Author: Susanto BasuPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Uncertainty Shocks in a Model of Effective Demand
Author: Susanto BasuUncertainty Shocks in a Model of Effective Demand
Author: Susanto BasuPublisher:
ISBN:
Category :
Languages : en
Pages : 7
Book Description
De Groot, Richter, and Throckmorton (2018) argue that the model in Basu and Bundick (2017) can match the empirical evidence only because the model assumes an asymptote in the economy's response to an uncertainty shock. In this Reply, we provide new results showing that our model's ability to match the data does not rely either on assuming preferences that imply an asymptote nor on a particular value of the intertemporal elasticity of substitution. We demonstrate that shifting to preferences that are not vulnerable to the Comment's critique does not change our previous conclusions about the propagation of uncertainty shocks to macroeconomic outcomes.
Uncertainty Shocks in a Model of Effective Demand
Author: Oliver De GrootPublisher:
ISBN:
Category : Consumers' preferences
Languages : en
Pages : 13
Book Description
"Basu and Bundick (2017) show a second moment intertemporal preference shock creates meaningful declines in output in a sticky price model with Epstein and Zin (1991) preferences. The result, however, rests on the way they model the shock. If a preference shock is included in Epstein-Zin preferences, the distributional weights on current and future utility must sum to 1, otherwise it creates an asymptote in the response to the shock with unit intertemporal elasticity of substitution. When we change the preferences so the weights sum to 1, the asymptote disappears as well as their main results--uncertainty shocks generate small increases in output and comovement with consumption and investment that is at odds with the data. We examine three changes to the model--recalibration, a risk-premium shock, and a disaster risk-type shock--to try and restore their results, but in all three cases the model is unable to match VAR evidence."--Abstract from publisher's website.
Nonlinear Effects of Uncertainty Shocks
Author: Hiroshi MoritaPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
The nonlinear effects of uncertainty shocks on U.S. macroeconomic activity are examined using a smooth transition VAR model in which the dynamic relationship between the variables changes with the level of economic policy uncertainty. We find that the responses of the variables change with the level of uncertainty, and in particular, the sign of the response of the inflation rate reverses. The empirical evidence suggests that the behaviors of the shifts in aggregate demand and aggregate supply functions induced by uncertainty shocks depend on the current uncertainty level.
Uncertainty Shocks and the Monetary-macroprudential Policy Mix
Author: Valeriu NalbanUncertainty, Expectations and Asset Price Dynamics
Author: Fredj JawadiPublisher: Springer
ISBN: 3319987143
Category : Business & Economics
Languages : en
Pages : 214
Book Description
Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
Unequal We Stand
Author: Jonathan HeathcotePublisher: DIANE Publishing
ISBN: 1437934919
Category : Business & Economics
Languages : en
Pages : 61
Book Description
The authors conducted a systematic empirical study of cross-sectional inequality in the U.S., integrating data from various surveys. The authors follow the mapping suggested by the household budget constraint from individual wages to individual earnings, to household earnings, to disposable income, and, ultimately, to consumption and wealth. They document a continuous and sizable increase in wage inequality over the sample period. Changes in the distribution of hours worked sharpen the rise in earnings inequality before 1982, but mitigate its increase thereafter. Taxes and transfers compress the level of income inequality, especially at the bottom of the distribution, but have little effect on the overall trend. Charts and tables. This is a print-on-demand publication; it is not an original.
The Impact of Uncertainty Shocks
Author: Publisher:
ISBN: 9780753019443
Category : Business
Languages : en
Pages :
Book Description
Uncertainty appears to vary strongly over time, temporarily rising by up to 200% around major shocks like the Cuban Missile crisis, the assassination of JFK and 9/11. This paper offers the first structural framework to analyze uncertainty shocks. I build a model with a time varying second moment, which is numerically solved and estimated using firm level data. The parameterized model is then used to simulate a macro uncertainty shock, which produces a rapid drop and rebound in employment, investment and productivity, and a moderate loss in GDP. This temporary impact of a second moment shock is different from the typically persistent impact of a first moment shock, highlighting the importance for policymakers of identifying their relative magnitudes in major shocks. The simulation of an uncertainty shock is then compared to actual 9/11 data, displaying a surprisingly good match.
Labour Market and Fiscal Policy Adjustments to Shocks
Author: Nombulelo GumataPublisher: Springer
ISBN: 3319665200
Category : Business & Economics
Languages : en
Pages : 617
Book Description
This book focuses on the implications of the South African labour market dynamics including labour market reforms and fiscal policy for monetary policy and financial stability. Evidence suggests there are benefits in adopting an approach that coordinates labour market policies and reforms, fiscal policy, price and financial stability. In particular, the benefits of coordinating policies present policymakers with policy options in cases where they are confronted by binding policy trade-offs and dilemmas, such as in cases when there is divergence in price and financial and economic growth outcomes. The empirical insights and policy recommendations are based on different techniques that include the counterfactual and endogenous-exogenous approaches, non-linearities introduced by thresholds and the impact of persistent and transitory shock effects. Themes covered in the book include various aspects of labour market conditions and reforms and their link to inflation and inflation expectations, the impact of the national minimum wage, the interaction between public and private sector wage inflation, economic policy uncertainty and employment, government debt thresholds, sovereign yields and debt ratings downgrades, labour productivity, the impact of inflation regimes on expansionary fiscal and monetary policy multipliers, the increase in government cost of funding on price and financial stability and the link between fiscal policy and credit dynamics.
Author: Joonseok Jason Oh