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Individual and Aggregate Labor Supply in Heterogeneous Agent Economies with Intensive and Extensive Margins 具有集约边际和外延边际的异质代理经济中的个人和总劳动供给
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-09-01 DOI: 10.3386/W24985
Yongsung Chang, Sun-Bin Kim, Kyooho Kwon, Richard Rogerson
{"title":"Individual and Aggregate Labor Supply in Heterogeneous Agent Economies with Intensive and Extensive Margins","authors":"Yongsung Chang, Sun-Bin Kim, Kyooho Kwon, Richard Rogerson","doi":"10.3386/W24985","DOIUrl":"https://doi.org/10.3386/W24985","url":null,"abstract":"We develop a heterogeneous-agent general equilibrium model that incorporates both intensive and extensive margins of labor supply. A nonconvexity in the mapping between time devoted to work and labor services distinguishes between extensive and intensive margins. We consider calibrated versions of this model that di er in the value of a key preference parameter for labor supply and the extent of heterogeneity. The model is able to capture the key features of the empirical hours worked distribution, including how individuals transit within this distribution. We then study how the various speci cations in uence labor supply responses to temporary shocks and permanent tax changes, with a particular focus on the intensive and extensive margin elasticities in response to these changes. We nd important interactions between heterogeneity and the extent of curvature in preferences.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126849176","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: 25
Stock Markets, Banks and Economic Growth in the UK, 1850-1913 英国股票市场、银行和经济增长，1850-1913
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-04-29 DOI: 10.2139/ssrn.3170680
W. Jansson
{"title":"Stock Markets, Banks and Economic Growth in the UK, 1850-1913","authors":"W. Jansson","doi":"10.2139/ssrn.3170680","DOIUrl":"https://doi.org/10.2139/ssrn.3170680","url":null,"abstract":"This paper shows that neither the stock markets or commercial banks had a significant impact on the UK's economic growth from 1850 to 1913. These results are based on a new dataset on paid-in capital of securities listed on the UK's stock exchanges, which is analysed using a vector autoregression with time-varying parameters. Econometric results also indicate that the growth of the banking sector and the capital markets was, to a significant extent, driven by factors other than domestic economic growth.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"165 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121824134","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
Machine Learning for Continuous-Time Economics 连续时间经济学的机器学习
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-04-26 DOI: 10.2139/ssrn.3012602
V. Duarte
{"title":"Machine Learning for Continuous-Time Economics","authors":"V. Duarte","doi":"10.2139/ssrn.3012602","DOIUrl":"https://doi.org/10.2139/ssrn.3012602","url":null,"abstract":"This paper proposes a global algorithm to solve a large class of nonlinear continuous-time models in finance and economics. Using tools from machine learning, I recast problem of solving the corresponding nonlinear partial differential equations as a sequence of supervised learning problems. To illustrate the scope of the method, I solve nontrivial benchmark models and compare the numerical solution with the analytical ones. Furthermore, I propose a setting to test and evaluate solution methods. In the context of a neoclassical growth model, given any value function, the productivity function is reverse engineered so that the Hamilton-Jacobi-Bellman equation corresponding to the optimization problem is identically zero. This provides a testing ground for solution methods and an objective way of comparing them. Results indicate that the method is accurate and can handle nonlinear models with as many as 10 dimensions. Finally, I provide an open source library that implements the proposed algorithm.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134215149","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: 24
Shiller's CAPE: Market Efficiency and Risk 席勒CAPE:市场效率与风险
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-04-10 DOI: 10.2139/ssrn.2876644
V. Dimitrov, Prem C. Jain
