiz.de/10000001124
The Great Recession, and the fiscal response to it, has revived interest in the size of fiscal multipliers. Standard business cycle models have difficulties generating multipliers greater than one. And they also fail to produce any significant asymmetry in the size of the multipliers over the...
Persistent link: https://www.econbiz.de/10010316048
We estimate a New-Neoclassical Synthesis model of the business cycle with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects...
Persistent link: https://www.econbiz.de/10010283523