Showing 1 - 10 of 17
We construct and estimate a dynamic stochastic general equilibrium model that features demand- and supply-side uncertainty. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand-side and supply-side...
Persistent link: https://www.econbiz.de/10012906311
We construct and estimate an endogenous growth model with debt and equity financing frictions to understand the relation between business cycle fluctuations and long-term growth. The presence of spillover effects from R&D imply an endogenous relation between productivity growth and the state of...
Persistent link: https://www.econbiz.de/10013040420
This paper presents market-based evidence that President Trump influences expectations about monetary policy. We use tick-by-tick fed funds futures data and a collection of Trump tweets criticizing the conduct of monetary policy and consistently advocating that the Fed lower interest rates....
Persistent link: https://www.econbiz.de/10012862403
Value stocks are more exposed to disaster risk than growth stocks. Embedding disasters into an investment-based asset pricing model induces strong nonlinearity in the pricing kernel. Our single-factor model reproduces the failure of the CAPM in explaining the value premium in finite samples in...
Persistent link: https://www.econbiz.de/10013224982
What happens if the government's willingness to stabilize a large stock of debt is waning, while the central bank is adamant about preventing a rise in inflation? The large fiscal imbalance brings about inflationary pressures, triggering a monetary tightening, further debt accumulation, and...
Persistent link: https://www.econbiz.de/10012951351
We propose a novel approach to deal with the problem of indeterminacy in Linear Rational Expectations models. The method consists of augmenting the original model with a set of auxiliary exogenous equations that are used to provide the adequate number of explosive roots in presence of...
Persistent link: https://www.econbiz.de/10012953981
We show that policy uncertainty about how the rising public debt will be stabilized accounts for the lack of deflation in the US economy at the zero lower bound. We first estimate a Markov-switching VAR to highlight that a zero-lower-bound regime captures most of the comovements during the Great...
Persistent link: https://www.econbiz.de/10013052104
We reinterpret post World War II US economic history using an estimated microfounded model that allows for changes in the monetary/fiscal policy mix. We find that the fiscal authority was the leading authority in the ‘60s and the ‘70s. The appointment of Volcker marked a change in the...
Persistent link: https://www.econbiz.de/10013052676
This paper estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits...
Persistent link: https://www.econbiz.de/10013054525
We adopt a time series approach to investigate the historical relation between unemployment, life expectancy, and mortality rates. We fit Vector-autoregressions for the overall US population and for groups identified based on gender and race. We use our results to assess the long-run effects of...
Persistent link: https://www.econbiz.de/10013247846