Essays On Monetary Business Cycles With Nominal Rigidities

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Essays On Monetary Business Cycles With Nominal Rigidities

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Author : Junhee Lee
language : en
Publisher:
Release Date : 2005

Essays On Monetary Business Cycles With Nominal Rigidities written by Junhee Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business cycles categories.

Abstract: My dissertation assesses the role of money and nominal rigidities in economic fluctuations and tries to improve on the performance of existing models with nominal rigidities. The dissertation consists of two essays. The essay titled "Sticky Prices and Co-movement in the Business Cycle," examines the co-movement of economic variables across different sectors of the economy during business cycles. Specifically, I address the previously unresolved problem in standard real business cycle (RBC) models that labor used for consumption good production moves negatively with aggregate labor in sharp contrast with the data (Benhabib et al. (1991)). Traditionally, however, not only productivity shocks and real factors emphasized in standard RBC models but also monetary shocks and nominal factors are believed to be important in explaining business cycles (e.g. Friedman and Schwartz (1968)). But until now, there has been virtually no attempt to explain the sectoral co-movement in this perspective. So in this essay, I construct a sticky prices model with consumption and investment sector to examine the sectoral co-movement in models with nominal rigidities, which are widely accepted in recent monetary business cycle research. It turns out that monetary shocks can generate the observed sectoral co-movement in models with nominal rigidities. Productivity shocks also induce mild positive comovement due to the stickiness of prices, though the result may not be robust in certain specifications. In my second essay, "Labor Market Matching, Nominal Wage Stickiness and the Propagation of Monetary Shocks," I investigate whether we can obtain realistic propagation of monetary shocks in business cycle models with labor market matching and nominal rigidities. Business cycle models with nominal rigidities do not readily generate the persistent and hump shaped aggregate output dynamics in response to monetary shocks, and improvement on this score has been a key agenda among business cycle researchers. Some researchers have combined stickiness of goods prices and labor market matching but with limited success. I show that greater persistence and hump shaped dynamics of aggregate output as well as plausible labor market dynamics are obtained when nominal wage stickiness rather than nominal price stickiness is assumed in models with labor market matching.

Essays On Business Cycles Nominal Rigidities And Macroeconomic Uncertainty

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Author : Fabrizio Zampolli
language : en
Publisher:
Release Date : 2000

Essays On Business Cycles Nominal Rigidities And Macroeconomic Uncertainty written by Fabrizio Zampolli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Three Essays On Expectation Driven Business Cycles

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Author : Shen Guo
language : en
Publisher:
Release Date : 2009

Three Essays On Expectation Driven Business Cycles written by Shen Guo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.

Essays On Business Cycles And Monetary Policy

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Author : Emrehan Aktuğ
language : en
Publisher:
Release Date : 2022

Essays On Business Cycles And Monetary Policy written by Emrehan Aktuğ and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.