{"title":"Shiller's CAPE: Market Efficiency and Risk","authors":"V. Dimitrov, Prem C. Jain","doi":"10.2139/ssrn.2876644","DOIUrl":"https://doi.org/10.2139/ssrn.2876644","url":null,"abstract":"Robert Shiller shows that Cyclically Adjusted Price to Earnings Ratio (CAPE) is strongly associated with future long-term stock returns. This result has often been interpreted as evidence of market inefficiency. We present two findings that are contrary to such an interpretation. First, if markets are efficient, returns on average, even when conditional on CAPE, should be higher than the risk-free rate. We find that even when CAPE is in its ninth decile, future 10-year stock returns, on average, are higher than future returns on 10-year Treasurys. Thus, the results are largely consistent with market efficiency. Only when CAPE is very high, say, CAPE is in the upper half of the tenth decile (CAPE higher than 27.6), future 10-year stock returns, on average, are lower than those on 10-year U.S. Treasurys. Second, we provide a risk-based explanation for the association between CAPE and future stock returns. We find that CAPE and future stock returns are positively associated with future stock market volatility. Overall, CAPE levels do not seem to reflect market inefficiency and do reflect risk (volatility).","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114178138","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
Regulatory Cycles: A Political Economy Model 监管周期:一个政治经济学模型
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-03-07 DOI: 10.2139/ssrn.3136027
Pooya Almasi, Jihad Dagher, Carlo G. Prato
{"title":"Regulatory Cycles: A Political Economy Model","authors":"Pooya Almasi, Jihad Dagher, Carlo G. Prato","doi":"10.2139/ssrn.3136027","DOIUrl":"https://doi.org/10.2139/ssrn.3136027","url":null,"abstract":"Financial regulatory policy in the U.S. has been conspicuously pro-cyclical over the last two decades. The 2000s financial boom coincided with a period of financial deregulation and the post-crisis response, a massive scaling up of regulation, was largely implemented during an economic downturn. Many argued that these regulatory waves were excessive. More recently, there are strong signs of a move toward deregulation, at a time of a booming economy and stock market. A closer look at historical financial boom-bust cycles suggests that, in fact, pro-cyclicality in financial regulation is a common and recurring pattern. This paper combines a signaling model of elections with a simple financial regulation model to study how public opinion, financial innovation, and policy-makers incentives shape financial regulation. While changes in voters' perceptions of financial innovation alone can generate a pro-cyclical pattern, we show that this cyclicality can be significantly amplified by politicians' electoral incentives: Both over-regulation and under-regulation can naturally arise in equilibrium, and small changes in public opinion can induce large regulatory shifts.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"173 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114392538","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
Business Cycles in Economics 经济学中的商业周期
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-03-05 DOI: 10.2139/ssrn.3134655
Viktor O. Ledenyov, D. Ledenyov
{"title":"Business Cycles in Economics","authors":"Viktor O. Ledenyov, D. Ledenyov","doi":"10.2139/ssrn.3134655","DOIUrl":"https://doi.org/10.2139/ssrn.3134655","url":null,"abstract":"The business cycles are generated by the oscillating macro-/micro-/nano- economic output variables in the economy of the scale and the scope in the amplitude/frequency/phase/time domains in the economics. The accurate forward looking assumptions on the business cycles oscillation dynamics can optimize the financial capital investing and/or borrowing by the economic agents in the capital markets. The book's main objective is to study the business cycles in the economy of the scale and the scope, formulating the Ledenyov unified business cycles theory in the Ledenyov classic and quantum econodynamics.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115265612","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
Income Distribution, Household Debt, and Aggregate Demand: A Critical Assessment 收入分配、家庭债务和总需求:一个关键的评估
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-03-01 DOI: 10.2139/ssrn.3137118
J. Mason
{"title":"Income Distribution, Household Debt, and Aggregate Demand: A Critical Assessment","authors":"J. Mason","doi":"10.2139/ssrn.3137118","DOIUrl":"https://doi.org/10.2139/ssrn.3137118","url":null,"abstract":"During the period leading up to the recession of 2007-08, there was a large increase in household debt relative to income, a large increase in measured consumption as a fraction of GDP, and a shift toward more unequal income distribution. It is sometimes claimed that these three developments were closely linked. In these stories, the rise in household debt is largely due to increased borrowing by lower-income households who sought to maintain rising consumption in the face of stagnant incomes; this increased consumption in turn played an important role in maintaining aggregate demand. In this paper, I ask if this story is consistent with the empirical evidence. In particular, I ask five questions: How much household borrowing finances consumption spending? How much has monetary consumption spending by households increased? How much of the rise in household debt-income ratios is attributable to increased borrowing? How is household debt distributed by income? And how has the distribution of consumption spending changed relative to the distribution of income? I conclude that the distribution-debt-demand story may have some validity if limited to the housing boom period of 2002-07, but does not fit the longer-term rise in household debt since 1980.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114919836","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: 11
