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On the Welfare Costs of Business-Cycle Fluctuations and Economic-Growth Variation in the 20th Century

Guillén, Osmani Teixeira de Carvalho; Issler, João Victor; Franco-Neto, Afonso Arinos de Mello
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
EN_US
Relevância na Pesquisa
56.36%
Lucas (1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from business-cycle fluctuations and economic-growth variation. Second, we extend the sample from which to compute the moments of consumption: the whole of the literature chose primarily to work with post-WWII data. For this period, actual consumption is already a result of counter-cyclical policies, and is potentially smoother than what it otherwise have been in their absence. So, we employ also pre-WWII data. Third, we take an econometric approach and compute explicitly the asymptotic standard deviation of welfare costs using the Delta Method. Estimates of welfare costs show major differences for the pre-WWII and the post-WWII era. They can reach up to 15 times for reasonable parameter values -β=0.985, and ∅=5. For example, in the pre-WWII period (1901-1941), welfare cost estimates are 0.31% of consumption if we consider only permanent shocks and 0.61% of consumption if we consider only transitory shocks. In comparison, the post-WWII era is much quieter: welfare costs of economic growth are 0.11% and welfare costs of business cycles are 0.037% - the latter being very close to the estimate in Lucas (0.040%). Estimates of marginal welfare costs are roughly twice the size of the total welfare costs. For the pre-WWII era...

On the Welfare Costs of Business-Cycle Fluctuations and Economic-Growth Variation in the 20th Century

Guillén, Osmani Teixeira de Carvalho; Issler, João Victor; Franco Neto, Afonso Arinos de Mello
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
PT_BR
Relevância na Pesquisa
56.36%
Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from business-cycle uctuations and economic-growth variation. Second, we extend the sample from which to compute the moments of consumption: the whole of the literature chose primarily to work with post-WWII data. For this period, actual consumption is already a result of counter- cyclical policies, and is potentially smoother than what it otherwise have been in their absence. So, we employ also pre-WWII data. Third, we take an econometric approach and compute explicitly the asymptotic standard deviation of welfare costs using the Delta Method. Estimates of welfare costs show major diferences for the pre-WWII and the post-WWII era. They can reach up to 15 times for reasonable parameter values = 0:985, and = 5. For example, in the pre-WWII period (1901-1941), welfare cost estimates are 0.31% of consumption if we consider only permanent shocks and 0.61% of consumption if we consider only transitory shocks. In comparison, the post-WWII era is much quieter: welfare costs of economic growth are 0.11% and welfare costs of business cycles are 0.037% the latter being very close to the estimate in Lucas (0.040%). Estimates of marginal welfare costs are roughly twice the size of the total welfare costs. For the pre-WWII era...

Political business cycles at the municipal level

Veiga, Linda Gonçalves; Veiga, Francisco José
Fonte: Universidade do Minho . Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho . Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em //2004 ENG
Relevância na Pesquisa
66.24%
This article tests for the existence of rational political business cycles models using a large and unexplored data set of Portuguese municipalities. The data set is well-suited for this purpose because it provides a high level of detail on expenditure items, because Portuguese municipalities are homogeneous with respect to policy instruments and institutions and follow an exogenously determined election schedule. Estimation results clearly reveal the existence of opportunistic behaviour by local governments. Expenditures increase in pre-election periods, especially on items that are highly visible to the electorate (e.g., highways and streets). This suggests an effort to signal competence and improve chances of re-election.; Fundação para a Ciência e Tecnologia (FCT) -Programa Operacional Ciência, Tecnologia e Inovação (POCTI).

Political business cycles and inflation stabilization

Castro, Vítor; Veiga, Francisco José
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Trabalho em Andamento
Publicado em //2002 ENG
Relevância na Pesquisa
66.34%
When the choice of the nominal anchor and timing of inflation stabilization is analyzed with models of political business cycles, there is room for political opportunism of policymakers. The different business cycles associated with exchange rate-based (ERBS) and money-based stabilizations (MBS) imply that the decision regarding the timing and nominal anchor of stabilization may be affected by the timing of elections. Namely, an opportunistic policymaker is more likely to implement an ERBS than a MBS before elections, while the opposite happens after elections. Empirical results obtained when estimating a multinomial logit model for a sample of 35 stabilization programs implemented in chronic inflation countries clearly support this hypothesis.; Fundação para a Ciência e Tecnologia (FCT).

