发布求助
文献互助 智能选刊 最新文献

ERN: Business Fluctuations; Cycles (Topic)最新文献

筛选
英文 中文
The Impact of Aggregate Fluctuations on Superstar Business Formation 总波动对超级明星企业形成的影响
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2021-09-19 DOI: 10.2139/ssrn.3514855
V. Smirnyagin
{"title":"The Impact of Aggregate Fluctuations on Superstar Business Formation","authors":"V. Smirnyagin","doi":"10.2139/ssrn.3514855","DOIUrl":"https://doi.org/10.2139/ssrn.3514855","url":null,"abstract":"Using U.S. Census data, this paper documents that firms which eventually become large tend not to be started in recessions, and that financial conditions are critical for the formation of high-profile businesses. A standard firm dynamics model requires both the ability of potential entrepreneurs to choose their target size at birth and financial frictions in order to account for the data. In the estimated model, financial frictions slow the rate at which high-profile businesses grow disproportionately; this discourages such firms from entering during recessions. Government policy that stimulates the formation of high-profile businesses yields sizable welfare improvements; a more generous policy that targets entrants of any type leads to welfare losses.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127362595","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies 股票风险因素的长期和短期:不同频率的定价和表现
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2021-07-01 DOI: 10.2139/ssrn.3754374
Terri van der Zwan, Erik Hennink, Patrick Tuijp
{"title":"Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies","authors":"Terri van der Zwan, Erik Hennink, Patrick Tuijp","doi":"10.2139/ssrn.3754374","DOIUrl":"https://doi.org/10.2139/ssrn.3754374","url":null,"abstract":"We find that the outperformance for Fama-French factors compared to macroeconomic factors in terms of fitting the cross-section of expected returns disappears when accounting for horizon effects. In addition, we obtain novel empirical relations between macroeconomic factors and Fama-French factors at longer horizons. To obtain our results, we introduce a general linear multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing equation. Our setup allows for a setting where investors with different investment horizons may experience different levels of systematic risk, which could arise from delayed stock price reaction to systematic factor news.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114456947","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Heterogeneity in Manufacturing Growth Risk 制造业增长风险的异质性
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2021-05-03 DOI: 10.2139/ssrn.3839491
Daan Opschoor, Dick J. C. van Dijk, P. Franses
{"title":"Heterogeneity in Manufacturing Growth Risk","authors":"Daan Opschoor, Dick J. C. van Dijk, P. Franses","doi":"10.2139/ssrn.3839491","DOIUrl":"https://doi.org/10.2139/ssrn.3839491","url":null,"abstract":"We analyze differences in output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multi-level quantile regression approach, we find strong heterogeneity in growth risk, particularly between the more vulnerable durable goods sector and the more resilient nondurable goods sector. Moreover, we show that industry characteristics significantly explain these differences. Large, or material intensive durable goods producing, or energy intensive nondurable goods producing industries are more vulnerable to adverse financial conditions, while industries engaging in labor hoarding, or with a high capital or overhead labor intensity are less susceptible.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"39 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115859051","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Dating the Euro Area Business Cycle: An Evaluation 确定欧元区经济周期的时间:一项评估
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2021-04-20 DOI: 10.2139/ssrn.3852808
Claudia Pacella
{"title":"Dating the Euro Area Business Cycle: An Evaluation","authors":"Claudia Pacella","doi":"10.2139/ssrn.3852808","DOIUrl":"https://doi.org/10.2139/ssrn.3852808","url":null,"abstract":"In this paper we study the business cycle dating formulated by the CEPR committee for the euro area. We first compare recessions as defined by the CEPR to those obtained using alternative methodologies (e.g. Bry-Boschan algorithm) and we find that the CEPR dating is not fully in line with other dating rules that are based only on GDP dynamics, thus confirming that the committee considers a broader set of variables. We then evaluate the classification of economic activity in recessions and expansions; the underlying business cycle is either based on a single variable or estimated as a latent factor that captures the comovements of several macroeconomic series. We find that the CEPR chronology is more consistent with the estimated common factor than with what is implied by methods solely based on GDP. Finally, we analyze which real variables drive the classification of economic activity by the CEPR and we find that the properties of the CEPR chronology are mainly related to the dynamics of demand components, especially final consumption, and employment.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123508266","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
