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Berger, Tino; Pozzi, Lorenzo - 2023

Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...

Persistent link: https://www.econbiz.de/10014380708

The Price Puzzle Revisited : Can the Cost Channel Explain a Rise in Inflation after a Monetary Policy Shock?

Henzel, Steffen - 2013

This paper explores whether the cost channel solves the price puzzle. We set-up a New Keynesian DSGE model and estimate it for the euro area by adopting a minimum distance approach. Our findings suggest that - under certain parameter restrictions which are not rejected by the data - the cost...

Persistent link: https://www.econbiz.de/10012753889

The origins and effects of macroeconomic uncertainty

Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896

We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...

Persistent link: https://www.econbiz.de/10014362538

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for …

Persistent link: https://www.econbiz.de/10014314068

Investment-specific shocks, business cycles, and asset prices

Curatola, Giuliano; Donadelli, Michael; Grüning, Patrick; … - 2016

We introduce long-run investment productivity risk in a two-sector production economy to explain the joint behavior of macroeconomic quantities and asset prices. Long-run productivity risk in both sectors, for which we provide economic and empirical justification, acts as a substitute for shocks...

Persistent link: https://www.econbiz.de/10011440249

A new look at uncertainty shocks : imperfect information and misallocation

Senga, Tatsuro - 2015

experiences a shock forcing it to start learning afresh. Firms differ in their information; more informed firms have lower … posterior variances in beliefs. An uncertainty shock is a rise in the probability that any given firm will lose its information … a prolonged recession followed by anemic recovery in response to an uncertainty shock. When confronted with a rise in …

Persistent link: https://www.econbiz.de/10011401309

TFP and the transmission of shocks : conference paper

Mayer, Eric; Rüth, Sebastian; Scharler, Johann - 2014

We show that TFP reacts counter-cyclically to macroeconomic shocks, which we identify by imposing sign restrictions. Counterfactual simulations, based on a New Keynesian DSGE model, show that firms manage to employ labor more efficiently during downturns, which leads to a muted drop in the...

Persistent link: https://www.econbiz.de/10010489298

Financial Frictions on Capital Allocation : A Transmission Mechanism of TFP Fluctuations

Chen, Kaiji - 2009

This paper provides a theory of financial frictions as a transmission mechanism for primitive shocks to translate into … of financial frictions on capital allocation as the transmission mechanism proposed by our theory …

Persistent link: https://www.econbiz.de/10013159853

Investment-Specific Technology Shocks : The Source of Anticipated TFP Fluctuations

Chen, Kaiji - 2014

This paper explores the importance of investment-specific technology changes in anticipated TFP fluctuations. To this end, we identify two types of news shocks with the maximum forecast error variance approach: news shocks to TFP and news shocks to the relative price of investment. We show in a...

Persistent link: https://www.econbiz.de/10013058270

Expected inflation, sunspots equilibria and persistent unemployment fluctuations

Dufourt, Frédéric; Lloyd-Braga, Teresa; Modesto, Leonor - 2009

, choose to consume their current income. -- Unemployment fluctuations ; sunspots equilibria ; expected inflation ; wage …

Persistent link: https://www.econbiz.de/10003879337