Political business cycles at the municipal level

Veiga, Linda Gonçalves; Veiga, Francisco José
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Conferência ou Objeto de Conferência
Publicado em /08/2004 ENG
Relevância na Pesquisa
66.24%
This article tests for the existence of rational political business cycles models using a large and unexplored data set of Portuguese municipalities. The data set is well-suited for this purpose because it provides a high level of detail on expenditure items, because Portuguese municipalities are homogeneous with respect to policy instruments and institutions and follow an exogenously determined election schedule. Estimation results clearly reveal the existence of opportunistic behaviour by local governments. Expenditures increase in pre-election periods, especially on items that are highly visible to the electorate (e.g., highways and streets). This suggests an effort to signal competence and improve chances of re-election.

Political business cycles in local employment

Coelho, César; Veiga, Francisco José; Veiga, Linda Gonçalves
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em //2005 ENG
Relevância na Pesquisa
66.24%
Using employment data for Portuguese municipalities, we find strong evidence of political business cycles. Employment increases shortly before elections mainly in municipalities where the mayor’s party has a majority of deputies in the municipal assembly and where she is running for reelection.; Fundação para a Ciência e a Tecnologia - (FCT)

Political business cycles in local employment : evidence from Portugal

Coelho, César; Veiga, Francisco José; Veiga, Linda Gonçalves
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Publicado em //2006 ENG
Relevância na Pesquisa
66.24%
Using employment data for Portuguese municipalities, we find strong evidence of political business cycles. Employment increases shortly before elections mainly in municipalities where the mayor’s party has a majority of deputies in the municipal assembly and where she is running for reelection.

Some facts about business cycles synchronisation across the euro area countries: the case of small countries

Gouveia, S.; Correia, Leonida Amaral Tomás
Fonte: Universidade de Trás-os-Montes e Alto Douro Publicador: Universidade de Trás-os-Montes e Alto Douro
Tipo: Conferência ou Objeto de Conferência
ENG
Relevância na Pesquisa
56.48%
According to Optimum Currency Area literature, the synchronisation of business cycles is necessary for the successful implementation of a common monetary policy. This paper contributes to this debate, providing a descriptive analysis of the euro area business cycle synchronisation, using quarterly real GDP series, spanning from 1980:1 to 2004:4, for nine euro area countries. We consider the four largest countries (Germany, France, Italy and Spain), which account for almost 80% of the euro area GDP, and five among the smallest countries, Belgium, Finland, Greece, the Netherlands and Portugal. Our aim is to see whether the synchronisation and the amplitude of the business cycles across the Member States increased with the monetary integration process. We will give greater focus to small countries compared to what can be seen in existent literature. Overall, we found that the business cycles association for all nine countries considered from 1980 to 2004 is positive and significant. Moreover, evidence suggests that with the creation of the euro, business cycles became more correlated among the larger countries of the euro area, which is consistent with the hypothesis of endogeneity of the Optimum Currency Area criteria. Contrarily...

The role of interest rates in the Brazilian business cycles

Souza-Sobrinho,Nelson F.
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/09/2011 EN
Relevância na Pesquisa
66.29%
This paper offers additional insights on the relationship between interest rates and business cycles in Brazil. First, I document that Brazilian interest rates are very volatile, counter-cyclical and positively correlated with net exports, as observed in other emerging market economies. Next, I present a dynamic stochastic general equilibrium model in which firms face working capital constraints and labor supply is independent of consumption. This parsimonious model, appropriately calibrated to the Brazilian economy, predicts that interest rate shocks can explain about one third of output fluctuations and delivers business cycle regularities consistent with the Brazilian data.

International Business Cycles: What Are the Facts?

