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We study the role of idiosyncratic income risk for aggregate fluctuations within a simple heterogeneous households framework. We show that the presence of idiosyncratic income shocks affects the economy’s response to an aggregate shock even in the absence of binding borrowing constraints and/or cyclical income risk. Their impact can be captured by a consumption-weighted average of the changes in consumption risk generated by an aggregate shock. We apply this framework to two example economies —an endowment economy and a New Keynesian economy— and show that under plausible calibrations the impact of idiosyncratic income risk on aggregate fluctuations is quantitatively small, since most of the changes in consumption risk are concentrated among poorer (low consumption) households.

In the standard macroeconomic search and matching model of the labor market, there is a tight link between the quantitative effects of (i) aggregate productivity shocks on unemployment and (ii) unemployment benefits on unemployment. This tight link is at odds with the empirical literature. We show that a two-sided model of labor market search where the household and firm decisions are decomposed into job offers, job acceptances, firing, and quits can break this link. In such a model, unemployment benefits affect households' behavior directly, without having to run via the bargained wage. A calibration of the model based on U.S. JOLTS data generates both a solid amplification of productivity shocks and a moderate effect of benefits on unemployment. Our analysis shows the importance of investigating the effects of policies on the households' work incentives and the firms' employment incentives within the search process.

We study the leverage of U.S. firms over their life cycles and the connection between firm leverage, firm growth, and aggregate shocks. We construct a new dataset that combines private and public firms' balance sheets with firm-level data from U.S. Census Bureau's Longitudinal Business Database for the period 2005-12. Public and private firms exhibit different leverage dynamics over their life cycles. Firm age and size are systematically related to leverage for private firms but not for public firms. We show that private firms, but not public ones, deleveraged during the Great Recession and that this deleveraging is associated with a reduction in firm revenue and employment growth. Exploiting sectoral variation, we find that the leverage dynamics of firms is also relevant for aggregate fluctuations.

Using a unique dataset of daily price listings and the associated number of clicks for precisely defined goods from a major shopping platform, we examine whether internet prices respond to aggregate shocks at a high frequency. We find little evidence that online prices respond promptly to unanticipated announcements about macroeconomic activity. Shopping activity also appears unresponsive to aggregate shocks, suggesting that internet retailers may follow individual demand for their products more closely than aggregate demand.

In the standard macroeconomic search and matching model of the labor market, there is a tight link between the quantitative effects of (i) aggregate productivity shocks on unemployment and (ii) unemployment benefits on unemployment. This tight link is at odds with the empirical literature. We show that a two-sided model of labor market search where the household and firm decisions are decomposed into job offers, job acceptances, firing, and quits can break this link. In such a model, unemployment benefits affect households' behavior directly, without having to run via the bargained wage. A calibration of the model based on U.S. JOLTS data generates both a solid amplification of productivity shocks and a moderate effect of benefits on unemployment. Our analysis shows the importance of investigating the effects of policies on the households' work incentives and the firms' employment incentives within the search process.

This paper sheds new light on the interactions between business cycles and the consumption distribution. We use CEX consumption data and a factor model to characterize the cyclical dynamics of the consumption distribution. We first ensure that our approach closely matches business cycle fluctuations of consumption from the National Account. We then study the responses of the consumption distribution to TFP shocks and various uncertainty shocks. Importantly, we find that the right tail of the consumption distribution, comprised mostly of highly educated individuals, has a larger and quicker response than other parts of the distribution to shocks that drive cyclical fluctuations. We note that the cost of business cycle fluctuations, calculated using the full distribution of consumption, is larger than the cost found using aggregate consumption. Further, the shocks we analyze reduce consumption inequality on impact.

This paper sheds new light on the interactions between business cycles and the consumption distribution. We use Consumer Expenditure Survey data and a factor model to characterize the cyclical dynamics of the consumption distribution. We first establish that our approach is able to closely match business cycle fluctuations of consumption from the National Account. We then study the responses of the consumption distribution to total factor productivity shocks and economic policy uncertainty shocks. Importantly, we find that the responses of the right tail of the consumption distribution, mostly comprising more highly educated individuals, to shocks that drive cyclical fluctuations are larger and quicker than in other parts of the distribution. We note that the cost of business cycle fluctuations is larger than that found using aggregate consumption and that the shocks we analyze reduce consumption inequality on impact.

