We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with minimum set of sign restrictions on US data. find that are major drivers fluctuations output, stock prices but have limited effect inflation. In second step, we disentangle originating the housing sector, credit markets uncertainty shocks. extended set‐up, even more important leading role is played by large persistent effects output.

We use time series techniques to estimate the importance of four main explanations for decline US labor income share: rising firm markups, falling bargaining power workers, higher investment-specific technology growth, and more automated production processes. Identification is achieved with restrictions derived from a stylized model structural change. Our results point automation as driver share, although markups have played an important role in last 20 years. also find evidence...

Abstract An apparent disconnect has taken place between inflation and economic activity in the pre-COVID US economy, causing some to believe that Phillips curve flattened. We argue this view may be premature. Using New Keynesian theory estimated SVAR models, we decompose fluctuations macro data into components driven by demand supply disturbances, confront with simple arithmetics. This exercise confirms a relatively stable slope while flattened substantially. Our results are consistent shift...

Abstract We propose a new Vector Autoregressive identification scheme that enables us to disentangle labor supply shocks from wage bargaining shocks. Identification is achieved by imposing sign restrictions on the responses of unemployment rate and force participation two According our analysis United States data over period 1985–2014, are important drivers output both in short run long run. These results suggest strategies used estimated Keynesian models market may be misguided.

Summary We investigate the macroeconomic consequences of fluctuations in effectiveness labor market matching process with a focus on Great Recession. conduct our analysis context an estimated medium‐scale dynamic stochastic general equilibrium model sticky prices and search unemployment that features shock to efficiency (or mismatch shock). find this is not important for normal times. However, it plays somewhat larger role during Recession when contributes raise actual rate by around 1.3...

In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically asset prices response changed over time. To recover systematic component of monetary policy, interpret interest rate equation in as an extended policy rule responding inflation, output gap, house stock prices. We find some time variation coefficients for but fairly stable inflation gap.

<ns3:p>In this paper we identify demand shocks that can have a permanent effect on output through hysteresis effects. We call these shocks. They are found to be quantitatively important in the United States, particular when Great Recession is included sample. Recessions driven by lead decline employment and investment, while per worker largely unaffected. find strong evidence transmits rise long-term unemployment labor force participation disproportionately affects least productive...

Abstract In this paper, we study the transmission mechanism of productivity shocks in a model with rule‐of‐thumb consumers. literature, financial friction has been studied only reference to fiscal shocks. We show that presence consumers is also very helpful when accounting for recent empirical evidence on Rule‐of‐thumb agents, together nominal and real rigidities, play an important role reproducing negative response hours delayed output after shock.

We review recent developments in the estimation and identification of Phillips curve its slope. have three main objectives. First, we describe econometric challenges faced by traditional approaches estimating curve, explain how new address those challenges, assess which limitations still remain. Second, findings examine evidence regarding a potential flattening Phillipscurve pre-pandemic period. Third, provide an account inflation dynamics post-pandemic period with particular emphasis on...

In this paper we study the transmission of capital depreciation shocks. The existing literature in real business cycle tradition has concluded that these shocks are irrelevant to fluctuations. We show they potentially important drivers aggregate fluctuations a new Keynesian model. Nominal rigidities and some persistence shock process key ingredients generate co-movement across variables.

We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with minimum set of sign restrictions on US data. find that are major drivers fluctuations output, stock prices but have limited effect inflation. In second step we disentangle originating the housing sector, credit markets uncertainty shocks. extended set-up even more important leading role is played by large persistent effects output.

In this paper we identify demand shocks that can have a permanent effect on output through hysteresis effects. We call these shocks. They are found to be quantitatively important in the United States, particular samples starting 1980s. Recessions driven by lead decline employment and investment, while per worker is largely unaffected. find strong evidence transmits rise long-term unemployment labor force participation disproportionately affects least productive workers. (JEL C51, E22, E23,...

In this paper we show that results on the effects of fiscal shocks in Galí, López-Salido and Vallés (2007) rely a high degree price stickiness large percentage financially constrained agents. Real rigidities form habit persistence, fixed firm-specific capital Kimball demand curves interact interesting ways with nominal financial allow us to reproduce same consumption multiplier as Galí et al. under only two half quarters stickiness, instead four, 30 per cent agents 50 cent. Therefore, real...

Current business cycle models systematically underestimate the correlation between consumption and investment. One reason for this failure is that a positive investment-specific technology shock generally induces negative response. The objective of paper to investigate whether responses shocks can be obtained in modern model. We find answer question yes. With combination nominal rigidities non-separable preferences, response general parameterisations

In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically asset prices response changed over time. To recover systematic component of monetary policy, interpret interest rate equation in as an extended policy rule responding inflation, output gap, house stock prices. We find some time variation coefficients for but fairly stable inflation gap. Our results indicate that US: i)...

We propose a new VAR identification scheme that enables us to disentangle immigration shocks from other macroeconomic shocks. Identification is achieved by imposing sign restrictions on Norwegian data over the period 1990Q1 - 2014Q2. The availability of quarterly series for net crucial achieving identification. Notably, an endogenous variable in model and can respond state economy. find domestic labour supply are well identified dominant drivers dynamics. An exogenous shock lowers...

We propose a new VAR identification scheme that enables us to disentangle labor supply shocks from wage bargaining shocks. Identification is achieved by imposing robust signrestrictions are derived New Keynesian model with endogenous force participation. According our analysis on US data over the period 1985-2014, and important drivers of output unemployment both in short run long run. These results suggest strategies used estimated models market may be misguided. also analyze behavior...

Abstract This paper documents the suite of models (SoMs) used by Norges Bank to estimate output gap. The are estimated using data on GDP, unemployment, inflation, wages, investment, house prices and credit. We evaluate gap series in terms its forecasting properties, reliability cyclical sensitivity various measures demand supply shocks. A simple equally weighted average estimates from different features a better performance than each individual model. In addition, it helps predicting...

A large decline in the efficiency of U.S. labor market matching unemployed workers and vacant jobs has been documented during Great Recession. We use a simple New Keynesian model with search frictions to study propagation shocks. show that transmission these disturbances their importance for business cycle fluctuations depend crucially on form hiring costs presence nominal rigidities.