Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Two Essays On The Sources Of Business Cycle Fluctuations
Download Two Essays On The Sources Of Business Cycle Fluctuations full books in PDF, epub, and Kindle. Read online Two Essays On The Sources Of Business Cycle Fluctuations ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Two Essays on the Sources of Business Cycle Fluctuations by : Kyungsoo Cha
Download or read book Two Essays on the Sources of Business Cycle Fluctuations written by Kyungsoo Cha and published by . This book was released on 2007 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Re-examining contributions of the 1930s U.S. financial crisis to the Great Depression. This paper tries to resolve the litmus test of macroeconomic theories, the Great Depression. Since the work of Friedman and Schwartz (1963), the contributions of the 1930s financial crisis to the Great Depression have been mainly interpreted via the money-output link with sticky nominal wages within the monetary paradigm. However, some macroeconomists recently argue the plausibility of the monetary explanation and devaluate the effects of the financial crisis. Thus, this paper provides empirical evidence on the plausibility of the monetary explanation and re-examines the contributions of the financial crisis shock to the Great Depression. Results show that it seems difficult to support the money-output link with sticky nominal wages. Nevertheless, the data displays that the financial crisis can account for large fractions of the total variability of aggregate variables during the Great Depression, implying the plausibility of the other channel which emphasizes a reduction in real intermediated investment through the ineffectiveness of financial intermediaries.
Book Synopsis Essays on the Business Cycle by : Francesco Franco
Download or read book Essays on the Business Cycle written by Francesco Franco and published by . This book was released on 2004 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: (Cont.) The second essay takes the analysis to general equilibrium and suggests that changes in the money supply have become a less powerful instrument in stimulating aggregate investment relative to aggregate consumption. The third essay:is not directly related to depreciation but is an empirical investigation on the sources of economic fluctuations. Again the theme does not appear to be ... fresh. Still the academic consensus is far from being unanimous on such an old question. The approach taken in this last essay follows from a note by Olivier Blanchard in his introductory Macroeconomics class notes. It consists in identifying the sources of fluctuations at a disaggregated level and investigate which of the different sources generate comovements that sum up to aggregate fluctuations. The main results are the shocks that aggregate into the aggregate source of fluctuations are neither technological nor restructuring shocks.
Book Synopsis Two Essays in Business Cycle Theory by : Nazneen Ahmad
Download or read book Two Essays in Business Cycle Theory written by Nazneen Ahmad and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies two interesting business cycle issues. The first issue concerns the effectiveness of tax policies in stimulating an economic recovery. The second issue concerns the costs of business cycle fluctuations to an investor who chooses to invest in risky assets. The first essay evaluates the effectiveness of the "end of double tax" policy in stimulating an economic recovery by analyzing the transitional dynamics of the economy's aggregates toward the steady states. The effectiveness of this policy is compared with two alternative policies that reduce corporate income or personal income taxes. Although all of these tax policies are found to stimulate the economy's levels of output and investment, the "end of double taxation" appears to exert the most significant impact on the aggregate levels of these variables in the short run. Based on this finding, we claim that the "end of double taxation" is an effective policy for stimulating an economic recovery in the short-run. In a thought-provoking exercise Lucas (1987 and 2003) argues that the welfare costs of business cycles is negligible. The second essay follows up on this argument by incorporating prospect theory into the formulation of individual preferences. Prospect theory proposes that agents care about changes in their wealth level rather than the level of their final wealth, and individuals are also taken to be more sensitive to losses than gains in their financial wealth. According to the prospect theory, therefore, the agents take fluctuations in the asset returns seriously. Results from empirical tests find that an individual investor, on average, would give up 2.58-9.49% of the average returns, she receives from investing in the risky asset, in order to eliminate all the fluctuations associated with her asset returns. This result is interpreted as an indication of much larger welfare costs than Lucas's estimates.
Book Synopsis The American Business Cycle by : Robert J. Gordon
Download or read book The American Business Cycle written by Robert J. Gordon and published by University of Chicago Press. This book was released on 2007-11-01 with total page 882 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent decades the American economy has experienced the worst peace-time inflation in its history and the highest unemployment rate since the Great Depression. These circumstances have prompted renewed interest in the concept of business cycles, which Joseph Schumpeter suggested are "like the beat of the heart, of the essence of the organism that displays them." In The American Business Cycle, some of the most prominent macroeconomics in the United States focuses on the questions, To what extent are business cycles propelled by external shocks? How have post-1946 cycles differed from earlier cycles? And, what are the major factors that contribute to business cycles? They extend their investigation in some areas as far back as 1875 to afford a deeper understanding of both economic history and the most recent economic fluctuations. Seven papers address specific aspects of economic activity: consumption, investment, inventory change, fiscal policy, monetary behavior, open economy, and the labor market. Five papers focus on aggregate economic activity. In a number of cases, the papers present findings that challenge widely accepted models and assumptions. In addition to its substantive findings, The American Business Cycle includes an appendix containing both the first published history of the NBER business-cycle dating chronology and many previously unpublished historical data series.
