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Title:Risk and ambiguity in models of business cycles Author(s):BACKUS, David; FERRIERE, Axelle EUI affiliated

; 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:Implications for banking stability and welfare under capital shocks and countercyclical requirements Author(s):BEKIROS, Stelios D. EUI affiliated

; NILAVONGSE, Rachatar; UDDIN, Gazi SalahDate:2017Type:Working PaperSeries/Number:EUI ECO; 2017/06Abstract:This paper incorporates anticipated and unexpected shocks to bank capital into a DSGE model with a banking sector. We apply this model to study Basel III countercyclical capital requirements and their implications for ...

Title:Nested Models and Model Uncertainty Author(s):KRIWOLUZKY, Alexander; STOLTENBERG, Christian A.Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/37Abstract: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 ...

Title:Deep Habits and the Dynamic Effects of Monetary Policy Shocks Author(s):RAVN, Morten O.; SCHMITT-GROHE, Stephanie; URIBE, Martin; UUSKULA, LennoDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/40Abstract: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 ...

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: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:Twin Deficits, Openness and the Business Cycle Author(s):CORSETTI, Giancarlo; MÜLLER, Gernot J.Date:2007Type:Working PaperSeries/Number:EUI ECO; 2007/20Abstract: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, ...

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:Self-fulfilling beliefs and bounded bubbles in the U.S. housing market Author(s):KASHIWAGI, MasanoriDate:2011Type:Working PaperSeries/Number:EUI MWP; 2011/08Abstract: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 ...

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