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Although the empirical evidence about the leading indicator property of the term spread (LIPTS) is powerful, this property lacks a rigorous theoretical foundation. This paper investigates whether dynamic equilibrium asset pricing models are able to provide a theoretical underpinning for the...
Persistent link: https://www.econbiz.de/10014074061
The empirical importance of news shocks—anticipated future shocks—in business cycle fluctuations has been explored by using only actual data when estimating models augmented with news shocks. This paper additionally exploits forecast data to identify news shocks in a canonical...
Persistent link: https://www.econbiz.de/10012847203
relax collateral constraints today, leading to a boom before the realization of the shock. But reallocation of capital … toward the secondary sector when the shock hits leads to a bust going forward. These cycles are perfectly foreseen in our …
Persistent link: https://www.econbiz.de/10014264877
Recent studies attempt to quantify the empirical importance of news shocks (ie., anticipated future shocks) in business cycle fluctuations. This paper identifies news shocks in a dynamic stochastic general equilibrium model estimated with not only actual data but also forecast data. The...
Persistent link: https://www.econbiz.de/10014173436
relax collateral constraints today, leading to a boom before the realization of the shock. But reallocation of capital … toward the secondary sector when the shock hits leads to a bust going forward. These cycles are perfectly foreseen in our …
Persistent link: https://www.econbiz.de/10014350131
Persistent link: https://www.econbiz.de/10012305192
Persistent link: https://www.econbiz.de/10011799219
We document significant upward bias in estimates of the transmission of uncertainty shocks to real activity found in prominent studies of uncertainty's macroeconomic transmission. We show this bias is due to predictability in these uncertainty shocks. The predictability stems not from the use of...
Persistent link: https://www.econbiz.de/10013215412
We document significant upward bias in estimates of the transmission of uncertainty shocks to real activity found in prominent studies of uncertainty's macroeconomic transmission. We show this bias is due to predictability in these uncertainty shocks. The predictability stems not from the use of...
Persistent link: https://www.econbiz.de/10013215580
We embed a news shock, a noisy indicator of the future state, in a two-state Markovswitching growth model. Our …
Persistent link: https://www.econbiz.de/10011894302