The Experts below are selected from a list of 30096 Experts worldwide ranked by ideXlab platform
Enrique G Mendoza - One of the best experts on this subject based on the ideXlab platform.
-
real business cycles in a Small Open Economy
The American Economic Review, 1991Co-Authors: Enrique G MendozaAbstract:This paper analyzes a real-business-cycle model of a Small Open Economy. The model is parameterized, calibrated, and simulated to explore its ability to rationalize the observed pattern of postwar Canadian business fluctuations. The results show that the model mimics many of the stylized facts using moderate adjustment costs and minimal variability and persistence in the technological disturbances. In particular, the model is consistent with the observed positive correlation between savings and investment, even though financial capital is perfectly mobile, and with countercyclical fluctuations in external trade. Copyright 1991 by American Economic Association.
Ivan Tchakarov - One of the best experts on this subject based on the ideXlab platform.
-
An Estimated Small Open Economy Model of the Financial Accelerator
IMF Staff Papers, 2006Co-Authors: Selim Elekdag, Alejandro Justiniano, Ivan TchakarovAbstract:This paper develops a Small Open Economy model in which entrepreneurs partially finance investment using foreign currency-denominated debt subject to an external finance premium. We use Bayesian estimation techniques to evaluate the importance of balance sheet-related credit market frictions for emerging market countries by incorporating the financial accelerator mechanism. We obtain a sizable value for the external finance premium, which is tightly estimated away from zero. Our results support the inclusion of the financial accelerator in an otherwise standard model that—acting through balance sheets—magnifies the impact of shocks, thereby increasing real and financial volatility.
-
an estimated Small Open Economy model of the financial accelerator
IMF Staff Papers, 2006Co-Authors: Selim Elekdag, Alejandro Justiniano, Ivan TchakarovAbstract:This paper develops a Small Open Economy model in which entrepreneurs partially finance investment using foreign currency-denominated debt subject to an external finance premium. We use Bayesian estimation techniques to evaluate the importance of balance sheet-related credit market frictions for emerging market countries by incorporating the financial accelerator mechanism. We obtain a sizable value for the external finance premium, which is tightly estimated away from zero. Our results support the inclusion of the financial accelerator in an otherwise standard model that-acting through balance sheets-magnifies the impact of shocks, thereby increasing real and financial volatility. Copyright 2006, International Monetary Fund
-
an estimated Small Open Economy model of the financial accelerator
Social Science Research Network, 2005Co-Authors: Selim Elekdag, Alejandro Justiniano, Ivan TchakarovAbstract:This paper develops a Small Open Economy model where entrepreneurs partially finance investment using foreign currency denominated debt subject to a risk premium above and beyond international interest rates. We use Bayesian estimation techniques to evaluate the importance of balance sheet vulnerabilities combined with the presence of the financial accelerator for emerging market countries. Using Korean data, we obtain an estimate for the external risk premium, indicating the importance of the financial accelerator and potential balance sheet vulnerabilities for macroeconomic fluctuations. Furthermore, our estimates of the Taylor rule imply a strong preference to smooth both exchange rate and interest rate fluctuations.
Karl Walentin - One of the best experts on this subject based on the ideXlab platform.
-
introducing financial frictions and unemployment into a Small Open Economy model
Social Science Research Network, 2010Co-Authors: Lawrence J. Christiano, Mathias Trabandt, Karl WalentinAbstract:Which are the main frictions and driving forces of business cycle dynamics in a Small Open Economy? To answer this question we extend what is becoming the standard new Keynesian model in three dimensions. First, we incorporate frictions in the financing of the capital stock. Second, we model employment frictions in the labor market using a search and matching framework, allowing for endogenous job separations. Third, we extend the model into a Small Open Economy setting. We estimate the model using Bayesian techniques on Swedish data. Our main results are: i) A financial shock to entrepreneurial wealth is pivotal for explaining business cycle fluctuations accounting for substantial amounts of the variance in investment and GDP. ii) The marginal efficiency of investment shock has very limited importance when we match financial market data. iii) Our model does not need any high frequency wage markup shocks to match the data. Furthermore, the labor supply shock is unimportant in explaining GDP. iv) The data indicates that there are costs of hiring, but no costs of vacancy postings per se.
-
Introducing Financial Frictions and Unemployment into a Small Open Economy Model
2008Co-Authors: Mathias Trabandt, Karl Walentin, Lawrence J. ChristianoAbstract:How important are financial and labor market frictions for the business cycle dynamics of a Small Open Economy? What are the quantitative effects of increased financial risk on output and inflation? How important are variations in the intensive vs. the extensive margin of labor supply? What are the spillover effects of financial market disturbances to unemployment and vice versa? In order to address these question we extend the Small Open Economy model presented in Adolfson, Laseen, Linde and Villani (2005, 2007a, 2007b) in two important dimensions. First, we incorporate financial frictions in the accumulation and management of capital similar to Bernanke, Gertler and Gilchrist (1999) and Christiano, Motto and Rostagno (2003, 2007). Second, we include the search and matching framework of Mortensen and Pissarides (1994), Gertler, Sala and Trigari (2006) and Christiano, Ilut, Motto, and Rostagno (2007) into a Small Open Economy model. We estimate the full model using Bayesian techniques.
