Chaos, sunspots and automatic stabilizers
In: Journal of Monetary Economics, Band 44, Heft 1, S. 3-31
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In: Journal of Monetary Economics, Band 44, Heft 1, S. 3-31
In: NBER Working Paper No. w5703
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In: NBER Working Paper No. w26723
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Working paper
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In: FRB International Finance Discussion Paper No. 1107
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In: American economic review, Band 104, Heft 1, S. 27-65
ISSN: 1944-7981
We augment a standard monetary dynamic general equilibrium model to include a Bernanke-Gertler-Gilchrist financial accelerator mechanism. We fit the model to US data, allowing the volatility of cross-sectional idiosyncratic uncertainty to fluctuate over time. We refer to this measure of volatility as risk. We find that fluctuations in risk are the most important shock driving the business cycle. (JEL D81, D82, E32, E44, L26)
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In: FRB International Finance Discussion Paper No. 1089
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Can a model with limited labor market insurance explain standard macro- and labor market data jointly? We seek to construct a monetary model in which: i) the unemployed are worse off than the employed, i.e. unemployment is involuntary and ii) the labor force participation rate varies with the business cycle. To illustrate key features of our model, we start with the simplest possible New Keynesian framework with no capital. We then integrate the model into a medium sized DSGE model and show that the resulting model does as well as existing models at accounting for the response of standard macroeconomic variables to monetary policy shocks and two technology shocks. In addition, the model does well at accounting for the response of the labor force and unemployment rate to these three shocks.
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In: Journal of economic dynamics & control, Band 35, Heft 12, S. 1999-2041
ISSN: 0165-1889
In: NBER Working Paper No. w15801
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In: NBER Working Paper No. w16074
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In: ECB Working Paper No. 1192
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