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作者：Bachmann, Rudiger; Bayer, Christian
作者单位：RWTH Aachen University; University of Bonn
摘要：Are shocks to firms' profitability risk, propagated by physical capital adjustment costs, a major source of business cycle fluctuations? This paper studies this question using a heterogeneous-firm dynamic stochastic general equilibrium model, where firms face fixed capital adjustment costs. Surprise increases in idiosyncratic risk lead firms to adopt a 'wait-and-see' policy for investment. The model is calibrated using a German firm-level data set with broader coverage than comparable U.S. dat...
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作者：Bengui, Julien; Mendoza, Enrique G.; Quadrini, Vincenzo
作者单位：Universite de Montreal; University of Pennsylvania; National Bureau of Economic Research; University of Southern California
摘要：This paper investigates whether the international globalization of financial markets allows for significant cross-country risk-sharing at the business cycle frequency. We find that cross-country risk-sharing is still limited and this is unlikely to be the result of financial frictions that limit state-contingent contracts. Part of the limited international risk sharing could be the consequence of frictions that de-facto reduce the short-term mobility of financial capital. But even with these f...
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作者：Abbritti, Mirko; Fahr, Stephan
作者单位：University of Navarra; European Central Bank
摘要：The growth rates of wages, unemployment and output of a number of OECD countries have a strongly skewed distribution. In this paper we analyze to what extent downward wage rigidities can explain these empirical business cycle asymmetries. To this aim, we introduce asymmetric wage adjustment costs in a New-Keynesian DSGE model with search and matching frictions in the labor market. Increasing wages is less costly than cutting them. It follows that wages increase relatively fast and thus limit v...
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作者：Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral
作者单位：McGill University; Carleton University; University of Ottawa; University of Ottawa; Bank of Canada
摘要：Full- and limited-information identification-robust methods are proposed for structural systems, notably DSGE models, which are valid whether identification is weak or strong, theory-intrinsic or data-specific. The proposed methods are applied to a standard New Keynesian system for the U.S. Single- and multi-equation estimation and fit are also compared. When a unique rational-expectation stable equilibrium is imposed, the model is rejected. In contrast, limited-information inference produces ...
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作者：Corradi, Valentina; Distaso, Walter; Mele, Antonio
作者单位：University of Warwick; Imperial College London; Swiss Finance Institute (SFI); Universita della Svizzera Italiana
摘要：How does stock market volatility relate to the business cycle? We develop, and estimate, a no-arbitrage model, and find that (i) the level and fluctuations of stock volatility are largely explained by business cycle factors and (ii) some unobserved factor contributes to nearly 20% to the overall variation in volatility, although not to its ups and downs. Instead, this volatility of volatility relates to the business cycle. Finally, volatility risk-premiums are strongly countercyclical, even mo...
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作者：Chen, Kaiji; Song, Zheng
作者单位：Emory University; University of Chicago
摘要：This paper provides a theory of financial frictions as a transmission mechanism for news shocks to drive aggregate TFP fluctuations. We show that in an economy calibrated to U.S. data, variations in financial frictions on capital allocation in response to news about future technology can generate aggregate TFP fluctuations and, thus, trigger business cycles before the actual technological change is realized. Using the COMPUSTAT dataset, we find that the relative capital productivity of financi...
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作者：Conley, Timothy G.; Dupor, Bill
作者单位：Western University (University of Western Ontario); University System of Ohio; Ohio State University
摘要：This paper estimates the private and government sector employment effects of American Recovery and Reinvestment Act (ARRA) spending via an instrumental variables strategy. We argue that this aid was effectively fungible and states used it to offset declines in revenue. This enables us to use exogenous variation in states' budget positions to identify the Act's employment effects. We also exploit exogenous variation across states in ARRA highway funding. According to our benchmark estimates, av...
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作者：Kortum, Samuel
作者单位：Yale University
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作者：Kiyotaki, Nobuhiro
作者单位：Princeton University
摘要：This comment discusses Global Implications of National Unconventional Policies by L. Dedola. P. Karadi and G. Lombardo, which was presented in Carnegie-Rocherster conference in April 2012. (c) 2012 Elsevier B.V. All rights reserved.
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作者：Adelino, Manuel; Gerardi, Kristopher; Willen, Paul S.
作者单位：Duke University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Boston; National Bureau of Economic Research
摘要：A leading explanation for the lack of widespread mortgage renegotiation is the existence of frictions in the mortgage securitization process. This paper finds similarly small renegotiation rates for securitized loans and loans held on banks' balance sheets that become seriously delinquent, in particular during the early part of the financial crisis. We argue that information issues endemic to home mortgages, where lenders negotiate with large numbers of borrowers, lead to barriers in renegotia...
