-
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...
-
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...
-
作者：Uy, Timothy; Yi, Kei-Mu; Zhang, Jing
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We study the importance of international trade in structural change. Our framework has both productivity and trade cost shocks, and allows for non-unitary income and substitution elasticities. We calibrate our model to investigate South Korea's structural change between 1971 and 2005. We find that the shock processes, propagated through the model's two main transmission mechanisms, non-homothetic preferences and the open economy, explain virtually all of the evolution of agriculture and servic...
-
作者：Cole, Harold L.
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：A model of self-enforcing stochastic monitoring with investment and production is developed. The optimal contract leads to debt-like and equity-like claims on the firm that are held by symmetrically informed outside investors and rationalizes the separation of these claims in order to efficiently generate the correct monitoring incentives. Self-enforcing monitoring leads to misreporting in equilibrium. While stochastic monitoring means that the failure to repay the face value of the debt can l...
-
作者：Henriksen, Espen; Kydland, Finn E.; Sustek, Roman
作者单位：University of California System; University of California Davis; University of California System; University of California Santa Barbara; National Bureau of Economic Research; University of Southampton
摘要：Fluctuations in nominal variables-aggregate price levels and nominal interest rates are documented to be substantially more synchronized across countries at business cycle frequencies than fluctuations in real output. A transparent mechanism accounting for this striking feature of the nominal environment is described and quantitatively evaluated. It is based on the interaction between (small) cross-country spillovers of shocks, Taylor rules, and domestic no-arbitrage conditions. The mechanism ...
-
作者：Ortigueira, Salvador; Siassi, Nawid
作者单位：Universidad Carlos III de Madrid
摘要：While it is recognized that the family is a risk-sharing institution, little is known about the quantitative effects of this source of insurance on savings and labor supply. In this paper, we present a model where workers (females and males) are subject to idiosyncratic employment risk and where capital markets are incomplete. A household is formed by a female and a male, who decide on consumption, savings and labor supplies. In a calibrated version of our model we find that intra-household ri...
-
作者：Alvarez-Parra, Fernando; Brandao-Marques, Luis; Toledo, Manuel
作者单位：University of Central Venezuela; International Monetary Fund; Instituto Tecnologico Autonomo de Mexico
摘要：Business cycles in emerging economies display very volatile consumption and strongly countercyclical trade balance. We show that aggregate consumption in these economies is not more volatile than output once durables are accounted for. Then, we present and estimate a real business cycles model for a small open economy that accounts for this empirical observation. Our results show that the role of permanent shocks to aggregate productivity in explaining cyclical fluctuations in emerging economi...
-
作者：Favilukis, Jack; Lin, Xiaoji
作者单位：University of London; London School Economics & Political Science; University of London; London School Economics & Political Science; University System of Ohio; Ohio State University
摘要：Long-run productivity risk - shocks to the growth rate of productivity - offers an alternative to microfrictions explanations of aggregate investment non-linearities, in particular the heteroscedasticity of investment rate. Additionally, consistent with the data, these shocks imply that investment rate is history dependent (rising through expansions), its growth is positively autocorrelated, and it is positively correlated with output growth at various leads and lags. A standard model with sho...
