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Animal Spirits and the International Transmission of Business Cycles 动物精神与商业周期的国际传播
ERN: Business Cycles (Topic) Pub Date : 2016-03-17 DOI: 10.2139/ssrn.2764806
Paul De Grauwe, Yuemei Ji
{"title":"Animal Spirits and the International Transmission of Business Cycles","authors":"Paul De Grauwe, Yuemei Ji","doi":"10.2139/ssrn.2764806","DOIUrl":"https://doi.org/10.2139/ssrn.2764806","url":null,"abstract":"It is well-known that the high synchronization of the business cycles among industrial countries cannot easily be replicated in standard open economy macroeconomic models without assuming that the exogenous shocks hitting these countries are highly correlated. We develop a two-country behavioral macroeconomic model where the synchronization of the business cycle is produced endogenously. The main channel of synchronization occurs through a propagation of “animal spirits”, i.e. waves of optimism and pessimism that become correlated internationally. We find that this propagation occurs with relatively low levels of trade integration. We also study the transmission of demand and supply shocks from one country to the other and find that the size of this transmission also depends on animal spirits. As a result, the size of the transmission depends on the timing of the shock.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115476655","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
Self-Falsifying Prophecies Self-Falsifying预言
ERN: Business Cycles (Topic) Pub Date : 2016-02-27 DOI: 10.2139/ssrn.2744379
Rajiv Sethi
{"title":"Self-Falsifying Prophecies","authors":"Rajiv Sethi","doi":"10.2139/ssrn.2744379","DOIUrl":"https://doi.org/10.2139/ssrn.2744379","url":null,"abstract":"Those general perceptions of the macroeconomic environment that are specifically related to the stability properties of the system may be referred to as regime perceptions. Such perceptions affect economic behavior, and hence determine actual levels of volatility or regime realizations. A fixed point of this mapping from perceptions to realizations is a level of perceived volatility that is self-fulfilling. Using a simple nonlinear business cycle model to illustrate, it is shown that there may exist no such fixed point, in which case all regime perceptions are self-falsifying. This happens because volatility need not vary continuously with the underlying parameters of the model.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116445806","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
SOE and Chinese Real Business Cycle 国企与中国实际经济周期
ERN: Business Cycles (Topic) Pub Date : 2016-02-05 DOI: 10.2139/ssrn.2728171
Daoju Peng, K. Shi, Juanyi Xu
{"title":"SOE and Chinese Real Business Cycle","authors":"Daoju Peng, K. Shi, Juanyi Xu","doi":"10.2139/ssrn.2728171","DOIUrl":"https://doi.org/10.2139/ssrn.2728171","url":null,"abstract":"Chinese real business cycle (RBC) exhibits a unique pattern, which is characterized by moderate consumption volatility, substantially low investment volatility, and acyclical trade balance. These features are quite different from business cycles in other emerging markets and cannot be explained by existing emerging market RBC theories. Motivated by the facts that China undertook dramatic and persistent reform on state-owned enterprises (SOE) in the last 30 years, we construct a full-fledged general equilibrium model with SOE sector and show that the model does a fairly good job in accounting for the above features. The two main driving forces are: (1) shock to the share of downstream SOE in manufacturing sectors and (2) shock to upstream SOE's monopolistic position. These two shocks can explain 85 percent of output volatility, 79 percent of consumption volatility, 72 percent of investment volatility, and 57 percent of the volatility of trade balance-to-output ratio. Relatively speaking, standard shocks such as permanent productivity shock, credit shocks, country risk premium shocks, and preference shocks are less important in explaining Chinese economic fluctuations. Our results show that Chinese RBC may be affected substantially by domestic policies.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127159722","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
The Business Cycles Implications of Fluctuating Long Run Expectations 波动的长期预期的商业周期含义
ERN: Business Cycles (Topic) Pub Date : 2016-01-22 DOI: 10.2139/ssrn.2720294
D. Tortorice
