ERN: Business Fluctuations; Cycles (Topic)最新文献_第8页

Price Setting and Volatility: Evidence from Oil Price Volatility Shocks 价格设定与波动:来自油价波动冲击的证据

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-11-25 DOI: 10.2139/ssrn.3077296

Matthew Klepacz

{"title":"Price Setting and Volatility: Evidence from Oil Price Volatility Shocks","authors":"Matthew Klepacz","doi":"10.2139/ssrn.3077296","DOIUrl":"https://doi.org/10.2139/ssrn.3077296","url":null,"abstract":"How do changes in aggregate volatility alter the impulse response of output to monetary policy? To analyze this question, I study whether individual prices in Producer Price Index micro data are more likely to change and to move in the same direction when aggregate volatility is high, which would increase aggregate price exibility and reduce the effectiveness of monetary policy. Taking advantage of plausibly exogenous oil price volatility shocks and heterogeneity in oil usage across industries, I find that price changes are more dispersed and less frequent, implying that prices are less likely to move in the same direction when aggregate volatility is high. This contrasts with findings in the literature about idiosyncratic volatility. I use a state-dependent pricing model to interpret my findings. Random menu costs are necessary for the model to match the positive empirical relationship between oil price volatility and price change dispersion. This is the case because random menu costs reduce the extent to which firms with prices far from their optimum all act in a coordinated fashion when volatility increases. The model implies that increases in aggregate volatility do not substantially reduce the ability of monetary policy to stimulate output.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116870194","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

Currency Depreciation and Emerging Market Corporate Distress 货币贬值与新兴市场企业困境

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-11-19 DOI: 10.2139/ssrn.2883488

Valentina Bruno, H. Shin

引用次数: 42

Can Firms See into the Future? Survey Evidence from Germany 公司能预见未来吗?来自德国的调查证据

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-11-03 DOI: 10.2139/ssrn.3071576

Baptiste Massenot, Y. Pettinicchi

{"title":"Can Firms See into the Future? Survey Evidence from Germany","authors":"Baptiste Massenot, Y. Pettinicchi","doi":"10.2139/ssrn.3071576","DOIUrl":"https://doi.org/10.2139/ssrn.3071576","url":null,"abstract":"This paper presents new evidence on the expectation formation process of firms from a survey of the German manufacturing sector. First, firms become too optimistic after their business has improved, consistent with the over-extrapolation of their experience. Second, firms extrapolate improvements in their business more than deteriorations. Third, firms are more optimistic (pessimistic) than usual during business cycle peaks (troughs), suggesting that they do not anticipate reversals. Fourth, the German reunification provided a positive exogenous shock to the business of West German products. The industries most positively affected by the shock initially over-extrapolated the past downward trend just as much as the less affected industries, and thus failed to anticipate the reversal. Fifth, more overoptimistic firms subsequently report larger inventories and lower profits, suggesting that expectation errors entail (opportunity) costs. Sixth, older and larger firms show a smaller extrapolation bias, indicating that time and resources can alleviate the extrapolation bias. Seventh, firms that expect their business to improve tend to also expect their prices to increase, suggesting that firms mostly try to forecast demand shocks as opposed to supply shocks. Overall, these observations suggest that firms have a limited ability to anticipate changes in their activity and extrapolate their experience too much.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115564292","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: 39

Mom and Dad We're Broke, Can You Help? A Comparative Study of Financial Transfers within Families Before and after the Great Recession 爸爸妈妈我们破产了，你能帮忙吗?经济大衰退前后家庭内部资金转移的比较研究

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-11-01 DOI: 10.2139/ssrn.3074708

Mary K. Hamman, D. Hochfellner, Pia Homrighausen

引用次数: 2

What Drives House Building: The Collateral Effect with Evidence from China 是什么推动了房屋建设:来自中国的证据的附带效应

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-10-26 DOI: 10.2139/ssrn.2916670

