2014年6月19日木曜日
2014年6月9日月曜日
Market size and BKK model
http://www.aeaweb.org/annual_mtg_papers/2007/0107_1015_1103.pdf
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with complete asset markets, country size does not affect the equilibrium allocation independently of export shares
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with complete asset markets, country size does not affect the equilibrium allocation independently of export shares
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business cycle volatility and welfare
Furceri, D. and G. Karras. 2007. "Country Size and Business Cycle Volatility: Scale Really Matters." Journal of the Japanese and International Economies, 21(4), 424-34.
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Is business-cycle volatility worthy to be considered as an indicator of economic performance, along such other established measures as economic growth and income per capita? While in the highly influential monograph Models of Business Cycles Robert Lucas (1987) famously argued that the costs associated with business cycles are virtually nonexistent, more recent research has challenged Lucas’s conclusions. For example, Mendoza (2000), Jones (1999), Matheron and Maury (2000), Epaulard and Pommeret (2003) showed that business cycle volatility reduces welfare, not least because of its negative effect on growth. Krusell and Smith (1999), and Storesletten et al. (2001) showed that in a model with heterogeneous agents the benefits from eliminating business cycle fluctuations are sizeable. More recently, Barlevy (2004) argues that economic fluctuations remarkably decrease welfare by affecting the growth rate of consumption. At the same time, a growing empirical literature starting with Ramey and Ramey (1995) has showed that cyclical volatility negatively affects growth and investment.We conclude that business-cycle volatility matters. Thus, if country size can be shown to have a significant effect on volatility, it follows that country size matters too.
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Is business-cycle volatility worthy to be considered as an indicator of economic performance, along such other established measures as economic growth and income per capita? While in the highly influential monograph Models of Business Cycles Robert Lucas (1987) famously argued that the costs associated with business cycles are virtually nonexistent, more recent research has challenged Lucas’s conclusions. For example, Mendoza (2000), Jones (1999), Matheron and Maury (2000), Epaulard and Pommeret (2003) showed that business cycle volatility reduces welfare, not least because of its negative effect on growth. Krusell and Smith (1999), and Storesletten et al. (2001) showed that in a model with heterogeneous agents the benefits from eliminating business cycle fluctuations are sizeable. More recently, Barlevy (2004) argues that economic fluctuations remarkably decrease welfare by affecting the growth rate of consumption. At the same time, a growing empirical literature starting with Ramey and Ramey (1995) has showed that cyclical volatility negatively affects growth and investment.We conclude that business-cycle volatility matters. Thus, if country size can be shown to have a significant effect on volatility, it follows that country size matters too.
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2014年6月4日水曜日
2014年4月7日月曜日
2014年4月4日金曜日
2014年4月1日火曜日
2014年3月31日月曜日
Financial Cycle
http://www.norges-bank.no/pages/95810/Staff_memo_2013_13.pdf
The length of financial cycles are roughly 3-4 times longer than that of business cycles
The length of financial cycles are roughly 3-4 times longer than that of business cycles
2014年3月26日水曜日
IRBC x EZ
International Risk Cycles
http://www.bankofcanada.ca/wp-content/uploads/2010/11/Verdelhan_Adrien.pdf
http://www.bankofcanada.ca/wp-content/uploads/2010/11/Verdelhan_Adrien.pdf
2014年3月17日月曜日
[matlab/octave] crosscorr/xcorr
crosscorr: sample cross correlation (Econometrics Toolbox)
http://www.mathworks.com/help/econ/crosscorr.html
xcorr: cross correlation (Signal Processing Toolbox)
http://www.mathworks.com/help/signal/ref/xcorr.html
http://www.mathworks.com/help/econ/crosscorr.html
xcorr: cross correlation (Signal Processing Toolbox)
http://www.mathworks.com/help/signal/ref/xcorr.html
2014年2月15日土曜日
2014年2月13日木曜日
2014年2月9日日曜日
Risk Shocks
Christiano, L. J.; R. Motto and M. Rostagno. 2014. "Risk Shocks." American Economic Review, 104(1), 27-65.
- Bernanke-Gertler-Gilchrist financial accelerator model with cross-sectional idiosyncratic uncertainty
- idiosyncratic risk shock
"After purchasing capital, each N-type entrepreneur experiences an idiosyncraticshock, ω, which converts capital, K_ t+1 N, into efficiency units, ω K_ t+1 N. Following BGG,we assume that ω has a unit-mean log normal distribution that is independentlydrawn across time and across entrepreneurs. Denote the period t standard deviationof log ω by σ_t . The risk shock, σ_t , characterizes the extentof cross-sectional dispersion in ω. We allow σ_t to vary stochastically over time, andwe discuss its law of motion below."
