Browsing Working Papers by Subject "E32"

DSpace/Manakin Repository

Browsing Working Papers by Subject "E32"

Sort by: Order: Results:

  • Icon
    Title: An Empirical Study of Credit Shock Transmission in a Small Open Economy  Author(s): BEDOCK, Nathan; STEVANOVIC, Dalibor Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: In this paper we identify and measure the effects of credit shocks in a small open economy. To incorporate information from a large number of economic and financial indicators we use the structural factor-augmented VARMA ...
  • Icon
    Title: The Banking and Distribution Sectors in a Small Open Economy DSGE Model  Author(s): DEÁK, Szabolcs; FONTAGNE, Lionel; MAFFEZZOLI, Marco; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: The recent crisis has emphasized the role of financial - macroeconomic interactions, and international trade in goods and services, in the transmission of the shocks. Both phenomena, closely related to the higher degree ...
  • Icon
    Title: Self-fulfilling Beliefs and Bounded Bubbles in the U.S. Housing Market  Author(s): KASHIWAGI, Masanori Date: 2011-01-01 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: This paper provides an equilibrium framework to organize the following empirical observations on the U.S. housing market from 1975 to 2007: (i) housing tenure and vacancies were approximately constant, (ii) rents were ...
  • Icon
    Title: The Role of Curvature in the Transformation Frontier for Measuring Technology Shocks  Author(s): MENNUNI, Alessandro Date: 2010-10-28 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: In the usual version of the neoclassical growth model used to identify neutral (N-Shock) and investment shocks (I-Shock), a linear transformation frontier between consumption and investment goods is assumed. This paper ...
  • Icon
    Title: Nested Models and Model Uncertainty  Author(s): KRIWOLUZKY, Alexander; STOLTENBERG, Christian A. Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Uncertainty about the appropriate choice among nested models is a central concern for optimal policy when policy prescriptions from those models differ. The standard procedure is to specify a prior over the parameter space ...
  • Icon
    Title: Monetary Policy and Mismeasured Inflation  Author(s): WEBER, Henning Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: I examine the standard New Keynesian model augmented with product entry and exit. The statistical agency in the model measures product entry with a delay. Consequently, measured in ation departs from true, utility-based ...
  • Icon
    Title: The Volatility Costs of Procyclical Lending Standards: An Assessment Using a DSGE Model  Author(s): GRUSS, Bertrand; SGHERRI, Silvia Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
  • Icon
    Title: Can Stabilization Policies Be Efficient?  Author(s): SAIDI, Aurélien Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
  • Icon
    Title: Regime Switching Interest Rates and Fluctuations in Emerging Markets  Author(s): GRUSS, Bertrand; MERTENS, Karel Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
  • Icon
    Title: Nested Models and Model Uncertainty  Author(s): KRIWOLUZKY, Alexander; STOLTENBERG, Christian A. Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: Uncertainty about the appropriate choice among nested models is a central concern for optimal policy when policy prescriptions from those models differ. The standard procedure is to specify a prior over the parameter space ...
  • Icon
    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: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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. ...
  • Icon
    Title: Deep Habits and the Dynamic Effects of Monetary Policy Shocks  Author(s): RAVN, Morten O.; SCHMITT-GROHE, Stephanie; URIBE, Martin; UUSKULA, Lenno Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper introduces deep habits into a sticky-price sticky-wage economy and asks whether the countercyclical markup movements induced by deep habits is helpful for accounting for the dynamic effects of monetary policy ...
  • Icon
    Title: Some Business Cycle Consequences of Trade Agreements: Th e Case of the North American Free Trade Agreement  Author(s): BEJAN, Maria Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: This paper investigates the effects of signing a trade agreement on the correlations of the business cycle fluctuations of consumption, investment and output between two countries. We construct an international business ...
  • Icon
    Title: Empirical Evidence on Growth and Volatility  Author(s): STASTNY, Michael; ZAGLER, Martin Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: This paper empirically investigates the relationship between long-run economic growth and output volatility. There is an emerging theoretical literature on the topic which is inconclusive on the size and direction of the ...
  • Icon
    Title: Twin Deficits, Openness and the Business Cycle  Author(s): CORSETTI, Giancarlo; MÜLLER, Gernot J. Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: In this paper, we study the co-movement of the government budget balance and the trade balance at business cycle frequencies. In a sample of 10 OECD countries we find that the correlation of the two time series is negative, ...
  • Icon
    Title: Labor Market Dynamics and the Business Cycle: Structural Evidence for the United States  Author(s): RAVN, Morten O.; SIMONELLI, Saverio Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
  • Icon
    Title: Sector-specific Markup Fluctuations and the Business Cycle  Author(s): GABLER, Alain Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
  • Icon
    Title: S-Curve Redux: On the International Transmission of Technology Shocks  Author(s): ENDERS, Zeno; MÜLLER, Gernot J. Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
  • Icon
    Title: Strategic Wage Bargaining, Labor Market Volatility and Persistence  Author(s): HERTWECK, Matthias S. Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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, ...
  • Icon
    Title: Business Cycle Analysis and VARMA Models  Author(s): KASCHA, Christian; MERTENS, Karl Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...