Uncertainty Shocks and Business Cycles in Brazil: A DSGE Approach

2019 ◽  
Author(s):  
Caíque Melo ◽  
Marcelo Silva
Keyword(s):  
Business Cycles ◽  
Uncertainty Shocks

Measuring Uncertainty

2015 ◽  
Vol 105 (3) ◽  
pp. 1177-1216 ◽  
Author(s):  
Kyle Jurado ◽  
Sydney C. Ludvigson ◽  
Serena Ng
Keyword(s):  
Business Cycles ◽  
Time Varying ◽  
Real Activity ◽  
Uncertainty Shocks ◽  
Macroeconomic Uncertainty

This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty. Our estimates display significant independent variations from popular uncertainty proxies, suggesting that much of the variation in the proxies is not driven by uncertainty. Quantitatively important uncertainty episodes appear far more infrequently than indicated by popular uncertainty proxies, but when they do occur, they are larger, more persistent, and are more correlated with real activity. Our estimates provide a benchmark to evaluate theories for which uncertainty shocks play a role in business cycles. (JEL C53, D81, E32, G12, G35, L25)

scholarly journals Uncertainty‐driven business cycles: Assessing the markup channel

2021 ◽  
Vol 12 (2) ◽  
pp. 587-623 ◽  
Author(s):  
Benjamin Born ◽  
Johannes Pfeifer
Keyword(s):  
Theoretical Model ◽  
Business Cycles ◽  
Dsge Models ◽  
Impulse Responses ◽  
Wage Setting ◽  
Times Series ◽  
Uncertainty Shocks ◽  
The Standard Model ◽  
Model Channel ◽  
Negative Output

Precautionary pricing and increasing markups in representative‐agent DSGE models with nominal rigidities are commonly used to generate negative output effects of uncertainty shocks. We assess whether this theoretical model channel is consistent with the data. Three things stand out. First, consistent with precautionary wage setting, we find that wage markups increase after uncertainty shocks. Second, the impulse responses of price markups are largely inconsistent with the standard model, both at the aggregate as well as the industry level. Finally, and in contrast to times‐series evidence, our theoretical model robustly predicts that uncertainty shocks have a quantitatively small impact on the economy.

scholarly journals Uncertainty, agency costs and investment behavior in the Euro area and in the USA

2018 ◽  
Vol 25 (1) ◽  
pp. 122-143
Author(s):  
Johannes Strobel ◽  
Kevin D. Salyer ◽  
Gabriel S. Lee
Keyword(s):  
Business Cycles ◽  
Euro Area ◽  
Risk Premium ◽  
Agency Cost ◽  
Investment Behavior ◽  
Credit Channel ◽  
Content Type ◽  
Uncertainty Shocks ◽  
The Us ◽  
The Usa

Purpose The purpose of this paper is to analyze the credit channel effects on investment behavior for the US and the Euro area. Design/methodology/approach This paper uses the dynamic stochastic general equilibrium model and calibrates a version of the Carlstrom and Fuerst’s (1997) agency cost model of business cycles with time-varying uncertainty in the technology shocks that affect capital production. To highlight the differences between the US and European financial sectors, the paper focuses on two key components of the lending channel: the risk premium associated with bank loans and the bankruptcy rates. Findings This paper shows that the effects of minor differences in the credit market translate into large, persistent and asymmetric fluctuations in real and financial variables and depend on the type of shocks. The results imply that the Euro areas supply elasticities for capital are less elastic than that of the USA following a technology shock. Finally, the authors find that the adverse impact of uncertainty shocks is heterogeneous across countries and amplified by the steady-state bankruptcy rate and risk premium. Originality/value This paper quantifies the effects of uncertainty shocks when there is a credit channel due to asymmetric information between lenders and borrowers for the Euro area countries, and then compares the results to that of the USA. This paper shows that financial accelerator mechanism could potentially play a significant role in business cycles in the Euro area. This result directly lends one to conclude the following: the credit channel that affects the financial sector does indeed matter for macroeconomic behavior, and that policy makers should be attentive in smoothing out uncertainties if the economic policies are to lower the business and financial cycle volatilities.

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)

Peculiarities of Modern Dynamics of the Global Economy

2010 ◽  
pp. 78-92 ◽  
Author(s):  
V. Klinov
Keyword(s):  
Economic Growth ◽  
Economic Development ◽  
Business Cycles ◽  
Global Economy ◽  
Long Waves ◽  
Rapid Expansion ◽  
Business Taxation ◽  
Modern World ◽  
China And India ◽  
World Economic

Rates and factors of modern world economic growth and the consequences of rapid expansion of the economies of China and India are analyzed in the article. Modification of business cycles and long waves of economic development are evaluated. The need of reforming business taxation is demonstrated.

Institutions as the Ordering Factor and as the Destabilizing Force: New Institutional and Post Keynesian Perspectives

2006 ◽  
pp. 102-118 ◽  
Author(s):  
A. Skorobogatov
Keyword(s):  
Economic Policy ◽  
Business Cycles ◽  
Institutional Theory ◽  
Institutional Environment ◽  
Institutional Arrangements ◽  
Economic Stability ◽  
Forward Contracts

The paper is dedicated to the New Institutional and Post Keynesian perspectives on institutions and their relation to economic stability. Embeddedness, institutional environment, and institutional arrangements are considered. Within these institutions conventional expectations, the economic policy and forward contracts are analyzed. Upon these perspectives the author shows a contradictory relation between institutions and the order and develops an institutional theory of business cycles.

Adverse Selection, Lemon Shocks and Business Cycles

2019 ◽  
Vol 2019 (361) ◽  
Author(s):  
Daisuke Ikeda ◽  
Keyword(s):  
Business Cycles ◽  
Adverse Selection
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