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Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using …
Persistent link: https://www.econbiz.de/10012703485
velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during …
Persistent link: https://www.econbiz.de/10010494417
business cycle. Second, a shock that moves the land price is capable of generating large volatility in unemployment. Our … estimation indicates that a 10 percent drop in the land price leads to a 0.34 percentage point increase in the unemployment rate …
Persistent link: https://www.econbiz.de/10010397671
Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …
Persistent link: https://www.econbiz.de/10010260526
In this paper we analyze how the availability of credit influences the relationship between government size as a proxy for fiscal stabilization policy and the amplitude of business cycle fluctuations in a sample of advanced OECD countries. Interpreting relatively low loan-tovalue ratios as an...
Persistent link: https://www.econbiz.de/10010294478
velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during …
Persistent link: https://www.econbiz.de/10010288749
Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...
Persistent link: https://www.econbiz.de/10010302583
We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the U.S. bond market. Estimating the model using Bayesian techniques, we find that a single factor explains most of the variation in bond risk premiums. Furthermore, the model-implied...
Persistent link: https://www.econbiz.de/10011506774
this will unduly increase volatility in the banks' capital. Furthermore, when the credit supply is rationed, capital … plays a crucial role in mitigating the volatility in capital requirements. Therefore, despite the fact that capital charges …
Persistent link: https://www.econbiz.de/10010295899
This paper develops a Dynamic Stochastic General Equilibrium (DSGE) model to study how the instability of the banking sector can amplify and propagate business cycles. The model builds on Bernanke, Gertler and Gilchrist (BGG) (1999), who consider credit demand friction due to agency cost, but it...
Persistent link: https://www.econbiz.de/10010299852