- Bernanke-Gertler-Gilchrist financial accelerator model with cross-sectional idiosyncratic uncertainty
- idiosyncratic risk shock
"After purchasing capital, each N-type entrepreneur experiences an idiosyncraticshock, ω, which converts capital, K_ t+1 N, into efficiency units, ω K_ t+1 N. Following BGG,we assume that ω has a unit-mean log normal distribution that is independentlydrawn across time and across entrepreneurs. Denote the period t standard deviationof log ω by σ_t . The risk shock, σ_t , characterizes the extentof cross-sectional dispersion in ω. We allow σ_t to vary stochastically over time, andwe discuss its law of motion below."
Timing of receiving information
Christiano, L. J.; R. Motto and M. Rostagno. 2014. "Risk Shocks." American Economic Review, 104(1), 27-65.
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We now discuss the timing assumptions that govern when agents learn aboutshocks. A standard assumption in estimated equilibrium models is that a shock’s statisticalinnovation (i.e., the one-step-ahead error in forecasting the shock based onthe history of its past realizations) becomes known to agents only at the time that theinnovation is realized. Recent research casts doubt on this assumption. For example, Alexopoulos (2011) and Ramey (2011) use US data to document that people receive information about the period t statistical innovation in technology and governmentspending, respectively, before the innovation is realized.
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<quote>
We now discuss the timing assumptions that govern when agents learn aboutshocks. A standard assumption in estimated equilibrium models is that a shock’s statisticalinnovation (i.e., the one-step-ahead error in forecasting the shock based onthe history of its past realizations) becomes known to agents only at the time that theinnovation is realized. Recent research casts doubt on this assumption. For example, Alexopoulos (2011) and Ramey (2011) use US data to document that people receive information about the period t statistical innovation in technology and governmentspending, respectively, before the innovation is realized.
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2014年2月2日日曜日
2014年1月31日金曜日
2014年1月19日日曜日
Notes to the Economic Outlook Annex Tables (OECD)
http://www.oecd.org/economy/outlook/notestotheeconomicoutlookannextables.htm
Active population
Economically active population comprises all persons of either sex who furnish the supply of labour for the production of economic goods and services as defined by the United Nations System of National Accounts during a specified time-reference period.
http://stats.oecd.org/glossary/detail.asp?ID=730
Labor force = Employment + Unemployment
Participation rates = Labor force / Working-age population (15-64)
http://www.oecd.org/economy/outlook/eosources-notestostatisticalannextables11-19wagescostsunemploymentandinflation.htm#t_13
Active population
Economically active population comprises all persons of either sex who furnish the supply of labour for the production of economic goods and services as defined by the United Nations System of National Accounts during a specified time-reference period.
http://stats.oecd.org/glossary/detail.asp?ID=730
Labor force = Employment + Unemployment
Participation rates = Labor force / Working-age population (15-64)
http://www.oecd.org/economy/outlook/eosources-notestostatisticalannextables11-19wagescostsunemploymentandinflation.htm#t_13
Hours worked for OECD countries
Ohanian, L. E. and A. Raffo. 2012. "Aggregate Hours Worked in Oecd Countries: New Measurement and Implications for Business Cycles." Journal of Monetary Economics, 59(1), 40-56.
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Specifically, we show that employment is a poor proxy for labor input in many OECD countries, as changes in hours per worker are about as large as changes in employment. We also find that employment-based labor wedges are much too large in Europe, given high European firing costs, while hours-based labor wedges are comparatively too small. Finally, we find that the Great Recession is a substantial puzzle in Europe, as both employment-based and hours-based labor wedges are nearly zero in many European countries. This stands in sharp contrast to labor wedges in the U.S. during the Great Recession, or labor wedges in other European recessions, both of which are an order of magnitude larger.
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Specifically, we show that employment is a poor proxy for labor input in many OECD countries, as changes in hours per worker are about as large as changes in employment. We also find that employment-based labor wedges are much too large in Europe, given high European firing costs, while hours-based labor wedges are comparatively too small. Finally, we find that the Great Recession is a substantial puzzle in Europe, as both employment-based and hours-based labor wedges are nearly zero in many European countries. This stands in sharp contrast to labor wedges in the U.S. during the Great Recession, or labor wedges in other European recessions, both of which are an order of magnitude larger.
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2014年1月18日土曜日
2014年1月13日月曜日
Small open economies
Baxter, M. and M. J. Crucini. 1995. "Business Cycles and the Asset Structure of Foreign-Trade." International Economic Review
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A second strand of literature studies business cycles in small open economies. These studies typically restrict access to international risk sharing in ways that seem, empirically, to be more reasonable than the assumption of complete markets. But these analyses are necessarily silent on the factors affecting world interest rates and asset prices.
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A second strand of literature studies business cycles in small open economies. These studies typically restrict access to international risk sharing in ways that seem, empirically, to be more reasonable than the assumption of complete markets. But these analyses are necessarily silent on the factors affecting world interest rates and asset prices.