Book Synopsis Essays on Business Cycle Fluctuations by : Nopphawan Photphisutthiphong
Download or read book Essays on Business Cycle Fluctuations written by Nopphawan Photphisutthiphong and published by . This book was released on 2009 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on business cycle fluctuations by : Julio Andres Blanco
Download or read book Essays on business cycle fluctuations written by Julio Andres Blanco and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Sources of business cycle fluctuations by : Matthew D. Shapiro
Download or read book Sources of business cycle fluctuations written by Matthew D. Shapiro and published by . This book was released on 1988 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in the Study of Aggregate Fluctuations by : Dou Jiang
Download or read book Essays in the Study of Aggregate Fluctuations written by Dou Jiang and published by . This book was released on 2015 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis consists of three self-contained papers on business cycle fluctuations in the context of the dynamic stochastic general equilibrium framework. The first paper examines how maintenance expenditures affect the occurrence of indeterminacy in a two-sector model economy, motivated by the empirical fact that equipment and structures are maintained and repaired. McGrattan and Schmitz's (1999) survey on `Capital and Repair Expenditures' in Canada indicates that maintenance expenditures account for a substantial fraction of output and new investment. It is shown that the endogenous maintenance expenditures reduce the requirement of the degree of increasing returns to scale to generate sunspot equilibria. In fact, the minimum level of the returns to scale required could be as low as 1.0179. This aspect is important since empirical works such as Basu and Fernald (1997) suggests that returns to scale is close to constant. The second paper addresses the following questions in the context of a neoclassical model of the business cycle: what caused the 1890s and 1907 recessions in the U.S.? In particular, we apply the Business Cycle Accounting method to decompose the economic fluctuation into its sources: productivity, the labour wedge, the investment wedge and the government consumption wedge. Our results suggest that the economy downturn is primarily attributed to frictions that reduce productivity and the wedge capturing distortions in labour-leisure decision. The financial market frictions would have accounted for the drop of the efficiency wedge. A contractionary monetary shock could generate a gap between the marginal rate of substitution and the marginal product of labour. The third paper applies the accounting method proposed by Chari, Kehoe and McGrattan (2007) to identify the primary sources of economic slumps in South Australia from 1990 to 2014. We focus on three major stages: the recession in the early-1990s, the Asian Financial Crisis and the 2008-2012 South Australian slump. Our results show that the efficiency wedge is the primary transmission channel through which the primitive shocks hit the South Australian economy. Shocks such as structural transformation, collapse of motor vehicle industry might have affected the efficiency wedge. Moreover, it is illustrated that infrastructural expenditures are important in increasing the efficiency wedge. This is conformity with the fact that South Australian government is keen to support its development through the Economic Stimulus Plan. Trade openness might also be a contributor." -- abstract, leaves vii-viii.
Book Synopsis Business Cycles by : Victor Zarnowitz
Download or read book Business Cycles written by Victor Zarnowitz and published by University of Chicago Press. This book was released on 2007-11-01 with total page 613 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents the most complete collection available of the work of Victor Zarnowitz, a leader in the study of business cycles, growth, inflation, and forecasting.. With characteristic insight, Zarnowitz examines theories of the business cycle, including Keynesian and monetary theories and more recent rational expectation and real business cycle theories. He also measures trends and cycles in economic activity; evaluates the performance of leading indicators and their composite measures; surveys forecasting tools and performance of business and academic economists; discusses historical changes in the nature and sources of business cycles; and analyzes how successfully forecasting firms and economists predict such key economic variables as interest rates and inflation.
Book Synopsis Are Business Cycles All Alike? by : Olivier J. Blanchard
Download or read book Are Business Cycles All Alike? written by Olivier J. Blanchard and published by . This book was released on 1984 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines two questions. The first is whether economic fluctuations-business cycles-are due to an accumulation of nall shocks or instead mostly to infrequent large shocks. The paper concludes that neither of these two extreme views accurately characterize fluctuations. The second question is whether fluctuations are due mostly to one source of shocks, for example monetary, or instead to many sources. The paper concludes that evidence strongly supports the hypothesis of many, about equally important, sources of shocks. To analyze the empirical evidence and to reach these conclusions, the paper uses two different statistical approaches. The first is estimation ofa structural model, using a set of just identifying restrictions. The secondis non-structural and may be described as a formalization of the Burns Mitchell techniques. Both approaches are somewhat novel and should be of independent interest.