CARDIA, Emanuela; ZIMMERMANN, Christian
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 757329 bytes; application/pdf
Relevância na Pesquisa
66.53%
Modern business cycle theory involves developing models that explain stylized facts. For this strategy to be successful, these facts should be well established. In this paper, we focus on the stylized facts of international business cycles. We use the generalized method of moments and quarterly data from nineteen industrialized countries to estimate pairwise cross-country and within-country correlations of macroeconomic aggregates. We calculate standard errors of the statistics for our unique panel of data and test hypotheses about the relative sizes of these correlations. We find a lower cross-country correlation of all aggregates and especially of consumption than in previous studies. The cross-country correlations of consumption, output and Solow residuals are not significantly different from one another over the whole sample, but there are significant differences in the post-1973 subsample.; La théorie moderne du cycle économique nécessite le développement de modèles qui expliquent les faits stylisés. Pour que cette stratégie réussisse, ces faits doivent être bien établis. Dans cet article, nous nous concentrons sur les faits stylisés des cycles économiques internationaux. Nous utilisons la méthode généralisée des moments et des données trimestrielles de dix-neuf pays industrialisés pour estimer les corrélations inter et intra-pays des agrégats macroéconomiques. Nous calculons les erreurs types des statistiques pour notre panel unique de données et testons des hypothèses concernant les tailles relatives de ces corrélations. Nous trouvons une moindre corrélation inter-pays de tous les agrégats...

International Transmission of the Business Cycle in a Multi-Sector Model.

AMBLER, Steve; CARDIA, Emanuela; ZIMMERMANN, Christian
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 398534 bytes; application/pdf
Relevância na Pesquisa
56.54%
Multi-country models have not been very successful in replicating important features of the international transmission of business cycles. Standard models predict cross-country correlations of output and consumption which are respectively too low and too high. In this paper, we build a multi-country model of the business cycle with multiple sectors in order to analyze the role of sectoral shocks in the international transmission of the business cycle. We find that a model with multiple sectors generates a higher cross-country correlation of output than standard one-sector models, and a lower cross-country correlation of consumption. In addition, it predicts cross-country correlations of employment and investment that are closer to the data than the standard model. We also analyze the relative effects of multiple sectors, trade in intermediate goods, imperfect substitution between domestic and foreign goods, home preference, capital adjustment costs, and capital depreciation on the international transmission of the business cycle.; Les modèles multi-pays n’ont pas réussi à reproduire des aspects importants de la transmission internationale des cycles économiques. Les modèles standards prédisent des corrélations inter-pays de l’output et de la consommation qui sont respectivement trop faibles et trop élevées. Dans cet article...

Medium-term Business Cycles in Developing Countries

Comin, Diego; Loayza, Norman; Pasha, Farooq; Serven, Luis
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
66.32%
Empirical evidence - including the current global crisis - suggests that shocks from advanced countries often have a disproportionate effect on developing economies. Can this account for the fact that aggregate fluctuations are larger and more persistent in the latter than in the former economies? And what are the mechanisms at play? This paper addresses these questions using a model of an industrial and a developing economy trading goods and assets, with (i) a product cycle shaping the range of intermediate goods used to produce new capital in each country, and (ii) investment adjustment costs in the developing economy. Innovation by the advanced economy results in new intermediate goods, at first produced at home, and eventually transferred to the developing economy through direct investment. The pace of innovation and technology transfer is driven by profitability. This process of technology diffusion creates a medium-term connection between both economies, over and above the short-term link through trade. Calibration of the model to match Mexico-United States trade and foreign direct investment flows shows that this mechanism can explain why shocks to the United States economy have a larger effect on Mexico than on the United States itself...

Business Cycle Synchronization and Regional Integration : A Case Study for Central America

Fiess, Norbert
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
56.38%
In early January 2003, the United States and Costa Rica, El Salvador, Guatemala, Honduras, and Nicaragua launched official negotiations for the Central American Free Trade Agreement (CAFTA), a treaty that would expand NAFTA-style trade barrier reductions to Central America. With deeper trade integration between Central America and the United States, it is expected that there will be closer links in business cycles between Central American countries and the United States. The paper finds a relatively low degree of business cycle synchronization within Central America as well as between Central America and the United States. The business cycle synchronization is expected to increase only modestly with further trade expansion, making the coordination of macroeconomic policies within CAFTA somewhat less of a priority.