Transactions between Agents and Business Cycle Model 代理之间的事务和商业周期模型
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-01-09 DOI: 10.2139/ssrn.3098707
Victor Olkhov
{"title":"Transactions between Agents and Business Cycle Model","authors":"Victor Olkhov","doi":"10.2139/ssrn.3098707","DOIUrl":"https://doi.org/10.2139/ssrn.3098707","url":null,"abstract":"This paper presents business cycle model that is not based on assumptions of general equilibrium framework. We describe economic transactions between agents and assessment of agents risk as ground and tools for business cycle modeling. We treat agents risk ratings x as their coordinates x on economic space. Aggregates of agents variables with risk ratings x determine extensive macro variables as functions of x. Economic and financial transactions between agents with risk ratings x and y determine macro transactions as functions of x and y and define evolution of macro variables at points x and y. We describe evolution and interactions between different macro transactions by system of economic equations. We show that business cycles are described as consequence of the system of economic equations on macro transactions. As example we present simple model interactions between two macro transactions. We describe Credit transactions CL(t,x,y) that provide Loans from Creditors at point x to Borrowers at point y and Loan-Repayment transactions LR(t,x,y) that describe repayments from Borrowers at point y to Creditors at point x. We describe these macro transactions by the system of economic equations and derive from them the system of ordinary differential equations that describe business cycle fluctuations and growth of macro Credits C(t) and macro Loan-Repayments LR(t) of the entire economics at moment t. Our model can describe business cycle fluctuations and growth for any number of extensive macroeconomic and financial variables.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"94 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114824722","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
Revealing Downturns 揭示衰退
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-01-01 DOI: 10.2139/ssrn.2176600
Martin C. Schmalz, Sergey Zhuk
{"title":"Revealing Downturns","authors":"Martin C. Schmalz, Sergey Zhuk","doi":"10.2139/ssrn.2176600","DOIUrl":"https://doi.org/10.2139/ssrn.2176600","url":null,"abstract":"When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. The reason is that, in good times, less desirable assets with low average cash flows and high loading on market risk perform similar to more desirable assets with high average cash flows and low market risk, rendering them difficult to distinguish. However, their relative fundamental performance diverges in downturns, enabling better inference. Consistent with these predictions, stocks' reaction to earnings news is up to 70% stronger in downturns than in upturns. Appendix is available at: <a href='https://ssrn.com/abstract=2996366'>https://ssrn.com/abstract=2996366</a>","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125786350","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
Distrust and Political Turnover During Economic Crises 经济危机期间的不信任和政治更替
ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2018-01-01 DOI: 10.3386/W24187
Nathan Nunn, Nancy Qian, Jaya Y. Wen
{"title":"Distrust and Political Turnover During Economic Crises","authors":"Nathan Nunn, Nancy Qian, Jaya Y. Wen","doi":"10.3386/W24187","DOIUrl":"https://doi.org/10.3386/W24187","url":null,"abstract":"We present findings that document one way in which a society's culture can affect political outcomes. Examining an annual panel of democratic countries over six decades, we show that severe economic downturns are more likely to cause political turnover in countries that have lower levels of generalized trust. The relationship is only found among democracies and for regular leader turnover, which suggests that the underlying mechanism works through leader accountability and the electoral process. Moreover, we find that the effects of trust on turnover are greatest during years with regularly-scheduled elections, and within democracies with a parliamentary system, a fully free media, and greater stability. The estimates suggest that generalized trust affects political institutions by influencing the extent to which citizens attribute economic downturns to the mistakes of politicians.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126083548","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
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