Chao Jin

引用次数: 1

Happiness Convergence in Transition Countries 转型国家的幸福趋同

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-09-27 DOI: 10.2139/ssrn.3044935

S. Guriev, N. Melnikov

{"title":"Happiness Convergence in Transition Countries","authors":"S. Guriev, N. Melnikov","doi":"10.2139/ssrn.3044935","DOIUrl":"https://doi.org/10.2139/ssrn.3044935","url":null,"abstract":"The “transition happiness gap” has been one of the most robust findings in the literature on life satisfaction. Until very recently, scholars using various datasets have shown that residents of post-communist countries were significantly less satisfied with their lives than their counterparts in non-transition countries (controlling for income and other socio-economic characteristics). The literature has explained this finding by the great macroeconomic instability of the 1990s, by a substantial decrease in the quality and accessibility of public goods, by the major increase in inequality, and by the rapid depreciation of pre-transition human capital. All these factors were expected to subside over time – at least after the post-Great-Recession recovery. In this paper, we consider two most recent datasets – the third wave of the Life in Transition Survey (administered in 2015–16) and the 2010–2016 waves of the annual Gallup World Poll. We find that by 2016 the transition happiness gap had closed. This convergence has taken place both due to a “happiness recovery” in post-communist countries after the Great Recession and due to a decrease in life satisfaction in comparator countries in recent years. We also find that the convergence in life satisfaction was primarily driven by middle-income young, educated individuals, regardless of gender.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126686044","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: 42

Natural Rates Across the Atlantic 大西洋两岸的自然费率

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-09-27 DOI: 10.2139/ssrn.3051193

A. Gerali, S. Neri

引用次数: 174

Beauties of the Emperor: An Investigation of a Chinese Government Bailout 《皇帝的美人:对中国政府救助的调查》

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-08-16 DOI: 10.2139/ssrn.3020423

Yeguang Chi, Xiaoming Li

引用次数: 11

Investor Sentiment, Stock Markets and Macroeconomic Fluctuation: An Empirical Evidence from US 投资者情绪、股市与宏观经济波动:来自美国的经验证据

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-08-16 DOI: 10.2139/ssrn.3020117

M. Shaiban, D. Li, A. Hasanov

{"title":"Investor Sentiment, Stock Markets and Macroeconomic Fluctuation: An Empirical Evidence from US","authors":"M. Shaiban, D. Li, A. Hasanov","doi":"10.2139/ssrn.3020117","DOIUrl":"https://doi.org/10.2139/ssrn.3020117","url":null,"abstract":"Recent literature theoretically assumes that exuberant Investors’ sentiments increase the price of capital, signals strong fundamentals of the real side of the economy and drive asymmetric nonlinear asset prices. This study offers empirical insights into the interaction between investor sentiment, financial market, and macroeconomic fluctuation. The objective is achieved by Yamamoto causality test, generalized impulse response function, and variance decomposition, which confirms robust results in multiple perspectives. We employ two indicators for investor sentiment, three stock market indices and seven macroeconomic variables covering the period January 1992 to September 2015. Our results suggest strong evidence on the negative causality from Baker and Wurgler (2006)’s sentiment measures to NASDAQ, and show short run bi-directional influence between VIX and financial market. Vis-à-vis to the spillover effect from financial market to real economic activities, our findings further indicate an observable impact on financial markets on production indicators, such as industrial production and capacity utilization. Overall, our study empirically supports the conceptual work of Benhabib et al. (2016) and validates the impact of sentiment shocks on the real sector and business prices over the business cycle.","PeriodicalId":291048,"journal":{"name":"ERN: Business Fluctuations; Cycles (Topic)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116053617","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

Aggregate Sentiment and Investment: An Experimental Study 总体情绪与投资:一个实验研究

ERN: Business Fluctuations; Cycles (Topic) Pub Date : 2017-08-04 DOI: 10.2139/ssrn.3008722

D. Darai, Shimon Kogan, A. Kwasnica, Roberto A. Weber

引用次数: 1