In the last decade, over half of the EU countries in the euro area or with currenciespegged to the euro were hit by large risk premium shocks. Previous papers havefocused on the impact of these shocks on demand. This paper, by contrast, focuses onthe impact on supply. We show that risk premium...

The assessment of macroeconomic conditions in real time is challenging. Dynamic factor models, which summarize the comovement across many macroeconomic time series as driven by a small number of shocks, have become the workhorse tool for ‘nowcasting' activity. This paper develops a novel...

This paper investigates a role of supply chain network in transmitting housing market disruptions during the Great Recession. We build up a unique micro-level data that combines local housing market condition, firms' sales in each local market, and firm-level supply chain network information....

This paper discusses the paper "The Source of Historical Economic Fluctuations: An Analysis using Long-Run Restrictions" by Neville Francis and Valerie A. Ramey. It argues that these authors have made great progress both in the precise measurement of labor input as well as determining the effect...

What are the implications of long-run productivity risk - shocks to the growth rate of productivity - for aggregate investment in a DSGE model? We offer an alternative to microfrictions explanation of aggregate investment non-linearities, in particular the heteroscedasticity of investment rate....

I propose an investment-based asset pricing model augmented with intangible capital and transient volatility shock. Already-acquired intangible capital and new R&D investment are complementary inputs in knowledge production. The distinctive evolutionary dynamics of intangible capital as opposed...

Empirical evidence demonstrates that credit standards, including lending margins and collateral requirements, move in a countercyclical direction. In this study, we construct a small open economy model with financial frictions to generate the countercyclical movement in credit standards. Our...

Using U.S. data over the period 1961 - 2000 we estimate a structural factor-augmented vector autoregressive model and find that a one standard deviation shock to macroeconomic uncertainty generates declines in state-level total factor productivity (TFP) growth that range from -0.15 to -0.98...

This paper studies the dynamic effects of an uncertainty shock on firm expectations. We conduct a survey that confronts managers from a representative firm sample with a model-consistent uncertainty shock scenario. An exogenous increase in uncertainty significantly reduces managers' expected...

In order to understand what drives aggregate fluctuations, many macroeconomic models point to aggregate shocks and discount the contribution of firm-specific shocks. Recent research from other developed countries, however, has found that aggregate fluctuations are in part driven by idiosyncratic...