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Forni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca - C.E.P.R. Discussion Papers - 2013

In a situation where agents can only observe a noisy signal of the shock to future economic fundamentals, SVAR models …

Persistent link: https://www.econbiz.de/10011145478

Liquidity When It Matters Most: QE and Tobin’s q

Driffill, John; Miller, Marcus - C.E.P.R. Discussion Papers - 2011

How and why do financial conditions matter for real outcomes? The ‘workhorse model of money and liquidity’ of Kiyotaki and Moore (2008) shows how--with full employment maintained by flexible prices--shifting credit constraints can affect investment and future aggregate supply. We show that,...

Persistent link: https://www.econbiz.de/10009275964

Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach

Mertens, Karel; Ravn, Morten O - C.E.P.R. Discussion Papers - 2009

often anticipated. Due to misspecification of the information set, anticipation effects may invalidate SVAR estimates of … impulse responses. We use economic theory to derive a fiscal SVAR estimator that is applicable when fiscal shocks are … existing findings from the fiscal SVAR literature. …

Persistent link: https://www.econbiz.de/10005068289

Measuring Trend Output: How Useful Are the Great Ratios?

Attfield, Clifford; Temple, Jonathan - C.E.P.R. Discussion Papers - 2004

Standard macroeconomic models suggest that the ‘great ratios’ of consumption to output and investment to output should be stationary. The joint behaviour of consumption, investment and output can then be used to measure trend output. We adopt this approach for the USA and UK, and find...

Persistent link: https://www.econbiz.de/10005136779

Short- and Long-run Phillips Trade-offs and the Cost of Disinflationary Policies

Dolado, Juan J.; López-Salido, J David; Vega, Juan Luis - C.E.P.R. Discussion Papers - 1996

This paper studies the joint behaviour of inflation and unemployment in Spain over the period 1964–95 in order to estimate dynamic Phillips trade-offs and sacrifice ratios in response to a demand shock. We organize our empirical approach as a structural (albeit eclectic) one. In so doing, we...

Persistent link: https://www.econbiz.de/10005124194

Aggregate and Regional Disaggregate Fluctuations

Quah, Danny - C.E.P.R. Discussion Papers - 1995

This paper models fluctuations in regional disaggregates as a non-stationary, dynamically evolving distribution. Doing so enables the study of the dynamics of aggregate fluctuations jointly with those of the rich cross-section of regional disaggregates. For the United States, the leading state...

Persistent link: https://www.econbiz.de/10005504615

Macro-Financial Linkages: evidence from country-specific VARs

Guarda, Paolo; Jeanfils, Philippe - C.E.P.R. Discussion Papers - 2012

This paper estimates the contribution of financial shocks to fluctuations in the real economy by augmenting the standard macroeconomic vector autoregression (VAR) with five financial variables (real stock prices, real house prices, term spread, loans-to-GDP ratio and loans-to-deposits ratio)....

Persistent link: https://www.econbiz.de/10011083242

Oil and the Macroeconomy: A Structural VAR Analysis with Sign Restrictions

Lippi, Francesco; Nobili, Andrea - C.E.P.R. Discussion Papers - 2008

We consider an economy where the oil price, industrial production, and other macroeconomic variables fluctuate in response to a variety of fundamental shocks. We estimate the effects of different structural shocks using robust sign restrictions suggested by theory using US data for the 1973-2007...

Persistent link: https://www.econbiz.de/10005791245

Inattentive Producers

Reis, Ricardo - C.E.P.R. Discussion Papers - 2005

I present and solve the problem of a producer who faces costs of acquiring, absorbing, and processing information. I establish a series of theoretical results describing the producer's behaviour. First, I find the conditions under which she prefers to set a plan for the price she charges, or...

Persistent link: https://www.econbiz.de/10005504647

The Aggregate Effects of Anticipated and Unanticipated U.S. Tax Policy Shocks: Theory and Empirical Evidence

Mertens, Karel; Ravn, Morten O - C.E.P.R. Discussion Papers - 2008

We provide empirical evidence on the effects of tax liability changes in the United States. We make a distinction between "surprise" and "anticipated" tax shocks. Surprise tax cuts give rise to a large boom in the economy. Anticipated tax liability tax cuts are instead associated with a...

Persistent link: https://www.econbiz.de/10005497768