Many indicators of business and growth cycles have been constructed by both private and public agencies and are now in use as monitoring devices of economic conditions and for forecasting purposes. As these indicators are largely composite constructs using other economic data, their frequency...

This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the...

In this paper we use the property that certainty equivalence, as implied by a first-order approximation to the solution of stochastic discrete-time models, breaks in its equivalent continuous-time version. We study the extent to which a first-order approximated solution built by perturbation...

We present an agent-based model to study firm-bank credit market interactions in different phases of the business cycle. The business cycle is exogenously set and it can give rise to various scenarios. Compared to other models in this literature strand, we improve the mechanism according to...

We propose a novel approach of solving and analyzing linear rational expectations models with endogenous information frictions. Our approach is build upon policy function iterations in the frequency domain. We develop the theoretical framework of this approach using rational approximations,...

We investigate the latent volatility structures of the fluctuations in the US business cycle and stock market valuations. The technical novelty of this work lies in the estimation of a Markov-switching stochastic-volatility model that allows for Bayesian sequential evaluation on both the...

A divide and conquer algorithm for exploiting policy function monotonicity is proposed and analyzed. To solve a discrete problem with n states and n choices, the algorithm requires at most n log2(n) 5n objective function evaluations. In contrast, existing methods for non-concave problems require...

Credit network configurations play a crucial role in determining the vulnerability of the economic system. Following the network-based financial accelerator approach, we constructed an agent based model reproducing an artificial credit network that evolves endogenously according to the leverage...

An accommodating monetary policy followed by a sudden increase of the short term interest rate often leads to a bubble burst and to an economic slowdown. Two examples are the Great Depression of 1929 and the Great Recession of 2008. Through the implementation of an Agent Based Model with a...

We introduce a financially constrained production framework in which heterogeneous firms and banks entertain multiple credit connections. The parameters of credit market interaction are estimated from real data in order to reproduce a set of empirical regularities of the Japanese credit market....