ERN: Business Cycles (Topic)最新文献_第5页

Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike? 具有特定制度参数的马尔可夫转换模型:战后繁荣还是衰退都是一样的?

ERN: Business Cycles (Topic) Pub Date : 2015-03-05 DOI: 10.2139/ssrn.1971169

Yunjong Eo, Chang‐Jin Kim

{"title":"Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?","authors":"Yunjong Eo, Chang‐Jin Kim","doi":"10.2139/ssrn.1971169","DOIUrl":"https://doi.org/10.2139/ssrn.1971169","url":null,"abstract":"In this paper, we relax the assumption of constant regime-specific mean growth rates in Hamilton's (1989) two-state Markov-switching model of the business cycle. We first present a benchmark model, in which each regime-specific mean growth rate evolves according to a random walk process over different episodes of booms or recessions. We then present a model with vector error correction dynamics for the regime-specific mean growth rates, by deriving and imposing a condition for the existence of a long-run equilibrium growth rate for real output. In the Bayesian Markov Chain Monte Carlo (MCMC) approach developed in this paper, the counterfactual priors, as well as the hierarchical priors for the regime-specific parameters, play critical roles. By applying the proposed approach to postwar U.S. real GDP growth (1947:Q4-2011:Q3), we uncover the evolving nature of the regime-specific mean growth rates of real output in the U.S. business cycle. An additional feature of the postwar U.S. business cycle that we uncover is a steady decline in the long-run equilibrium output growth. The decline started in the 1950s and ended in the 2000s. Our empirical results also provide partial, if not decisive, evidence that the central bank may have been more successful in restoring the economy back to its long-run equilibrium growth path after unusually severe recessions than after unusually good booms.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"185 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116380680","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: 12

Some International Aspects of Business Cycles: Neisser, Haberler and Modern Open Economy Macroeconomics 经济周期的国际视角:Neisser、Haberler与现代开放经济宏观经济学

ERN: Business Cycles (Topic) Pub Date : 2015-02-01 DOI: 10.2139/ssrn.2557938

Hans‐Michael Trautwein

{"title":"Some International Aspects of Business Cycles: Neisser, Haberler and Modern Open Economy Macroeconomics","authors":"Hans‐Michael Trautwein","doi":"10.2139/ssrn.2557938","DOIUrl":"https://doi.org/10.2139/ssrn.2557938","url":null,"abstract":"Despite the transnational character of the Great Depression of the years 1929-33, there are few works in the inter-war literature that deal in depth with the propagation of business cycles across national borders and systemic risks of depression in the world economy. Two notable exceptions are Hans Neisser’s monograph on Some International Aspects of the Business Cycle (1936) and chapter 12 in Gottfried Haberler’s Prosperity and Depression (1937), which carries the heading “International Aspects of Business Cycles”. Both works differ substantially from each other and from the modern way of thinking about international business cycles in Open Economy Macroeconomics. This paper argues that Neisser’s and Haberler’s approaches provide more straightforward routes to capturing some of the transnational aspects of the recent Great Recession (of 2008/09) than the modern standard approach. At the first stage, the two older approaches are presented and compared with each other. At the second stage, they are contrasted with the current state of open-economy macroeconomics, as represented by Uribe & Schmitt-Grohe (2014), a textbook in the making that puts international macro in a business cycle framework. Since Haberler’s account accentuates the role of transport costs, imperfections of capital markets and monetary policies, it can be used as a catalogue of criteria for checking what modern attempts to connect international trade, international finance and economic growth have got (back) in sight. More importantly, both Haberler’s and Neisser’s approach also serve to identify what has been lost out of sight.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"125 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116430403","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

Grown-Up Business Cycles 成熟的商业周期

ERN: Business Cycles (Topic) Pub Date : 2014-12-01 DOI: 10.2139/ssrn.2548579

B. Pugsley, A. Sahin

引用次数: 102

Collateral Constraints and State-Contingent Contracts 抵押品约束和国家或有合同

ERN: Business Cycles (Topic) Pub Date : 2014-05-29 DOI: 10.2139/ssrn.2443522

M. Dmitriev, J. Hoddenbagh

引用次数: 3

Business Cycles Synchronicity and Income Levels: Has Globalisation Brought Us Closer than Ever? 商业周期同步性与收入水平:全球化是否使我们比以往任何时候都更紧密?