Mathias Trabandt - One of the best experts on this subject based on the ideXlab platform.
-
introducing financial frictions and unemployment into a Small Open Economy model
Social Science Research Network, 2010Co-Authors: Lawrence J. Christiano, Mathias Trabandt, Karl WalentinAbstract:Which are the main frictions and driving forces of business cycle dynamics in a Small Open Economy? To answer this question we extend what is becoming the standard new Keynesian model in three dimensions. First, we incorporate frictions in the financing of the capital stock. Second, we model employment frictions in the labor market using a search and matching framework, allowing for endogenous job separations. Third, we extend the model into a Small Open Economy setting. We estimate the model using Bayesian techniques on Swedish data. Our main results are: i) A financial shock to entrepreneurial wealth is pivotal for explaining business cycle fluctuations accounting for substantial amounts of the variance in investment and GDP. ii) The marginal efficiency of investment shock has very limited importance when we match financial market data. iii) Our model does not need any high frequency wage markup shocks to match the data. Furthermore, the labor supply shock is unimportant in explaining GDP. iv) The data indicates that there are costs of hiring, but no costs of vacancy postings per se.
-
Introducing Financial Frictions and Unemployment into a Small Open Economy Model
2008Co-Authors: Mathias Trabandt, Karl Walentin, Lawrence J. ChristianoAbstract:How important are financial and labor market frictions for the business cycle dynamics of a Small Open Economy? What are the quantitative effects of increased financial risk on output and inflation? How important are variations in the intensive vs. the extensive margin of labor supply? What are the spillover effects of financial market disturbances to unemployment and vice versa? In order to address these question we extend the Small Open Economy model presented in Adolfson, Laseen, Linde and Villani (2005, 2007a, 2007b) in two important dimensions. First, we incorporate financial frictions in the accumulation and management of capital similar to Bernanke, Gertler and Gilchrist (1999) and Christiano, Motto and Rostagno (2003, 2007). Second, we include the search and matching framework of Mortensen and Pissarides (1994), Gertler, Sala and Trigari (2006) and Christiano, Ilut, Motto, and Rostagno (2007) into a Small Open Economy model. We estimate the full model using Bayesian techniques.
Lawrence J. Christiano - One of the best experts on this subject based on the ideXlab platform.
-
introducing financial frictions and unemployment into a Small Open Economy model
Social Science Research Network, 2010Co-Authors: Lawrence J. Christiano, Mathias Trabandt, Karl WalentinAbstract:Which are the main frictions and driving forces of business cycle dynamics in a Small Open Economy? To answer this question we extend what is becoming the standard new Keynesian model in three dimensions. First, we incorporate frictions in the financing of the capital stock. Second, we model employment frictions in the labor market using a search and matching framework, allowing for endogenous job separations. Third, we extend the model into a Small Open Economy setting. We estimate the model using Bayesian techniques on Swedish data. Our main results are: i) A financial shock to entrepreneurial wealth is pivotal for explaining business cycle fluctuations accounting for substantial amounts of the variance in investment and GDP. ii) The marginal efficiency of investment shock has very limited importance when we match financial market data. iii) Our model does not need any high frequency wage markup shocks to match the data. Furthermore, the labor supply shock is unimportant in explaining GDP. iv) The data indicates that there are costs of hiring, but no costs of vacancy postings per se.
-
Introducing Financial Frictions and Unemployment into a Small Open Economy Model
2008Co-Authors: Mathias Trabandt, Karl Walentin, Lawrence J. ChristianoAbstract:How important are financial and labor market frictions for the business cycle dynamics of a Small Open Economy? What are the quantitative effects of increased financial risk on output and inflation? How important are variations in the intensive vs. the extensive margin of labor supply? What are the spillover effects of financial market disturbances to unemployment and vice versa? In order to address these question we extend the Small Open Economy model presented in Adolfson, Laseen, Linde and Villani (2005, 2007a, 2007b) in two important dimensions. First, we incorporate financial frictions in the accumulation and management of capital similar to Bernanke, Gertler and Gilchrist (1999) and Christiano, Motto and Rostagno (2003, 2007). Second, we include the search and matching framework of Mortensen and Pissarides (1994), Gertler, Sala and Trigari (2006) and Christiano, Ilut, Motto, and Rostagno (2007) into a Small Open Economy model. We estimate the full model using Bayesian techniques.
