共查询到20条相似文献,搜索用时 15 毫秒
1.
Juan Carlos Conesa Roca Carlos Díaz Moreno José Enrique Galdón Sánchez 《Spanish Economic Review》2001,3(1):41-53
This paper explores the role of underground economic activities as an explanation of differences in registered aggregate
fluctuations. In order to do so, we introduce an underground economy sector in an otherwise standard Real Business Cycle model
and calibrate it to the USA economy. We find that, at low frequencies, Europe fluctuates more than the USA, while its participation
rate is smaller. The existence of underground activities rationalizes the negative relationship between participation rates
and fluctuations of registered output. Our model accounts for 44.3% of the differences in aggregate fluctuations between the
USA and European economies. Finally, the model generates implied sizes of the underground economy of 3.2% and 7% of the American
and European output, respectively, which are in the range of those found in the empirical literature. 相似文献
2.
This paper studies the dynamic behavior of inflation and unemployment in Spain during the period 1964–1997. In particular,
we analyze the implications of high persistence in both unemployment and inflation dynamics for inference regarding the size
of Phillips trade-offs and sacrifice ratios in the Spanish economy, in response to a demand shock. To do so we use a Stuctural
VAR approach with several identification outlines which give rise to alternative interpretations of the joint unemployment-inflation
dynamics. When using a bivariate VAR we cannot reject the existence of a permanent output loss of one-half of one percentage
point for each percentage point of permanent disinflation. However, when the VAR is augmented with a third variable, in order
to disentangle monetary from non-monetary shocks within the demand class, the evidence favours a lower and marginally permanent
trade-off with an output loss of about one-fourth of one percentage point. 相似文献
3.
Fiscal policy and the Spanish business cycle 总被引:1,自引:0,他引:1
Juan Solé López-Pinto 《Spanish Economic Review》2001,3(4):295-311
A main result of the RBC literature is that technological factors drive fluctuations of macroeconomic variables around its
long-run growth path. Nevertheless, it has been shown that in some countries fluctuations of some fiscal variables may explain
some of the business cycle fluctuations. In this paper I show that a result of this sort can be obtained for the Spanish economy.
Specifically, I use both technological and fiscal shocks to reproduce the observed volatility of hours of work to output,
hours of work to average productivity, and the negative correlation between hours and average productivity. 相似文献
4.
Johanna Wallenius 《Review of Economic Dynamics》2011,14(4):577-591
I consider two different skill accumulation technologies, learning by doing and Ben-Porath type training. The effect of human capital accumulation in the form of learning by doing is to increase the labor supply elasticity estimate by a factor of 2.1 relative to the estimate that ignores human capital accumulation. The results are similar for the Ben-Porath type training technology, although the estimate of the bias is somewhat higher. 相似文献
5.
Clive W.J. Granger 《Spanish Economic Review》1999,1(2):161-173
The cost functions used to form forecasts in practice may be quite different than the squared costs that is often assumed
in forecast theory. The impact on evaluation procedures is determined and simple properties for the derivate of the cost function
of the errors are found to provide simple tests of optimality. For a very limited class of situations are forecasts based
on conditional means optimal, generally, the econometricians needs to provide the whole conditional predicted distribution.
Implications for multi-step forecasts and the combination of forecasts are briefly considered. 相似文献
6.
Juan C. Cuestas Luis A. Gil-Alana Karsten Staehr 《Journal of Comparative Economics》2011,39(4):514-532
This paper analyses the dynamics of the unemployment rate in the eight countries from Central and Eastern Europe which joined the EU in 2004. Unit root tests allowing for nonlinearities and structural changes suggest that the unemployment rate is not stationary in most of the sample countries. Tests allowing for fractional integration, however, reveal that shocks are highly persistent, implying a slow rate of convergence to the natural rate of unemployment. The unemployment rate is least persistent in Hungary and Slovenia, more persistent in the Czech Republic, Slovakia and the Baltic States and extremely persistent in Poland. The degree of persistence appears to reflect the different levels of economic and institutional development in the countries and possibly also the role of the government. 相似文献
7.
