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News and Financial Intermediation in Aggregate and Sectoral Fluctuations

Gortz, Christoph; Tsoukalas, John D - Department of Economics, University of Birmingham - 2012

We estimate a two-sector DSGE model with financial intermediaries - a-la Gertler and Karadi (2011) and Gertler and … Kiyotaki (2010) - and quantify the importance of news shocks in accounting for aggregate and sectoral fluctuations. Our results … indicate a significant role of financial market news as a predictive force behind fluctuations. Specifically, news about the …

Persistent link: https://www.econbiz.de/10010602479

News and Financial Intermediation in Aggregate and Sectoral Fluctuations

Görtz, Christoph; Tsoukalas, John D. - Centre pour la Recherche Économique et ses … - 2012

We estimate a two-sector DSGE model with financial intermediaries—a-la Gertler and Karadi (2011) and Gertler and … Kiyotaki (2010)—and quantify the importance of news shocks in accounting for aggregate and sectoral fluctuations. Our results … indicate a significant role of financial market news as a predictive force behind fluctuations. Specifically, news about the …

Persistent link: https://www.econbiz.de/10011031882

Assessing the empirical relevance of Walrasian labor frictions to business cycle fluctuations

Madeira, Joao - Business School, University of Exeter - 2013

This paper describes and estimates (with a Bayesian likelihood approach) an otherwise standard dynamic stochastic general equilibrium model, with both sticky prices and wages, augmented with several labor market rigidities (of a Walrasian nature), namely: indivisible labor, predetermined...

Persistent link: https://www.econbiz.de/10010883472

Families in Macroeconomics

Doepke, Matthias; Tertilt, Michèle - 2016

Much of macroeconomics is concerned with the allocation of physical capital, human capital, and labor over time and across people. The decisions on savings, education, and labor supply that generate these variables are made within families. Yet the family (and decision-making in families) is...

Persistent link: https://www.econbiz.de/10011479320

Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles

Görtz, Christoph; Yeromonahos, Mallory - 2019

A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in recessions and declines much more gradually during the...

Persistent link: https://www.econbiz.de/10012179758

Is There News in Inventories?

Görtz, Christoph; Gunn, Christopher; Lubik, Thomas A. - 2020

We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact …: in response to news about future increases in TFP, inventories rise and comove positively with other major macroeconomic … aggregates. We show that the standard theoretical model used to capture the effects of news shocks cannot replicate this fact …

Persistent link: https://www.econbiz.de/10012214195