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Risk and Ambiguity in Models of Business Cycles

Backus, David - 2014

We inject aggregate uncertainty - risk and ambiguity - into an otherwise standard business cycle model and describe its …

Persistent link: https://www.econbiz.de/10012458347

Uncertainty Traps

Fajgelbaum, Pablo - 2014

We develop a theory of endogenous uncertainty and business cycles in which short-lived shocks can generate long …

Persistent link: https://www.econbiz.de/10012458691

Financial intermediation and efficient risk sharing in two-period lived OLG models

Ritschel, Paul; Wenzelburger, Jan - In: Economic theory bulletin 12 (2024) 1, pp. 57-78

Persistent link: https://www.econbiz.de/10014582973

Idiosyncratic volatility puzzle : influence of macro-finance factors

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Review of quantitative finance and accounting 52 (2019) 2, pp. 381-401

Persistent link: https://www.econbiz.de/10012171614

Uncertainty shocks and business cycle research

Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A. - 2020

Persistent link: https://www.econbiz.de/10012219486

Business Cycles : Derivation of Equations for Aggregate Fluctuations, Mean Risks and Mean Square Risks

Olkhov, Victor - 2017

variables. We model economics as ensemble of agents on economic space and agent's risk ratings play role of their coordinates …-like equations define fluctuations of aggregate variables. Repeated motion of agents from low risk to high risk area and back define … risk, mean square risk and higher statistical moments. Fluctuations of statistical moments describe phases of financial and …

Persistent link: https://www.econbiz.de/10012948584

Uncertainty Shocks in a Model of Effective Demand : Reply

Basu, Susanto - 2018

de Groot, Richter, and Throckmorton (2018) argue that the model in Basu and Bundick (2017) can match the empirical evidence only because the model assumes an asymptote in the economy's response to an uncertainty shock. In this Reply, we provide new results showing that our model's ability to...

Persistent link: https://www.econbiz.de/10012914416

Uncertainty Shocks in a Model of Effective Demand

Basu, Susanto - 2012

Can increased uncertainty about the future cause a contraction in output and its components? An identified uncertainty shock in the data causes significant declines in output, consumption, investment, and hours worked. Standard general-equilibrium models with flexible prices cannot reproduce...

Persistent link: https://www.econbiz.de/10012460240

A General Equilibrium Model of Sovereign Default and Business Cycles

Mendoza, Enrique G. - 2011

Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital …

Persistent link: https://www.econbiz.de/10012461507

Uncertainty Shocks in a Model of Effective Demand : Comment

Richter, Alexander W.; de Groot, Oliver; Throckmorton, … - 2018

three changes to the model—recalibration, a risk-premium shock, and a disaster risk-type shock—to try and restore their …

Persistent link: https://www.econbiz.de/10014121010