Title:Risk and ambiguity in models of business cycles Author(s):BACKUS, David; FERRIERE, Axelle; ZIN, StanleyDate:2015Citation:
- Journal of monetary economics, 2015, Vol. 69, pp. 42-63
Type:ArticleAbstract:We inject aggregate uncertainty - risk and ambiguity - into an otherwise standard business cycle model and describe its consequences. We find that increases in uncertainty generally reduce consumption, but they do not ...
Title:Do expectations matter? : the great moderation revisited Author(s):CANOVA, Fabio; GAMBETTI, LucaDate:2010Citation:
- American economic journal : macroeconomics, 2010, Vol. 2, No. 3, pp. 183-205
Type:ArticleAbstract:We examine the role of expectations in the Great Moderation episode. We derive theoretical restrictions in a New-Keynesian model and test them using measures of expectations obtained from survey data, the Greenbook and ...
Title:Directional predictability and time-varying spillovers between stock markets and economic cycles Author(s):BEKIROS, Stelios D.; HUSSAIN, Syed J.; ARREOLA HERNANDEZ, Jose; REHMAN, Mobeen U.Date:2018Citation:
- Economic modelling, 2018, Vol. 69, pp. 301-312
Type:ArticleAbstract:We examine the nonlinear dependence structure and causal nexus between business cycles, stock market returns and asset return volatility for the US economy. We implement two novel methodologies, namely quantile-on-quantile ...