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Noisy Information, Risk Sharing, and International Business Cycles 嘈杂信息、风险分担与国际经济周期
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-02-01 DOI: 10.1111/roie.12447
Zi‐Yi Guo
{"title":"Noisy Information, Risk Sharing, and International Business Cycles","authors":"Zi‐Yi Guo","doi":"10.1111/roie.12447","DOIUrl":"https://doi.org/10.1111/roie.12447","url":null,"abstract":"We introduce a noisy information structure into an otherwise standard international real business cycle model with two countries. When domestic firms observe current foreign technology with some noise, predictions of the model on international correlation can be very different from those of a standard perfect information model. We show that the model can explain: (a) positive output correlation both in complete and incomplete market models, (b) consumption correlation smaller than output correlation with an introduction of information‐constrained consumers, and (c) observation of both positive and negative productivity–hours correlation in two countries.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129975976","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: 4
Dynamics of Macroeconomic Forecasting Variation and Correlation Structure in the Business Cycle 经济周期中宏观经济预测的动态变化与相关结构
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-01-26 DOI: 10.2139/ssrn.3525820
Lloyd Han
{"title":"Dynamics of Macroeconomic Forecasting Variation and Correlation Structure in the Business Cycle","authors":"Lloyd Han","doi":"10.2139/ssrn.3525820","DOIUrl":"https://doi.org/10.2139/ssrn.3525820","url":null,"abstract":"Using a structural model, I analyze how changes in the distribution of signals about unknown economic conditions affect real aggregate macrovariables in the business cycle. I focus on two quantifiable properties of the distribution of signals, the signal accuracy and the correlation structure across signals, and analyze how time variation in these two properties affect an agent's decisions through his posterior beliefs. Since the exact signals agents use are difficult to observe empirically, I define two key concepts, uncertainty and disagreement, that capture dynamics in the distribution of signals and can be linked to data. Uncertainty is defined as the dispersion within each agent's forecasts about economic conditions. Disagreement is defined as the dispersion across agents in their mean forecasts about economic conditions. I show that uncertainty and disagreement affect an agent's controls through his first and higher order beliefs about economic conditions. Calibrating to US macrodata and the Survey of Professional Forecasters, I show empirically that the distribution of signals matters for aggregate dynamics and that my model mechanism can parsimoniously match the magnitude and sign of these effects. However, I find movements in the distribution of signals represent only a small fraction of the total variation in aggregate variables.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116836045","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
Financial Variables as Predictors of Real Growth Vulnerability 金融变量作为实际增长脆弱性的预测因子
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2020-01-01 DOI: 10.2139/ssrn.3556506
L. Reichlin, G. Ricco, Thomas Hasenzagl
{"title":"Financial Variables as Predictors of Real Growth Vulnerability","authors":"L. Reichlin, G. Ricco, Thomas Hasenzagl","doi":"10.2139/ssrn.3556506","DOIUrl":"https://doi.org/10.2139/ssrn.3556506","url":null,"abstract":"We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between price variables such as credit spreads and stock variables such as leverage. We find that (i) although the spreads correlate with the left tail of the conditional distribution of GDP growth, they provide limited advanced information on growth vulnerability; (ii) nonfinancial leverage provides a leading signal for the left quantile of the GDP growth distribution in the 2008 recession; (iii) measures of excess leverage conceptually similar to the Basel gap, but cleaned from business cycle dynamics via the lenses of the semi-structural model, point to two peaks of accumulation of risks – the eighties and the first eight years of the new millennium, with an unstable relationship with business cycle chronology.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129452815","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: 33
'Loans for the Little Fellow:' Credit, Crisis, and Recovery in the Great Depression 《小家伙的贷款:大萧条时期的信贷、危机和复苏》
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-12-13 DOI: 10.2139/ssrn.3503590
Sarah Quincy
