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The impact of uncertainty and financial shocks in recessions and booms

Salzmann, Leonard - 2020

The literature has widely discussed the role of financial and economic uncertainty shocks for the macroeconomy. However, it has turned out to be difficult to isolate these shocks from financial market indicators and uncertainty proxies because any identifying restriction on their response...

Persistent link: https://www.econbiz.de/10012429635

Financial frictions and the real economy

Pietrunti, Mario - 2017

This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks' capital induces a relevant non-linearity. The model -...

Persistent link: https://www.econbiz.de/10011976236

Discount shock, price-rent dynamics, and the business cycle

Miao, Jianjun; Wang, Pengfei; Zha, Tao - 2020

identifies the discount shock as the most important factor in driving price-rent dynamics and linking the dynamics in the real …

Persistent link: https://www.econbiz.de/10012219582

Financial Frictions and the Wealth Distribution

Fernández-Villaverde, Jesús - 2020

particular, we ﬁnd that the recovery after a negative aggregate shock is more sluggish when the economy is more lever …

Persistent link: https://www.econbiz.de/10012847720

Adverse Selection, Lemons Shocks and Business Cycles

Ikeda, Daisuke - 2020

Asymmetric information is crucial for understanding the disruption of the supply of credit. This paper studies a dynamic economy featuring asymmetric information and resulting adverse selection in credit markets. Entrepreneurs seek loans from banks for projects, but asymmetric information about...

Persistent link: https://www.econbiz.de/10012849147

Aggregate Implications of Heterogeneous Households in a Sticky-Price Model

Lee, Jae Won - 2012

This paper analyzes the role of heterogeneous households in propagating shocks over the business cycle by generalizing a basic sticky-price model to allow for imperfect risk-sharing between households that differ in labor incomes. I show that imperfectly insured household consumption distorts...

Persistent link: https://www.econbiz.de/10014192107

Identification of Non-Rational Risk Shocks

Böck, Maximilian - 2022

financial executives, belief distortions on financial markets identify a non-rational risk shock. Surprises in beliefs in credit … the constructed shocks have statistically and economically meaningful effects. A positive non-rational risk shock moves …

Persistent link: https://www.econbiz.de/10013308197

News shocks under financial frictions : a comment on Görtz et al. (2022)

Ash, Thomas; Nikolaishvili, Giorgi; Struby, Ethan - 2023

. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter … ahead forecast error variance (FEV) of TFP. Their estimated impulse responses functions show that a positive news shock … significantly decreases credit market spreads and increases credit market supply. They also find that a shock that explains the …

Persistent link: https://www.econbiz.de/10014335049

The importance of credit demand for business cycle dynamics

Schweinitz, Gregor von - Leibniz-Institut für Wirtschaftsforschung Halle - 2023 - This version: November 6, 2023

This paper contributes to a better understanding of the important role that credit demand plays for credit markets and aggregate macroeconomic developments as both a source and transmitter of economic shocks. I am the first to identify a structural credit demand equation together with credit...

Persistent link: https://www.econbiz.de/10014448367

Endogenous Economic Resilience, Loss of Resilience, Persistent Cycles, Multiple Attractors, and Disruptive Contractions

Koçkesen, Levent; Semmler, Willi; Padró Rosario, … - 2022

contractions. We use a limit cycle model built upon Koçkesen & Semmler (2017) to evaluate Brunnermeirs’s theory of Resilience in …

Persistent link: https://www.econbiz.de/10014256271