Book Synopsis Essays in Macroeconomics by : Andresa Lagerborg
Download or read book Essays in Macroeconomics written by Andresa Lagerborg and published by . This book was released on 2018 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis comprises essays in macroeconomics across two main themes. The first studies the role of confidence shocks as a source of business cycle fluctuations using an instrumental variable approach. Exogenous drops in consumer confidence are identified by using school and mass shootings in the U.S. as natural experiments. Such autonomous drops in confidence are, in turn, found to sizably and persistently depress consumption and economic activity, raise prices, and reduce nominal interest rates. These empirical findings are shown to be consistent with a model in which negative confidence shocks reduce expectations of future technology, prompting consumers to save for wealth and precautionary motives, firms to reduce employment and investment while raising prices, and monetary authorities to reduce short-term nominal interest rates. These findings provide empirical evidence of a causal role of confidence in producing macroeconomic fluctuations. The second theme studies household fertility decisions in relation to business cycles and underlying labor market institutions. Fertility in the U.S. is shown to be procyclical with respect to current economic conditions (negative unemployment shocks) and rise in response to consumer expectation and stock price news shocks - representing expected wealth effects anticipated by households. However, fertility is shown to be countercyclical with respect to highly transitory TFP shocks - such that couples choose to have children during recessions when the opportunity cost (forgone wages) is lower, i.e. the income effect outweighs the substitution effect. Moreover, labor market institutions not directly targeting fertility are found to affect average fertility rates through their impact on business cycles. Fertility rates are negatively associated with wage rigidities (which raise employment volatility) and positively associated with employment rigidities (which instead raise wage volatility).
Book Synopsis Essays on Informational Frictions in Macroeconomics and Finance by : Jennifer La'O
Download or read book Essays on Informational Frictions in Macroeconomics and Finance written by Jennifer La'O and published by . This book was released on 2010 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of four chapters analyzing the effects of heterogeneous and asymmetric information in macroeconomic and financial settings, with an emphasis on short-run fluctuations. Within these chapters, I study the implications these informational frictions may have for the behavior of firms and financial institutions over the business cycle and during crises episodes. The first chapter examines how collateral constraints on firm-level investment introduce a powerful two-way feedback between the financial market and the real economy. On one hand, real economic activity forms the basis for asset dividends. On the other hand, asset prices affect collateral value, which in turn determines the ability of firms to invest. In this chapter I show how this two-way feedback can generate significant expectations-driven fluctuations in asset prices and macroeconomic outcomes when information is dispersed. In particular, I study the implications of this two-way feedback within a micro-founded business-cycle economy in which agents are imperfectly, and heterogeneously, informed about the underlying economic fundamentals. I then show how tighter collateral constraints mitigate the impact of productivity shocks on equilibrium output and asset prices, but amplify the impact of "noise", by which I mean common errors in expectations. Noise can thus be an important source of asset-price volatility and business-cycle fluctuations when collateral constraints are tight. The second chapter is based on joint work with George-Marios Angeletos. In this chapter we investigate a real-business-cycle economy that features dispersed information about underlying aggregate productivity shocks, taste shocks, and-potentially-shocks to monopoly power. We show how the dispersion of information can (i) contribute to significant inertia in the response of macroeconomic outcomes to such shocks; (ii) induce a negative short-run response of employment to productivity shocks; (iii) imply that productivity shocks explain only a small fraction of high-frequency fluctuations; (iv) contribute to significant noise in the business cycle; (v) formalize a certain type of demand shocks within an RBC economy; and (vi) generate cyclical variation in observed Solow residuals and labor wedges. Importantly, none of these properties requires significant uncertainty about the underlying fundamentals: they rest on the heterogeneity of information and the strength of trade linkages in the economy, not the level of uncertainty. Finally, none of these properties are symptoms of inefficiency: apart from undoing monopoly distortions or providing the agents with more information, no policy intervention can improve upon the equilibrium allocations. The third chapter is also based on joint work with George-Marios Angeletos. This chapter investigates how incomplete information affects the response of prices to nominal shocks. Our baseline model is a variant of the Calvo model in which firms observe the underlying nominal shocks with noise. In this model, the response of prices is pinned down by three parameters: the precision of available information about the nominal shock; the frequency of price adjustment; and the degree of strategic complementarity in pricing decisions. This result synthesizes the broader lessons of the pertinent literature. However, this synthesis provides only a partial view of the role of incomplete information: once one allows for more general information structures than those used in previous work, one cannot quantify the degree of price inertia without additional information about the dynamics of higher-order beliefs, or of the agents' forecasts of inflation. We highlight this with three extensions of our baseline model, all of which break the tight connection between the precision of information and higher-order beliefs featured in previous work. Finally, the fourth chapter studies how predatory trading affects the ability of banks and large trading institutions to raise capital in times of temporary financial distress in an environment in which traders are asymmetrically informed about each others' balance sheets. Predatory trading is a strategy in which a trader can profit by trading against another trader's position, driving an otherwise solvent but distressed trader into insolvency. The predator, however, must be sufficiently informed of the distressed trader's balance sheet in order to exploit this position. I find that when a distressed trader is more informed than other traders about his own balances, searching for extra capital from lenders can become a signal of financial need, thereby opening the door for predatory trading and possible insolvency. Thus, a trader who would otherwise seek to recapitalize is reluctant to search for extra capital in the presence of potential predators. Predatory trading may therefore make it exceedingly difficult for banks and financial institutions to raise credit in times of temporary financial distress.
