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Shock

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Pricing Behavior And The Response Of Hours To Productivity Shocks: Nowadays contributions have suggested that technology shocks have a negative impact on hours, contrary to the prediction of standard flexible-price models of the business cycle. Some authors have interpreted this finding as evidence in favor of sticky-price models, while others have either extended flexible-price models or disputed the empirical finding...; Tags: total factor productivity, pricing strategy; White papers 2006-12-01
The Dynamics Of Plant-Level Productivity In U.S. Manufacturing: Nowadays work in I.O. has emphasized the importance of firm- and plant-level heterogeneity in total factor productivity. In this paper, we estimate establishment-level productivity for the entire U.S. manufacturing sector from 1976 until 1999 by using the Census Bureau's Longitudinal Research Database combined with the Bureau's Longitudinal Business Database. We...; Tags: heterogeneity, total factor productivity; White papers 2006-09-05
Endogenous Business Cycles And The Economic Response To Exogenous Shocks: This paper investigates the macroeconomic response to exogenous shocks, namely natural disasters and stochastic productivity shocks. To do so, an endogenous business cycle model was used in which cyclical behavior arises from the investment - profit instability; the amplitude of this instability is constrained by the increase in labor costs...; Tags: Stanford University, instability; White papers 2006-08-08
Productivity, External Balance And Exchange Rates: Evidence On The Transmission Mechanism Among G7 Countries: This paper investigates the international transmission of productivity shocks in a sample of five G7 countries. For each country, using long-run restrictions, the authors identify shocks that increase permanently domestic labor productivity in manufacturing our measure of tradables relative to an aggregate of other industrial countries including the rest of...; Tags: National Bureau of Economic Research, theory, manufacturing; White papers 2006-08-01
Output Drops and the Shocks That Matter: Output drops are usually associated with major disruption for the residents of affected countries, both directly and often through ensuing, prolonged growth slowdowns. Using a century of data, the authors' document that output drops are more frequent in countries at a lower stage of economic development. The authors then turn...; Tags: IMF, analysis; White papers 2006-07-01

