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A Banking Explanation of the US Velocity of Money: 1919-2004

Benk, Szilárd; Gillman, Max; Kejak, Michal - C.E.P.R. Discussion Papers - 2009

money demand falls, while a positive goods productivity shock raises temporary output and velocity. The paper explains such … important for velocity during less stable times and the goods productivity shock more important during stable times. …

Persistent link: https://www.econbiz.de/10008496458

C-CAPM Without Ex Post Data

Söderlind, Paul - C.E.P.R. Discussion Papers - 2005

Survey and option data are used to take a new look at the equity premium puzzle. Survey data on equity returns (Livingston survey) shows much lower expected excess returns than ex post data. At the same time, option data (CBOE's VIX) indicates that investors overestimate the volatility of equity...

Persistent link: https://www.econbiz.de/10005504791

What's News in Business Cycles

Schmitt-Grohé, Stephanie; Uribe, Martín - C.E.P.R. Discussion Papers - 2012

find that anticipated shocks account for about half of predicted aggregate fluctuations in output, consumption, investment …

Persistent link: https://www.econbiz.de/10011083924

What’s News in Business Cycles

Schmitt-Grohé, Stephanie; Uribe, Martín - C.E.P.R. Discussion Papers - 2009

rigidities: investment adjustment costs, variable capacity utilization, habit formation in consumption, and habit formation in … investment-specific shocks, and government spending shocks. Each of these driving forces is buffeted by four types of structural …

Persistent link: https://www.econbiz.de/10005656380

US Volatility Cycles of Output and Inflation, 1919-2004: A Money and Banking Approach to a Puzzle

Benk, Szilárd; Gillman, Max; Kejak, Michal - C.E.P.R. Discussion Papers - 2009

The post-1983 moderation coincided with an ahistorical divergence in the money aggregate growth and velocity volatilities away from the downward trending GDP and inflation volatilities. Using an en dogenous growth monetary DSGE model, with micro-based banking production, enables a contrasting...

Persistent link: https://www.econbiz.de/10005666738

Vintage Capital and Expectations Driven Business Cycles

Flodén, Martin - C.E.P.R. Discussion Papers - 2007

standard neoclassical models cannot generate a simultaneous increase in consumption, investment, and hours in response to news … shocks, and that optimism in these models tends to reduce investment and hours. When technology is vintage specific, however … optimism raises utilization, consumption, investment, hours, and output. …

Persistent link: https://www.econbiz.de/10005666801

C-CAPM and the Cross-Section of Sharpe Ratios

Söderlind, Paul - C.E.P.R. Discussion Papers - 2003

This Paper studies whether the consumption-based asset-pricing model can explain the cross-section of Sharpe ratios. The constant relative risk aversion (CRRA) model and several extensions (habit persistence, recursive utility and idiosyncratic shocks) all imply that the Sharpe ratio is linearly...

Persistent link: https://www.econbiz.de/10005791769

International Business Cycles: The Quantitative Role of Transportation Costs

Mazzenga, Elisabetta; Ravn, Morten O - C.E.P.R. Discussion Papers - 2002

We evaluate the quantitative effects of introducing costs of transporation into an international trade model. We model these costs through the introduction of international transportation services sector. Costs of transportation have substantial long-run effects on welfare and may impact on the...

Persistent link: https://www.econbiz.de/10005661803

How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States

Enders, Zeno; Müller, Gernot; Scholl, Almuth - C.E.P.R. Discussion Papers - 2010

Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive...

Persistent link: https://www.econbiz.de/10008468685

A Gains from Trade Perspective on Macroeconomic Fluctuations

Beaudry, Paul; Portier, Franck - C.E.P.R. Discussion Papers - 2011

Business cycles reflect changes over time in the amount of trade between individuals. In this paper we show that incorporating explicitly intra-temporal gains from trade between individuals into a macroeconomic model can provide new insight into the potential mechanisms driving economic...

Persistent link: https://www.econbiz.de/10009221567