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This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is...
Persistent link: https://www.econbiz.de/10012052678
Persistent link: https://www.econbiz.de/10003896617
In standard models wages are too volatile and returns too smooth. We make wages sticky through infrequent resetting, resulting in both (i) smoother wages and (ii) volatile returns. Furthermore, the model produces other puzzling features of financial data: (iii) high Sharpe Ratios, (iv) low and...
Persistent link: https://www.econbiz.de/10013109010
The paper shows that US GDP velocity of M1 money has exhibited long cycles around a 1.25% per year upward trend, during the1919-2004 period. It explains the velocity cycles through shocks constructed from a DSGE model and annual time series data (Ingram et al., 1994). Model velocity is stable...
Persistent link: https://www.econbiz.de/10003919681
This paper analyses two types of models: 1. Those based on assumptions of monetary and financial market equilibrium disturbance in line with mainstream thinking that there is self-regulating market, the units would have rational expectations, and the crisis would be a temporary phenomenon caused...
Persistent link: https://www.econbiz.de/10010529077
why: the predictions of traditional real business cycle theory often appear not to be upheld in the data …
Persistent link: https://www.econbiz.de/10014181451
A defining feature of business cycles is the comovement of inputs at the sectoral level with aggregate activity. Standard models cannot account for this phenomenon. This paper develops and estimates a two-sector dynamic general equilibrium model which can account for this key regularity. My...
Persistent link: https://www.econbiz.de/10014064194
The paper shows that US GDP velocity of M1 money has exhibited long cycles around a 1.25% per year upward trend, during the 1919-2004 period. It explains the velocity cycles through shocks constructed from a DSGE model and annual time series data (Ingram et al., 1994). Model velocity is stable...
Persistent link: https://www.econbiz.de/10010494417
In this paper we compare the cyclical features implied by an RBC model with two technology shocks under several statistical specifications for the stochastic processes governing technological change. We conclude that while a trend-stationary model accounts better for the observed volatilities, a...
Persistent link: https://www.econbiz.de/10014049832
I study the effects of uncertainty on technology adoption and thereby on volatility and growth. I present an analytically-tractable model in which: (i) uncertainty about the returns to adoption delays technology diffusion; and (ii) the mean and volatility of output growth are jointly determined...
Persistent link: https://www.econbiz.de/10012967954