Expectation driven business cycles with limited enforcement

Walentin, Karl

doi:10.1016/j.econlet.2014.06.006

Cited by 13 publications

(8 citation statements)

References 18 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In such a case, average relative performance over the whole out-of-sample period may hide important information and even lead to incorrect conclusions. We analyze time variations in the relative forecasting performance using methods developed by Giacomini and Rossi (2010 (2011) and Walentin (2014).…”

Section: Methodsmentioning

confidence: 99%

Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads

Hännikäinen

2015

Rev Financ Econ

View full text Add to dashboard Cite

This paper re-examines the out-of-sample predictive power of interest rate spreads when the short-term nominal rates have been stuck at the zero lower bound and the Fed has used unconventional monetary policy. Our results suggest that the predictive power of some interest rate spreads have changed since the beginning of this period. In particular, the term spread has been a useful leading indicator since December 2008, but not before that. Credit spreads generally perform poorly in the zero lower bound and unconventional monetary policy period. However, the mortgage spread has been a robust predictor of economic activity over the 2003-2014 period.

show abstract

Section: Methodsmentioning

confidence: 99%

Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads

Hännikäinen

2015

Rev Financ Econ

View full text Add to dashboard Cite

show abstract

“…Financial Amplification Channels The combination of low nominal interest rates and high asset prices in response to a positive news shock may be responsible of a further amplification mechanisms that works through the relaxation of borrowing constraints -particularly collateral constraints -(see e.g. Kobayashi et al, 2012;Walentin, 2014;Görtz et al, 2016;Görtz and Tsoukalas, 2017). On one hand, loser borrowing/leverage constraints can increase the demand for investment goods.…”

Section: Results: News Shocks and Business Cyclementioning

confidence: 99%

When Creativity Strikes: News Shocks and Business Cycle Fluctuations

2019

View full text Add to dashboard Cite

We use monthly US utility patent applications to construct an external instrument for identification of technology news shocks in a rich-information VAR. Technology diffuses slowly, and affects total factor productivity in an S-shaped pattern. Responsible for about a tenth of economic fluctuations at business cycle frequencies, the shock elicits a slow, but large and positive response of quantities, and a sluggish contraction in prices, followed by an endogenous easing in the monetary stance. The ensuing economic expansion substantially anticipates any material increase in TFP. Technology news are strongly priced-in in the stock market on impact, but measures of consumers' expectations take sensibly longer to adjust, consistent with a New-Keynesian framework with nominal rigidities, and featuring informationally constrained agents.

show abstract

“…The highly persistent shock considered here is a combination of a change in current productivity and a change in future productivity. The explicit treatment of pure "news shocks," only affecting future productivity, is left to future work (Walentin (2007) Table 4. Shock persistence and the volatility of q.…”

Section: Current and Future Changes In Productivitymentioning

confidence: 99%