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Title:Regime Switching Interest Rates and Fluctuations in Emerging Markets Author(s):GRUSS, Bertrand; MERTENS, KarelDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/22Abstract:We estimate regime switching models for emerging market interest rates and embed the obtained nonlinear dynamics in a small open economy model with a financial friction. We show that the presence of an infrequent regime ...
Title:The Volatility Costs of Procyclical Lending Standards: An Assessment Using a DSGE Model Author(s):GRUSS, Bertrand; SGHERRI, SilviaDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/07Abstract:The ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of future boom-and-bust episodes in credit markets. Particularly, it has been argued that banking ...
Title:Strategic Wage Bargaining, Labor Market Volatility and Persistence Author(s):HERTWECK, Matthias S.Date:2006Type:Working PaperSeries/Number:EUI ECO; 2006/42Abstract:This paper modifies the standard Mortensen-Pissarides job matching model in order
to explain the cyclical behavior of vacancies and unemployment. The modifications include
strategic wage bargaining (Hall and Milgrom, ...
Title:The Aggregate Effects of Anticipated and Unanticipated U.S. Tax Policy Shocks: Theory and Empirical Evidence Author(s):MERTENS, Karel; RAVN, Morten O.Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/05Abstract:We provide empirical evidence on the effects of tax liability changes in the United States. We make a distinction between “surprise” and “anticipated” tax shocks. Surprise tax cuts give rise to a large boom in the economy. ...
Title:Can Stabilization Policies Be Efficient? Author(s):SAIDI, AurélienDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/01Abstract:This paper makes use of optimal control relaxed problems to prove the absence of optimal trajectory in continuous time models with social increasing returns to scale where indeterminacy occurs. Although an efficient optimal ...
Title:Labor Market Dynamics and the Business Cycle: Structural Evidence for the United States Author(s):RAVN, Morten O.; SIMONELLI, SaverioDate:2007Type:Working PaperSeries/Number:EUI ECO; 2007/13Abstract:We use a 12-dimensional VAR to examine the dynamic effects on the labor market of four struc-
tural technology and policy shocks. For each shock, we examine the dynamic effects on the labor
market, the importance of the ...
Title:S-Curve Redux: On the International Transmission of Technology Shocks Author(s):ENDERS, Zeno; MÜLLER, Gernot J.Date:2006Type:Working PaperSeries/Number:EUI ECO; 2006/36Abstract:Using vector autoregressions on U.S. time series, we find that technology shocks induce an ‘S’-
shaped cross-correlation function for the trade balance and the terms of trade (S-curve). In calibrating
a prototypical ...
Title:Business Cycle Analysis and VARMA Models Author(s):KASCHA, Christian; MERTENS, KarelDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/37Abstract:An important question in empirical macroeconomics is whether
structural vector autoregressions (SVARs) can reliably discriminate
between competing DSGE models. Several recent papers have sug-
gested that one reason SVARs ...
Title:Sector-specific Markup Fluctuations and the Business Cycle Author(s):GABLER, AlainDate:2007Type:Working PaperSeries/Number:EUI ECO; 2007/25Abstract:The counter-cyclicality in the relative price of equipment investment
which is observed in the U.S. has been attributed to equipment-specific pro-
ductivity shocks. Cross-country evidence indicates that a number of ...
Title:Mortgage defaults, expectation-driven house prices and monetary policy Author(s):BEKIROS, Stelios D.
; NILAVONGSE, Rachatar; UDDIN, Gazi S.Date:2017Type:Working PaperSeries/Number:EUI ECO; 2017/09Abstract:We contribute to the literature on dynamic stochastic general equilibrium models with housing collaterals by including shocks to house price expectations. We incorporate endogenous mortgage defaults which are rarely included ...
; NILAVONGSE, Rachatar; UDDIN, Gazi S.Date:2017Type:Working PaperSeries/Number:EUI ECO; 2017/09Abstract:We contribute to the literature on dynamic stochastic general equilibrium models with housing collaterals by including shocks to house price expectations. We incorporate endogenous mortgage defaults which are rarely included ...