My dissertation investigates the nonlinear dynamics in business cycles and the transmission of monetary policy using both empirical and theoretical frameworks. Chapter 1 examines the impact of macroeconomic asymmetry on the welfare cost of business cycles. I investigate the welfare cost of business cycles due to asymmetries generated by two occasionally binding constraints (OBCs): downward nominal wage rigidity (DNWR) and zero lower bound (ZLB). Although business cycle volatility has declined recently as the Great Moderation literature suggests, I find that the welfare cost of business cycles has doubled due to the increased skewness of business cycles over time that is apparent in the data. In a quantitative dynamic equilibrium model that accounts for volatility and skewness changes in pre and postVolcker periods, I estimate that the welfare cost of business cycles has increased from 0.57% (in terms of consumption equivalence) in the pre-Volcker period to 0.97% in the post-Volcker period. Counterfactual analysis shows that while both OBCs play a role, the binding ZLB explains most of the welfare effects in the post-Volcker period. Policy counterfactuals indicate that increasing the inflation target from 2% to 4% reduces the skewness of business cycles and the binding rates of both OBCs, thereby leading to a significant decrease in the welfare cost, from 0.97% to 0.67%. In Chapter 2, I investigate the welfare maximizing steady-state inflation rate in a heterogeneousagent New Keynesian model with Downward Nominal Wage Rigidity (DNWR). After matching the annual wage change distribution in the U.S., I show that DNWR has a very significant impact on the economy when the inflation target is low. Considering the effect of the zero lower bound, price dispersion due to sticky prices, declining natural rate of interest, and lower trend productivity, I find that the optimal inflation target should be much higher than 2%, close to 7%. This result holds taking transition dynamics into account and is robust to a wide range of parameterizations. Lastly, Chapter 3 analyzes the impact of heterogeneity in wage and price stickiness on the transmission of monetary policy. Using the price and wage rigidity estimates of previous studies, I find a slightly negative correlation between wage and price rigidity at the industry level. After categorizing 3-digit industries as rigid and flexible, I analyze the impulse responses of real variables to a monetary policy shock. I document a significant response of industrial production in price-rigid industries, whereas in wage-rigid industries the response is still significant but weaker. Consistent with the theory, the response in price- and wage-flexible industries is not significant. The empirical results suggest that due to relatively lower variation in wage stickiness at the industry level, price stickiness plays a more important role in the differential response of industries to a monetary policy shock. Besides, I develop a multi-sector model incorporating sector-level heterogeneity both in wage and price rigidity into an otherwise standard New Keynesian model and analyze the monetary non-neutrality for different specifications. The results of the model verify the empirical findings

Essays In Honor Of M Hashem Pesaran

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Author : Alexander Chudik
language : en
Publisher: Emerald Group Publishing
Release Date : 2022-01-18

Essays In Honor Of M Hashem Pesaran written by Alexander Chudik and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-18 with Business & Economics categories.

The collection of chapters in Volume 43 Part A of Advances in Econometrics serves as a tribute to one of the most innovative, influential, and productive econometricians of his generation, Professor M. Hashem Pesaran.

Essays In Honour Of Fabio Canova

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Author : Juan J. Dolado
language : en
Publisher: Emerald Group Publishing
Release Date : 2022-09-21

Essays In Honour Of Fabio Canova written by Juan J. Dolado and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-09-21 with Business & Economics categories.

Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.

Journal Of Economic Literature

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Author :
language : en
Publisher:
Release Date : 2006-12

Journal Of Economic Literature written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-12 with Economics categories.

Monetary Policy Inflation And The Business Cycle

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Author : Jordi Galí
language : en
Publisher: Princeton University Press
Release Date : 2015-06-09

Monetary Policy Inflation And The Business Cycle written by Jordi Galí and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-09 with Business & Economics categories.

The classic introduction to the New Keynesian economic model This revised second edition of Monetary Policy, Inflation, and the Business Cycle provides a rigorous graduate-level introduction to the New Keynesian framework and its applications to monetary policy. The New Keynesian framework is the workhorse for the analysis of monetary policy and its implications for inflation, economic fluctuations, and welfare. A backbone of the new generation of medium-scale models under development at major central banks and international policy institutions, the framework provides the theoretical underpinnings for the price stability–oriented strategies adopted by most central banks in the industrialized world. Using a canonical version of the New Keynesian model as a reference, Jordi Galí explores various issues pertaining to monetary policy's design, including optimal monetary policy and the desirability of simple policy rules. He analyzes several extensions of the baseline model, allowing for cost-push shocks, nominal wage rigidities, and open economy factors. In each case, the effects on monetary policy are addressed, with emphasis on the desirability of inflation-targeting policies. New material includes the zero lower bound on nominal interest rates and an analysis of unemployment’s significance for monetary policy. The most up-to-date introduction to the New Keynesian framework available A single benchmark model used throughout New materials and exercises included An ideal resource for graduate students, researchers, and market analysts

Dissertation Abstracts International

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Author :
language : en
Publisher:
Release Date : 2008

Dissertation Abstracts International written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Dissertations, Academic categories.

Analyzing Modern Business Cycles Essays Honoring

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Author : Philip A Klein
language : en
Publisher: Routledge
Release Date : 2017-10-03

Analyzing Modern Business Cycles Essays Honoring written by Philip A Klein and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-03 with Business & Economics categories.

This title was first published in 1990.