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Working Paper
Firm Entry and Macroeconomic Dynamics: A State-level Analysis
Gourio, François; Messer, Todd; Siemer, Michael (2016-01-31)
Using an annual panel of U.S. states over the period 1982-2014, we estimate the response of macroeconomic variables to a shock to the number of new firms (startups). We find that these shocks have significant effects that persist for many years on real gross domestic product, productivity and population. This is consistent with simple models of firm dynamics where a ?missing generation? of firms affects productivity persistently.
Working Paper Series , Paper WP-2016-1

Working Paper
Signal extraction and the propagation of business cycles
Kasa, Kenneth (1995)
This paper studies a class of models developed by Townsend (1993) and Sargent (1991). These models feature dynamic signal extraction problems in which firms with heterogeneous information draw inferences from endogenously generated time series about the value of common persistent shock. Because the information firms receive is partially determined by the expectations of other firms, each firm must 'forecast the forecasts of others'. Moreover, since it is common knowledge that everyone is in the same situation, there occurs an infinite regress in expectations, in which each firm attempts to ...
Working Papers in Applied Economic Theory , Paper 95-14

Working Paper
Monetary Policy in a Model of Growth
Queraltó, Albert (2022-04-01)
Empirical evidence suggests that recessions have long-run effects on the economy's productive capacity. Recent literature embeds endogenous growth mechanisms within business cycle models to account for these "scarring" effects. The optimal conduct of monetary policy in these settings, however, remains largely unexplored. This paper augments the standard sticky-price New Keynesian (NK) to allow for endogenous dynamics in aggregate productivity. The model has a representation similar to the two-equation NK model, with an additional condition linking productivity growth to current and expected ...
International Finance Discussion Papers , Paper 1340

Working Paper
Expectations and economic fluctuations: an analysis using survey data
Sill, Keith; Leduc, Sylvain (2010)
Using survey-based measures of future U.S. economic activity from the Livingston Survey and the Survey of Professional Forecasters, the authors study how changes in expectations, and their interaction with monetary policy, contribute to fluctuations in macroeconomic aggregates. They find that changes in expected future economic activity are a quantitatively important driver of economic fluctuations: a perception that good times are ahead typically leads to a significant rise in current measures of economic activity and inflation. The authors also find that the short-term interest rate rises ...
Working Papers , Paper 10-6

Conference Paper
Job reallocation and the business cycle: new facts for an old debate
Schuh, Scott; Triest, Robert K. (1998-06)
Conference Series ; [Proceedings] , Volume 42 , Issue Jun , Pages 271-357

Working Paper
Monetary policy shocks, inventory dynamics, and price-setting behavior
Yun, Tack; Jung, Yongseung (2005)
In this paper, we estimate a VAR model to present an empirical finding that an unexpected rise in the federal funds rate decreases the ratio of sales to stocks available for sales, while it increases finished goods inventories. In addition, dynamic responses of these variables reach their peaks several quarters after a monetary shock. In order to understand the observed relationship between monetary policy and finished goods inventories, we allow for the accumulation of finished goods inventories in an optimizing sticky price model, where prices are set in a staggered fashion. In our model, ...
Working Paper Series , Paper 2006-02

Working Paper
North-South financial integration and business cycles
Kouparitsas, Michael A. (1996)
This paper examines the business cycle implications of increased North-South trade in financial assets. We build a quantitative general equilibrium model of North-South trade and compare the model's predictions under two asset market assumptions: a restricted setting in which asset trade is limited to a non-contingent one-period bond market; and a highly integrated setting in which agents have access to a complete contingent-claims market. Simulations of the North-South model suggest that increased North-South trade in asset markets (a) lowers Southern consumption and output volatility, and ...
Working Paper Series, Macroeconomic Issues , Paper WP-96-10

Working Paper
Business cycle turning points: two empirical business cycle model approaches
Gordon, Stephen F.; Filardo, Andrew J. (1995)
This paper compares a set of non-nested empirical business cycle models. The alternative linear models include a VAR and Stock and Watson's (1991) unobserved components model. The alternative nonlinear models include the time-varying transition probability Markov switching model (Filardo 1993) and an integration of the Markov switching model with the Stock and Watson model as proposed by Diebold and Rudebusch (1994) and Chauvet (1994). Generally, this paper finds that no one model dominates in a predictive sense at all times. The nonlinear models, however, tend to outperform the linear models ...
Research Working Paper , Paper 95-15

Report
Investment shocks and business cycles
Justiniano, Alejandro; Tambalotti, Andrea; Primiceri, Giorgio E. (2008)
Shocks to the marginal efficiency of investment are the most important drivers of business cycle fluctuations in U.S. output and hours. Moreover, like a textbook demand shock, these disturbances drive prices higher in expansions. We reach these conclusions by estimating a dynamic stochastic general equilibrium (DSGE) model with several shocks and frictions. We also find that neutral technology shocks are not negligible, but their share in the variance of output is only around 25 percent and even lower for hours. Labor supply shocks explain a large fraction of the variation of hours at very ...
Staff Reports , Paper 322

Working Paper
On the welfare gains of reducing the likelihood of economic crises
Corbae, Dean; Chatterjee, Satyajit (2000)
The authors seek to measure the potential benefit of reducing the likelihood of economic crises (defined as Depression-style collapses of economic activity). Based on the observed frequency of Depression-like events, they estimate this likelihood to be approximately one in every 83 years for the U.S. The welfare gain of reducing even this small probability of crisis to zero can range between 1.05 percent and 6.59 percent of annual consumption in perpetuity. These large gains occur because although the probability of entering a Depression-like state is small, once the state is entered it is ...
Working Papers (Old Series) , Paper 0015

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