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Recessions and instable estimates of potential output
Dovern, Jonas; Zuber, Christopher - 2017
This paper analyzes how the OECD revises potential output (PO) estimates after recessions. We show that downward revisions are substantial and mostly driven by supply shocks while PO estimates do not significantly react to demand shocks. In addition, revisions are partly caused by avoidable...
Persistent link: https://www.econbiz.de/10011798221
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Financial development and macroeconomic volatility : evidence from OECD countries
Hahn, Franz R. - 2003
This paper discusses the link between financial development and macroeconomic volatility by exploring some of the ways through which financial development may affect business cycle fluctuations. To be specific, we examine whether stock market development exerts an unambiguous effect on...
Persistent link: https://www.econbiz.de/10011493759
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Business cycles, financial conditions and nonlinearities
Mendieta-Muñoz, Ivan; Sündal, Doğuhan - 2020
This paper proposes a conceptualization of business cycle fluctuations in which the role of financial conditions and nonlinear dynamics are explicitly incorporated. We highlight the role of investment demand in driving economic fluctuations, consider its endogenous dynamic interactions with...
Persistent link: https://www.econbiz.de/10012243059
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Detecting unemployment hysteresis : a simultaneous unobserved components model with Markov switching
Klinger, Sabine; Weber, Enzo - 2015
Wir konstruieren ein neues Modell unbeobachteter Komponenten mit Markov-Switching zur Analyse von Hysterese-Effekten, also der Verfestigung ursprünglich zyklischer Fluktuationen. Das Modell kombiniert die Bestandteile einer Trend-Zyklus Zerlegung, der Identifikation von gegenseitigen...
Persistent link: https://www.econbiz.de/10011372431
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RGAP: output gap estimation in R
Streicher, Sina - 2022
Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …
Persistent link: https://www.econbiz.de/10013256541
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Higher-order income risk over the business cycle
Busch, Christopher; Ludwig, Alexander - 2020
We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higherorder risk. We estimate our extended income process by GMM for household data from the United States. We find countercyclical...
Persistent link: https://www.econbiz.de/10012182809
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Higher-order income risk over the business cycle
Busch, Christopher; Ludwig, Alexander - 2020
We extend the canonical income process with persistent and transitory risk to shock distributions with left-skewness and excess kurtosis, to which we refer as higher-order risk. We estimate our extended income process by GMM for household data from the United States. We find countercyclical...
Persistent link: https://www.econbiz.de/10012215285
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Social security contributions and the business cycle
Almosova, Anna; Burda, Michael C.; Voigts, Simon - 2017
This paper examines magnitudes and business cycle dynamics of social security contributions (SSC). In most OECD countries studied, we document a negative covariation of payroll tax burdens with GDP and GDP growth at business cycle and lower frequencies. We assess the overall magnitude of the...
Persistent link: https://www.econbiz.de/10011701115
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Financial development and macroeconomic volatility : evidence from OECD countries
Hahn, Franz R. - 2003
Persistent link: https://www.econbiz.de/10001744801
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Understanding the Inventory Cycle : A Non-Linear Setting
Cao-Alvira, Jose J. - 2012
This paper studies the business cycle implications of a nonlinear-production general equilibrium model which allows the existence of inventory investment for the purpose of stockout avoidance. Among the primary contributions is the development of a solution methodology which, by creating a...
Persistent link: https://www.econbiz.de/10012755253