scholarly journals Time-Varying Dynamics of the German Business Cycle: A Comprehensive Investigation

2021 ◽  
Author(s):  
Magnus Reif
Keyword(s):  
Business Cycle ◽  
Time Varying ◽  
Comprehensive Investigation

Can a Taylor rule better explain the Fed’s monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis

2018 ◽  
Vol 22 (5) ◽  
Author(s):  
Olivier Damette ◽  
Fredj Jawadi ◽  
Antoine Parent
Keyword(s):  
Monetary Policy ◽  
Business Cycle ◽  
Interwar Period ◽  
Taylor Rule ◽  
Structural Break ◽  
Output Gap ◽  
Time Varying ◽  
Working Paper ◽  
The Great Depression ◽  
Monetary Regimes

Abstract This paper investigates whether a variant of a Taylor rule applied to historical monetary data of the interwar period is useful to gain a better understanding of the Fed’s conduct of monetary policy over the period 1920–1940. To this end, we considered a standard Taylor rule (using two drivers: output gap and inflation gap) and proxied them differently for robustness. Further, we extended this Taylor rule to a nonlinear framework while enabling its coefficient to be time-varying and to change with regard to the phases in business cycle, in order to better capture any further asymmetry in the data and the structural break induced by the Great Depression. Accordingly, we showed two important findings. First, the linearity hypothesis was rejected, and we found that an On/Off Taylor Rule is appropriate to reproduce the conduct of monetary policy during the interwar period more effectively (the activation of drivers only occurs per regime). Second, unlike Field [Field, A. 2015. “The Taylor Rule in the 1920s.” Working Paper], we validated the use of a Taylor rule to explain the conduct of monetary policy in history more effectively. Consequently, this nonlinear Taylor rule specification provides interesting results for a better understanding of monetary regimes during the interwar period, and offers useful complements to narrative monetary history.

scholarly journals BUSINESS CYCLE ACCOUNTING FOR CHILE

2014 ◽  
Vol 19 (5) ◽  
pp. 990-1022 ◽  
Author(s):  
Ina Simonovska ◽  
Ludvig Söderling
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
Broad Class ◽  
Time Varying ◽  
Relative Importance ◽  
Neoclassical Growth Model ◽  
Developed Economies ◽  
Business Cycle Accounting ◽  
Neoclassical Growth ◽  
Policy Discussion

We investigate sources of economic fluctuations in Chile during 1998–2007 within the framework of a standard neoclassical growth model with time-varying frictions (wedges). We analyze the relative importance of efficiency, labor, investment, and government/trade wedges for business cycles in Chile. The purpose of this exercise is twofold: (i) focusing the policy discussion on the most important wedges in the economy and (ii) identifying which broad class of models would present fruitful avenues for further research. We find that different wedges have played different roles during our studied period, but that the efficiency, labor, and investment wedges have had the greatest impact. We also compare our results with existing studies on emerging and developed economies.

scholarly journals Modeling time-variation over the business cycle (1960–2017): an international perspective

2018 ◽  
Vol 22 (5) ◽  
Author(s):  
Enrique Martínez-García
Keyword(s):  
Business Cycles ◽  
Business Cycle ◽  
International Business ◽  
Linear Models ◽  
Trade Openness ◽  
Form Solution ◽  
Reduced Form ◽  
Time Varying ◽  
Time Varying Parameter ◽  
The Business Cycle

AbstractIn this paper, I explore the changes in international business cycles with quarterly data for the eight largest advanced economies (US, UK, Germany, France, Italy, Spain, Japan, and Canada) since the 1960s. Using a time-varying parameter model with stochastic volatility for real GDP growth and inflation allows their dynamics to change over time, approximating nonlinearities in the data that otherwise would not be adequately accounted for with linear models [Granger, Clive W.J., Timo Teräsvirta, and Heather M. Anderson. 1991. “Modeling Nonlinearity over the Business Cycle.”In NBER book Business Cycles, Indicators and Forecasting (1993), edited by James H. Stock and Mark W. Watson, University of Chicago Press.; Granger, Clive W.J. 2008. “Non-Linear Models: Where Do We Go Next – Time Varying Parameter Models?”Studies in Nonlinear Dynamics and Econometrics12 (3): 1–11.]. With that empirical model, I document a period of declining macro volatility since the 1980s, followed by increasing (and diverging) inflation volatility since the mid-1990s. I also find significant shifts in inflation persistence and cyclicality, as well as in macro synchronization and even forecastability. The 2008 global recession appears to have had an impact on some of this. I ground my empirical strategy on the reduced-form solution of the workhorse New Keynesian model and, motivated by theory, explore the relationship between greater trade openness (globalization) and the reported shifts in international business cycle. I show that globalization has sizeable (yet nonlinear) effects in the data consistent with the implications of the model – yet globalization’s contribution is not a foregone conclusion, depending crucially on more than the degree of openness of the international economy.

Understanding personal contacts: an analysis for metropolitan BrazilḌ

2020 ◽  
Vol 47 (1) ◽  
pp. 64-90 ◽  
Author(s):  
Victor Rodrigues de Oliveira ◽  
Wallace Patrick Santos de Farias Souza ◽  
Giácomo Balbinotto Neto ◽  
Paulo de Andrade Jacinto
Keyword(s):  
Business Cycle ◽  
Unobserved Heterogeneity ◽  
Job Characteristics ◽  
Parameter Estimates ◽  
Time Varying ◽  
Quantile Regressions ◽  
Content Type ◽  
The Impact ◽  
The Relationship ◽  
Over Time

PurposeThis paper investigates the relationship between (1) business cycle and use of personal contacts to obtain job and (2) use of personal contacts to obtain job and wages.Design/methodology/approachFor this, we use data from the Monthly Employment Survey (2002–2015) from Brazil which has detailed information on individual and job characteristics. In addition, we investigate the impact of referrals on wage using quantile regressions.FindingsTime-varying parameter estimates indicate that the relationship between business cycle and use of personal contacts became less countercyclical over time. In general, they show that there is more evidence of a slow changing relationship between personal contacts and the business cycle over time rather than a sudden and discrete one. Using quantile regressions, we observed that, controlling for similar observable characteristics, and including unobserved heterogeneity, wage differences between workers using personal contacts versus workers using others channels disappear. The evidences indicate that workers resort to personal contacts because of valuation of non-pecuniary job characteristics.Practical implicationsThe results suggest that, in designing subsidy or affirmative action programs, attention to network effects is important. Social networks can help labor markets run more smoothly by alleviating information frictions.Originality/valueThis study extends the existing literature by providing empirical evidence of the use of personal contacts for the Brazil. Although there are many studies and methods for measuring use of personal contacts, to our knowledge, there are no studies using a time-varying parameters model.

Sign in / Sign up

Export Citation Format

Share Document