We show how to enhance the performance of a Smolyak method for solving dynamic economic models. First, we propose a more efficient implementation of the Smolyak method for interpolation, namely, we show how to avoid costly evaluations of repeated basis functions in the conventional Smolyak formula. Second, we extend the Smolyak method to include anisotropic constructions that allow us to target higher quality of approximation in some dimensions than in others. Third, we show how to effectively adapt the Smolyak hypercube to a solution domain of a given economic model. Finally, we argue that in large-scale economic applications, a solution algorithm based on Smolyak interpolation has substantially lower expense when it uses derivative-free fixed-point iteration instead of standard time iteration. In the context of one- and multi-agent optimal growth models, we find that the proposed modifications to the conventional Smolyak method lead to substantial increases in accuracy and speed. Lilia Maliar and Serguei Maliar acknowledge support from the Hoover Institution and Department of Economics at Stanford University, University of Alicante, Ivie, MECD and FEDER funds under the projects SEJ-2007-62656 and ECO2012-36719. Rafael Valero acknowledges support from MECD under the FPU program.

This paper empirically investigates whether a community-based development (CBD) approach is effective in mitigating the ill effects of aggregate shocks. The analysis is based on a three-year panel dataset of approximately 600 households in rural Pakistan where a local NGO has implemented CBD interventions. The results show that the mitigating effect was absent when the control group included both non-member households in villages under CBD interventions and households in villages without such interventions. On the other hand, within the former type of villages, a strong spillover effect from member to non-member households was found, mitigating the ill effects of aggregate shocks. Furthermore, CBD interventions accompanied by micro infrastructure construction or microcredit provision were found to be effective in mitigating the ill effects. These results suggest the possibility that whether a CBD approach mitigates aggregate shocks depends on the type of intervention and the nature of market failures., 基盤研究(S) = Grants-in-Aid for Scientific Research (S)

We study the role of fiscal policy in a complete markets model where the only friction is the non-pledgeability of human capital. We show that the competitive equilibrium is constrained inefficient, leading to too little risky investment. We also show that fiscal policy following a large negative shock can increase ex ante welfare. Finally, we show that if the government cannot commit to the promised level of fiscal intervention, the ex post optimal fiscal policy will be too small from an ex ante perspective.

The theoretical literature on generational risk assumes that this risk is large and that the government can effectively share it. To assess these assumptions, this paper simulates a realistically calibrated 80-period overlapping generations life-cycle model with aggregate productivity shocks. Previous solution methods could not handle large-scale OLG models such as ours due to the well-known curse of dimensionality. The prior state of the art is Krueger and Kubler (2004, 2006), whose sparse-grid method handles 10 to 30 periods depending on the model’s realism. Other methods used to solve large-scale, multi-period life-cycle models are tenuous because they rely on either local approximations (Rios-Rull, 1994, 1996) or summary statistics of state variables (Krusell and Smith, 1997, 1998). We build on a new algorithm by Judd, Maliar, and Maliar (2009, 2011), which restricts the state space to the model’s ergodic set. This limits the required computation and effectively banishes the dimensionality curse in models like ours. We find that intrinsic generational risk is quite small, that government policies can produce generational risk, and that bond markets can help share generational risk. We also show that a bond market can mitigate risk-inducing government policy. Our simulations produce very small equity premia for three reasons. First, there is relatively little intrinsic generational risk. Second, intrinsic generational risk hits both the young and the old in similar ways. And third, artificially inducing risk between the young and the old via government policy elicits more net supply as well as more net demand for bonds, by the young and the old respectively, leaving the risk premium essentially unchanged. Our results hold even in the presence of rare disasters and very high risk aversion. They echo Lucas’ (1987) and Krusell and Smith’s (1999) point that macroeconomic fluctuations are too small to have major microeconomic consequences.

This study revisits the sectoral shifts hypothesis for the US for the period 1948 to 2011. A quantile regression approach is employed in order to investigate the asymmetric nature of the relationship between sectoral employment and unemployment. Significant asymmetries emerge. Lilien’s dispersion index is significant only for relatively high levels of unemployment and becomes insignificant for low levels suggesting that reallocation effects unemployment only when the latter is relative high. More job reallocation is associated with higher unemployment.

We explore empirically models of aggregate fluctuations with two basic ingredients: agents form anticipations about the future based on noisy sources of information and these anticipations affect spending and output in the short run. Our objective is to separate fluctuations due to actual changes in fundamentals (news) from those due to temporary errors in agents' estimates of these fundamentals (noise). We use a simple forward-looking model of consumption to address some methodological issues: structural VARs cannot be used to identify news and noise shocks in the data, but identification is possible via a method of moments or maximum likelihood. Next, we use U.S. data to estimate both our simple model and a richer DSGE model with the same information structure. Our estimates suggest that noise shocks play an important role in short-run consumption fluctuations.