{"title":"'Loans for the Little Fellow:' Credit, Crisis, and Recovery in the Great Depression","authors":"Sarah Quincy","doi":"10.2139/ssrn.3503590","DOIUrl":"https://doi.org/10.2139/ssrn.3503590","url":null,"abstract":"This paper studies how structural transformation exacerbates financial crises. Using newly collected data, I document the persistent effect of credit supply shocks on local economies during the Great Depression. Cities with access to an unusually generous branching network were no different from other California cities in the 1920s but had significantly smaller recessions and stronger recoveries in the 1930s. Linked worker-level data demonstrate local credit supply shifted workers out of agriculture and into nontradable employment, which was higher-skilled, creating a lingering barrier to convergence.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116885925","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: 8
Heterogeneity in an RBC Model with Durable Goods and Energy 耐用品和能源RBC模型的异质性
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-12-01 DOI: 10.2139/ssrn.3515124
P. Bergmann
{"title":"Heterogeneity in an RBC Model with Durable Goods and Energy","authors":"P. Bergmann","doi":"10.2139/ssrn.3515124","DOIUrl":"https://doi.org/10.2139/ssrn.3515124","url":null,"abstract":"This paper investigates the effects of total factor productivity and energy price shocks in a real business cycle (RBC) model with heterogeneous agents. It extends standard RBC models by including the distinction between durable goods and non-durable goods but also including energy in production of non-durable goods. Furthermore, we combine two sources of heterogeneity using idiosyncratic shocks in labor supply and limited asset market participation by a fixed proportion of agents. We study to what degree the empirically observed inequality in income and wealth can be explained by the provided framework. The model can predict the evolution of inequality in income and wealth, unlike traditional homogeneous macroeconomic models with a representative agent. We show that the distinction between non-durable and durable goods leads to a significant improvement in predicting most of the moments close to the one in observational data from Germany. Furthermore, we find that energy price shocks lead to decreasing inequalities, with respect to both income and wealth. In a brief policy analysis, we give an outlook about the effects of redistribution of income between classes of agents.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132264122","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
In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains even Less 在全信息估计中，长期风险最多只能解释四分之一的P/D方差，习惯解释的就更少了
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-11-04 DOI: 10.2139/ssrn.2724651
Andrew Y. Chen, Fabian Winkler, Rebecca Wasyk
{"title":"In Full-Information Estimates, Long-Run Risks Explain at Most a Quarter of P/D Variance, and Habit Explains even Less","authors":"Andrew Y. Chen, Fabian Winkler, Rebecca Wasyk","doi":"10.2139/ssrn.2724651","DOIUrl":"https://doi.org/10.2139/ssrn.2724651","url":null,"abstract":"We develop a model in which asset prices depend on long run growth, long run volatility, habit, and a persistent residual. We estimate the model using Bayesian methods which account for the entire likelihood of the data on consumption growth, dividend growth, and the price-dividend ratio. The residual is dominant, accounting for 60% of the variance of the price-dividend ratio. Moreover, the filtered residual tracks most of the recognizable features of the U.S. stock market, such as the late 1990's boom and bust. Long run volatility also plays a significant role, accounting for 30% of the variance, but it contributes primarily in rare crises. Long run growth and habit contribute 15% and 1%. These results show that while long run risks play a non negligible role, something else is driving the bulk of stock market fluctuations. Estimations under alternative priors show that the low correlations between asset prices and conditional moments of consumption growth underlie the large role for the residual.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131461589","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: 1
Twin Defaults and Bank Capital Requirements 双重违约和银行资本要求
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-10-01 DOI: 10.2139/ssrn.3536486
Caterina Mendicino, Kalin Nikolov, Juan Rubio Ramírez, J. Suárez, Dominik Supera