ERN: Business Cycles (Topic) Pub Date : 2014-05-01 DOI: 10.1111/twec.12074

Rosmy Jean Louis, Daniel N. Simons

引用次数: 9

The Effects of Business Cycle and Debt Maturity on a Firm's Investment and Default Decisions 经济周期和债务期限对企业投资和违约决策的影响

ERN: Business Cycles (Topic) Pub Date : 2014-04-30 DOI: 10.2139/ssrn.2441033

Haejun Jeon, M. Nishihara

引用次数: 13

Does Interbank Market Matter for Business Cycle Fluctuation? An Estimated DSGE Model with Financial Frictions for the Euro Area 银行间市场对经济周期波动有影响吗?考虑欧元区金融摩擦的DSGE模型估计

ERN: Business Cycles (Topic) Pub Date : 2014-04-02 DOI: 10.2139/ssrn.2443873

Federico Giri

引用次数: 10

The KOF Economic Barometer, Version 2014: A Composite Leading Indicator for the Swiss Business Cycle KOF经济晴雨表，2014版:瑞士商业周期的综合领先指标

ERN: Business Cycles (Topic) Pub Date : 2014-03-14 DOI: 10.2139/ssrn.2408944

Klaus Abberger, M. Graff, Boriss Siliverstovs, J. Sturm

{"title":"The KOF Economic Barometer, Version 2014: A Composite Leading Indicator for the Swiss Business Cycle","authors":"Klaus Abberger, M. Graff, Boriss Siliverstovs, J. Sturm","doi":"10.2139/ssrn.2408944","DOIUrl":"https://doi.org/10.2139/ssrn.2408944","url":null,"abstract":"This paper presents a composite leading indicator for the Swiss business cycle corresponding to the growth rate cycle concept. It is the result of a complete overhaul of the KOF Economic Barometer that has been published by the KOF Swiss Economic Institute on a monthly basis since 1976. In line with this tradition, the calculation of the new KOF Barometer comprises two main stages. The first consists of the variable selection procedure; and in the second stage these variables are subsequently transformed into one leading indicator. Whereas in the previous versions of the KOF Barometer six to 25 variables survived the first stage, the new – less discretionary and more automated – version of the first stage is much more generous. Currently, out of a set of 476 variables resulting in 4356 transformations thereof that are tested in the first stage, 219 variables manage to enter the second stage. The increased number of variables underlying the second stage allows a relatively stable and robust KOF Barometer – compared to its previous versions – that has hence no longer to rely on filtering techniques to reduce the noise in the final indicator. In a (pseudo-) real-time analysis the characteristics of the new KOF Barometer are compared to the previous versions and other alternatives.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"108 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120910228","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

Return Decomposition Over the Business Cycle 整个商业周期的回报分解

ERN: Business Cycles (Topic) Pub Date : 2014-02-18 DOI: 10.2139/ssrn.2398028

Tolga Cenesizoglu

{"title":"Return Decomposition Over the Business Cycle","authors":"Tolga Cenesizoglu","doi":"10.2139/ssrn.2398028","DOIUrl":"https://doi.org/10.2139/ssrn.2398028","url":null,"abstract":"To analyze the determinants of the observed variation in stock prices, Campbell and Shiller (1988) have suggested decomposing unexpected stock returns into unexpected changes in investors’ beliefs about future cash flows (cash flow news) and discount rates (discount rate news). Based on a generalization of this approach to a framework with regime-switching parameters and variances, we analyze the decomposition of the conditional variance of returns on the S&P 500 index over the business cycle. The cash flow news is relatively more important than discount rate news in determining the conditional variance of returns in expansions. The conditional variances of returns and its components increase in recessions. However, the conditional variance of discount rate news increases more than that of cash flow news and, thus, the discount rate news becomes relatively more important than cash flow news in determining the conditional variance of returns in recessions. In contrast to the standard Campbell and Shiller approach with constant parameters and variances, cash flow news becomes more important than discount rate news in determining the unconditional variance of returns when we allow parameters and variances to vary over the business cycle. We show that these results are broadly consistent with the implications of a stylized asset pricing model in which the growth rates of dividends and consumption take on different values depending on the underlying state of the economy.","PeriodicalId":379040,"journal":{"name":"ERN: Business Cycles (Topic)","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124845718","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

A New Macroeconomic Structural Model Reveals the Economic Law of Inertia and Simulates the Housing Bubble 一个新的宏观经济结构模型揭示经济惯性规律并模拟房地产泡沫

ERN: Business Cycles (Topic) Pub Date : 2014-02-17 DOI: 10.2139/ssrn.2397316

Tomohide Yasuda

引用次数: 2