Search Results

SORT BY: PREVIOUS / NEXT
Author:Throckmorton, Nathaniel A. 

Working Paper
Valuation Risk Revalued

The recent asset pricing literature finds valuation risk is an important determinant of key asset pricing moments. Valuation risk is modelled as a time preference shock within Epstein-Zin recursive utility preferences. While this form of valuation risk appears to fit the data extremely well, we show the preference specification violates an economically meaningful restriction on the weights in the Epstein-Zin time-aggregator. The same model with the corrected preference specification performs nearly as well at matching asset pricing moments, but only if the risk aversion parameter is well ...
Working Papers , Paper 1808

Working Paper
Nonlinear Search and Matching Explained

Competing explanations for the sources of nonlinearity in search and matching modelsindicate that they are not fully understood. This paper derives an analytical solution to atextbook model that highlights the mechanisms that generate nonlinearity and quantifiestheir contributions. Procyclical variation in the matching elasticity creates nonlinearity inthe job finding rate, which interacts with the law of motion for unemployment. These resultsshow the matching function choice is not innocuous. Quantitatively, the Den Haan et al.(2000) matching function more than doubles the skewness of ...
Working Papers , Paper 2106

Job vacancy, unemployment relationship clouds ‘soft landing’ prospects

Some economists have argued that because the job vacancy rate has been well above its prepandemic level, there is plenty of room for vacancies to fall before the unemployment rate must rise.
Dallas Fed Economics

Working Paper
COVID-19: A View from the Labor Market

This paper examines the response of the U.S. labor market to a large and persistent job separation rate shock, motivated by the ongoing economic effects of the COVID-19 pandemic. We use nonlinear methods to analytically and numerically characterize the responses of vacancy creation and unemployment. Vacancies decline in response to the shock when firms expect persistent job destruction and the number of unemployed searching for work is low. Quantitatively, under our baseline forecast the unemployment rate peaks at 19.7%, 2 months after the shock, and takes 1 year to return to 5%. Relative to ...
Working Papers , Paper 2010

Working Paper
Entry and Exit, Unemployment, and the Business Cycle

Establishment entry and exit is strongly correlated with output and unemployment. This paper examines how these linkages affect business cycle dynamics through the lens of a search and matching model augmented to include multi-worker establishments that endogenously enter and exit. Analytical results show cyclical entry and exit cause reallocation of inputs that amplifies and skews business cycle dynamics. When the model is calibrated to the data, it generates realistic asymmetry in output and unemployment, data-consistent counter-cyclical endogenous uncertainty and a 55% higher welfare cost ...
Working Papers , Paper 2018

COVID-19’s Unprecedented Impact Alters U.S. Labor Market

A staggering 22.03 million initial claims for unemployment benefits were filed from mid-March to mid-April as the COVID-19 pandemic and ensuing stay-at-home policies took hold across the country.
Dallas Fed Economics

Journal Article
Fed’s Effective Lower Bound Constraint on Monetary Policy Created Uncertainty

Uncertainty about the economy increased when the Fed reduced the federal funds rate to its effective lower bound because the constraint restricted the Fed?s ability to stabilize the economy. As a result, a much stronger negative relationship between uncertainty and economic activity emerged during and shortly after the Great Recession.
Economic Letter , Volume 12 , Issue 11 , Pages 1-4

Working Paper
Complementarity and Macroeconomic Uncertainty

Macroeconomic uncertainty—the conditional volatility of the unforecastable component of a future value of a time series—shows considerable variation in the data. A typical assumption in business cycle models is that production is Cobb-Douglas. Under that assumption, this paper shows there is usually little, if any, endogenous variation in output uncertainty, and first moment shocks have similar effects in all states of the economy. When the model departs from Cobb-Douglas production and assumes capital and labor are gross complements, first-moment shocks have state-dependent effects and ...
Working Papers , Paper 2009

Working Paper
A New Way to Quantify the Effect of Uncertainty

This paper develops a new way to quantify the effect of uncertainty and other higher-order moments. First, we estimate a nonlinear model using Bayesian methods with data on uncertainty, in addition to common macro time series. This key step allows us to decompose the exogenous and endogenous sources of uncertainty, calculate the effect of volatility following the cost of business cycles literature, and generate data-driven policy functions for any higherorder moment. Second, we use the Euler equation to analytically decompose consumption into several terms--expected consumption, the ex-ante ...
Working Papers , Paper 1705

Working Paper
Forward guidance and the state of the economy

This paper examines forward guidance using a nonlinear New Keynesian model with a zero lower bound (ZLB) constraint on the nominal interest rate. Forward guidance is modeled with news shocks to the monetary policy rule. The effectiveness of forward guidance depends on the state of the economy, the speed of the recovery, the ZLB constraint, the degree of uncertainty, the monetary response to inflation, the size of the news shocks, and the forward guidance horizon. Specifically, the stimulus from forward guidance falls as the economy deteriorates or as households expect a slower recovery. When ...
Working Papers , Paper 1612

FILTER BY year

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

E32 10 items

E37 7 items

E24 6 items

J63 6 items

D81 5 items

E58 5 items

show more (13)

FILTER BY Keywords

Unemployment 5 items

COVID-19 4 items

Nonlinear 4 items

zero lower bound 4 items

Economic Conditions 2 items

Firm Dynamics 2 items

show more (57)

PREVIOUS / NEXT