Two Essays On Business Cycle Models PDF Download

Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Two Essays On Business Cycle Models PDF full book. Access full book title Two Essays On Business Cycle Models.

Two Essays on Business Cycle Models

Two Essays on Business Cycle Models
Author: Tamon Takamura
Publisher:
Total Pages: 68
Release: 2012
Genre:
ISBN:
GET BOOK

Download Two Essays on Business Cycle Models Book in PDF, ePub and Kindle

Abstract: Canonical business cycle theories are incapable of explaining some recent patterns in the data. My research explores generalizations of them towards a resolution of these empirical anomalies. The first chapter, "An Empirical Evaluation of Sticky Information in a Two-Sector Model with Durable Goods," examines the empirical plausibility of the model developed by Kitamura and Takamura (2008), which presents a solution to the negative comovement problem discussed by Barsky, House and Kimball (BHK, 2007). Using the theoretical model presented by Kitamura and Takamura (2008), I compare impulse response functions in the model with those obtained from a structural VAR. Model-implied impulse response functions for sectoral output and inflation fit data well, for both durable and nondurable goods, over the period 1980Q1-2007Q4. Moreover, the minimum distance estimate of the degree of sticky information is 0.70, which is lower than the value used by Mankiw and Reis (2002) in their one-sector economy. This suggests that sticky information and firm-specific factors offer both a simple method to correct for the BHK puzzle and a useful strategy to generate plausible impulse responses in a two-sector economy. In the second chapter, "A General Equilibrium Model with Banks and Default on Loans," I develop a model to explain aggregate business cycle patterns in the U.S. after 1990. A particular interest of this chapter is to analyze the interaction between banks and the real sector. During the recent financial crisis, banks reduced new business lending amidst concerns about borrowers' ability to repay. At the same time, firms facing higher borrowing costs alongside a worsening economic outlook reduced investment. My model explicitly introduces banks into a business cycle model. I assume that a banks' ability to raise deposits is constrained by a limited commitment problem and that, furthermore, loans to firms involve default risk. In this environment, changes in loan rates affect the size of the business sector. I explore how banks influence the behavior of households and firms and find that both productivity and financial shocks lead to counter-cyclical default and interest rate spreads. I examine the implications of a government capital injection designed to mitigate the effect of negative productivity and financial shocks in the spirit of the Troubled Asset Relief Program (TARP). I find that the stabilizing effect of such policy interventions hinges on the source of the shock. In particular, a capital injection is less effective against aggregate productivity shocks because easing banks' lending stance only weakly stimulates firms' demand for loans when aggregate productivity falls. In contrast, a capital injection can counteract the adverse effect of financial shocks on the supply of loans. Finally, I measure aggregate productivity and financial shocks to evaluate the role of each in the business cycle. I find that the contribution of aggregate productivity shocks in aggregate output and investment is large until mid-2008. Financial shocks explains 65% of the fall in investment and 55% of the fall in output in the first quarter of 2009.

Essays on Monetary Business Cycles with Nominal Rigidities

Essays on Monetary Business Cycles with Nominal Rigidities
Author: Junhee Lee
Publisher:
Total Pages:
Release: 2005
Genre: Business cycles
ISBN:
GET BOOK

Download Essays on Monetary Business Cycles with Nominal Rigidities Book in PDF, ePub and Kindle

Abstract: My dissertation assesses the role of money and nominal rigidities in economic fluctuations and tries to improve on the performance of existing models with nominal rigidities. The dissertation consists of two essays. The essay titled "Sticky Prices and Co-movement in the Business Cycle," examines the co-movement of economic variables across different sectors of the economy during business cycles. Specifically, I address the previously unresolved problem in standard real business cycle (RBC) models that labor used for consumption good production moves negatively with aggregate labor in sharp contrast with the data (Benhabib et al. (1991)). Traditionally, however, not only productivity shocks and real factors emphasized in standard RBC models but also monetary shocks and nominal factors are believed to be important in explaining business cycles (e.g. Friedman and Schwartz (1968)). But until now, there has been virtually no attempt to explain the sectoral co-movement in this perspective. So in this essay, I construct a sticky prices model with consumption and investment sector to examine the sectoral co-movement in models with nominal rigidities, which are widely accepted in recent monetary business cycle research. It turns out that monetary shocks can generate the observed sectoral co-movement in models with nominal rigidities. Productivity shocks also induce mild positive comovement due to the stickiness of prices, though the result may not be robust in certain specifications. In my second essay, "Labor Market Matching, Nominal Wage Stickiness and the Propagation of Monetary Shocks," I investigate whether we can obtain realistic propagation of monetary shocks in business cycle models with labor market matching and nominal rigidities. Business cycle models with nominal rigidities do not readily generate the persistent and hump shaped aggregate output dynamics in response to monetary shocks, and improvement on this score has been a key agenda among business cycle researchers. Some researchers have combined stickiness of goods prices and labor market matching but with limited success. I show that greater persistence and hump shaped dynamics of aggregate output as well as plausible labor market dynamics are obtained when nominal wage stickiness rather than nominal price stickiness is assumed in models with labor market matching.