The Impact of Investment-Specific Technology Shocks on Macroeconomics Variables 投资特异性技术冲击对宏观经济变量的影响
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2021-02-15 DOI: 10.2139/ssrn.3904746
C. O. Asamoah
{"title":"The Impact of Investment-Specific Technology Shocks on Macroeconomics Variables","authors":"C. O. Asamoah","doi":"10.2139/ssrn.3904746","DOIUrl":"https://doi.org/10.2139/ssrn.3904746","url":null,"abstract":"This paper investigates the short-run impact of Investment-Specific Technology (IST) Shocks on macroeconomics variables namely; Aggregate Investment, Aggregate Consumption and Gross Domestic Product using the VAR(p) model and quarterly data of the US economy from 1960 through 2018. After estimation, one striking result is that from the Granger causality test. The test showed that though IST depends on aggregate consumption, aggregate consumption is not significant in explaining IST, yet, a shock to IST influence a change in aggregate consumption. Inferences from impulse response function (IRF) showed that a positive shock to IST induces a positive response or a positive co-movement among all three macro variables reconciling with a conventional real-business-cycle interpretation of business cycles. Without any form of nominal rigidities and non-separable Preferences, the VAR(p) model predicted a positive response of IST shocks on all three macroeconomic variables.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120969407","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Historical Cycles of the Economy of Modern Greece From 1821 to the Present 1821年至今现代希腊经济的历史周期
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2021-02-10 DOI: 10.2139/ssrn.3801664
G. Alogoskoufis
{"title":"Historical Cycles of the Economy of Modern Greece From 1821 to the Present","authors":"G. Alogoskoufis","doi":"10.2139/ssrn.3801664","DOIUrl":"https://doi.org/10.2139/ssrn.3801664","url":null,"abstract":"This paper reviews and interprets the history of the economy of modern Greece, from the eve of the war for independence in 1821 to the present day. It identifies three major historical cycles: First, the cycle of state and nation building, 1821-1898, second, the cycle of national expansion and consolidation, 1899-1949, and third, the post-1950 cycle of economic and social development. During these two hundred years, the country and the economy have been radically transformed. Compared to the first Greek state, Greece managed to almost triple its national territory, to increase its population by almost 15 times and to increase its real GDP per capita by another 15 times. From the margins of south-eastern Europe, it has moved to the core of today’s European Union. The paper focuses on the main determinants of economic performance during these cycles, with particular emphasis on the role and interactions of social and economic conditions, ideas, institutions and geopolitics. During the first two cycles, the economy underperformed, as state building and the pursuit of the ‘great idea’ were the top national priorities. Despite the early introduction of appropriate economic institutions, fiscal and monetary instability prevailed in the context of a relatively stagnant economy, due to wars, internal conflicts and the international environment. The economy and the welfare state only became a top priority during the third cycle, when a number of domestic and international factors contributed to economic and social development. Greece seems to have largely achieved many of its national goals, having consolidated both its borders and democratic institutions and become a relatively prosperous country in the core of the European union, despite the alternation of triumphs and disasters and the frequent occurrence of wars and internal conflicts, debt crises, ‘defaults’ or economic depressions. Yet many problems remain and the challenge for the future is to focus on reforms that will ensure even higher security and prosperity for the future generations of Greeks.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133868977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
American Business Cycles 1889-1913: An Accounting Approach 美国经济周期1889-1913:一种会计方法
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2021-01-08 DOI: 10.2139/ssrn.3762343
D. Jiang, M. Weder
