Determinants of Equipment Investment Cycles at a Business Cycle Frequency

2019 ◽  
Vol 21 (2) ◽  
pp. 827-838
Author(s):  
Young-Joon Park
Keyword(s):  
Business Cycle ◽  
Cycle Frequency ◽  
Equipment Investment

Macroeconomic Aspects of Housing

2019 ◽  
Author(s):  
Charles Ka Yui Leung ◽  
Cho Yiu Joe Ng
Keyword(s):  
Business Cycle ◽  
Housing Market ◽  
Global Financial Crisis ◽  
Strong Association ◽  
Housing Price ◽  
Stylized Facts ◽  
Cycle Frequency ◽  
Market Variables ◽  
The Global Financial Crisis ◽  
Macro Finance

This article summarizes research on the macroeconomic aspects of the housing market. In terms of the macroeconomic stylized facts, this article demonstrates that with respect to business cycle frequency, there was a general decrease in the association between macroeconomic variables (MV), such as the real GDP and inflation rate, and housing market variables (HMV), such as the housing price and the vacancy rate, following the global financial crisis (GFC). However, there are macro-finance variables, such as different interest rate spreads, that exhibited a strong association with the HMV following the GFC. For the medium-term business cycle frequency, some but not all patterns prevail. These “new stylized facts” suggest that a reconsideration and refinement of existing “macro-housing” theories would be appropriate. This article also provides a review of the corresponding academic literature, which may enhance our understanding of the evolving macro-housing–finance linkage.

scholarly journals Labor Market Informality and the Business Cycle

2020 ◽  
Vol 20 (256) ◽  
Author(s):  
Frederic Lambert ◽  
Andrea Pescatori ◽  
Frederik Toscani
Keyword(s):  
Labor Market ◽  
Business Cycle ◽  
Open Economy ◽  
Developing Economies ◽  
Small Open Economy ◽  
Gdp Per Capita ◽  
Formal Sector ◽  
Cycle Frequency ◽  
Dynamic Stochastic ◽  
Per Capita

Labor market informality is a pervasive feature of most developing economies. Motivated by the empirical regularity that the labor informality rate falls with GDP per capita, both at business cycle frequency and in a cross-section of countries, and that the Okun's coefficient falls with the level of labor informality, we build a small open-economy dynamic stochastic general equilibrium model with two sectors, formal and informal, which can replicate these key stylized facts. The model is calibrated to Colombia. The results show that labor market and tax reforms play an important role in changing the informality rate but also caution against over-optimism - with low GDP per capita, informality will always be relatively high as there is insufficient demand for formal goods. Quantitatively we find that higher productivity in the formal sector is key in explaining the difference between Colombia and countries with significantly lower informality. We use the model to study how labor informality and labor market frictions mediate the cyclical response of the economy to shocks, including commodity price shocks which are particularly relevant in Latin America. Informality is shown to play an important role as a shock absorber with the informal-formal margin limiting movements in the employed-unemployed margin.

Getting Paid to Hedge: Why Don’t Investors Pay a Premium to Hedge Downturns?

2018 ◽  
Vol 54 (3) ◽  
pp. 1157-1192
Author(s):  
Nishad Kapadia ◽  
Barbara Bennett Ostdiek ◽  
James P. Weston ◽  
Morad Zekhnini
Keyword(s):  
Gross Domestic Product ◽  
Business Cycle ◽  
Expected Returns ◽  
Firm Characteristics ◽  
Cycle Frequency ◽  
Gross Domestic Product Growth ◽  
Market Index ◽  
Ex Ante ◽  
Out Of Sample ◽  
The Business Cycle

Stocks that hedge sustained market downturns should have low expected returns, but they do not. We use ex ante firm characteristics and covariances to construct a tradable safe minus risky (SMR) portfolio that hedges market downturns out of sample. Although downturns (peaks to troughs in market index levels at the business-cycle frequency) predict significant declines in gross domestic product growth, SMR has significant positive average returns and 4-factor alphas (both around 0.8% per month). Risk-based models do not explain SMR’s returns, but mispricing does. Risky stocks are overpriced when sentiment is high, resulting in subsequent returns of -0.9% per month.

scholarly journals Ambiguous Business Cycles

2014 ◽  
Vol 104 (8) ◽  
pp. 2368-2399 ◽  
Author(s):  
Cosmin L. Ilut ◽  
Martin Schneider
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
New Keynesian ◽  
Knightian Uncertainty ◽  
Cycle Model ◽  
Cycle Frequency ◽  
Uncertainty Shocks ◽  
Business Cycle Model ◽  
Macro Variables

This paper studies a New Keynesian business cycle model with agents who are averse to ambiguity (Knightian uncertainty). Shocks to confidence about future TFP are modeled as changes in ambiguity. To assess the size of those shocks, our estimation uses not only data on standard macro variables, but also incorporates the dispersion of survey forecasts about growth as a measure of confidence. Our main result is that TFP and confidence shocks together can explain roughly two thirds of business cycle frequency movements in the major macro aggregates. Confidence shocks account for about 70 percent of this variation. (JEL D81, D84, E12, E32)