Business Cycles Accounting for Paraguay

Hnatkovska, Viktoria; Koehler-Geib, Friederike
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
EN_US
Relevância na Pesquisa
66.34%
This study investigates the role of domestic and external shocks in business cycle fluctuations in Paraguay during 1991–2012. Time-series methods and a structural model-based approach are used to conduct an integrated analysis of business cycles. First, structural vector autoregression is used to assess the role played by external factors and domestic shocks in driving fluctuations in gross domestic product through impulse response functions and variance decompositions. The analysis finds that external shocks such as terms of trade, world interest rate and foreign demand account for over 50 percent of real gross domestic product fluctuations. Given Paraguay’s strong dependence on agriculture, an analysis is also done for the agricultural and non-agricultural sectors separately. The analysis finds that non-agricultural gross domestic product is to a large extent driven by external shocks, which account for over 50 percent of its volatility. In contrast, the volatility in agricultural gross domestic product is primarily due to shocks to domestic variables...

Essays on expectations-driven business cycles.

Pavlov, Oscar
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2013
Relevância na Pesquisa
66.54%
This thesis addresses the role of imperfect competition in business cycles driven by expectations and beliefs about the future state of the economy. It consists of three self-contained papers. The first paper examines the roles of composition of aggregate demand and taste for variety in a real business cycle model with endogenous entries and exits of monopolistically competitive firms. It finds that taste for variety can alone make the economy susceptible to endogenous (sunspot driven) business cycles. Importantly, in light of recent research suggesting that aggregate markups in the U.S. are procyclical, sunspot equilibria emerge with procyclical markups that are within empirically plausible ranges. The second paper considers aggregate markup variations in business cycles driven by news about future total factor productivity. It shows that the addition of endogenous countercyclical markups and investment adjustment costs allows the standard one-sector real business cycle model to generate empirically supported expectations driven fluctuations. The simulated model reproduces the regular features of U.S. aggregate fluctuations. The third paper investigates the role of product variety effects and variable markups in expectations-driven business cycles. It demonstrates that taste for variety and investment adjustment costs allow the otherwise canonical real business cycle model to display quantitatively realistic fluctuations in response to news about future total factor productivity. Moreover...

The Monetary Transmission Mechanism and Business Cycles: The Role of Multi-stage Production with Inventories

Dai, Tiantian
Fonte: Quens University Publicador: Quens University
Tipo: Tese de Doutorado
EN; EN
Relevância na Pesquisa
66.29%
This thesis studies the role of multi-stage production for the monetary transmission mechanism. I employ a monetary search model to show how multi-stage production influences both the long run and the short run effects of money growth. Multi-stage production provides an additional channel for money growth having effects through intermediate goods between different production stages. Extending Shi's (1998) model from a single-stage to a multi-stage production model, I show that money growth rate has an unconventional long run effect on quantities per match, and the long run response of input inventory investment is different from that of output inventory investment. Contrary to classic search models, the steady state effect of money growth on the quantity of finished goods per match is not monotonic and depends on the money growth rate. Furthermore, in steady state the quantities per match first increase with the growth rate of money, before falling for large growth rates. Input inventories arise due to search frictions. Money growth also has hump-shaped real effects on steady state input inventory investment. The intermediate goods build a bridge between the labor market and the finished goods market. Intuitively, households hire more labor with higher future revenue and produce more intermediate goods in order to match the employment level. With more labor and more intermediate goods...

