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Some evidence on the relevance of the chain-reaction theory in selected countries

Hofer, Helmut; Kunst, Robert M.; Schwarzbauer, Wolfgang; … - 2007

In this paper we challenge the traditional labour market view, which argues that unemployment is determined in the long-term by its equilibrium rate, which in turn is affected by permanent shocks of some exogenous variables. In our empirical approach we decompose the dynamics of employment and...

Persistent link: https://www.econbiz.de/10009736647

A note on business cycle accounting

Bäurle, Gregor; Burren, Daniel - 2007

Chari, Kehoe, and McGrattan (2007) (CKM) show that a large class of dynamic stochastic general equilibrium (DSGE) models with various frictions and shocks is observationally equivalent to a benchmark real business cycle (RBC) model with correlated “wedges” in the RBC model’s first-order...

Persistent link: https://www.econbiz.de/10003923364

Quantity Rationing of Credit

Waters, George - 2012

Quantity rationing of credit, when firms are denied loans, has greater potential to explain macroeconomic fluctuations than borrowing costs. This paper develops a DSGE model with both types of financial frictions. A deterioration in credit market confidence leads to a temporary change in the...

Persistent link: https://www.econbiz.de/10013112130

Impulse response matching estimators for DSGE models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016

One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...

Persistent link: https://www.econbiz.de/10011418016

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...

Persistent link: https://www.econbiz.de/10011389786

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10011928806

Economic theories and macroeconomic reality

Loria, Francesca; Matthes, Christian; Wang, Mu-Chun - 2021

Economic theories are often encoded in equilibrium models that cannot be directly estimated because they lack features that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the data well. We propose an econometric approach that...

Persistent link: https://www.econbiz.de/10012792815

Business Cycle Evidence on Firm Entry

Lewis, Vivien - 2016

Business cycle models with sticky prices and endegenous firm entry make novel predictions on the transmission of shocks through the extensive margin of investment. This paper tests some of these predictions using a vector autoregression with model-based sign restrictions. We find a positive and...

Persistent link: https://www.econbiz.de/10012991244

Impulse Response Matching Estimators for DSGE Models

Guerrón-Quintana, Pablo - 2016

Persistent link: https://www.econbiz.de/10012997326

News shocks under financial frictions

Görtz, Christoph; Tsoukalas, John D.; Zanetti, Francesco - 2020

We examine the dynamic effects and empirical role of TFP news shocks in the context of frictions in financial markets …, VAR methods also establish a tight link between TFP news shocks and shocks that explain the majority of un … for the propagation of news shocks. A DSGE model enriched with a financial sector generates very similar quantitative …

Persistent link: https://www.econbiz.de/10012373126

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