{"title":"The Business Cycles Implications of Fluctuating Long Run Expectations","authors":"D. Tortorice","doi":"10.2139/ssrn.2720294","DOIUrl":"https://doi.org/10.2139/ssrn.2720294","url":null,"abstract":"I consider a real-business cycle, DSGE model where consumption is a function of the present discounted value of wage and capital income. The agent is uncertain if these income variables are stationary or non-stationary and puts positive probability on both representations. The agent uses Bayesian learning to update his probability weights on each model and these weights vary over time according to how well each model fits the data. The model exhibits an improved fit to the data relative to the rational expectations benchmark. The model requires half the level of exogenous shocks to match the volatility of output and still matches the relative volatilities of key business cycle variables. The model lowers the contemporaneous correlation of consumption and wages with output and generates positive auto-correlation in model growth rates. Impulse responses exhibit persistent responses and consistent with survey evidence forecast errors are positively serially correlated. Finally, in contrast to the existing literature, the model endogenously generates observed time varying volatility and long run predictability of business cycle variables, especially for investment.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129660821","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
Fragility of Purely Real Macroeconomic Models 纯真实宏观经济模型的脆弱性
ERN: Business Cycles (Topic) Pub Date : 2016-01-01 DOI: 10.3386/w21866
N. Kocherlakota
{"title":"Fragility of Purely Real Macroeconomic Models","authors":"N. Kocherlakota","doi":"10.3386/w21866","DOIUrl":"https://doi.org/10.3386/w21866","url":null,"abstract":"Over the past thirty years, a great deal of business cycle research has been based on purely real models that abstract from the presence of nominal rigidities, and so (at least implicitly) assume that the Phillips curve is vertical. In this paper, I show that such models are fragile, in the sense that their implications change significantly when the Phillips curve is even slightly less than vertical. I consider a wide class of purely real macroeconomic models and perturb them by introducing a non-vertical Phillips curve. I show that in the perturbed models, if there is a lower bound on the nominal interest rate, then current outcomes necessarily depend on agents' beliefs about the long-run level of economic activity. The magnitude of this dependence becomes arbitrarily large as the slope of the Phillips curve becomes arbitrarily large in absolute value (closer to vertical). In contrast, the limiting purely real model ignores this form of monetary non-neutrality and macroeconomic instability. I conclude that purely real models are too incomplete to provide useful guides to questions about business cycles. I describe what elements should be added to such models in order to make them useful.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128213248","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: 21
Is There Such a Thing as a Skyscraper Curse 摩天大楼诅咒真的存在吗
ERN: Business Cycles (Topic) Pub Date : 2015-10-26 DOI: 10.2139/ssrn.2680338
Elizabeth Boyle, Lucas M. Engelhardt, M. Thornton
{"title":"Is There Such a Thing as a Skyscraper Curse","authors":"Elizabeth Boyle, Lucas M. Engelhardt, M. Thornton","doi":"10.2139/ssrn.2680338","DOIUrl":"https://doi.org/10.2139/ssrn.2680338","url":null,"abstract":"There is an emerging literature on the subject of skyscrapers and business cycles. Lawrence (1999) first noticed the correlation between important changes in the economy and the building of record-breaking skyscrapers. Thornton (2005) established a theoretical link between the two phenomena. Several papers have subsequently examined the impact of skyscraper building on the economy and in particular on the role of psychological factors on the building of record-breaking skyscrapers. Not surprisingly, most people scoff at this notion and Barr et al (2015) presents extensive empirical evidence that skyscrapers do not cause changes in GDP, but precisely the opposite. Here we show what the skyscraper curse actually is and show that the entire empirical literature on this subject supports the existence of a skyscraper curse, including most of Barr et al. (2015).","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133167841","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
Do Banks Pass Through Credit Expansions to Consumers Who Want To Borrow? 银行会把信贷扩张传递给想借钱的消费者吗?
