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
Understanding Macroeconomic Disagreement 理解宏观经济分歧
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-03-03 DOI: 10.2139/ssrn.3364891
Jeffrey Sheen, B. Wang
{"title":"Understanding Macroeconomic Disagreement","authors":"Jeffrey Sheen, B. Wang","doi":"10.2139/ssrn.3364891","DOIUrl":"https://doi.org/10.2139/ssrn.3364891","url":null,"abstract":"We propose a new measure of macroeconomic disagreement, using dispersions of forecasts of a wide range of financial, activity and inflation variables from both household and professional surveys at various frequencies. With a mixed-frequency state-space model, we construct macroeconomic disagreement estimates of the one-year ahead expected state of the economy. Impulse responses show disagreement shocks lead to a contraction in economic activity, and monetary policy expansion reduces disagreement, implying that endogenous disagreement is an additional channel for countercyclical monetary policy.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"22 9","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120808377","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: 6
The Danger in Using Monetary Policy to Address Housing Affordability: A Lesson from the Great Recession 用货币政策解决住房负担能力问题的危险:大衰退的教训
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-03-01 DOI: 10.2139/ssrn.3570633
Kevin Erdmann
{"title":"The Danger in Using Monetary Policy to Address Housing Affordability: A Lesson from the Great Recession","authors":"Kevin Erdmann","doi":"10.2139/ssrn.3570633","DOIUrl":"https://doi.org/10.2139/ssrn.3570633","url":null,"abstract":"Loose monetary policy has been widely blamed for high home prices and for the debt-fueled consumption that they funded. Critics, and even Federal Reserve (Fed) policymakers, generally agree that monetary policy should have been tightened sooner. But this is the wrong conclusion. In fact, monetary policy was powerless to counteract the debt-fueled consumption of the boom period, and the bust was only inevitable because the Fed tried to solve a problem that it could not functionally solve with tighter monetary policy.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121237264","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: 2
A Theory of Housing Demand Shocks 住房需求冲击理论
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-03-01 DOI: 10.29338/wp2019-04
Dingrui Dong, Zheng Liu, Pengfei Wang, T. Zha
{"title":"A Theory of Housing Demand Shocks","authors":"Dingrui Dong, Zheng Liu, Pengfei Wang, T. Zha","doi":"10.29338/wp2019-04","DOIUrl":"https://doi.org/10.29338/wp2019-04","url":null,"abstract":"Aggregate housing demand shocks are an important source of house price fluctuations in the standard macroeconomic models, and through the collateral channel, they drive macroeconomic fluctuations. These reduced-form shocks, however, fail to generate a highly volatile price-to-rent ratio that comoves with the house price observed in the data (the “price-rent puzzle”). We build a tractable heterogeneous-agent model that provides a microeconomic foundation for housing demand shocks. The model predicts that a credit supply shock can generate large comovements between the house price and the price-to-rent ratio. We provide empirical evidence from cross-country and cross-MSA data to support this theoretical prediction.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128912648","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: 19
America First? A US-centric View of Global Capital Flows 美国第一吗?以美国为中心的全球资本流动观
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-02-13 DOI: 10.2139/ssrn.3334368
Peter D. McQuade, Martin Schmitz
{"title":"America First? A US-centric View of Global Capital Flows","authors":"Peter D. McQuade, Martin Schmitz","doi":"10.2139/ssrn.3334368","DOIUrl":"https://doi.org/10.2139/ssrn.3334368","url":null,"abstract":"Both academic researchers and policymakers posit a unique role for the US in the inter-national financial system. This paper investigates the characteristics and determinants of US cross-border financial flows and examines how these contrast with those of the rest of the world. We analyse the relative importance of US, country-specific, and global variables as determinants of aggregate and bilateral US financial flows and as determinants of country-level cross-border financial flows excluding those directly involving the US. Our results indicate that variation in US variables – notably the VIX and US dollar exchange rate – has a quantitatively important influence on global financial flows, but mostly via US cross-border flows. Global and national risk indicators perform better in explaining “rest of the world” flows. Moreover, we find that the correlation between US and rest of the world flows peaks in periods of elevated uncertainty. We interpret our findings as evidence for the existence of a global financial cycle, only some of which is driven by policies and events in the US. JEL Classification: F15, F21, F36, F42, G15","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122279661","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: 10
