scholarly journals Uncertainty, Wages, and the Business Cycle*

2021 ◽  
Author(s):  
Matteo Cacciatore ◽  
Federico Ravenna
Keyword(s):  
Risk Premium ◽  
Empirical Measures ◽  
Uncertainty Shocks ◽  
State Dependent ◽  
Economic Downturns ◽  
Matching Frictions ◽  
Model Predictions ◽  
Cyclical Behavior ◽  
The Business Cycle ◽  
Local Projections

Abstract We show that limited wage flexibility in economic downturns generates strong and state-dependent amplification of uncertainty shocks. It also explains the cyclical behavior of empirical measures of uncertainty. In the presence of matching frictions, an occasionally binding constraint on downward wage adjustment enhances the concavity of firms’ hiring rule, resulting in an endogenous profit-risk premium. In turn, higher uncertainty increases the profit-risk premium when the economy operates close to the wage constraint, deepening a recession. Non-linear local projections and VAR estimates support the model predictions. In addition, we show that measured uncertainty rises in a recession even without uncertainty shocks.

scholarly journals Industrial Electricity Usage and Stock Returns

2017 ◽  
Vol 52 (1) ◽  
pp. 37-69 ◽  
Author(s):  
Zhi Da ◽  
Dayong Huang ◽  
Hayong Yun
Keyword(s):  
Growth Rate ◽  
Asset Pricing ◽  
Business Cycle ◽  
Stock Returns ◽  
Real Time ◽  
Risk Premium ◽  
Output Gap ◽  
Financial Variables ◽  
The Future ◽  
The Business Cycle

The growth rate of industrial electricity usage predicts future stock returns up to 1 year with an R2 of 9%. High industrial electricity usage today predicts low stock returns in the future, consistent with a countercyclical risk premium. Industrial electricity usage tracks the output of the most cyclical sectors. Our findings bridge a gap between the asset pricing literature and the business cycle literature, which uses industrial electricity usage to gauge production and output in real time. Industrial electricity growth compares favorably with traditional financial variables, and it outperforms Cooper and Priestley’s output gap measure in real time.

scholarly journals Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle

2014 ◽  
Author(s):  
Francesco Bianchi ◽  
Cosmin Ilut ◽  
Martin Schneider
Keyword(s):  
Business Cycle ◽  
Uncertainty Shocks ◽  
The Business Cycle

scholarly journals Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle

2017 ◽  
Vol 85 (2) ◽  
pp. 810-854 ◽  
Author(s):  
Francesco Bianchi ◽  
Cosmin L. Ilut ◽  
Martin Schneider
Keyword(s):  
Business Cycle ◽  
Uncertainty Shocks ◽  
The Business Cycle

scholarly journals WHATEVER HAPPENED TO THE BUSINESS CYCLE? A BAYESIAN ANALYSIS OF JOBLESS RECOVERIES

2010 ◽  
Vol 14 (5) ◽  
pp. 709-726 ◽  
Author(s):  
Kristie M. Engemann ◽  
Michael T. Owyang
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Inventory Management ◽  
Postwar Period ◽  
Macroeconomic Volatility ◽  
Jobless Recoveries ◽  
The Past ◽  
Economic Downturns ◽  
Manufacturing Sectors ◽  
The Business Cycle

During the typical recovery from U.S. postwar period economic downturns, employment recovers to its prerecession level within months of the output trough. However, during the past two recoveries, employment has taken up to three years to achieve its prerecession benchmark. We propose a formal empirical model of business cycles with recovery periods to demonstrate that the past two recoveries have been statistically different from previous experiences. We find that this difference can be attributed to a shift in the speed of transition between business cycle regimes. Moreover, we find this shift results from both durable and nondurable manufacturing sectors losing their cyclical characteristics. We argue that this finding of acyclicality in post-1980 manufacturing sectors is consistent with previous hypotheses (e.g., improved inventory management) regarding the reduction in macroeconomic volatility over the same period. These results suggest a link between the two phenomena, which have heretofore been studied separately.

scholarly journals MACROECONOMIC FACTORS OF NON-PERFORMING LOANS IN COMMERCIAL BANKS

Ekonomika ◽  
2014 ◽  
Vol 93 (1) ◽  
pp. 22-39 ◽  
Author(s):  
Ričardas Mileris
Keyword(s):  
Credit Risk ◽  
Commercial Banks ◽  
Economic Conditions ◽  
Macroeconomic Factors ◽  
Eu Countries ◽  
Developed Economies ◽  
Economic Downturns ◽  
Macroeconomic Indicators ◽  
The Business Cycle ◽  
The Eu

Abstract. This article presents an analysis of macroeconomic factors and their impact on the percentage of non-performing loans (NPLs) in commercial banks of the EU countries. This problem is relevant because in recent years many EU countries had the economic downturns that can be visible in the main macroeconomic indicators. Also, banks have met the growth of non-performing loans when the debtors were not able to meet their financial obligations. The Basel III Agreement notes the necessity to consider the economic conditions of a country when assessing the credit risk of loan applicants. The results of this research can be useful for banks, because the main relations between macroeconomics and non-performing loans have been revealed. Since 2009, Lithuania has one of the highest NPL percentage in the EU, and the meaningful impact of economic deterioration on the debtors‘ ability to repay debts to banks has been proven. The same situation was ascertained in other EU countries with imperfect economic conditions. Conversely, it has been estimated that banking systems in the EU countries with developed economies are not very sensitive to the business cycle fluctuations. So, in Lithuanian banks, when managing credit risk, the consideration of economic conditions is very important.Key words: banks, credit risk, macroeconomics, non-performing loans

Impact of state-dependent oil price on US stock returns using local projections

2018 ◽  
Vol 26 (11) ◽  
pp. 919-926 ◽  
Author(s):  
Juan Equiza-Goñi ◽  
Fernando Perez de Gracia
Keyword(s):  
Stock Returns ◽  
Oil Price ◽  
State Dependent ◽  
Local Projections

Dynamics of Factor Income Shares in the United States

2010 ◽  
Author(s):  
Philip N. Jefferson ◽  
Frederic L. Pryor
Keyword(s):  
United States ◽  
The United States ◽  
Labor Share ◽  
Multifactor Productivity ◽  
Factor Income ◽  
Cyclical Behavior ◽  
Competing Hypotheses ◽  
The Business Cycle ◽  
Sectoral Composition ◽  
Over Time

This essay examines the cyclical behavior and stability properties of four different measures of the labor share of income in the United States from 1948 through 2006. The evidence suggests that the share exhibits instability. This instability is sensitive to the measure of labor share deployed and whether that measure has been adjusted for the changing sectoral composition of production over time. We test a number of competing hypotheses about the determinants of the behavior of cyclical labor share, showing that its movements are traceable to just two indicators of the business cycle, namely lagged gross domestic product (GDP) and lagged multifactor productivity.

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