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Complete vs. Incomplete Market (2)
Baxter, M. and M. J. Crucini. 1995. "Business Cycles and the Asset Structure of Foreign-Trade." International Economic Review
International correlation puzzles for consumption and output
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As discussed by Backus, Kehoe, and Kydland (1992) and Baxter and Crucini (1993), the complete markets economy does reasonably well in matching thewithin-country stylized facts concerning volatility and persistence of macro aggregates. Much more problematic are the complete markets model's implications for cross-country correlations of output, consumption, investment, and labor input. Specifically, this model has difficulty generating positive output comovement (and correspondingly positive comovement of investments and labor inputs across countries). Further, the model predicts a level of cross-country consumption correlationthat is much too high relative to the data.
Because individuals are subject to idiosyncratic (nation-specific) risk in the bond economy, in equilibrium this economy will display nation-specific fluctuations in consumption. Thus we expect that the international correlation between consumptionsshould be lower in the bond economy, and it is-but not much lower.
Similarly, we expect the absence of insurance against labor income risk in the bond economy to alter the response of labor input to productivity shocks. In the complete markets economy, the response to a positive productivity shock in one country generates an increase in labor input in the productive country, and a tendency for a decline in labor input in the relatively unproductive country. Because of the optimal insurance character of the complete markets equilibrium, workers in the productive country agree to "share" some of the additional output generated by the increase in productivity and labor input, in exchange for similar "sharing"when the other country receives a positive productivity shock. In the bond economy, individuals can only smooth consumption across time (by buying or selling bonds); they cannot smooth consumption across different "states of nature" because of the absence of contingent securities. This reduces the tendency for labor input to decline in the temporarily unproductive location.
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International correlation puzzles for consumption and output
---<quote>---
As discussed by Backus, Kehoe, and Kydland (1992) and Baxter and Crucini (1993), the complete markets economy does reasonably well in matching thewithin-country stylized facts concerning volatility and persistence of macro aggregates. Much more problematic are the complete markets model's implications for cross-country correlations of output, consumption, investment, and labor input. Specifically, this model has difficulty generating positive output comovement (and correspondingly positive comovement of investments and labor inputs across countries). Further, the model predicts a level of cross-country consumption correlationthat is much too high relative to the data.
Because individuals are subject to idiosyncratic (nation-specific) risk in the bond economy, in equilibrium this economy will display nation-specific fluctuations in consumption. Thus we expect that the international correlation between consumptionsshould be lower in the bond economy, and it is-but not much lower.
Similarly, we expect the absence of insurance against labor income risk in the bond economy to alter the response of labor input to productivity shocks. In the complete markets economy, the response to a positive productivity shock in one country generates an increase in labor input in the productive country, and a tendency for a decline in labor input in the relatively unproductive country. Because of the optimal insurance character of the complete markets equilibrium, workers in the productive country agree to "share" some of the additional output generated by the increase in productivity and labor input, in exchange for similar "sharing"when the other country receives a positive productivity shock. In the bond economy, individuals can only smooth consumption across time (by buying or selling bonds); they cannot smooth consumption across different "states of nature" because of the absence of contingent securities. This reduces the tendency for labor input to decline in the temporarily unproductive location.
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2014年1月9日木曜日
Perpetual Inventory Method
http://faculty.apec.umn.edu/rsmith/documents/CreateCapitalStock.pdf
http://www.econ.umn.edu/~selis004/su11_3102/GrowthAccountingNotes.pdf
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When calculating real investment, it is best to collect data on nominal investment and then deflate the series by a GDP deflator. This procedure ensures the real investment series, and, thus, the capital stock series, and the real GDP series are deflatedby the same price index.
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http://acta.mendelu.cz/pdf/actaun201361072367.pdf
http://www.econstor.eu/bitstream/10419/71091/1/73983858X.pdf
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Aware of this problem, HARBERGER (1978) uses three-year averages instead of a single year to generate more stable and reliable capital stock estimates. In a later application of the Steady State Approach, NEHRU and DHARESHWAR (1993) proposed an alternative procedure. In order to generate a reliable initial value of the investment time series they regress the time series of log investments on time and then use the fitted value for the first period to calculate the initial capital stock.
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http://www.econ.umn.edu/~selis004/su11_3102/GrowthAccountingNotes.pdf
---<quote>---
When calculating real investment, it is best to collect data on nominal investment and then deflate the series by a GDP deflator. This procedure ensures the real investment series, and, thus, the capital stock series, and the real GDP series are deflatedby the same price index.
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http://acta.mendelu.cz/pdf/actaun201361072367.pdf
http://www.econstor.eu/bitstream/10419/71091/1/73983858X.pdf
---<quote>---
Aware of this problem, HARBERGER (1978) uses three-year averages instead of a single year to generate more stable and reliable capital stock estimates. In a later application of the Steady State Approach, NEHRU and DHARESHWAR (1993) proposed an alternative procedure. In order to generate a reliable initial value of the investment time series they regress the time series of log investments on time and then use the fitted value for the first period to calculate the initial capital stock.
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