Mismatch

2007 ◽  
Vol 97 (4) ◽  
pp. 1074-1101 ◽  
Author(s):  
Robert Shimer
Keyword(s):  
Business Cycle ◽  
Labor Markets ◽  
Dynamic Model ◽  
Duration Dependence ◽  
Cycle Frequency ◽  
Separation Rate ◽  
The Business Cycle ◽  
Job Finding

This paper develops a dynamic model of mismatch. Workers and jobs are randomly allocated to labor markets. Each market clears, but some have excess (unemployed) workers and some have excess (vacant) jobs. As workers and jobs switch markets, unemployed workers find vacancies and employed workers become unemployed. The model is quantitatively consistent with the business cycle frequency comovement of unemployment, vacancies, and the job finding rate and explains much of these variables' volatility. It can also address cyclicality in the separation rate into unemployment and duration dependence in the job finding rate. The results are robust to some nonrandom mobility. (JEL E24, J41, J63, J64)

scholarly journals The Cyclical Behavior of Equilibrium Unemployment and Vacancies Revisited

2008 ◽  
Vol 98 (4) ◽  
pp. 1692-1706 ◽  
Author(s):  
Marcus Hagedorn ◽  
Iourii Manovskii
Keyword(s):  
Standard Model ◽  
Business Cycle ◽  
Search Model ◽  
Equilibrium Unemployment ◽  
Cycle Frequency ◽  
The Standard Model ◽  
Cyclical Behavior ◽  
Frequency Fluctuations ◽  
The Cost ◽  
Number Of Authors

Recently, a number of authors have argued that the standard search model cannot generate the observed business-cycle-frequency fluctuations in unemployment and job vacancies, given shocks of a plausible magnitude. We propose a new calibration strategy of the standard model that uses data on the cost of vacancy creation and cyclicality of wages to identify the two key parameters –- the value of nonmarket activity and the bargaining weights. Our calibration implies that the model is consistent with the data. (JEL E24, E32, J31, J63, J64)

The Cyclical Behavior of Equilibrium Unemployment and Vacancies

2005 ◽  
Vol 95 (1) ◽  
pp. 25-49 ◽  
Author(s):  
Robert Shimer
Keyword(s):  
United States ◽  
Standard Deviation ◽  
Business Cycle ◽  
Labor Productivity ◽  
The United States ◽  
Search Model ◽  
Present Value ◽  
Cycle Frequency ◽  
Search And Matching Model ◽  
Cyclical Behavior

This paper argues that the textbook search and matching model cannot generate the observed business-cycle-frequency fluctuations in unemployment and job vacancies in response to shocks of a plausible magnitude. In the United States, the standard deviation of the vacancy-unemployment ratio is almost 20 times as large as the standard deviation of average labor productivity, while the search model predicts that the two variables should have nearly the same volatility. A shock that changes average labor productivity primarily alters the present value of wages, generating only a small movement along a downward-sloping Beveridge curve (unemploymentvacancy locus). A shock to the separation rate generates a counterfactually positive correlation between unemployment and vacancies. In both cases, the model exhibits virtually no propagation.

Forming Sources of Long-run Growth: How to Understand Them?

2014 ◽  
pp. 4-20 ◽  
Author(s):  
G. Idrisov ◽  
S. Sinelnikov-Murylev
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
Economic Policy ◽  
Business Cycle ◽  
Capital Markets ◽  
Productivity Growth ◽  
Government Spending ◽  
Long Run ◽  
Accelerate Growth ◽  
Budget Institutions

The paper analyzes the inconsequence and problems of Russian economic policy to accelerate economic growth. The authors consider three components of growth rate (potential, Russian business cycle and world business cycle components) and conclude that in order to pursue an effective economic policy to accelerate growth, it has to be addressed to the potential (long-run) growth component. The main ingredients of this policy are government spending restructuring and budget institutions reform, labor and capital markets reforms, productivity growth.

Debates on monetary policy issues and economic situation: Searching for constructive comments

2016 ◽  
pp. 25-43 ◽  
Author(s):  
A. Mogilat ◽  
Y. Achkasov ◽  
A. Egorov ◽  
A. Klimovets ◽  
S. Donets
Keyword(s):  
Monetary Policy ◽  
Business Cycle ◽  
Policy Analysis ◽  
Economic Situation ◽  
Policy Issues ◽  
Macroeconomic Conditions

The article discusses approaches and instruments used in the Bank of Russia public analytical materials for analysis and forecast of macroeconomic conditions and monetary indicators. The authors focus on indicators of business cycle and monetary conditions, as crucial for monetary policy analysis. The attention is paid to issues most frequently discussed in scientific and expert literature, specifically, to new indicators and models presented in the Bank of Russia Monetary Policy Reports in 2015.

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