Benefits of Gradualism or Costs of Inaction? Monetary Policy in Times of Uncertainty 渐进的好处还是不作为的代价?不确定时期的货币政策
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-02-01 DOI: 10.2139/ssrn.3431133
G. Ferrero, Mario Pietrunti, Andrea Tiseno
{"title":"Benefits of Gradualism or Costs of Inaction? Monetary Policy in Times of Uncertainty","authors":"G. Ferrero, Mario Pietrunti, Andrea Tiseno","doi":"10.2139/ssrn.3431133","DOIUrl":"https://doi.org/10.2139/ssrn.3431133","url":null,"abstract":"Should monetary policy be more aggressive or more cautious when facing uncertainty on the relationship between macroeconomic variables? This paper's answer is: “it depends” on the degree of persistence of the shocks that hit the economy. The paper studies optimal monetary policy in a basic (two-equation) forward looking New-Keynesian (NK) framework with random parameters. It relaxes the assumption of full central bank information in two ways: by allowing for uncertainty on the model parameters and by assuming asymmetric information. While the private sector observes the realizations of the random process of the parameters as they occur, the central bank observes them with a one period delay. Compared to the problem with full information, the monetary authority must solve the Bayesian decision problem of minimizing the expected stream of future welfare losses integrating over its prior probability distribution of the unknown parameters. The paper proposes a general method to account for uncertainty on any subset of parameters of the model. As an application, it focuses on two cases: uncertainty on the natural rate of interest and on the slope of the Phillips curve.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130999506","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: 32
Demographic Changes and Inflation Dynamics 人口变化和通货膨胀动态
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2019-01-14 DOI: 10.2139/ssrn.3315033
Gaofeng Han
{"title":"Demographic Changes and Inflation Dynamics","authors":"Gaofeng Han","doi":"10.2139/ssrn.3315033","DOIUrl":"https://doi.org/10.2139/ssrn.3315033","url":null,"abstract":"This study investigates the impact of demographic changes on inflation in Hong Kong, Singapore and Mainland China using the structural VAR methodology. It shows an increase in the youth population is inflationary, while an increase in the aging population is disinflationary. By affecting inflation expectations, demography directly impacts inflation, or indirectly through the interest rate channel, whereas its impact through the output gap or the wage channel is ignorable. However, the magnitude of the impact of demographic changes is small; with the variance decomposition revealing demographic shocks contribute to no more than 1% of annual inflation fluctuations over a 10-year horizon. Among the three economies, Hong Kong and Mainland China are more sensitive to demographic changes than Singapore. Although disinflation, as a consequence of an aging population, may not be the primary concern in the short term, the cumulative effect of aging on disinflation should not be ignored when the aging process persists or accelerates. Fiscal or monetary policies, in addition to measures to increase labour supply, should be taken when necessary to mitigate the effect of aging on inflation in the short-to-mid term.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114700646","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
Booms, Busts, and Common Risk Exposures 繁荣、萧条和常见风险敞口
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-11-25 DOI: 10.2139/ssrn.3290616
A. Kopytov
{"title":"Booms, Busts, and Common Risk Exposures","authors":"A. Kopytov","doi":"10.2139/ssrn.3290616","DOIUrl":"https://doi.org/10.2139/ssrn.3290616","url":null,"abstract":"I present a dynamic general equilibrium model in which commonality in bank assets endogenously changes over the business cycle and shapes systemic risk. To reduce individual risks, banks diversify, increasing portfolio overlap and hence the similarity of their exposures to fundamental shocks. Systemic financial crises burst at the end of credit booms when productive investment opportunities are exhausted, banks' diversification incentives are strong, and their portfolios are highly correlated. A calibrated model is able to match key moments related to frequency, severity, and the economy's behavior around systemic crises.This article is protected by copyright. All rights reserved","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123688605","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
