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Learning Efficiency Shocks, Knowledge Capital and the Business Cycle : A Bayesian Evaluation

Johri, Alok - 2019

We incorporate shocks to the efficiency with which firms learn from production activity and accumulate knowledge into … output, investment, consumption and especially hours worked in post-war US data. The estimated shock processes suggest much … with current TFP, a role usually played by preference shocks. At the same time, knowledge capital acts like an endogenous …

Persistent link: https://www.econbiz.de/10012894230

Financial crisis and slow recovery with Bayesian learning agents

Horii, Ryo; Ono, Yoshiyasu - 2020

intuitive explanation of business cycle asymmetry and post-crisis slow recovery. When observing a liquidity shock, individuals …

Persistent link: https://www.econbiz.de/10012195742

Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle

Chatterjee, Pratiti; Milani, Fabio - 2020

What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...

Persistent link: https://www.econbiz.de/10012294890

Financial Crisis and Slow Recovery with Bayesian Learning Agents

Horii, Ryo - 2020

intuitive explanation of business cycle asymmetry and post-crisis slow recovery. When observing a liquidity shock, individuals …

Persistent link: https://www.econbiz.de/10012837637

Technology Shocks, Statistical Models, and the Great Moderation

Fuentes-Albero, Cristina - 2015

the neutral technology shock is the main driving force in the volatility slowdown, allowing for a larger financial …

Persistent link: https://www.econbiz.de/10014049832

News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models

Avdjiev, Stefan - 2014

The existing literature on estimated structural News Driven Business Cycle (NDBC) models has focused almost exclusively on macroeconomic data and has largely ignored asset prices. In this paper, we present evidence that including data on asset prices in the estimation of a structural NDBC model...

Persistent link: https://www.econbiz.de/10013067113

Rare shocks, great recessions

Cúrdia, Vasco; Del Negro, Marco; Greenwald, Daniel L. - 2012

We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a Student's t-distribution. Results from the Smets and Wouters (2007) model estimated on the usual set of macroeconomic time series over the 1964-2011 period indicate that 1) the...

Persistent link: https://www.econbiz.de/10010219714

Consumer misperceptions, uncertain fundamentals, and the business cycle

Hürtgen, Patrick - 2011

This paper explores the importance of shocks to consumer misperceptions, or "noise shocks", in a quantitative business cycle model. I embed imperfect information as in Lorenzoni (2009) into a new Keynesian model with price and wage rigidities. Agents learn about the components of labor...

Persistent link: https://www.econbiz.de/10009748252

Fiscal news and macroeconomic volatility

Born, Benjamin; Peter, Alexandra; Pfeifer, Johannes - 2011

This paper analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an estimated New Keynesian DSGE model. While fiscal policy accounts for 12 to 20 percent of output variance at business cycle frequencies, the anticipated component hardly matters for...

Persistent link: https://www.econbiz.de/10009748254

News-driven uncertainty fluctuations

Song, Dongho; Tang, Jenny - 2018 - This version: January 2018

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