Domenico J. Marchetti 《European Economic Review》2005,49(5):1137-1163
We derive a measure of technological change from a dynamic cost minimization model that controls for imperfect competition, increasing returns and unobserved factor utilization. We estimate this measure using highly detailed panel data of a representative sample of Italian manufacturing firms for the period 1984-1997. Our key finding is that technological improvements result in a contraction of labor input on impact. In principle, this result can be reconciled with the transmission mechanism of flexible-price models by resorting to reorganization and reallocation effects. On the other hand, however, it is consistent with the predictions of a sticky-price model. Using survey information on the frequency of price revisions, we corroborate the latter interpretation, by showing that the contractionary effect of technology shocks is much stronger for firms with stickier prices. 相似文献
8.
In a competitive overlapping generations model, technological irreversibilities and idiosyncratic uncertainty generate a
misallocation of resources among segments, which takes the form of underemployment and underutilization of capacities at the
aggregate level. This affects the qualitative properties of the equilibrium path. Indeed, increases in the variance of the
technological shock can be responsible, a.o., for an “inescapable poverty trap,” or for periodic orbits generating endogenous
fluctuations in underemployment. 相似文献
9.
10.
Javier Díaz-Giménez 《Economic Theory》1997,10(3):463-482
Summary. I study the role played by uninsured idiosyncratic risk and liquidity constraints in the propagation of aggregate fluctuations.
To this purpose, I compare the aggregate fluctuations of two model economies that differ in their insurance technologies only.
In one of these model economies liquidity constrained households vary their holdings of a nominally denominated asset in order
to buffer an uninsured idiosyncratic shock to their individual production opportunities. In the other economy every idiosyncratic
component of risk can be costlessly insured. I find that the limited insurance technology implies fluctuations in output that
are 20% larger, fluctuations in hours relative to output that are 9% larger, fluctuations in consumption relative to output
that are 18% smaller, and a correlation of hours and productivity that is 15% smaller than those that obtain under the full
insurance technology.
Received: March 6, 1996; revised version August 15, 1996 相似文献
11.
Hodrick-Prescott (HP) filtering of (most often, seasonally adjusted) quarterly series is analysed. Some of the criticism
to the filter are adressed. It is seen that, while filtering strongly affects autocorrelations, it has little effect on crosscorrelations.
It is argued that the criticism that HP filtering induces a spurious cycle in the series is unwarranted. The filter, however,
presents two serious drawbacks: First, poor performance at the end periods, due to the size of the revisions in preliminary
estimators, and, second, the amount of noise in the cyclical signal, which seriously disturbs its interpretation. We show
how the addition of two model-based features (in particular, applying the filter to the series extended with proper ARIMA
forecasts and backcasts, and using as input to the filter the trend-cycle component instead of the seasonally adjusted series)
can considerably improve the filter performance. Throughout the discussion, we use a computationally and analytically convenient
alternative derivation of the HP filter, and illustrate the results with an example consisting of 4 Spanish economic indicators. 相似文献
12.
In this paper we evaluate the hypothesis that the Great Moderation is partly the result of a less activist monetary policy. We simulate a New Keynesian model in which the central bank can only observe a noisy estimate of the output gap and find that the less pronounced reaction of the Federal Reserve to output gap fluctuations since 1979 can account for a substantial part of the reduction in the standard deviation of GDP associated with the Great Moderation. Our simulations are consistent with the empirically documented smaller magnitude and impact of interest rate shocks since the early 1980s. 相似文献
13.
This paper presents a comparison of alternative indicators of underlying or “core” inflation in the French case. Four broad
measures are considered and implemented. The first two are inflation excluding food and energy, and the trimmed inflation
indicator. We then implement two methods relying on time-series models: the Dynamic Factor Index and the structural VAR approach.
Each indicator stresses on a particular type of shock on the inflation rate, so that no simple ranking of the measures emerges.
Combining the various indicators conveys valuable information for appraising short term inflation developments. As regards
theoretical interpretation, no indicator is fully satisfactory, lacking an explicit representation of monetary policy. However,
comparing forecast performance with respect to inflation provides some specific support in favor of trimmed mean indicators.
First version received: January 2000/Final version received: March 2001 相似文献
14.
Jean-Pierre Drugeon 《Economic Theory》1998,12(2):349-369
Summary. This article reexamines the role of consumption in growth and emphasises the external effects of aggregate consumption, viewed
as consumption standards, as an additional impediment in the growth process. These external effects raise the productivity of the individuals and
are positively related to their valuation of the future. Conditions are established under which this results in a marginal
value of wealth that is an increasing function of consumption. This brings new types of multiple steady states, local indeterminacies
and cyclical motions. Imposing extra homogeneity restrictions, balanced growth solutions with endogenous impatience emerge.
