Meta tags:
description= 6 posts published by Christian Zimmermann during January 2013;
Headings (most frequently used words):
and, nep, expectations, dge, blog, for, papers, in, follow, on, january, 2013, calls, news, financial, intermediation, aggregate, sectoral, fluctuations, assortative, matching, through, signals, real, replacing, rational, with, survey, dynamic, macro, models, model, of, borrower, reputation, as, intangible, collateral, house, prices, credit, growth, excess, volatility, implications, monetary, macroprudential, policy, me, twitter, blogs, blogroll, subscribe, via, email, recent, comments, latest, archives, meta,
Text of the page (most frequently used words):
the (72), and (45), 2013 (26), that (26), for (25), #expectations (24), january (23), may (19), model (19), this (17), nep (17), dge (14), september (14), october (14), november (14), december (14), february (14), june (14), july (14), 2010 (13), march (13), april (13), august (13), 2011 (13), repec (13), with (12), blog (12), 2012 (12), 2014 (12), 2015 (12), 2016 (12), 2017 (12), 2018 (12), 2019 (12), 2020 (12), 2021 (12), 2022 (12), are (12), search (11), rational (11), paper (10), news (10), dsge (9), fluctuations (9), financial (8), shocks (8), one (8), survey (8), economic (7), christian (7), zimmermann (7), here (7), can (7), collateral (7), signals (7), equilibrium (6), posted (6), permalink (6), uncategorized (6), comment (6), prices (6), standard (6), models (6), volatility (6), have (5), papers (5), policy (5), need (5), some (5), market (5), credit (5), house (5), growth (5), more (5), value (5), http (5), org (5), intangible (5), their (5), frictions (5), wordpress (4), com (4), 2009 (4), follow (4), email (4), society (4), dynamic (4), leave (4), fully (4), long (4), results (4), variables (4), asset (4), excess (4), implications (4), would (4), which (4), agents (4), key (4), truthful (4), condition (4), sorting (4), aggregate (4), log (3), subscribe (3), account (3), comments (3), feed (3), monetary (3), propagation (3), heterogeneous (3), dynamics (3), cost (3), calls (3), macroeconomics (3), general (3), from (3), expectation (3), while (3), real (3), large (3), debt (3), into (3), including (3), interest (3), loan (3), find (3), inflation (3), through (3), than (3), what (3), interesting (3), but (3), output (3), kiyotaki (3), not (3), also (3), they (3), assets (3), then (3), another (3), macroeconomic (3), term (3), structural (3), matching (3), sectoral (3), about (3), get (2), site (2), sign (2), subscribed (2), now (2), join (2), 153 (2), other (2), subscribers (2), create (2), archives (2), latest (2), endogenous (2), estimated (2), inequality (2), business (2), countries (2), crisis (2), self (2), reflexive (2), job (2), capital (2), recent (2), address (2), your (2), posts (2), rss (2), unemployment (2), economics (2), there (2), way (2), choose (2), moving (2), average (2), participants (2), promising (2), formation (2), should (2), household (2), otherwise (2), households (2), specifically (2), significantly (2), magnify (2), response (2), price (2), rate (2), use (2), constraint (2), takes (2), borrower (2), income (2), overall (2), very (2), tomorrow (2), reputation (2), quickly (2), lost (2), see (2), moore (2), amplification (2), only (2), tangible (2), literature (2), its (2), econometrician (2), assumption (2), nearly (2), relationships (2), correlations (2), identify (2), head (2), weight (2), macro (2), costless (2), avoid (2), much (2), without (2), unique (2), separating (2), despite (2), supermodularity (2), match (2), why (2), both (2), single (2), our (2), meeting (2), two (2), intermediaries (2), gertler (2), importance (2), accounting (2), significant (2), corporate (2), generate (2), intermediation (2), european (2), workshop (2), germany (2), annual (2), deadline (2), soon (2), started, design, like, collapse, bar, manage, subscriptions, view, reader, report, content, privacy, already, free, website, entries, meta, 