Book Synopsis Sources of Business Cycle Fluctuations by :
Download or read book Sources of Business Cycle Fluctuations written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays on Business Cycle Models by : Tamon Takamura
Download or read book Two Essays on Business Cycle Models written by Tamon Takamura and published by . This book was released on 2012 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Canonical business cycle theories are incapable of explaining some recent patterns in the data. My research explores generalizations of them towards a resolution of these empirical anomalies. The first chapter, "An Empirical Evaluation of Sticky Information in a Two-Sector Model with Durable Goods," examines the empirical plausibility of the model developed by Kitamura and Takamura (2008), which presents a solution to the negative comovement problem discussed by Barsky, House and Kimball (BHK, 2007). Using the theoretical model presented by Kitamura and Takamura (2008), I compare impulse response functions in the model with those obtained from a structural VAR. Model-implied impulse response functions for sectoral output and inflation fit data well, for both durable and nondurable goods, over the period 1980Q1-2007Q4. Moreover, the minimum distance estimate of the degree of sticky information is 0.70, which is lower than the value used by Mankiw and Reis (2002) in their one-sector economy. This suggests that sticky information and firm-specific factors offer both a simple method to correct for the BHK puzzle and a useful strategy to generate plausible impulse responses in a two-sector economy. In the second chapter, "A General Equilibrium Model with Banks and Default on Loans," I develop a model to explain aggregate business cycle patterns in the U.S. after 1990. A particular interest of this chapter is to analyze the interaction between banks and the real sector. During the recent financial crisis, banks reduced new business lending amidst concerns about borrowers' ability to repay. At the same time, firms facing higher borrowing costs alongside a worsening economic outlook reduced investment. My model explicitly introduces banks into a business cycle model. I assume that a banks' ability to raise deposits is constrained by a limited commitment problem and that, furthermore, loans to firms involve default risk. In this environment, changes in loan rates affect the size of the business sector. I explore how banks influence the behavior of households and firms and find that both productivity and financial shocks lead to counter-cyclical default and interest rate spreads. I examine the implications of a government capital injection designed to mitigate the effect of negative productivity and financial shocks in the spirit of the Troubled Asset Relief Program (TARP). I find that the stabilizing effect of such policy interventions hinges on the source of the shock. In particular, a capital injection is less effective against aggregate productivity shocks because easing banks' lending stance only weakly stimulates firms' demand for loans when aggregate productivity falls. In contrast, a capital injection can counteract the adverse effect of financial shocks on the supply of loans. Finally, I measure aggregate productivity and financial shocks to evaluate the role of each in the business cycle. I find that the contribution of aggregate productivity shocks in aggregate output and investment is large until mid-2008. Financial shocks explains 65% of the fall in investment and 55% of the fall in output in the first quarter of 2009.
