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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

need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …

Persistent link: https://www.econbiz.de/10012227436

Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...

Persistent link: https://www.econbiz.de/10010532582

Regularized Estimation of Structural Instability in Factor Models : The US Macroeconomy and the Great Moderation

Callot, Laurent - 2015

Persistent link: https://www.econbiz.de/10013021882

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...

Persistent link: https://www.econbiz.de/10014314068

Money, Sticky Wages, and the Great Depression

Bordo, Michael D.; Erceg, Christopher J.; Evans, Charles - 2000

This paper examines the ability of a simple stylized general equilibrium model that incorporates nominal wage rigidity to explain the magnitude and persistence of the Great Depression in the United States. The impulses to our analysis are money supply shocks. The Taylor contracts model is...

Persistent link: https://www.econbiz.de/10014154226

Business cycle dynamics after the Great Recession : an extended Markov-Switching Dynamic Factor Model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

Persistent link: https://www.econbiz.de/10012244551

Public Wages, Public Employment, and Business Cycle Volatility : Evidence from U.S. Metro Areas

A. Reicher, Claire - 2016

business cycle volatility, hinting at a stabilizing effect of public employment, while public wages correlate weakly and … positively with business cycle volatility, hinting at a destabilizing effect of public wages. To explain these relationships, we …

Persistent link: https://www.econbiz.de/10012989839

The vanishing procyclicality of labor productivity

Galí, Jordi; Rens, Thijs van - 2010

vanished, (ii) the relative volatility of employment has risen, and (iii) the relative (and absolute) volatility of the real … observed decline in output volatility. -- Labor hoarding ; labor market frictions ; wage rigidities ; effort choice …

Persistent link: https://www.econbiz.de/10003996447

The vanishing procyclicality of labor productivity

Galí, Jordi; Rens, Thijs van - 2010

vanished, (ii) the relative volatility of employment has risen, and (iii) the relative (and absolute) volatility of the real … observed decline in output volatility. -- labor hoarding ; labor market frictions ; wage rigidities ; effort choice …

Persistent link: https://www.econbiz.de/10008779865

The changing transmission of uncertainty shocks in the US : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...

Persistent link: https://www.econbiz.de/10010472799