2023, error, has, occurred, probably, down, try, again, later, lee, miller, crises, alisher, tolepbergen, minimum, wage, underreporting, winfried, koeniger, opportunity, across, generations, jake, bradley, worker, firm, screening, cycle, joão, quelhas, liquidity, constraints, fiscal, multipliers, nikos, fatouros, disaster, prone, developing, bouchaud, daniel, carroll, racial, wealth, gap, giulio, fella, ladder, human, loss, enter, receive, notifications, new, via, rbc, mailing, list, econacademics, aggregator, editor, blogroll, pay, cashless, opm, open, ltv, poverty, int, international, trade, his, history, ara, mena, middle, east, north, africa, blogs, tweets, twitter, you, currently, browsing, absolutely, stick, evidence, irrational, exuberance, think, allowed, deviate, done, disciplined, authors, reflecting, limited, memory, window, needs, convinced, empirically, plausible, progress, question, whether, policymakers, respond, directly, requires, realistic, captures, links, between, expansion, activity, difficulty, producing, swings, resemble, patterns, observed, many, developed, over, past, decade, introduce, allowing, fraction, depart, show, introduction, simple, forecast, rules, subset, persistence, relative, similar, evaluate, various, actions, might, used, dampen, resulting, direct, central, bank, rule, imposition, restrictive, ratios, modified, ratio, these, most, effective, tool, dampening, economy, stabilize, others, particularly, cpm, dynare, 021, paolo, gelain, kevin, lansing, caterina, mendicino, macroprudential, due, number, disseminated, week, selected, was, presented, yesterday, third, will, appear, getting, goodwill, credibility, forms, valuable, hence, provide, amplication, mechanism, far, though, misses, important, asymmetry, modeled, time, reestablish, coherent, asymmetries, build, style, framework, generates, leverage, available, investing, firms, assume, defaulting, borrowers, lose, future, access, possibility, such, exclusion, lead, emergence, alongside, usually, studied, isomorphic, downpayments, make, purchases, productive, modification, substantially, increases, exogenous, ecb, ecbwps, 20121490, kalin, nikolov, deviates, taking, actual, cannot, pinpoint, within, inferring, unconditionally, becomes, iffy, determine, examines, changing, embedded, all, current, substitutes, measured, array, well, author, finds, measures, near, short, rates, improves, performance, along, variety, dimensions, exhibit, strong, those, given, interpretation, context, helps, slope, parameters, eliminates, having, lagged, dependent, often, motivated, indexation, habit, consumption, obviates, autocorrelated, equations, empirical, test, placed, essentially, zero, discusses, modeling, complications, arise, once, abandoned, proposes, methods, endogenizing, fip, fedbwp, jeff, fuhrer, replacing, signaling, where, woult, puzzles, labor, pursuing, result, seems, quite, trivial, extensions, look, sequential, transferable, utility, allow, strategically, signal, type, included, discounting, explicit, costs, inefficiencies, random, situation, effectively, approaches, setting, under, perfect, arises, production, function, necessary, sufficient, weaker, needed, explain, widespread, reality, existing, suggest, functions, crossing, property, achieves, unconstrained, efficiency, successfully, conclude, after, stable, maximised, zbw, vfsc12, 62061, friedrich, poeschel, assortative, tries, introduces, form, aspect, quantification, yet, feeling, called, incorporate, lot, example, when, herd, behavior, drives, likely, picked, shock, right, capturing, something, does, observe, even, realized, fundamental, maybe, just, confused, day, estimate, sector, karadi, quantify, indicate, role, predictive, force, behind, held, reflected, years, advance, bond, markets, countercyclical, bonds, spreads, affect, supply, source, approximately, investment, hours, worked, variation, cyclical, frequencies, importantly, movement, preference, specification, bir, birmec, christoph, görtz, john, tsoukalas, london, phd, konstanz, doctoral, vancouver, canada, computational, mainz, network, conference, course, reminder, submission, coming, few, relevant, came, month, home, discussion, research, theory,
Text of the page (random words):
january 2013 nep dge blog nep dge blog discussion about the latest research in dynamic general equilibrium theory home about january 2013 calls for papers january 30 2013 here are a few relevant calls for papers that came in this month of course as a reminder the submission deadline for the society for economic dynamics is coming soon february 15 2013 european search and matching network annual conference mainz germany may 15 17 2013 deadline very soon society for computational economics annual meeting vancouver canada july 10 12 2013 doctoral workshop on dynamic macroeconomics konstanz germany may 24 25 2013 european phd workshop in macroeconomics london uk june 20 21 2013 leave a comment uncategorized permalink posted by christian zimmermann