{"title":"Twin Defaults and Bank Capital Requirements","authors":"Caterina Mendicino, Kalin Nikolov, Juan Rubio Ramírez, J. Suárez, Dominik Supera","doi":"10.2139/ssrn.3536486","DOIUrl":"https://doi.org/10.2139/ssrn.3536486","url":null,"abstract":"We examine optimal capital requirements in a quantitative general equilibrium model with banks exposed to non-diversifiable borrower default risk. Contrary to standard models of bank default risk, our framework captures the limited upside but significant downside risk of loan portfolio returns (Nagel and Purnanandam, 2020). This helps to reproduce the frequency and severity of twin defaults: simultaneously high firm and bank failures. Hence, the optimal bank capital requirement, which trades off a lower frequency of twin defaults against restricting credit provision, is 5pp higher than under standard default risk models which underestimate the impact of borrower default on bank solvency.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"61 7","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113944329","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: 7
Physical Macroeconomics: Part VIII - Macroeconomic Cycle 物理宏观经济学:第八部分-宏观经济周期
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-09-18 DOI: 10.2139/ssrn.3455852
V. Bartenev
{"title":"Physical Macroeconomics: Part VIII - Macroeconomic Cycle","authors":"V. Bartenev","doi":"10.2139/ssrn.3455852","DOIUrl":"https://doi.org/10.2139/ssrn.3455852","url":null,"abstract":"The existence of the macroeconomic cycle in the global economy is discussed. The macroeconomic cycle was evolutionary formed under the dominant influence of the annual cycle of grain production. Thus, in the current global economy, the money supply to GDP ratio is about the same as it was in the ancient economy in which grain served as money.<br><br>Therefore, the basis of the stability of the global financial system is the stability of the macroeconomic cycle in which the grain basket is an implicit currency.<br><br>Because of the growing efficiency of the world economy, the useful energy component in the grain basket price already exceeded the observed price, which is flat. It is suggested in the article, that further efficiency growth is possible in the case of “phase transition” of the global economy to a new state with a revaluated grain basket and sharply increased agricultural sector.<br><br>The grain in the ancient economy served as money because the total amount of grain was a measure of the working potential of the self-sufficient social system. Gold, bitcoins and other cryptocurrency can't be real money, because their total amount in a self-sufficient economy does not correspond to the working potential of the system.<br>","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134414462","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
Real Estate and Infrastructure Resolution 房地产和基础设施解决方案
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-09-01 DOI: 10.2139/ssrn.3459339
J. Varma, Sebastian Morris
{"title":"Real Estate and Infrastructure Resolution","authors":"J. Varma, Sebastian Morris","doi":"10.2139/ssrn.3459339","DOIUrl":"https://doi.org/10.2139/ssrn.3459339","url":null,"abstract":"We propose a mechanism that uses the financial markets to mobilize the resources of a large population of investors, to revive the impaired assets in the real sector in India today. This should also allow the economy to escape from the strangle hold of the “doom loop”, in which the financial sector, the infrastructure and real estate sectors and the economy in general through their feedback effects on each other, portend to take the economy deeper into the recession. The mechanism where the government covers the left tail risk in infrastructure and real estate, has the potential to revive these assets to the benefit of the home buyers, users and the public, with the government earning a handsome return, while being fair to the developers as well. With such a mechanism in place, in the future, developers would know that using distressed public value to their advantage would not be possible in the future.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130921157","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
Slowdown Creeps in Indian Economy 印度经济放缓
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-08-25 DOI: 10.2139/ssrn.3442600
R. Upadhyay
{"title":"Slowdown Creeps in Indian Economy","authors":"R. Upadhyay","doi":"10.2139/ssrn.3442600","DOIUrl":"https://doi.org/10.2139/ssrn.3442600","url":null,"abstract":"Since 2015, various lead indicators, including the business cycle and the financial cycle, have started pointing towards a possible slowdown in Indian economy but those signs were too weak and the whole economic environment was full with optimism. Though, today the signs of slowdown are strong and more visible. Many indicators like consumption (demand), private investment, number of new projects and GDP growth rate (6.8% in 2018-19) are slowing down. Different institutions like Moody’s and economists are cutting India’s projected GDP growth rate. However this downturn is expected to be a short term phenomenon.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125243399","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: 1
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