Long-Run Productivity Shifts and Cyclical Fluctuations: Evidence for Italy: Using unobserved stochastic components and Kalman filter techniques, the paper assesses the relative importance of transitory and permanent shifts in Italian real GDP within a production function framework. Evidence suggests that the increase in hours worked that has accompanied pension and labor market reforms accounts for the bulk of low-frequency...; Tags: IMF, fluctuation, total factor productivity, gross domestic product; White papers 2005-12-01
Are External Shocks Responsible for the Instability of Output in Low-Income Countries?: External shocks, such as commodity price fluctuations, natural disasters, and the role of the international economy, are often blamed for the poor economic performance of low-income countries. This paper quantifies the impact of these different external shocks using a panel vector auto-regression approach and compares their relative contributions to output...; Tags: World Bank Group, economic performance, commodity price, volatility, income; White papers 2005-08-01
Maximizing Cascades In Social Networks: An Overview: Cascades are a network phenomenon in which small local shocks can result in wide-spread fads, strikes, innovations, or power failures. Determining which initial shocks will result in the largest cascades is of interest to marketing, epidemiology, and computer networking. This paper surveys work in maximizing the size of cascades in...; Tags: NETWORKING, University of Massachusetts, cascade, social networking, computer networking, network, marketing, computer; White papers 2005-05-15
International Risk Sharing and Currency Unions: The CFA Zones: This paper explores income and consumption smoothing patterns among the member countries of each of the CFA zones-the CEMAC2 and the WAEMU3-during the period 1980-2000. It finds that for the CEMAC, only about 15 percent of shocks to GDP are smoothed through the standard channels (that is, capital market, credit...; Tags: Financial services, IMF, bank, gross domestic product, capital market, income; White papers 2005-05-01
New-Keynesian Macroeconomics and the Term Structure: This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. It focuses on an extended macro-model with an unobservable time-varying inflation target and the natural rate of output which are filtered from macro and term structure data. It obtains large and significant estimates of the...; Tags: Currency & Foreign exchange, National Bureau of Economic Research, inflation; White papers 2005-05-01
Cataclysms and Currencies: Does the Exchange Rate Regime Matter for Real Shocks?: Does the choice of exchange rate regime affect the way an economy's adjustment to real shocks? Exploiting the randomness of natural shocks, this paper assesses empirically the often contrasting answers found in the theoretical literature. The evidence supports key themes in this literature, and points to an important tradeoff between...; Tags: IMF, adjustment, benefit; White papers 2005-04-01
Setting the Stage for a National Currency in the West Bank and Gaza: The Choice of Exchange Rate Regime: This paper sheds light on the quantitative behavioral responses of key economic variables in the Palestinian economy in the face of major economic shocks and draws implications for the choice of an exchange rate regime should a decision be taken to introduce a national currency. Time-series regression analysis shows that...; Tags: IMF, salary; White papers 2005-04-01
Deflation and the International Great Depression: A Productivity Puzzle: This paper presents a dynamic, stochastic general equilibrium study of the causes of the international 'Great Depression'. It uses a fully articulated model to assess the relative contributions of deflation/monetary shocks, which are the most commonly, cited shocks for the Depression, and productivity shocks. It finds that productivity is the...; Tags: Currency & Foreign exchange, National Bureau of Economic Research, deflation, accounting; White papers 2005-03-01
A Latent Factor Model With Global, Country, and Industry Shocks for International Stock Returns: This paper estimates a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. It finds that across stocks there is substantial dispersion in these exposures, which is partly explained by the extent to which firms operate across...; Tags: Investment, IMF, stock, industry; White papers 2005-03-01
Monopolistic Pricing in the Banking Industry: A Dynamic Portfolio Model: This work develops a portfolio model of the banking firm where both the size and composition of the portfolio are jointly determined. The model provides a quite simple micro-foundation of the credit channel of the transmission of monetary policy. It allows analyzing the pricing policies of the banking firm, and...; Tags: Virtual Washington State University, banking, interest rate, pricing strategy; White papers 2004-11-09
The Transmission of World Shocks to Emerging-Market Countries: An Empirical Analysis: The first step in designing effective policies to stabilize an economy is to understand business cycles. No country is isolated from the world economy and external shocks are becoming increasingly important. The paper documents the sources of macroeconomic fluctuations in 22 emerging-market countries, and measures two specific shocks that could...; Tags: Bank of Canada, analysis, interest rate; White papers 2004-11-01
Uninsurable Investment Risks: This paper studies a general-equilibrium economy in which agents have the ability to invest in a risky technology. The investment risk cannot be fully insured with optimal contracts, because shocks are private information. The paper shows that the presence of these risks may lead to an under-accumulation of capital relative...; Tags: Bank of Canada, agent, insurance, stock; White papers 2004-08-01
Employment-Contingent Health Insurance, Illness, and Labor Supply of Women: Evidence From Married Women With Breast Cancer: This paper examines the effects of employment-contingent health insurance on married women's labor supply following a health shock. First, it develops a theoretical model that examines the effects of employment-contingent health insurance on the labor supply response to a health shock, to clarify under what conditions employment-contingent health insurance is...; Tags: Gender and diversity, Benefits, HEALTHCARE, Vertical industries, Insurance, National Bureau of Economic Research, health insurance, women, health care, breast cancer; White papers 2004-04-01
Comparing Solution Methods For Dynamic Equilibrium Economies: This paper shows how to use the Kalman Filter (Kalman, 1960) to back out the shocks of a dynamic stochastic general equilibrium model. The idea is as follows: First, to write the model in what is called the State-Space Representation. Second, using the Kalman Filter to write the likelihood function...; Tags: Federal Reserve Bank; White papers 2003-12-01
Macroeconomic Dynamics And Credit Risk: A Global Perspective: This paper develops a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macro econometric model, allowing macro effects to be isolated from idiosyncratic shocks from the perspective of default and hence loss....; Tags: Leadership, Strategy, Knowledge@Wharton, Risk Manager, innovation, modeling, equity, asset; White papers 2003-11-01

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