news and financial intermediation in aggregate and sectoral fluctuations january 25 2013 by christoph görtz and john tsoukalas http d repec org n u repec bir birmec 12 10 r dge we estimate a two sector dsge model with financial intermediaries a la gertler and karadi 2011 and gertler and kiyotaki 2010 and quantify the importance of news shocks in accounting for aggregate and sectoral fluctuations our results indicate a significant role of financial market news as a predictive force behind fluctuations specifically news about the value of assets held by financial intermediaries reflected one to two years in advance in corporate bond markets generate countercyclical corporate bonds spreads affect the supply of credit and are estimated to be a significant source of aggregate fluctuations accounting for approximately 31 of output 22 of investment and 31 of hours worked variation in cyclical frequencies importantly asset value news shocks generate both aggregate and sectoral co movement with a standard preference specification financial intermediation is key for importance and propagation of asset value news shocks another paper that tries to introduces news shocks into some form of a standard model the interesting aspect here is the quantification yet i have the feeling that what is called news here may incorporate a lot more for example when there is herd behavior that drives assets prices one way or another that is likely picked up as a news shock is that right or are news shocks capturing something that the econometrician does not observe but market participants do and it may even be a realized fundamental maybe i am just confused by a long day see the repec blog tomorrow why 1 comment uncategorized permalink posted by christian zimmermann assortative matching through signals january 19 2013 by friedrich poeschel http d repec org n u repec zbw vfsc12 62061 r dge in a model of sequential search with transferable utility we allow heterogeneous agents to strategically choose a costless signal of their type search frictions are included as discounting and explicit search costs through signals if only they are truthful agents can avoid the inefficiencies of random search then the situation effectively approaches a setting without search frictions we identify the condition under which signals are truthful and a unique separating equilibrium with perfect sorting arises despite frictions we find that supermodularity of the match production function is a necessary and sufficient condition this is a weaker condition than is needed for sorting in models without signals which may explain why sorting is much more widespread in reality than existing models would suggest supermodularity functions here as both a sorting condition and a single crossing property the unique separating equilibrium in our model achieves nearly unconstrained efficiency despite frictions agents successfully conclude their search after a single meeting a stable matching results and overall match output is maximised a search model with signaling where costless and truthful signals can avoid the search frictions what if signals cost woult then some signals not be truthful would this have implications for some of the puzzles the labor search literature is pursuing while the result of this paper seems quite trivial its extensions look much more promising leave a comment uncategorized permalink posted by christian zimmermann real expectations replacing rational expectations with survey expectations in dynamic macro models january 16 2013 by jeff fuhrer http d repec org n u repec fip fedbwp 12 19 r dge this paper examines the implications of changing the expectations assumption that is embedded in nearly all current macroeconomic models the paper substitutes measured or real expectations for rational expectations in an array of standard macroeconomic relationships as well as in a dsge model the author finds that the use of survey measures of expectations for near term inflation long term inflation unemployment and short term interest rates improves performance along a variety of dimensions survey expectations exhibit strong correlations to key macroeconomic variables those correlations may be given a structural interpretation in a dsge context including survey expectations helps to identify key slope parameters in standard relationships and eliminates the need for having lagged dependent variables in structural models that is often motivated by indexation for prices and habit