Business cycle modeling between financial crises and black swans: Ornstein–Uhlenbeck stochastic process vs Kaldor deterministic chaotic model

2020 ◽  
Vol 30 (8) ◽  
pp. 083129
Author(s):  
Giuseppe Orlando ◽  
Giovanna Zimatore
Keyword(s):  
Stochastic Process ◽  
Business Cycle ◽  
Financial Crises ◽  
Black Swans ◽  
Chaotic Model

scholarly journals From Orthodoxy to Heterodoxy: Financial Crisis Literature Compared

2016 ◽  
Vol 63 (s1) ◽  
pp. 71-87
Author(s):  
Ignacio Martínez ◽  
Gabriel Mursa
Keyword(s):  
Financial Crisis ◽  
Business Cycle ◽  
Financial Markets ◽  
Financial Crises ◽  
Financial Instability ◽  
Business Cycle Theory ◽  
Economic Cycle ◽  
Austrian Business Cycle Theory ◽  
Economic Downturns ◽  
Austrian Business Cycle

Abstract In this paper we’ll attempt to explain the connection between interventionism in financial markets, financial crises and economic downturns, as the main cause of the financial crisis mainstream models; As well as the connection between the theories of Austrian and Minsky’s economic cycle as branches of heterodox economic theory. In order to achieve this target, we’ll begin with a brief introduction of mainstream financial crises models in the orthodox economic literature, then we’ll examine the statements of the Austrian Business Cycle Theory and the Financial Instability Hypothesis, and evaluate whether a connection between the two. We conclude that Financial Instability Hypothesis can be studied as a particular case of the Austrian Business Cycle Theory.

scholarly journals Interação dos Dispêndios de Publicidade com Ciclos Econômicos e o Valor da Empresa: Análise Empírica das Empresas Norte-Americanas do Setor de Bens de Consumo

2010 ◽  
Vol 8 (3) ◽  
pp. 283
Author(s):  
Graziela Fortunato ◽  
Walter Ness ◽  
Arilton Teixeira ◽  
Paulo Cesar Motta
Keyword(s):  
Stochastic Process ◽  
Panel Data ◽  
Business Cycles ◽  
Business Cycle ◽  
Multiple Regression ◽  
Firm Value ◽  
Proposed Model ◽  
The Business Cycle

This study aims to verify the contribution of advertising expenditures to firm value. To reach this goal, we considered business cycles, which follow a stochastic process and may influence the decision as to the amount to be spent in advertising. With the optimization of these expenditures under the business cycle effect, it is, in fact, possible to analyze whether the results positively contribute to firm value. Data from US companies of the consumer staples sector from 1997 to 2008 were employed to test the proposed model through multiple regression and panel data. The results indicate favorable evidences which confirm the proposed model.

scholarly journals Harvests and Financial Crises in Gold Standard America

2013 ◽  
Vol 73 (1) ◽  
pp. 201-246 ◽  
Author(s):  
Christopher Hanes ◽  
Paul W. Rhode
Keyword(s):  
Business Cycle ◽  
Central Bank ◽  
Financial Markets ◽  
Stock Prices ◽  
Gold Standard ◽  
Financial Crises ◽  
Transmission Channel ◽  
Monetary Regime ◽  
International Demand ◽  
Exogenous Factors

Most American financial crises of the postbellum gold standard era were caused by fluctuations in the cotton harvest due to exogenous factors such as weather. The transmission channel ran through export revenues and financial markets under the pre-1914 monetary regime. A poor cotton harvest depressed export revenues and reduced international demand for American assets, which depressed American stock prices, drained deposits from money center banks and precipitated a business cycle downturn—conditions that bred financial crises. The crises caused by cotton harvests could have been prevented by an American central bank, even under gold standard constraints.

scholarly journals BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS

2014 ◽  
Vol 19 (4) ◽  
pp. 836-882 ◽  
Author(s):  
James M. Nason ◽  
Ellis W. Tallman
Keyword(s):  
Business Cycle ◽  
Financial Crises ◽  
Supply And Demand ◽  
Model Space ◽  
Vector Autoregressions ◽  
Financial History ◽  
Demand Shocks ◽  
Credit Supply ◽  
Supply And Demand Shocks ◽  
Inside Money

This paper explores the hypothesis that the sources of economic and financial crises differ from those of noncrisis business cycle fluctuations. We employ Markov-switching Bayesian vector autoregressions (MS-BVARs) to gather evidence about the hypothesis on a long annual U.S. sample running from 1890 to 2010. The sample covers several episodes useful for understanding U.S. economic and financial history, which generate variation in the data that aids in identifying credit supply and demand shocks. We identify these shocks within MS-BVARs by tying credit supply and demand movements to inside money and its intertemporal price. The model space is limited to stochastic volatility (SV) in the errors of the MS-BVARs. Of the 15 MS-BVARs estimated, the data favor a MS-BVAR in which economic and financial crises and noncrisis business cycle regimes recur throughout the long annual sample. The best-fitting MS-BVAR also isolates SV regimes in which shocks to inside money dominate aggregate fluctuations.

scholarly journals Endogenous Technology Adoption and R&D as Sources of Business Cycle Persistence

2019 ◽  
Vol 11 (3) ◽  
pp. 67-110 ◽  
Author(s):  
Diego Anzoategui ◽  
Diego Comin ◽  
Mark Gertler ◽  
Joseba Martinez
Keyword(s):  
Technology Adoption ◽  
Business Cycle ◽  
Great Recession ◽  
Financial Crises ◽  
Significant Fraction ◽  
Significant Part ◽  
The Great Recession ◽  
Insight Into ◽  
Endogenous Technology

We examine the hypothesis that the slowdown in productivity following the Great Recession was in significant part an endogenous response to the contraction in demand that induced the downturn. We motivate, develop, and estimate a model with an endogenous TFP mechanism that allows for costly development and adoption of technologies. Our main finding is that a significant fraction of the post-Great Recession fall in productivity was an endogenous phenomenon, suggesting that demand factors played an important role in the postcrisis slowdown of capacity growth. More generally, we provide insight into why recoveries from financial crises may be so slow. (JEL E23, E24, E32, E44, G01)

scholarly journals The post-crisis slump in Europe: a business cycle accounting analysis

2017 ◽  
Vol 18 (1) ◽  
Author(s):  
Florian Gerth ◽  
Keisuke Otsu
Keyword(s):  
Business Cycle ◽  
Great Recession ◽  
Financial Crises ◽  
Resource Misallocation ◽  
Nonperforming Loans ◽  
Business Cycle Accounting ◽  
The Business Cycle ◽  
European Economies

AbstractThis paper analyzes the post-crisis slump in 30 European economies during the 2008Q1–2014Q4 period using the business cycle accounting (BCA) method à la [Chari, V. V., P. Kehoe, and E. McGrattan. 2007. “Business Cycle Accounting.”Econometrica75 (3): 781–836]. We find that the deterioration in the efficiency wedge is the most important driver of the European Great Recession and that this adverse shock persists throughout our sample. Moreover, we find that countries with higher growth in nonperforming loans feature a smaller decline in efficiency wedges. These findings support the emerging literature on resource misallocation triggered by financial crises.

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