ERN: Business Cycles (Topic)最新文献_第3页

Quantitative Decryption of the Market Environment - Part 1: The Macroeconomic Cycle 市场环境的定量解密-第一部分:宏观经济周期

ERN: Business Cycles (Topic) Pub Date : 2017-06-01 DOI: 10.2139/ssrn.2981702

Guillaume Monarcha, Yoann Le Ny

{"title":"Quantitative Decryption of the Market Environment - Part 1: The Macroeconomic Cycle","authors":"Guillaume Monarcha, Yoann Le Ny","doi":"10.2139/ssrn.2981702","DOIUrl":"https://doi.org/10.2139/ssrn.2981702","url":null,"abstract":"In this paper – the first of a series dedicated to the quantitative assessment of the market environment – we present a set of quantitative indicators dedicated to the “real-time” assessment of the economic cycle. We define two types of indicators. \u0000- The Macroeconomic Cycle Indices (MCI) are designed to assess the economic cycle, independently from GDP growth. \u0000- The Macroeconomic Dynamics Indices (MDI) are designed to assess the dynamics of the macroeconomic cycle (accelerating, decelerating, steady), independently from its level. \u0000Our indicators show significant ability to forecast GDP growth, and to detect transitions in the phases of the economic cycle (especially into recession periods). Furthermore, they convey several advantages: \u0000- Their interpretation is straightforward, as their sign deliver an explicit information (positive vs. negative cycle, acceleration vs. deceleration), which is not the case of most competing indicators. \u0000- The combination of our indicators allows to identify the various phases of the economic cycle, and their transitions, especially the switch into “recession” phases or into “recovery” phases. \u0000- Our indicators are based on 8 clusters identified as being common to the main developed countries, allowing (i) to observe the evolution of the DNA of economic cycles, (ii) a homogeneous reading of the worldwide cycles, and (iii) simple aggregation. \u0000Through simple examples, we show the relevance of their application in the field of asset allocation.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133635322","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

Down in the Slumps: The Role of Credit in Five Decades of Recessions 衰退中的衰退:信贷在50年经济衰退中的作用

ERN: Business Cycles (Topic) Pub Date : 2017-04-21 DOI: 10.2139/ssrn.2957700

Jonathan Bridges, Christopher Jackson, Daisy McGregor

引用次数: 18

Austrian Business Cycle Theory and Sticky Consumption: Reconciling Hayek, Mises, and Schumpeter 奥地利经济周期理论与粘性消费:调和哈耶克、米塞斯和熊彼特

ERN: Business Cycles (Topic) Pub Date : 2017-01-31 DOI: 10.2139/ssrn.2909141

N. Curott, J. McClure, D. Thomas

引用次数: 1

Regional Business Cycles Across Europe 欧洲区域经济周期

ERN: Business Cycles (Topic) Pub Date : 2017-01-16 DOI: 10.2139/ssrn.2900138

Eduardo Bandrés, Maria Dolores Gadea Rivas, Ana Gómez-Loscos

{"title":"Regional Business Cycles Across Europe","authors":"Eduardo Bandrés, Maria Dolores Gadea Rivas, Ana Gómez-Loscos","doi":"10.2139/ssrn.2900138","DOIUrl":"https://doi.org/10.2139/ssrn.2900138","url":null,"abstract":"Large contractionary shocks such as the Great Recession or the sovereign debt crisis in Europe have rekindled interest in analyzing the overall patterns of business cycles. We study these patterns for Europe both at the national and the regional level. We first examine business cycles’ comovements and then, using Finite Mixture Markov Models, we obtain a dating of the different business cycles and identify clusters among them. We also propose an index to analyze within-country homogeneity. Our main findings are the following: (i) we find evidence of just one cluster amongst the European countries while, at the regional level, there is more heterogeneity and we identify five different groups of European regions; (ii) the groups are characterized as follows: the first contains most of the Greek regions; groups two and three include, in most cases, regions from Germany (plus a couple of regions from southern European countries in group two and some regions of the core countries in group three); group four is populated mainly by regions belonging to northern European countries; and group five is the largest and is composed of the rest of European regions; (iii) we notice that the degree of homogeneity of regional business cycles within countries is quite different; (iv) we also observe that spatial correlation increased during the convergence process towards the introduction of the euro and has taken a big leap with the Great Recession, both at country and regional level. In fact, comovements among regions have mainly increased during the last decade. These results have important implications for policymakers in the design of convergence policies at the European level and also in the design of fiscal policies to reduce regional disparities at the country level.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126735610","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: 18

Impact of Terms-of-Trade on Business Cycles of Slovakia, Czech Republic and Croatia 贸易条件对斯洛伐克、捷克共和国和克罗地亚经济周期的影响