The possibility of multiple convergent paths is univocally related to endogenous discount effects. A comparison with a benchmark
planning economy indicates an excessive value for the rate of time preference and emphasises its insufficient adaptation to
future utility in a stationary setting. Discrepancies along the transition path that rest on endogenous impatience versus
fixed discount appear in a non-stationary environment when the competitive balanced growth solution is indeterminate.
Received: May 5, 1996; revised version: May 19, 1997 相似文献
15.
Demand fluctuations and capacity utilization under duopoly 总被引:4,自引:0,他引:4
Summary. This paper studies the impact of uncertain demand on firms’ capacity decisions when they operate in an oligopolistic environment.
We define a two-stage game where firms choose capacity in the first stage without knowing which state of Nature is going to
realize, and output levels in the second, knowing which state is realized. We prove the existence of a symmetric subgame perfect
equilibrium at which firms are in excess capacity compared with the capacity they would choose in the Cournot certainty equivalent
game.
Received: May 17, 1996; revised version July 31, 1996 相似文献
16.
In this paper we apply decomposition methods to analyze some of the factors accounting for the decrease in household expenditures
inequality in Spain during the 1980s. We adopt a simple one-parameter model in which equivalence scales depend only on household
size. Then we propose an inequality decomposition method which minimizes equivalence scales' potential contamination problems.
We find that most of the change in overall inequality is due to a reduction in the within-group term in the partition by household
size. The bulk of this reduction is accounted for by changes at the lower tail of the distribution in the partitions by the
socioeconomic category and educational level of the household head. These two findings are independent of the equivalence
scales parameter. 相似文献
17.
Gonzalo Fernández-de-Córdoba 《Economic Modelling》2011,28(3):1140-1149
This paper provides a new growth model by considering strategic behaviour in the supply of labour. Workers form a labour union with the aim of manipulating wages for their own benefit. We analyse the implications on labour market dynamics at business cycle frequencies of getting away from the price-taking assumption. A calibrated monetary version of the union model does quite a reasonable job in replicating the dynamic features of labour market variables observed in post-war U.S. data. 相似文献
18.
Tomoyuki Nakajima 《European Economic Review》2005,49(5):1331-1360
We develop a dynamic general-equilibrium model with demand (preference) shocks, estimated using Hall's (J. Labour Economics 15 (1997) 223) residual, that replicates U.S. business cycles well, at least compared to the real business cycle models. The key factor is cyclical capital utilization, which is based on imperfect competition, slow adjustments in capital stock, and fixed requirement of labor input. We also demonstrate theoretically that a representative-agent economy with preference shocks could be viewed as the reduced form of a heterogeneous-agents economy with incomplete markets. Specifically, a heterogeneous-agents economy with incomplete markets is aggregated into a representative-agent economy with preference shocks. This result would provide a microeconomic foundation for preference shock models. It is also shown that a shock to marginal utility of consumption and a shock to marginal disutility of labor have different effects. 相似文献
19.
We develop a model of a financially distressed firm to analyze the implications of a bank debt restructuring when the operational
characteristics of the firm's project for the post-distress period are endogenously determined as part of the workout. We
establish a formal link between the debt restructuring and operational actions such as employee layoffs, and show how these
actions are affected by the firm's capital structure, the ordering of absolute priorities, and the allocation of control rights
and residual claims after reorganization. Finally, we discuss the implications of our analysis for the design of reorganization
law. 相似文献
20.
As the Spanish economy gets more integrated in international markets, the real exchange rate becomes a key determinant of
the monetary transmission. In this paper we trace out the dynamic response of prices, output and the exchange rate following
a monetary policy shock. We estimate a structural VAR model whose identification scheme is based on the long run properties
common to a large class of models. The results suggest that a small model with efficient asset markets plus nominal inertia
and long run monetary neutrality, captures the essential features of the monetary transmission mechanism in Spain. The interest
rate shock is well identified and the exchange rate overshoots its long run value. There are no signs of liquidity puzzle nor of price puzzle or exchange rate puzzle either. 相似文献