Showing 1 - 10 of 108
We provide a new theory of expectations-driven business cycles in which consumers' learning from prices dramatically alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate beliefs, generating positive price-quantity comovement....
Persistent link: https://www.econbiz.de/10011804368
We provide a new theory of expectations-driven business cycles in which consumers' learning from prices dramatically alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate beliefs, generating positive price-quantity comovement....
Persistent link: https://www.econbiz.de/10012956266
Standard economic intuition suggests that asset prices are more sensitive to news than other economic aggregates. This has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle models containing news shocks. This paper shows how to...
Persistent link: https://www.econbiz.de/10012916362
The aim of this study is to assess the extent to which the degree of heterogeneity of inflation expectations is driven by the flow of information related to current and future price developments. To that end, we follow three routes: i) We propose different measures of information flow that have...
Persistent link: https://www.econbiz.de/10013100575
Can discretionary increases in government spending stimulate the economy? We answer this question by taking into account both the information flow on fiscal measures and the role played by information frictions. Using a novel set of empirical proxies for fiscal news and agents' misperceptions,...
Persistent link: https://www.econbiz.de/10013020630
We estimate the sticky information Phillips curve model of Mankiw and Reis (2002) using survey expectations of professional forecasters from four major European economies. Our estimates imply that inflation expectations in France, Germany and the United Kingdom are updated about once a year, in...
Persistent link: https://www.econbiz.de/10012770725
text-to-network process, which has its basis in co-occurrences of bank names and can be analysed quantitatively and … illustrating network structures. We illustrate the text-based approach on European Large and Complex Banking Groups (LCBGs) during …
Persistent link: https://www.econbiz.de/10013001190
failure would have the most detrimental contagion effects on the system as a whole. Finally, as the simulation of the network … simulated network structures …
Persistent link: https://www.econbiz.de/10013088487
from observing the actions of peers. When the social belief is strong and the financial network is fragmented, banks follow … endogenously formed interbank networks, however, less informative signals lead to higher network density and less synchronization …
Persistent link: https://www.econbiz.de/10013051175
markets across the globe, call for taking a “macro” view on the interconnections arising in the clearing network. Based on the … analysis of derivatives transactions data reported under the EMIR Regulation we reconstruct the network of relationships in the …-cleared derivatives network is modelled in the form of a multiplex network where each layer is represented by a derivatives asset class …
Persistent link: https://www.econbiz.de/10012844618