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Sector Specific News Shocks in Aggregate and Sectoral Fluctuations
Görtz, Christoph; Tsoukalas, John D. - 2013
Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for … expansionary while those in the investment sector are broadly contractionary. Our results indicate a significant role of TFP news … shocks as a predictive force behind fluctuations. Consumption sector TFP news shocks generate both aggregate and sectoral co …
Persistent link: https://www.econbiz.de/10010317027
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Sector Specific News Shocks in Aggregate and Sectoral Fluctuations
Görtz, Christoph; Tsoukalas, John D. - CESifo - 2013
Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for … expansionary while those in the investment sector are broadly contractionary. Our results indicate a significant role of TFP news … shocks as a predictive force behind fluctuations. Consumption sector TFP news shocks generate both aggregate and sectoral co …
Persistent link: https://www.econbiz.de/10010667413
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Sector specific news shocks in aggregate and sectoral fluctuations
Görtz, Christoph; Tsoukalas, John D. - 2013 - First version: March 2011, This version: May 2013
Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for … expansionary while those in the investment sector are broadly contractionary. Our results indicate a significant role of TFP news … shocks as a predictive force behind fluctuations. Consumption sector TFP news shocks generate both aggregate and sectoral co …
Persistent link: https://www.econbiz.de/10009753003
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A compact open economy DSGE model for Switzerland
Rudolf, Barbara; Zurlinden, Mathias - Schweizerische Nationalbank (SNB) - 2014
This study describes a compact dynamic stochastic general equilibrium (DSGE) model fitted for the Swiss economy with Bayesian techniques. The model features two economies (small home economy, large foreign economy), five types of agents (households, producers of tradables, producers of...
Persistent link: https://www.econbiz.de/10011079242
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Firm-Specific Capital, Nominal Rigidities and the Business Cycle
Altig, David; Christiano, Lawrence; Eichenbaum, Martin; … - 2004
Macroeconomic and microeconomic data paint conflicting pictures of price behavior. Macroeconomic data suggest that inflation is inertial. Microeconomic data indicate that firms change prices frequently. We formulate and estimate a model which resolves this apparent micro - macro conflict. Our...
Persistent link: https://www.econbiz.de/10010321321
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Firm-Specific Capital, Nominal Rigidities and the Business Cycle
Altig, David; Christiano, Lawrence; Eichenbaum, Martin; … - Sveriges Riksbank - 2004
Macroeconomic and microeconomic data paint conflicting pictures of price behavior. Macroeconomic data suggest that inflation is inertial. Microeconomic data indicate that firms change prices frequently. We formulate and estimate a model which resolves this apparent micro - macro conflict. Our...
Persistent link: https://www.econbiz.de/10005649100
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Firm-specific capital, nominal rigidities and the business cycle
Altig, David; Christiano, Lawrence J.; Eichenbaum, Martin S. - 2004
Macroeconomic and microeconomic data paint conflicting pictures of price behavior. Macroeconomic data suggest that inflation is inertial. Microeconomic data indicate that firms change prices frequently. We formulate and estimate a model which resolves this apparent micro - macro conflict. Our...
Persistent link: https://www.econbiz.de/10011584699
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Involuntary Unemployment and the Business Cycle
Christiano, Lawrence J.; Trabrandt, Mathias; Walentin, Karl - Sveriges Riksbank - 2010
Can a model with limited labor market insurance explain standard macro- and labor market data jointly? We seek to construct a monetary model in which: i) the unemployed are worse off than the employed, i.e. unemployment is involuntary and ii) the labor force participation rate varies with the...
Persistent link: https://www.econbiz.de/10008516098
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News Shocks and the Slope of the Term Structure of Interest Rates
Kurmann, André; Otrok, Christopher - Centre Interuniversitaire sur le Risque, les Politiques … - 2010
slope, lead us to interpret this main shock as a news shock about future productivity. We confirm this interpretation by … formally identifying such a news shock as in Barsky and Sims (2009) and Sims (2009). We then assess to what extent a New … Keynesian DSGE model is capable of generating the observed slope responses to a news shock. We find that augmenting DSGE models …
Persistent link: https://www.econbiz.de/10008630014
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News and Financial Intermediation in Aggregate Fluctuations
Görtz, Christoph; Tsoukalas, John - Volkswirtschaftliche Fakultät, … - 2011
We develop a two-sector DSGE model with financial intermediation to investigate the role of news as a driving force of … the business cycle. We find that news about future capital quality is a significant source of aggregate fluctuations … and propagation of capital quality shocks. In addition, news shocks in capital quality generate aggregate and sectoral …
Persistent link: https://www.econbiz.de/10009325616