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Author:Gilchrist, Simon 

Conference Paper
Has the development of the structured credit market affected the cost of corporate debt? - comments

Proceedings , Issue Nov

Working Paper
Investment, capacity, and uncertainty: a putty-clay approach

In this paper, we embed the microeconomic decisions associated with investment under uncertainty, capacity utilization, and machine replacement in a general equilibrium model based on putty-clay technology. We show that the combination of log-normally distributed idiosyncratic productivity uncertainty and Leontief utilization choice yields an aggregate production function that is easily characterized in terms of hazard rates for the standard normal distribution. At low levels of idiosyncratic uncertainty, the short-run elasticity of supply is substantially lower than the elasticity of supply ...
Working Paper Series , Paper 2002-03

Working Paper
Transition dynamics in vintage capital models: explaining the postwar catch-up of Germany and Japan

We consider a neoclassical interpretation of Germany and Japan?s rapid postwar growth that relies on a catch-up mechanism through capital accumulation where technology is embodied in new capital goods. Using a putty-clay model of production and investment, we are able to capture many of the key empirical properties of Germany and Japan?s postwar transitions, including persistently high but declining rates of labor and total-factor productivity growth, a U-shaped response of the capital-output ratio, rising rates of investment and employment, and moderate rates of return to capital.
Working Paper Series , Paper 2004-14

Working Paper
The Macroeconomic Impact of Financial and Uncertainty Shocks

The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically distinguishing between these two types of shocks, however, is difficult because increases in economic uncertainty are strongly associated with a widening of credit spreads, an indication of a tightening in financial conditions. This paper uses the penalty function approach within the SVAR framework to ...
International Finance Discussion Papers , Paper 1166

Working Paper
Monetary policy and the financial accelerator in a monetary union

In this paper, we consider the effect of a monetary union in a model with a significant role for financial market imperfections. We do so by introducing a financial accelerator into a stochastic general equilibrium macro model of a two country economy. We show that financial market imperfections introduce important cross-country transmission mechanisms to asymmetric shocks to supply and demand. Within this framework, we study the likely costs and benefits of monetary union. We also consider the effects of cross-country heterogeneity in financial markets. Both the presence of financial ...
International Finance Discussion Papers , Paper 750

Working Paper
Financial Heterogeneity and Monetary Union

We analyze the economic consequences of forming a monetary union among countries with varying degrees of financial distortions, which interact with the firms' pricing decisions because of customer-market considerations. In response to a financial shock, firms in financially weak countries (the periphery) maintain{{p}}cashflows by raising markups--in both domestic and export markets--while firms in financially strong countries (the core) reduce markups, undercutting their financially constrained competitors to gain market share. When the two regions are experiencing different shocks, common ...
Finance and Economics Discussion Series , Paper 2018-043

Discussion Paper
Recession Risk and the Excess Bond Premium

In this FEDS Note, we evaluate the information content for recession risk of a component of credit spreads that is not directly attributable to expected default risk and thus to news about future cash flows.
FEDS Notes , Paper 2016-04-08

Discussion Paper
Updating the Recession Risk and the Excess Bond Premium

Beginning with the publication of this Note, we will provide updated estimates of the EBP and the associated model-implied probability of a U.S. recession every month.
FEDS Notes , Paper 2016-10-06

Working Paper
The financial accelerator and the flight to quality

Finance and Economics Discussion Series , Paper 94-18

Working Paper
Uncertainty, Financial Frictions, and Investment Dynamics

Micro- and macro-level evidence indicates that fluctuations in idiosyncratic uncertainty have a large effect on investment; the impact of uncertainty on investment occurs primarily through changes in credit spreads; and innovations in credit spreads have a strong effect on investment, irrespective of the level of uncertainty. These findings raise a question regarding the economic significance of the traditional "wait-and-see" effect of uncertainty shocks and point to financial distortions as the main mechanism through which fluctuations in uncertainty affect macroeconomic outcomes. The ...
Finance and Economics Discussion Series , Paper 2014-69

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