{"title":"American Business Cycles 1889-1913: An Accounting Approach","authors":"D. Jiang, M. Weder","doi":"10.2139/ssrn.3762343","DOIUrl":"https://doi.org/10.2139/ssrn.3762343","url":null,"abstract":"This paper quantitatively investigates the Depression of the 1890s and the 1907 recession in the United States. Business Cycle Accounting decomposes economic fluctuations into their contributing factors. The results suggest that both the 1890s and the 1907 recessions were primarily caused by factors that affect the efficiency wedge, i.e. slumps in the economy’s factor productivity. Distortions to the labor wedge played a less important role. Models with financial market frictions that translate into the efficiency wedge are the most promising candidates for explaining the recessionary episodes.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"140 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115985819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Monetary Policy Strategies in the New Normal: A Model-Based Analysis for the Euro Area 新常态下的货币政策策略:基于模型的欧元区分析
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-12-22 DOI: 10.2139/ssrn.3826367
F. Busetti, S. Neri, A. Notarpietro, M. Pisani
{"title":"Monetary Policy Strategies in the New Normal: A Model-Based Analysis for the Euro Area","authors":"F. Busetti, S. Neri, A. Notarpietro, M. Pisani","doi":"10.2139/ssrn.3826367","DOIUrl":"https://doi.org/10.2139/ssrn.3826367","url":null,"abstract":"Abstract A calibrated New Keynesian model of the euro area is used to evaluate the stabilization properties of alternative monetary policy strategies when the natural rate of interest is low (“new normal”) and the probability of reaching the effective lower bound (ELB) is non-negligible. Price level targeting is the most effective strategy in terms of stabilizing inflation and output and reducing the duration and frequency of ELB episodes. Temporary price level targeting is also effective in mitigating the ELB constraint, although its stabilization properties are inferior to those of price level targeting. Backward-looking average inflation targeting performs well and is preferable to inflation targeting. The effectiveness of these alternative strategies hinges upon the commitment of a central bank to keeping the policy rate “lower for longer” and is influenced by agents’ expectation formation mechanism.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129818383","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 35
Growth Uncertainty, Rational Learning, and Option Prices 增长不确定性、理性学习与期权价格
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-12-03 DOI: 10.2139/ssrn.3675548
M. Babiak, R. Kozhan
{"title":"Growth Uncertainty, Rational Learning, and Option Prices","authors":"M. Babiak, R. Kozhan","doi":"10.2139/ssrn.3675548","DOIUrl":"https://doi.org/10.2139/ssrn.3675548","url":null,"abstract":"We demonstrate that incorporating parameter learning into a production economy can capture salient properties of the variance premium and index option prices with empirically consistent equity returns, the risk-free rate, and macroeconomic quantities. In a model estimated on post-WWII U.S. data, the investor learns about the true parameters governing the persistence, mean, and volatility of productivity growth. Rational belief updating amplifies the impact of shocks on prices and conditional moments. The agent, in turn, pays a large premium for variance swaps and options because they hedge his concerns about future revisions, particularly concerning the mean and volatility of productivity growth.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114893723","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corporate Debt Maturity and Investment Over the Business Cycle 企业债务期限和商业周期中的投资
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-12-01 DOI: 10.2139/ssrn.3796066
J. Poeschl
{"title":"Corporate Debt Maturity and Investment Over the Business Cycle","authors":"J. Poeschl","doi":"10.2139/ssrn.3796066","DOIUrl":"https://doi.org/10.2139/ssrn.3796066","url":null,"abstract":"The business cycle dynamics of firms' investment and debt maturity vary across the firm size and age distribution: Young and small firms have strongly pro-cyclical debt maturity and investment, old and large firms a-cyclical debt maturity and weakly pro-cyclical investment. This paper explores the importance of firms' debt maturity choices for their investment dynamics. First, it documents cross-sectional heterogeneity of the cyclicality of firms' debt maturity in the data. Then, it embeds a maturity choice in a model of firm investment and financing. Firms adjust their debt maturity to manage the risk of becoming financially constrained over time. This behavior explains both the life cycle and business cycle dynamics of firms' debt maturity. Due to endogenous debt maturity, a policy aimed at reducing firms' financial constraints leads firms to lengthen their debt maturity and increase leverage instead of reducing it.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115119876","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信