Suchergebnisse

Intro -- BUSINESS CYCLE FLUCTUATIONS AND ECONOMIC POLICY -- CONTENTS -- PREFACE -- ASYMMETRIC BUSINESS CYCLE FLUCTUATIONS VIA TIME SERIES MODELS AND NEURAL NETWORK LINEARITY TESTS -- ABSTRACT -- 1. INTRODUCTION -- 2. ARTIFICIAL NEURAL NETWORKS -- 3. TIME SERIES LINEARITY TESTS -- 4. EMPIRICAL RESULTS -- 5. CONCLUSION -- 6. REFERENCES -- NEURAL NETWORK FORECASTS EVALUATIONS AND BUSINESS CYCLE FLUCTUATIONS -- ABSTRACT -- 1. INTRODUCTION -- 2. NEURAL NETWORKS -- 3. EMPIRICAL RESULTS -- 4. CONCLUSION -- 5. REFERENCES -- A ROBUST EVIDENCE OF BUSINESS CYCLE ASYMMETRIES IN G7 COUNTRIES -- ABSTRACT -- 1. INTRODUCTION -- 2. EMPIRICAL MODEL -- 3. EMPIRICAL RESULTS -- 4. CONCLUSION -- 5. REFERENCES -- ASYMMETRIC BUSINESS CYCLE FLUCTUATIONS AND CONTAGION EFFECTS IN G7 COUNTRIES -- ABSTRACT -- 1. INTRODUCTION -- 2. EMPIRICAL MODEL: ARTIFICIAL NEURAL NETWORK -- 3. EMPIRICAL RESULTS -- 4. CONCLUSION -- 5. REFERENCES -- BUSINESS CYCLE ASYMMETRIES IN ASIAN ECONOMIES VIA NONLINEAR TIME SERIES MODELS AND NEURAL NETWORKS -- ABSTRACT -- 1. INTRODUCTION -- 2. EMPIRICAL MODELS -- 3. EMPIRICAL RESULTS -- 4. CONCLUSION -- 5. REFERENCES -- INDEX.

This paper develops a theory of expectations-driven business cycles based on learning. Agents have incomplete knowledge about how market prices are determined and shifts in expectations of future prices affect dynamics. Learning breaks the tight link between fundamentals and equilibrium prices, inducing periods of erroneous optimism or pessimism about future returns to capital and wages which subsequent data partially validate. In a real business cycle model, the theoretical framework amplifies and propagates technology shocks. Moreover, it produces agents' forecast errors consistent with business cycle properties of forecast errors for a wide range of variables from the Survey of Professional Forecasters. JEL: C53, D83, D84, E32, E37

"This paper develops a theory of expectations-driven business cycles based on learning. Agents have incomplete knowledge about how market prices are determined and shifts in expectations of future prices affect dynamics. In a real business cycle model, the theoretical framework amplifies and propagates technology shocks. Improved correspondence with data arises from dynamics in beliefs being themselves persistent and because they generate strong intertemporal substitution effects in consumption and leisure. Output volatility is comparable with a rational expectations analysis with a standard deviation of technology shock that is 20 percent smaller, and has substantially more volatility in investment and hours. Persistence in these series is captured, unlike in standard models. Inherited from real business cycle theory, the benchmark model suffers a comovement problem between consumption, hours, output and investment. An augmented model that is consistent with expectations-driven business cycles, in the sense of Beaudry and Portier (2006), resolves these counterfactual predictions"--National Bureau of Economic Research web site

AbstractWe introduce equilibrium indeterminacy into a two‐country incomplete asset model with imperfect competition to analyze the role of self‐fulfilling expectations or beliefs in explaining international business cycles. We find that, when self‐fulfilling beliefs are correlated with technology shocks, the model can account for the countercyclical behaviour observed for the terms of trade and real net exports while simultaneously generating higher volatilities relative to output, as in the data. The choice of the labour‐supply elasticity is shown to be critical for generating a negative correlation between the real exchange rate and relative consumption, thereby resolving the Backus–Smith puzzle.

Using micro-level data, we construct a credit spread index with considerable predictive power for future economic activity. We decompose the credit spread into a component that captures firm-specific information on expected defaults and a residual component–– the excess bond premium. Shocks to the excess bond premium that are orthogonal to the current state of the economy lead to declines in economic activity and asset prices. An increase in the excess bond premium appears to reflect a reduction in the risk-bearing capacity of the financial sector, which induces a contraction in the supply of credit and a deterioration in macroeconomic conditions.

This paper examines the relative importance of external shocks as sources of business cycle fluctuations in Mexico, and identifies the dynamic responses of domestic output to foreign disturbances. Using a VAR model with block exogeneity restrictions, it finds that U.S. shocks explain a large share of Mexico's macroeconomic fluctuations after NAFTA. This partly reflects greater trade integration-but also Mexico's ""Great Moderation,"" as the country escaped its former pattern of macro-financial crises. In this period, Mexico's output fluctuations have been closely synchronized with the U.S. cyc

Forthcoming, Journal of Political Economy ; International audience ; This paper builds a framework for the analysis of macroeconomic fluctuations that incorporates the endogenous determination of the number of producers and products over the business cycle. Economic expansions induce higher entry rates by prospective entrants subject to irreversible investment costs. The sluggish response of the number of producers (due to sunk entry costs and a time-to-build lag) generates a new and potentially important endogenous propagation mechanism for real business cycle models. The return to investment (corresponding to the creation of new productive units) determines household saving decisions, producer entry, and the allocation of labor across sectors. The model performs at least as well as the benchmark real business cycle model with respect to the implied second-moment properties of key macroeconomic aggregates. In addition, our framework jointly predicts procyclical product variety and procyclical profits even for preference specifications that imply countercyclical markups. When we include physical capital, the model can simultaneously reproduce most of the variance of GDP, hours worked, and total investment found in the data.

Forthcoming, Journal of Political Economy ; International audience ; This paper builds a framework for the analysis of macroeconomic fluctuations that incorporates the endogenous determination of the number of producers and products over the business cycle. Economic expansions induce higher entry rates by prospective entrants subject to irreversible investment costs. The sluggish response of the number of producers (due to sunk entry costs and a time-to-build lag) generates a new and potentially important endogenous propagation mechanism for real business cycle models. The return to investment (corresponding to the creation of new productive units) determines household saving decisions, producer entry, and the allocation of labor across sectors. The model performs at least as well as the benchmark real business cycle model with respect to the implied second-moment properties of key macroeconomic aggregates. In addition, our framework jointly predicts procyclical product variety and procyclical profits even for preference specifications that imply countercyclical markups. When we include physical capital, the model can simultaneously reproduce most of the variance of GDP, hours worked, and total investment found in the data.