Asymmetries in Business Cycles

Gómez Muñoz, Wilman Arturo
Fonte: Facultad de Economía Publicador: Facultad de Economía
Tipo: info:eu-repo/semantics/doctoralThesis; info:eu-repo/semantics/acceptedVersion Formato: application/pdf
Publicado em 28/08/2014 SPA
Relevância na Pesquisa
66.34%
Esta disertación busca estudiar los mecanismos de transmisión que vinculan el comportamiento de agentes y firmas con las asimetrías presentes en los ciclos económicos. Para lograr esto, se construyeron tres modelos DSGE. El en primer capítulo, el supuesto de función cuadrática simétrica de ajuste de la inversión fue removido, y el modelo canónico RBC fue reformulado suponiendo que des-invertir es más costoso que invertir una unidad de capital físico. En el segundo capítulo, la contribución más importante de esta disertación es presentada: la construcción de una función de utilidad general que anida aversión a la pérdida, aversión al riesgo y formación de hábitos, por medio de una función de transición suave. La razón para hacerlo así es el hecho de que los individuos son aversos a la pérdidad en recesiones, y son aversos al riesgo en auges. En el tercer capítulo, las asimetrías en los ciclos económicos son analizadas junto con ajuste asimétrico en precios y salarios en un contexto neokeynesiano, con el fin de encontrar una explicación teórica de la bien documentada asimetría presente en la Curva de Phillips.; Colciencias; This dissertation intends to study the transmission mechanisms that link the behavior of agents and firms with asymmetries present in business cycles. In order to achieve this goal...

Corporate governance, credit rating and business cycles

Fan, Chunbo
Fonte: University of Delaware Publicador: University of Delaware
Tipo: Tese de Doutorado
Relevância na Pesquisa
66.29%
Butkiewicz, James L.; Corporate governance has the function of mitigating agency cost, through which it has impacts on shareholders and bondholders. Using a data sample of S&P; 1500 companies over the period of 1996-2011, I study the relationship between corporate governance and credit ratings controlling for the state of the business cycle. I find that in addition to mitigating agency cost, corporate governance also has a second function to promote decision efficiency and bondholders' demand for this function varies along the states of business cycles. More specifically, when the economy is in a recession where risk levels are relatively higher, bondholders demand more from corporate governance to mitigate agency cost, while in booms, the demand is higher for decision efficiency.; University of Delaware, Department of Economics; Ph.D.

Too much of a good thing: endogenous business cycles generated by bounded technological progress

Gomes, O.
Fonte: Elsevier Science Publicador: Elsevier Science
Tipo: Artigo de Revista Científica
Publicado em //2008 ENG
Relevância na Pesquisa
66.24%
WOS:000258805900010 (Nº de Acesso Web of Science); Following Jones and Williams [Jones, C.I., Williams, J., 2000. Too much of a good thing? The economics of investment in R&D. Journal of Economic Growth vol. 5 (no. 1), 65-85], we assume that R&D is simultaneously subject to positive and to negative external effects (e.g., the non-rival nature of technology conflicts with congestion externalities). This observation allows to conceive an economy where two R&D sectors evolve without departing significantly from each other in terms of their productive results (society tends to penalize imbalances in technical progress, making negative external effects to appear associated to a sector when this outstands relatively to the other sector, in turn, will be subject to positive externalities that reflect a catching up effect). The proposed framework, when associated to a growth setup, is able to replicate the existence of endogenous fluctuations and, therefore, it intends to be a contribution to the literature on endogenous business cycles.

Are the Mexican States and the United States Business Cycles Synchronized?: Evidence from the Manufacturing Production

Mejía-Reyes,Pablo; Campos-Chávez,Jeanett
Fonte: Centro de Investigación y Docencia Económicas Publicador: Centro de Investigación y Docencia Económicas
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2011 EN
Relevância na Pesquisa
66.42%
This paper analyses the degree of synchronization between the Mexican states and the US business cycles by using a growth cycle approach for the period 1997-2007. The business cycle indicators are obtained from seasonally-adjusted monthly manufacturing production. Our results confirm that the Mexican aggregate cycle is highly synchronized with the US business cycle. However, although specific Mexican state cycles are pro-cyclical with respect to the US business cycle, their synchronization is very heterogeneous. In particular, it is strong and robust only for the states of Baja California, Jalisco, Nuevo León and the Federal District, and at least moderate for the state of Mexico and Querétaro. The results are robust with respect to three different detrending methods. Synchronization may be explained by the high volumes of international trade carried out by foreign firms in the case of the central and traditionally industrialized states, and by the "maquila" production in the Northern bordering states. This synchronization may be explained by the vertical integration of the productive processes resulting from the internationalization of production of multinational firms.