Book Synopsis Three Essays in Macroeconomic Dynamics by : Hammad Qureshi
Download or read book Three Essays in Macroeconomic Dynamics written by Hammad Qureshi and published by . This book was released on 2009 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation examines theoretical and empirical topics in macroeconomic dynamics. A central issue in macroeconomic dynamics is understanding the sources of business cycle fluctuations. The idea that expectations about future economic fundamentals can drive business cycles dates back to the early twentieth century. However, the standard real business cycle (RBC) model fails to generate positive comovement in output, consumption, labor-hours and investment in response to news shocks. My dissertation proposes a solution to this puzzling feature of the RBC model by developing a theoretical model that can generate positive aggregate and sectoral comovement in response to news shocks. Another key issue in macroeconomic dynamics is gauging the performance of theoretical models by comparing them to empirical models. Some of the most widely used empirical models in macroeconomics are level vector autoregressive (VAR) models. However, estimated level VAR models may contain explosive roots, which is at odds with the widespread consensus among macroeconomists that roots are at most unity. My dissertation investigates the frequency of explosive roots in estimated level VAR models using Monte Carlo simulations. Additionally, it proposes a way to mitigate explosive roots. Finally, as macroeconomic datasets are relatively short, empirical models such as autoregressive models (i.e. AR or VAR models) may have substantial small-sample bias. My dissertation develops a procedure that numerically corrects the bias in the roots of AR models. This dissertation consists of three essays. The first essay develops a model based on learning-by-doing (LBD) that can generate positive comovement in output, consumption, labor-hours and investment in response to news shocks. I show that the one-sector RBC model augmented by LBD can generate aggregate comovement in response to news shock about technology. Furthermore, I show that in the two-sector RBC model, LBD along with an intratemporal adjustment cost can generate sectoral comovement in response to news about three types of shocks: i) neutral technology shocks, ii) consumption technology shocks, and iii) investment technology shocks. I show that these results hold for contemporaneous technology shocks and for different specifications of LBD. The second essay investigates the frequency of explosive roots in estimated level VAR models in the presence of stationary and nonstationary variables. Monte Carlo simulations based on datasets from the macroeconomic literature reveal that the frequency of explosive roots exceeds 40% in the presence of unit roots. Even when all the variables are stationary, the frequency of explosive roots is substantial. Furthermore, explosion increases significantly, to as much as 100% when the estimated level VAR coefficients are corrected for small-sample bias. These results suggest that researchers estimating level VAR models on macroeconomic datasets encounter explosive roots, a phenomenon that is contrary to common macroeconomic belief, with a very high frequency. Monte Carlo simulations reveal that imposing unit roots in the estimation can substantially reduce the frequency of explosion. Hence one way to mitigate explosive roots is to estimate vector error correction models. The third essay proposes a numerical procedure to correct the small-sample bias in autoregressive roots of univariate AR(p) models. I examine the median-bias properties and variability of the bias-adjusted parameters relative to the least-squares estimates. I show that the bias correction procedure substantially reduces the median-bias in impulse response functions. Furthermore, correcting the bias in roots significantly improves the median-bias in half-life, quarter-life and up-life estimates. The procedure pays a negligible-to-small price in terms of increased standard deviation for its improved median-bias properties.
Book Synopsis Essays on Business Cycles by : Thuy Lan Nguyen
Download or read book Essays on Business Cycles written by Thuy Lan Nguyen and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Although news shocks are important in explaining the 1980 recession and the 1993-94 boom, they do not explain much of other business cycles in our sample. Moreover, the contribution of news shocks to explaining short run fluctuations is negligible. These results arise because data on expectations show that changes in expectations are not large and do not resemble actual movements of output. Therefore, news shocks cannot be the main driver of business cycles. Chapters Two and Three focus on the driving forces of business cycles in open economies. We start Chapter Two with an observation that business cycles are strongly correlated across countries. We document that this pattern is also true for small open economies between 1900 and 2006 using a novel data set for 17 small developed and developing countries. Furthermore, we provide a new evidence about the role of common shocks in business cycles for small open economies in a structural estimation of a real small open economy model featuring a realistic debt adjustment cost and common shocks.
Book Synopsis Essays on Macroeconomics by : Wataru Miyamoto
Download or read book Essays on Macroeconomics written by Wataru Miyamoto and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a collection of three essays on macroeconomics, examining the sources of business cycles. In particular, we are interested in understanding how shocks propagate over the business cycle in both closed economy and open economy settings. The common approach we take in these chapters is to use both theory and data in a structural estimation based on a dynamic stochastic general equilibrium model. In the first chapter, motivated by the correlation of business cycles across countries, we provide a new empirical evidence about the role of common shocks in business cycles for small open economies. Specifically, we conduct a structural estimation of a small open economy real business cycle model featuring a realistic debt adjustment cost and common shocks. Using a novel dataset for 17 small developed and developing countries between 1900 and 2006, we find that common shocks are a primary source of business cycles, explaining nearly 50% of the output fluctuations over the last 100 years in small open economies.