ERN: Business Cycles (Topic) Pub Date : 2015-09-01 DOI: 10.2139/ssrn.2617116
Sumit Agarwal, S. Chomsisengphet, Neale Mahoney, J. Stroebel
{"title":"Do Banks Pass Through Credit Expansions to Consumers Who Want To Borrow?","authors":"Sumit Agarwal, S. Chomsisengphet, Neale Mahoney, J. Stroebel","doi":"10.2139/ssrn.2617116","DOIUrl":"https://doi.org/10.2139/ssrn.2617116","url":null,"abstract":"We examine the ability of policymakers to stimulate household spending during the Great Recession by reducing banks’ cost of funds. Using panel data on 8.5 million credit cards and 743 credit limit regression discontinuities, we find that the one-year marginal propensity to borrow (MPB) is declining in credit score, falling from 59% for consumers with FICO scores below 660 to essentially zero for consumers with FICO scores above 740. We use the same credit limit discontinuities, combined with a model of lending, to estimate banks’ marginal propensity to lend (MPL) out of a decrease in their cost of funds. For the lowest FICO score consumers, higher credit limits sharply reduce profits from lending, limiting banks’ incentives to pass through credit expansions to these consumers. We conclude that banks’ MPL is lowest for consumers with the highest MPB and discuss the implications for policies that aim to stimulate the economy through banks.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114915498","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: 155
Realized Bank Risk during the Great Recession 大衰退期间已实现的银行风险
ERN: Business Cycles (Topic) Pub Date : 2015-08-04 DOI: 10.2139/ssrn.2656206
Yener Altunbaş, S. Manganelli, David Marqués-Ibáñez
{"title":"Realized Bank Risk during the Great Recession","authors":"Yener Altunbaş, S. Manganelli, David Marqués-Ibáñez","doi":"10.2139/ssrn.2656206","DOIUrl":"https://doi.org/10.2139/ssrn.2656206","url":null,"abstract":"In the years preceding the 2007-2009 financial crisis, forward-looking indicators of bank risk concentrated and suggested unusually low expectations of bank default. We assess whether the ex-ante (i.e. prior to the crisis) cross-sectional variability in bank characteristics is related to the ex-post (i.e. during the crisis) materialization of bank risk. Our tailor-made dataset crucially accounts for the different dimensions of realized bank risk including access to central bank liquidity during the crisis. We consistently find that less reliance on deposit funding, more aggressive credit growth, larger size and leverage were associated with larger levels of realized risk. The impact of these characteristics is particularly relevant for capturing the systemic dimensions of bank risk and tends to become stronger for the tail of the riskier banks. The majority of these characteristics also predicted bank risk as materialized before the financial crisis.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"278 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128634011","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: 55
Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia 经济周期的领先指标:经合组织国家和俄罗斯的动态Logit模型
ERN: Business Cycles (Topic) Pub Date : 2015-04-30 DOI: 10.2139/ssrn.2600847
A. Pestova
{"title":"Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia","authors":"A. Pestova","doi":"10.2139/ssrn.2600847","DOIUrl":"https://doi.org/10.2139/ssrn.2600847","url":null,"abstract":"In this paper, I develop the leading indicators of the business cycle turning points exploiting the quarterly panel dataset comprising OECD countries and Russia over the 1980-2013 period. Contrasting to the previous studies, I combine data on OECD countries and Russia into a single dataset and develop universal models suitable for the entire sample with a quality of predictions comparable to the analogues of single-country models. On the basis of conventional dynamic discrete dependent variable framework I estimate the business cycle leading indicator models at different forecasting horizons (from one to four quarters). The results demonstrate that there is a trade-off between forecasting accuracy and the earliness of the recession signal. Best predictions are achieved for the model with one quarter lag (approximately 94% of the observations were correctly classified with a noise-to-signal ratio of 7%). However, even the model with the four quarter lags correctly predicts more than 80% of recessions with the noise-to-signal ratio of 25% can be useful for the policy analysis. I also reveal significant gains of accounting for the credit market variables when forecasting recessions at the long horizons (four quarter lag) as their use leads to a significant reduction of the noise-to-signal ratio of the model. I propose using the “optimal” cut-off threshold of the binary models based on the minimization of regulator loss function arising from different types of wrong classification. I show that this optimal threshold improves model forecasts as compared to other exogenous thresholds.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"185 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134322724","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
Labour Supply Factors and Economic Fluctuations 劳动力供给因素与经济波动
ERN: Business Cycles (Topic) Pub Date : 2015-04-10 DOI: 10.2139/ssrn.2616782
Claudia Foroni, F. Furlanetto, Antoine Lepetit
{"title":"Labour Supply Factors and Economic Fluctuations","authors":"Claudia Foroni, F. Furlanetto, Antoine Lepetit","doi":"10.2139/ssrn.2616782","DOIUrl":"https://doi.org/10.2139/ssrn.2616782","url":null,"abstract":"We propose a new VAR identfi cation scheme that enables us to disentangle labor supply shocks from wage bargaining shocks. Identifi cation is achieved by imposing robust signrestrictions that are derived from a New Keynesian model with endogenous labor force participation. According to our analysis on US data over the period 1985-2014, labor supply shocks and wage bargaining shocks are important drivers of output and unemployment both in the short run and in the long run. These results suggest that identification strategies used in estimated New Keynesian models to disentangle labor market shocks may be misguided. We also analyze the behavior of the labor force participation rate through the lenses of our model. We find that labor supply shocks are the main drivers of the participation rate and account for about half of its decline in the aftermath of the Great Recession.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"51 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120920763","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: 15
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