Modeling Time-Variation Over the Business Cycle (1960-2017): An International Perspective 商业周期的时间变化建模(1960-2017):国际视角
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-10-01 DOI: 10.24149/gwp348
Enrique Martínez-García
{"title":"Modeling Time-Variation Over the Business Cycle (1960-2017): An International Perspective","authors":"Enrique Martínez-García","doi":"10.24149/gwp348","DOIUrl":"https://doi.org/10.24149/gwp348","url":null,"abstract":"In this paper, I explore the changes in international business cycles with quarterly data for the eight largest advanced economies (U.S., U.K., Germany, France, Italy, Spain, Japan, and Canada) since the 1960s. Using a time-varying parameter model with stochastic volatility for real GDP growth and inflation allows their dynamics to change over time, approximating nonlinearities in the data that otherwise would not be adequately accounted for with linear models (Granger et al. (1991), Granger (2008)). With that empirical model, I document a period of declining macro volatility since the 1980s, followed by increasing (and diverging) inflation volatility since the mid-1990s. I also find significant shifts in inflation persistence and cyclicality, as well as in macro synchronization and even forecastability. The 2008 global recession appears to have had an impact on some of this. I ground my empirical strategy on the reduced-form solution of the workhorse New Keynesian model and, motivated by theory, explore the relationship between greater trade openness (globalization) and the reported shifts in international business cycles. I show that globalization has sizeable (yet nonlinear) effects in the data consistent with the implications of the model—yet globalization’s contribution is not a foregone conclusion, depending crucially on more than the degree of openness of the international economy.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117188918","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
Elasticity of Substitution in Post-Communist Economies 后共产主义经济的替代弹性
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-09-06 DOI: 10.2139/ssrn.3283088
Karol Szomolányi, Martin Lukáčik, Adriana Lukacikova
{"title":"Elasticity of Substitution in Post-Communist Economies","authors":"Karol Szomolányi, Martin Lukáčik, Adriana Lukacikova","doi":"10.2139/ssrn.3283088","DOIUrl":"https://doi.org/10.2139/ssrn.3283088","url":null,"abstract":"In our research we estimate the elasticity of substitution post-communist economies integrated in European Union. There are many approaches to estimate the production function coefficients as the elasticity of substitution. We argue that a frequency panel model is suitable econometric tool for our purposes. We derive the specification from the capital demand first-order condition of firm maximising its profit. Data are adapted from the World Penn Tables and World Development Indicators, World Bank. Data are modified with band-pass filter to abstract them from the business cycles and the short-term effects driven by different underlying processes. The filter creates overlapping observations, the stochastic term is serially correlated and therefore feasible generalized least squares estimator is used. Comparing the results with the relevant results in a world literature we estimate relatively low value of the elasticity of substitution in European post-communist countries. Possible explanations are discussed.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122085642","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
The Role of Price Spillovers in the American Housing Boom 价格溢出效应在美国房地产繁荣中的作用
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-09-05 DOI: 10.2139/ssrn.2696695
A. DeFusco, Wenjie Ding, Fernando V. Ferreira, Joseph Gyourko
{"title":"The Role of Price Spillovers in the American Housing Boom","authors":"A. DeFusco, Wenjie Ding, Fernando V. Ferreira, Joseph Gyourko","doi":"10.2139/ssrn.2696695","DOIUrl":"https://doi.org/10.2139/ssrn.2696695","url":null,"abstract":"This paper investigates whether price spillovers across metropolitan areas were an important factor in the spreading of the last housing boom. We estimate the magnitude of those spillovers by measuring price changes in a focal market following positive shocks to neighboring markets. To identify shocks to neighboring markets, we exploit sharp structural breaks in house price growth rates. There is strong evidence of spillovers following such shocks. These effects arise mostly from very close neighbors and imply an elasticity of focal market price changes to nearest neighbor price changes of 0.15-0.33. Changes in local fundamentals cannot explain these spillovers.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"345 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133757833","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: 43
首页 上一页 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