Building on a frequency-domain identification within a nonlinear Structural Dynamic Factor Model, we study the nonlinear transmission of demand and supply shocks, the two shocks accounting for the bulk of fluctuations in U.S. macroeconomic variables. Supply shocks propagate symmetrically and are...

This paper proposes a unified framework to study the permanent and transitory origins of US economic fluctuations. The model provides a reasonable account of the evolution of the economy in the post-war period and of the recent inflation episode. Overall, it constitutes a comprehensive framework...

This paper introduces a general method for computing aggregate fluctuations in economies with private information. Instead of the cross-sectional distribution of agents across individual states, the method uses as a state variable a vector of spline coefficients describing a long history of past...

This paper examines the inflationary episode of 1603 in Spain through the lens of Austrian Economic Theory. The study focuses on the effects of monetary expansion caused by the influx of precious metals from the Americas and its impact on real wages and raw material prices. Through the analysis...

Consumers often exhibit behavioral cycles with alternating abstinence and indulgence over time. In the framework of tempting good consumption under limited willpower, we develop a simple model of the self-control cycles. To do so, based on the empirically relevant property of self-control, we...

I develop a methodology for Bayesian estimation of globally solved, non-linear macroeconomic models. A novel feature of my method is the use of a mixture density network to approximate the distribution of initial states. I use the methodology to estimate a medium-scale, two-agent New Keynesian...

Timely updates of business cycle fluctuations-commonly represented by movements in the output gap-help policymakers make informed decisions on the appropriate course of action. Unfortunately, business cycle assessments often suffer from lags in actual gross domestic product data releases. This...

By applying a simple dynamic general equilibrium model without exogenous shocks inhabited by infinitely lived capitalists and workers, we show that a higher degree of relative risk aversion can destabilize an economy. In traditional real business cycle (RBC) theory, a higher degree of relative...

The business cycle is driven by expectations - some justified, some not - as documented by a host of studies. What is less clear are the conditions that make the economy susceptible to "sentiment shocks." In this paper, we document that uncertainty, as measured by forecaster disagreement, is...

This paper proposes a unified framework to study the permanent and transitory origins of US economic fluctuations. The model provides a reasonable account of the evolution of the economy in the post-war period and of the recent inflation episode. Overall, it constitutes a comprehensive framework...

Business cycles with pronounced inflation can have sectoral origins and often feature a growing share of price-adjusting firms. Rationalizing such phenomena requires enhancing our modeling toolkit. We do that by building a non-linear equilibrium multi-sector framework featuring a general...

Traditional approaches to predicting business cycles are limited by their omission of financial variables, which, in turn, leads to failures to signal financial-sector crises and to misestimate the duration and intensity of economic events. This study addresses this challenge by constructing a...

This paper discusses the usefulness of risk scenarios-forecasts conditional on specific future paths for economic variables and shocks-for monitoring the Canadian economy. To do so, we use a vector autoregressive (VAR) approach to produce macroeconomic forecasts conditional on four risk...

Households may perceive that macroeconomic variables move together in a different way from that implied by their actual realizations and sophisticated models. We use a structural test derived from a multivariate noisy-information framework and additional evidence from survey data and newspaper...

This paper sets up a medium-scale small open economy TANK model with incomplete markets to address business cycles in Korea extensively. The estimated model via Bayesian estimation methodology shows that the fraction of households who lack access to financial markets increased from 30 percent to...

We present an Uncertainty Perception Indicator (UPI) for Germany based on the dynamic topic modelling technique RollingLDA. In contrast to conventional LDA, where all data is processed in one go, the recursive structure of RollingLDA ensures that data is made available for modeling as soon as it...