Business Cycles

Business Cycles
Author: Victor Zarnowitz
Publisher: University of Chicago Press
Total Pages: 614
Release: 1992-06-15
Genre: Business & Economics
ISBN: 0226978907
GET BOOK

Download Business Cycles Book in PDF, ePub and Kindle

Victor Zarnowitz has long been a leader in the study of business cycles, growth, inflation, and forecasting. These papers represent a carefully integrated and up-to-date study of business cycles, reexamining some of his earlier research as well as addressing recent developments in the literature and in history. In part one, Zarnowitz reviews with characteristic insight various theories of the business cycle, including Keynesian and monetary theories as well as more recent rational expectations and real business cycle theories. In doing so, he examines how the business cycle may have changed as the size of government, the exercise of fiscal and monetary policies, the openness of the economy to international forces, and the industrial structure have evolved over time. Emphasizing important research from the 1980s, Zarnowitz discusses in part two various measures of the trends and cycles in economic activity, including output, prices, inventories, investment in residential and nonresidential structures, equipment, and other economic variables. Here the author explores the duration and severity of U.S. business cycles over more than 150 years, and evaluates the ability of macro models to simulate past behavior of the economy. In part three the performance of leading, coincident, and lagging indicators is described and assessed and evidence is presented on the value of their composite measures. Finally, part four offers an analysis of the degree of success of large commercial forecasting firms and of many individual economists in predicting the course of inflation, real growth, unemployment, interest rates, and other key economic variables. Business Cycles is a timely study, certain tobecome a basic reference for professional forecasters and economists in government, academia, and the business community.

Essays on International Business Cycles

Essays on International Business Cycles
Author: Keita Oikawa
Publisher:
Total Pages:
Release: 2015
Genre:
ISBN: 9781339065748
GET BOOK

