Search Results

Showing results 1 to 10 of approximately 27.

(refine search)
SORT BY: PREVIOUS / NEXT
Jel Classification:C68 

Journal Article
The Welfare Cost of Business Cycles with Heterogeneous Trading Technologies

The author investigates the welfare cost of business cycles in an economy where households have heterogeneous trading technologies. In an economy with aggregate risk, the different portfolio choices induced by heterogeneous trading technologies lead to a larger consumption inequality in equilibrium, while this source of inequality vanishes in an economy without business cycles. Put simply, the heterogeneity in trading technologies amplifies the effect of aggregate output fluctuation on consumption inequality. The welfare cost of business cycles is, therefore, larger in such an economy. In the ...
Review , Volume 97 , Issue 1 , Pages 67-85

Working Paper
Beliefs, Aggregate Risk, and the U.S. Housing Boom

Endogenously optimistic beliefs about future house prices can account for the path and standard deviation of house prices in the U.S. housing boom of the 2000s. In a general equilibrium model with incomplete markets and aggregate risk, agents form beliefs about future house prices in response to shocks to fundamentals. In an income expansion with looser credit conditions, agents are more likely to underpredict house prices and revise up their beliefs. Matching the standard deviation and steady rise in house prices results in homeownership becoming less affordable later in the boom as well as ...
Finance and Economics Discussion Series , Paper 2022-061

Working Paper
Beliefs, Aggregate Risk, and the U.S. Housing Boom

Endogenously optimistic beliefs about future house prices can account for the path and standard deviation of house prices in the U.S. housing boom of the 2000s. In a general equilibrium model with incomplete markets and aggregate risk, agents form beliefs about future house prices in response to shocks to fundamentals. In an income expansion with looser credit conditions, agents are more likely to underpredict house prices and revise up their beliefs. Matching the standard deviation and steady rise in house prices results in homeownership becoming less affordable later in the boom as well as ...
Finance and Economics Discussion Series , Paper 2022-061

Working Paper
Finite-State Markov-Chain Approximations: A Hidden Markov Approach

This paper proposes a novel finite-state Markov chain approximation method for Markov processes with continuous support, providing both an optimal grid and transition probability matrix. The method can be used for multivariate processes, as well as non-stationary processes such as those with a life-cycle component. The method is based on minimizing the information loss between a Hidden Markov Model and the true data-generating process. We provide sufficient conditions under which this information loss can be made arbitrarily small if enough grid points are used. We compare our method to ...
Finance and Economics Discussion Series , Paper 2023-040

Working Paper
Adverse Selection, Risk Sharing and Business Cycles

I consider a real business cycle model in which agents have private information about an idiosyncratic shock to their value of leisure. I consider the mechanism design problem for this economy and describe a computational method to solve it. This is an important contribution of the paper since the method could be used to solve a wide class of models with heterogeneous agents and aggregate uncertainty. Calibrating the model to U.S. data I find a striking result: That the information frictions that plague the economy have no effects on business cycle fluctuations.
Working Paper Series , Paper WP-2014-10

Working Paper
Beliefs, Aggregate Risk, and the U.S. Housing Boom

Endogenously optimistic beliefs about future house prices can account for the path and standard deviation of house prices in the U.S. housing boom of the 2000s. In a general equilibrium model with incomplete markets and aggregate risk, agents form beliefs about future house prices in response to shocks to fundamentals. In an income expansion with looser credit conditions, agents are more likely to underpredict house prices and revise up their beliefs. Matching the standard deviation and steady rise in house prices results in homeownership becoming less affordable later in the boom as well as ...
Finance and Economics Discussion Series , Paper 2022-061

Working Paper
Beliefs, Aggregate Risk, and the U.S. Housing Boom

Endogenously optimistic beliefs about future house prices can account for the path and standard deviation of house prices in the U.S. housing boom of the 2000s. In a general equilibrium model with incomplete markets and aggregate risk, agents form beliefs about future house prices in response to shocks to fundamentals. In an income expansion with looser credit conditions, agents are more likely to underpredict house prices and revise up their beliefs. Matching the standard deviation and steady rise in house prices results in homeownership becoming less affordable later in the boom as well as ...
Finance and Economics Discussion Series , Paper 2022-061

Report
Productivity, Taxes, and Hours Worked in Spain: 1970-2015

In the early 1970s, hours worked per working-age person in Spain were higher than in the United States. Starting in 1975, however, hours worked in Spain fell by 40 percent. We find that 80 percent of the decline in hours worked can be accounted for by the evolution of taxes in an otherwise standard neoclassical growth model. Although taxes play a crucial role, we cannot argue that taxes drive all of the movements in hours worked. In particular, the model underpredicts the large decrease in hours in 1975?1986 and the large increase in hours in 1994?2007. The lack of productivity growth in ...
Staff Report , Paper 550

Working Paper
Beliefs, Aggregate Risk, and the U.S. Housing Boom

Endogenously optimistic beliefs about future house prices can account for the path and standard deviation of house prices in the U.S. housing boom of the 2000s. In a general equilibrium model with incomplete markets and aggregate risk, agents form beliefs about future house prices in response to shocks to fundamentals. In an income expansion with looser credit conditions, agents are more likely to underpredict house prices and revise up their beliefs. Matching the standard deviation and steady rise in house prices results in homeownership becoming less affordable later in the boom as well as ...
Finance and Economics Discussion Series , Paper 2022-061

Working Paper
Beliefs, Aggregate Risk, and the U.S. Housing Boom

Endogenously optimistic beliefs about future house prices can account for the path and standard deviation of house prices in the U.S. housing boom of the 2000s. In a general equilibrium model with incomplete markets and aggregate risk, agents form beliefs about future house prices in response to shocks to fundamentals. In an income expansion with looser credit conditions, agents are more likely to underpredict house prices and revise up their beliefs. Matching the standard deviation and steady rise in house prices results in homeownership becoming less affordable later in the boom as well as ...
Finance and Economics Discussion Series , Paper 2022-061

FILTER BY year

FILTER BY Content Type

FILTER BY Jel Classification

E20 13 items

E30 13 items

R21 13 items

C63 8 items

E44 5 items

show more (20)

FILTER BY Keywords

PREVIOUS / NEXT