formation for consumption including survey expectations also obviates the need for autocorrelated structural shocks in the key equations in a head to head empirical test the weight placed on the dsge model s rational expectations is essentially zero and the weight on survey expectations is one the paper also discusses the modeling complications that arise once the rational expectations assumption is abandoned and proposes methods for endogenizing survey expectations in a general equilibrium macro model another recent paper that deviates from rational expectations with interesting results here by taking actual survey expectations the cost is that one cannot pinpoint expectations within the model and inferring policy implications unconditionally on expectations becomes iffy we would then need a model to determine the econometrician s expectations of the agents expectations should they be rational 1 comment uncategorized permalink posted by christian zimmermann a model of borrower reputation as intangible collateral january 15 2013 by kalin nikolov http d repec org n u repec ecb ecbwps 20121490 r dge in this paper we build a kiyotaki moore style collateral amplification framework which generates large endogenous fluctuations in the leverage available to investing firms we assume that defaulting borrowers lose not only their tangible collateral but also their future debt market access the possibility of such market exclusion can lead to the emergence of intangible collateral in equilibrium alongside the tangible collateral which is usually studied in the literature fluctuations in the value of intangible collateral are isomorphic to fluctuations in the downpayments they need to make in their purchases of productive assets this modification of the kiyotaki moore model substantially increases its amplification of exogenous shocks what this paper is getting at is that goodwill credibility or reputation are forms of valuable intangible capital that are quickly lost and hence provide an interesting amplication mechanism for economic fluctuations as far as i can see it though it misses an important asymmetry as modeled in this paper this intangible asset is quickly lost but it takes a long time to reestablish it that would be coherent with the asymmetries of output fluctuations ps due to the very large number of papers disseminated through nep dge this week i have selected more than one paper one was presented yesterday and a third one will appear here tomorrow leave a comment uncategorized permalink posted by christian zimmermann house prices credit growth and excess volatility implications for monetary and macroprudential policy january 14 2013 by paolo gelain kevin lansing and caterina mendicino http d repec org n u repec cpm dynare 021 r dge progress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices credit expansion and real economic activity standard dsge models with fully rational expectations have difficulty producing large swings in house prices and household debt that resemble the patterns observed in many developed countries over the past decade we introduce excess volatility into an otherwise standard dsge model by allowing a fraction of households to depart from fully rational expectations specifically we show that the introduction of simple moving average forecast rules for a subset of households can significantly magnify the volatility and persistence of house prices and household debt relative to otherwise similar model with fully rational expectations we evaluate various policy actions that might be used to dampen the resulting excess volatility including a direct response to house price growth or credit growth in the central bank s interest rate rule the imposition of more restrictive loan to value ratios and the use of a modified collateral constraint that takes into account the borrower s loan to income ratio of these we find that a loan to income constraint is the most effective tool for dampening overall excess volatility in the model economy we find that while an interest rate response to house price growth or credit growth can stabilize some economic variables it can significantly magnify the volatility of others particularly inflation do we absolutely need to stick to fully rational expectations if there is evidence of irrational exuberance i think we are allowed to deviate from rational expectation as long as this is done in a disciplined way here the authors choose a moving average expectation reflecting a limited