Download Essays on International Business Cycles Book in PDF, ePub and Kindle

In this dissertation, I present three essays on international business cycles. In the first essay, I document the empirical regularities of international business cycles using the OECD Quarterly Data, and review the existing literatures in this field. By checking the data, I point out 1) net exports-output ratios both in nominal and real terms are countercyclical before 1990 for most of the OECD countries, 2) but the ratios changes their signs from negative to positive after 1990 for some of the countries, and 3) the main reason for the sign changes is that there are changes in the relationship between exports and output: exports were weakly correlated with output or were lagged with output before 1990, but exports become strongly correlated with output and also coincident. In the literature review part, I suggest that many of the properties of international real business cycles can be accounted for by benchmark international real business cycle models, such as Backus, Kehoe and Kydland (1992) and subsequent literatures, but those models cannot account for the coexistence of procyclical and countercyclical net exports. Further, incorporating Bansal and Yaron (2004)-style multi-factor productivity with short-run (trend-stationary transitory) shocks and long-run (difference-stationary growth) shocks are promising in order to account for the new observation about the trade variables. In the second essay, I document that the correlation between net exports and output has not always been negative after 1960. For the G6 countries, most of the countries experienced countercyclical net exports before 1990. However, some of these countries, including Germany and Japan, experienced procyclical net exports after 1990 even though they experienced countercyclical net exports before that. I also show that a simple one-good two-country business cycle model with a multi-factor productivity process can explain the phenomena. A positive transitory shocks to productivity leads to a positive response in net exports because its consumption risk-sharing effect, which causes a international resource flow from Home to Foreign country, is larger than its efficiency effect, which causes an increase in investments in Home country by importing goods form Foreign country. On the other hand, a positive growth shocks to productivity lead to a negative response in net exports because its consumption risk-sharing effect is smaller than its efficiency effect. I estimate the stochastic productivity processes for the G6 countries by using the simulated method of moments, and the simulation results of the model based on the estimated parameters are able to account for the changes in net export dynamics from pre-1990 to post-1990 for Germany and Japan. In the third essay, I document that there are changes in the correlations about trade variables and capital flows for the G7 countries: 1) the magnitude of the contemporaneous correlation of exports with output is a half of that of imports with output for pre-1990, but the former is almost the same value as the latter for post-1990, 2) the magnitude of the contemporaneous correlation of real net exports-output ratio with output is significantly negative for pre-1990, but it becomes almost zero or weakly positive for post-1990. I present two types of two-country two-good real business cycle models, one of which is with complete financial markets and the other one is with incomplete financial markets model in a sense that only risk-free one-period bonds are traded. I also add two types of shocks, transitory and growth shocks, to these two models in the spirit of Aguiar and Gopinath (2007). Firstly, the standard complete financial markets model has a strong correlation of exports with output and a weak correlation of imports with output. Secondly, the standard incomplete financial markets model has a weak correlation of exports with output and a strong correlation of imports with output. Finally, with reasonable changes in model parameter values, both the complete and incomplete market models can account for the two empirical regularities above, but only the incomplete market model can account for the empirical regularities for pre-1990. I evaluate these models in light of cross-country correlation properties based on actual data, especially the cross-country consumption correlation anomaly. I show that the incomplete financial markets model is still better than the complete market model because the cross-country consumption correlation in the incomplete financial markets model is still larger than but closer to the cross-country output correlation compared with the case of the complete financial markets model.

Real Business Cycle Models in Economics

Real Business Cycle Models in Economics
Author: Warren Young
Publisher: Routledge
Total Pages: 240
Release: 2014-01-10
Genre: Business & Economics
ISBN: 1317934032
GET BOOK

Download Real Business Cycle Models in Economics Book in PDF, ePub and Kindle

The purpose of this book is to describe the intellectual process by which Real Business Cycle models were developed. The approach taken focuses on the core elements in the development of RBC models: (i) building blocks, (ii) catalysts, and (iii) meta-syntheses. This is done by detailed examination of all available unpublished variorum drafts of the key papers in the RBC story, so as to determine the origins of the ideas. The analysis of the process their discovery is then set out followed by explanations of the evolution and dissemination of the models, from first generation papers through full blown research programs. This is supplemented by interviews and correspondence with the individuals who were at the center of the development of RBC models, such as Kydland, Prescott, Long, Plosser, King, Lucas and Barro, among others. This book gets stright to the heart of the debates surrounding RBC models and as such contributes to a real assessment of their impact on modern macroeconomics. The volume, therefore, will interest all scholars looking at macroeconomics as well as historians of economic thought more generally.

Two Essays on the Sources of Business Cycle Fluctuations

Two Essays on the Sources of Business Cycle Fluctuations
Author: Kyungsoo Cha
Publisher:
Total Pages: 192
Release: 2007
Genre:
ISBN: 9780549393498
GET BOOK

Download Two Essays on the Sources of Business Cycle Fluctuations Book in PDF, ePub and Kindle

Re-examining contributions of the 1930s U.S. financial crisis to the Great Depression. This paper tries to resolve the litmus test of macroeconomic theories, the Great Depression. Since the work of Friedman and Schwartz (1963), the contributions of the 1930s financial crisis to the Great Depression have been mainly interpreted via the money-output link with sticky nominal wages within the monetary paradigm. However, some macroeconomists recently argue the plausibility of the monetary explanation and devaluate the effects of the financial crisis. Thus, this paper provides empirical evidence on the plausibility of the monetary explanation and re-examines the contributions of the financial crisis shock to the Great Depression. Results show that it seems difficult to support the money-output link with sticky nominal wages. Nevertheless, the data displays that the financial crisis can account for large fractions of the total variability of aggregate variables during the Great Depression, implying the plausibility of the other channel which emphasizes a reduction in real intermediated investment through the ineffectiveness of financial intermediaries.