ERN: Business Cycles (Topic) Pub Date : 2016-09-08 DOI: 10.2139/ssrn.3282311

Karol Szomolányi, Martin Lukáčik, Adriana Lukacikova

{"title":"Impact of Terms-of-Trade on Business Cycles of Slovakia, Czech Republic and Croatia","authors":"Karol Szomolányi, Martin Lukáčik, Adriana Lukacikova","doi":"10.2139/ssrn.3282311","DOIUrl":"https://doi.org/10.2139/ssrn.3282311","url":null,"abstract":"Different theoretical and empirical studies lead to the different results. Different theories suggest a positive as well as a negative relation between the terms-of-trade and trade balance. The traditional Keynesian Harberger-Laursen-Metzler effect of the terms-of-trade on the trade balance is positive. According to the Obsfeld-Svensson-Razin effect the positive relation between the terms-of-trade and trade balance is the smaller, the higher a persistence of the terms-of-trade shocks is. The empirical studies do not support statistically significant impact of the terms-of-trade on the output in the developing countries. The goal of the paper is to verify an impact of the terms-of-trade on the Slovak Czech and Croatian business cycles and trade balances. Using the structural vector auto-regression analysis of the terms-of-trade, trade balance, output, consumption and investment cyclical components, we show that the relationship between the terms-of-trade and trade-balance is negative in the Slovak and Czech economy. The relationship between the terms-of-trade and trade-balance is statistically insignificant in the Croatian economy. Terms-of-trade shocks explain only small fraction of business cycles in the Slovak, Czech and Croatian economies. Data exhibit Obstfeld-Svensson-Razin effect of the terms-of-trade on the trade balance.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116941614","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

RBC Methodology and the Development of Aggregate Economic Theory RBC方法论与总量经济理论的发展

ERN: Business Cycles (Topic) Pub Date : 2016-07-01 DOI: 10.1016/bs.hesmac.2016.03.001

E. Prescott

引用次数: 7

From Sunspots to Black Holes: Singular Dynamics in Macroeconomic Models 从太阳黑子到黑洞:宏观经济模型中的奇异动力学

ERN: Business Cycles (Topic) Pub Date : 2016-06-30 DOI: 10.2139/ssrn.2853648

P. Brito, Luís F. Costa, Huw Dixon

引用次数: 6

Jobless Recoveries: Stagnation or Structural Change? 失业型复苏:停滞还是结构性变化?

ERN: Business Cycles (Topic) Pub Date : 2016-06-09 DOI: 10.1111/ecin.12535

J. Burger, Jeremy Schwartz

{"title":"Jobless Recoveries: Stagnation or Structural Change?","authors":"J. Burger, Jeremy Schwartz","doi":"10.1111/ecin.12535","DOIUrl":"https://doi.org/10.1111/ecin.12535","url":null,"abstract":"Within the existing literature on jobless recoveries a bit of a puzzle is emerging. On the one hand there is evidence of dynamic structural change including off-shoring/globalization and skill-biased technological advances. Other studies emphasize a less dynamic economy with slower growth, reduced labor market fluidity, a decline in startup activity, and even secular stagnation. This study exploits variation among US states to assess the degree that economic stagnation and/or important structural changes in the economy contribute to the recent phenomenon of jobless recoveries. We find empirical evidence to support both the stagnation and structural change theories of jobless recoveries. On the stagnation side, we find evidence that weak macroeconomic conditions are significant predictors of jobless recoveries. But even after controlling for the vigor of an economic recovery at the state and national level, we find strong evidence that links jobless recoveries to job polarization. Our results therefore suggest that structural change in labor demand is likely causing jobs in the middle of the skill distribution to be disproportionately slashed during recessions, and to the extent that these jobs are being automated, firms have less of a need to rehire during the expansion yielding a jobless recovery.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"179 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134136680","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

Unemployment and Credit Risk 失业与信用风险

ERN: Business Cycles (Topic) Pub Date : 2016-05-01 DOI: 10.2139/ssrn.2788409

Hang Bai

引用次数: 16

Endogenous Procyclicality of Labor Productivity, Employment, Real Wages and Effort in Conditionally Heteroskedastic Sunspots Unemployment Business Cycles With Negishi-Solow Efficiency Wages 有条件异方差太阳黑子失业经济周期中劳动生产率、就业、实际工资和努力的内生顺周期性

ERN: Business Cycles (Topic) Pub Date : 2016-04-02 DOI: 10.2139/ssrn.2764048

Jean-Michel Grandmont

{"title":"Endogenous Procyclicality of Labor Productivity, Employment, Real Wages and Effort in Conditionally Heteroskedastic Sunspots Unemployment Business Cycles With Negishi-Solow Efficiency Wages","authors":"Jean-Michel Grandmont","doi":"10.2139/ssrn.2764048","DOIUrl":"https://doi.org/10.2139/ssrn.2764048","url":null,"abstract":"This work introduces a new mechanism that is able to generate procyclical comovements of aggregate labor productivity, employment and real wages, through endogenous variations of workers' effort, in a simple model involving structural unemployment, efficiency wages, financial market imperfections and expectations driven conditionally heteroskedastic sunspots business cycles, near a locally indeterminate steady state. Owing to imperfect effort monitoring, workers' effort level equates their disutility of effort to their expected utility gain of not shirking, in terms of their earned real income, and of the resulting anticipated random consumption. A positive current (consumption) sunspot shock generates a countercyclical uncertainty shock, i.e. a drecrease of the anticipated sunspot volatility, and makes risk averse workers more willing to provide \"precautionary effort\" by increasing their expected utility gain of not shirking. If workers' relative prudence is small and decreasing fast near the steady state, profit maximizing firms' choice of effciency wage contracts generates significant endogenous procyclical variations of effort and employment, in particular when the capital-efficient labor elasticity of substitution is smaller than 1.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"138 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132439826","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