memory window of some market participants while the results are promising one needs now to get convinced that this expectation formation is empirically plausible leave a comment uncategorized permalink posted by christian zimmermann you are currently browsing the nep dge blog blog archives for january 2013 follow me on twitter my tweets nep blogs nep ara economics of the mena middle east and north africa nep dge dynamic general equilibrium nep his business economic and financial history nep int international trade nep ltv unemployment inequality and poverty nep opm open macroeconomics nep pay the cashless society blogroll calls for papers christian zimmermann your editor econacademics blog aggregator nep nep dge mailing list qm rbc repec repec blog society for economic dynamics subscribe rss posts rss comments follow blog via email enter your email address to follow this blog and receive notifications of new posts by email email address follow join 153 other subscribers recent comments giulio fella on job ladder human capital and the cost of job loss daniel carroll on the dynamics of the racial wealth gap jp bouchaud on crisis propagation in a heterogeneous self reflexive dsge model m h on crisis propagation in a heterogeneous self reflexive dsge model nikos fatouros on monetary policy in disaster prone developing countries joão quelhas on liquidity constraints and fiscal multipliers jake bradley on worker firm screening and the business cycle winfried koeniger on opportunity and inequality across generations alisher tolepbergen on minimum wage shocks in an estimated dsge model with underreporting lee miller on monetary policy and endogenous financial crises latest papers on nep dge an error has occurred the feed is probably down try again later archives january 2023 4 december 2022 3 november 2022 4 october 2022 2 september 2022 2 august 2022 1 july 2022 2 june 2022 1 may 2022 3 april 2022 5 march 2022 7 february 2022 2 january 2022 2 december 2021 5 november 2021 5 october 2021 5 september 2021 5 august 2021 3 july 2021 1 june 2021 2 may 2021 5 april 2021 4 march 2021 5 february 2021 4 january 2021 4 december 2020 4 november 2020 4 october 2020 4 september 2020 4 august 2020 4 july 2020 3 june 2020 4 may 2020 4 april 2020 4 march 2020 5 february 2020 4 january 2020 4 december 2019 4 november 2019 4 october 2019 14 september 2019 4 august 2019 6 july 2019 2 june 2019 1 may 2019 4 april 2019 4 march 2019 7 february 2019 3 january 2019 2 december 2018 4 november 2018 3 october 2018 15 september 2018 3 august 2018 4 july 2018 3 june 2018 4 may 2018 5 april 2018 4 march 2018 4 february 2018 4 january 2018 3 december 2017 5 november 2017 5 october 2017 5 september 2017 7 august 2017 2 july 2017 5 june 2017 4 may 2017 5 april 2017 5 march 2017 4 february 2017 4 january 2017 5 december 2016 3 november 2016 6 october 2016 7 september 2016 1 august 2016 4 july 2016 6 june 2016 5 may 2016 4 april 2016 4 march 2016 7 february 2016 6 january 2016 3 december 2015 4 november 2015 5 october 2015 4 september 2015 7 august 2015 5 july 2015 7 june 2015 1 may 2015 6 april 2015 5 march 2015 5 february 2015 5 january 2015 5 december 2014 9 november 2014 4 october 2014 5 september 2014 5 august 2014 5 july 2014 5 june 2014 3 may 2014 7 april 2014 3 march 2014 4 february 2014 3 january 2014 5 december 2013 5 november 2013 5 october 2013 5 september 2013 6 august 2013 3 july 2013 6 june 2013 2 may 2013 5 april 2013 5 march 2013 6 february 2013 4 january 2013 6 december 2012 5 november 2012 4 october 2012 5 september 2012 4 august 2012 2 july 2012 6 june 2012 5 may 2012 6 april 2012 5 march 2012 3 february 2012 3 january 2012 3 december 2011 3 november 2011 5 october 2011 3 september 2011 3 august 2011 5 july 2011 4 june 2011 5 may 2011 4 april 2011 5 march 2011 4 february 2011 4 january 2011 5 december 2010 3 november 2010 4 october 2010 4 september 2010 3 august 2010 5 july 2010 3 june 2010 6 may 2010 4 april 2010 5 march 2010 5 february 2010 4 january 2010 3 december 2009 3 november 2009 5 october 2009 4 september 2009 2 search meta create account log in entries feed comments feed wordpress com create a free website or blog at wordpress com subscribe subscribed nep dge blog join 153 other subscribers sign me up already have a wordpress com account log in now privacy nep dge blog subscribe subscribed sign up log in report this content view site in reader manage subscriptions collapse this bar design a site like this with wordpress com get started
|
