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Unemployment and endogenous reallocation over the business cycle

Carrillo-Tudela, Carlos; Visschers, Ludo - 2013

We build an analytically and computationally tractable stochastic equilibrium model of unemployment in heterogeneous labor markets. Facing search frictions within markets and reallocation frictions between markets, workers endogenously separate from employment and endogenously reallocate between...

Persistent link: https://www.econbiz.de/10010291522

Inflation and GDP Dynamics in Production Networks : A Sufficient Statistics Approach

Afrouzi, Hassan; Bhattarai, Saroj - 2023

We derive closed-form solutions and sufficient statistics for inflation and GDP dynamics in multi-sector New Keynesian economies with arbitrary input-output linkages. Analytically, we decompose how production linkages (1) amplify the persistence of inflation and GDP responses to monetary and...

Persistent link: https://www.econbiz.de/10014356604

Shocks, Frictions, and Inequality in US Business Cycles

Bayer, Christian - 2020

How much does inequality matter for the business cycle and vice versa? Using a Bayesian likelihood approach, we estimate a heterogeneous-agent New-Keynesian (HANK) model with incomplete markets and portfolio choice between liquid and illiquid assets. The model enlarges the set of shocks and...

Persistent link: https://www.econbiz.de/10012841741

Micro Jumps, Macro Humps : Monetary Policy and Business Cycles in an Estimated Hank Model

Auclert, Adrien - 2020

We estimate a Heterogeneous-Agent New Keynesian model with sticky household expectations that matches existing microeconomic evidence on marginal propensities to consume and macroeconomic evidence on the impulse response to a monetary policy shock. Our estimated model uncovers a central role for...

Persistent link: https://www.econbiz.de/10012842965

Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)

Caggiano, Giovanni - 2020

This paper revisits the well-known VAR evidence on the real effects of uncertainty shocks by Bloom (Econometrica 2009(3): 623-685. doi: 10.3982/ECTA6248). We replicate the results in a narrow sense using Eviews. In a wide sense, we extend his study by working with a smooth transition-VAR...

Persistent link: https://www.econbiz.de/10012824829

Investment Under Rational Inattention : Evidence from US Sectoral Data

Zorn, Peter - 2020

Macroeconomic and sector-specific shocks exert differential effects on investment in disaggregate sectoral data. The response to macroeconomic shocks is hump-shaped, just as in aggregate data. The effects of sectoral innovations decrease monotonically. A calibrated model of investment with...

Persistent link: https://www.econbiz.de/10012827670

Heterogeneous Expectations, Indeterminacy, and Postwar US Business Cycles

Ilabaca, Francisco - 2020

This paper estimates a New Keynesian model extended to include heterogeneous expectations, to revisit the evidence that postwar US macroeconomic data can be explained as the outcome of passive monetary policy, indeterminacy, and sunspot-driven fluctuations in the pre-1979 sample, with a switch...

Persistent link: https://www.econbiz.de/10012836715

Uncertainty and Monetary Policy During the Great Recession

Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021

We employ a nonlinear VAR framework and a state-of-the-art identification strategy to document the large response of real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this evidence with an estimated DSGE framework featuring a concept...

Persistent link: https://www.econbiz.de/10013235107

The effects of monetary policy on unemployment dynamics under model uncertainty: evidence from the US and the Euro area

Altavilla, Carlo; Ciccarelli, Matteo - 2009

This paper explores the role that the imperfect knowledge of the structure of the economy plays in the uncertainty surrounding the effects of rule-based monetary policy on unemployment dynamics in the euro area and the US. We employ a Bayesian model averaging procedure on a wide range of models...

Persistent link: https://www.econbiz.de/10010264579

Sorting and the output loss due to search frictions

Gautier, Pieter A.; Teulings, Coen N. - 2011

max-mean wage differential. The latter measure of wage dispersion is more robust than measures based on the reservation … wage, due to the long left tail of the wage distribution. We estimate this wage differential using data on match quality … and allow for measurement error. The estimated wage dispersion and mismatch for the US is consistent with an unemployment …

Persistent link: https://www.econbiz.de/10010274790