The purpose of this work is to provide a brief overview of the literature on the optimal design of unemployment insurance systems by analyzing some of the most influential articles published over the last three decades on the subject and extend the main results to a multiple aggregate shocks environment. The properties of optimal contracts are discussed in light of the key assumptions commonly made in theoretical publications on the area. Moreover, the implications of relaxing each of these hypothesis is reckoned as well. The analysis of models of only one unemployment spell starts from the seminal work of Shavell and Weiss (1979). In a simple and common setting, unemployment benefits policies, wage taxes and search effort assignments are covered. Further, the idea that the UI distortion of the relative price of leisure and consumption is the only explanation for the marginal incentives to search for a job is discussed, putting into question the reduction in labor supply caused by social insurance, usually interpreted as solely an evidence of a dynamic moral hazard caused by a substitution effect. In addition, the paper presents one characterization of optimal unemployment insurance contracts in environments in which workers experience multiple unemployment spells. Finally, an extension to multiple aggregate shocks environment is considered. The paper ends with a numerical analysis of the implications of i.i.d. shocks to the optimal unemployment insurance mechanism. O objetivo deste trabalho é prover uma revisão sucinta da literatura sobre o desenho ótimo de programas de seguro-desemprego, por meio da análise de alguns dos artigos mais influentes publicados nas últimas três décadas, e estender os seus principais resultados para um ambiente econômico sujeito a choques agregados. As propriedades dos contratos ótimos são discutidas à luz das hipóteses-chave usualmente adotadas em publicações teóricas nessa área. Além disso, as implicações associadas ao relaxamento dessas hipóteses também são investigadas. A análise de modelos que contemplam apenas um ciclo de desemprego começa com o trabalho de Shavell e Weiss (1979). A partir de um ambiente econômico simples e comum à maioria dos trabalhos, estudam-se as políticas de benefícios, taxas sobre os salários e o nível ótimo de esforço a ser exercido na procura por emprego. Adicionalmente, questiona-se a idéia de que as distorções no preço relativo de consumo e lazer provocadas pelo seguro-desemprego são a única explicação para alterações marginais dos incentivos à procura por emprego. Usualmente interpretada como um problema de perigo-moral causado por um efeito-substtituição, a redução na oferta de trabalho causada por programas de seguro-social é discutida sob essa nova perspectiva. Apresenta-se ainda um estudo teórico sobre contratos de seguro-desemprego ótimo quando os agentes estão sujeitos a mais de um ciclo de desemprego. Finalmente, uma extensão dos modelos a um ambiente sujeito a múltiplos choques agregados é desenvolvida. O trabalho termina com um exercício numérico acerca das implicações de choques i.i.d. sobre o desenho de programas de seguro-desemprego.

In economies characterized by both aggregate and privately observed idiosyn- cratic risks we show that constrained e¢cient allocations may display non-trivial dependence on aggregate shocks. Using two period versions of both a Atkeson and Lucas (1992) preference shock model and a dynamic Mirrlees (1971) economy we show that constrained optimal allocations have memory with respect to aggre- gate shocks despite their being i.i.d. and independent from idiosyncratic shocks, whenever the latter are not perfectly persistent. The fact that shocks may have per- sistent e¤ects on allocations despite their public and i.i.d nature, was rst shown by Phelan (1994) in a dynamic moral hazard economy with CARA preference. Our numerical simulations indicate that these are not knife-edge results: there is a monotonic relationship between private persistence and aggregate memory in many di¤erent environments. Em economias caracterizadas por choques agregados e privados, mostramos que a alocação ótima restrita pode depender de forma não-trivial dos choques agregados. Usando versões dos modelos de Atkeson e Lucas (1992) e Mirrlees (1971) de dois períodos, é mostrado que a alocação ótima apresenta memória com relação aos choques agregados mesmo eles sendo i.i.d. e independentes dos choques individuais, quando esses últimos choques não são totalmente persistentes. O fato de os choques terem efeitos persistentes na alocação mesmo sendo informação pública, foi primeiramente apresentado em Phelan (1994). Nossas simulações numéricas indicam que esse não é um resultado pontual: existe uma relação contínua entre persistência de tipos privados e memória do choque agregado.

In the past few decades, real business cycle theory has developed rapidly after the initiation of Kydland and Prescott in 1982. It has grown substantially as an independent literature and served as a widely recognized framework for studies of the economy at business cycle frequencies. It has enjoyed great success for its ability to replicate most of the observed characteristics of U.S. aggregate economic activity after WWII. Over the years, different extensions to and modifications of the real business cycle model have been proposed by many researchers. In the mean time, various criticisms and challenges have been exposed to the theory from different perspectives. Recently, new developments have been undergoing a constructive process and emerging questions are being considered to improve the empirical performance of the theory. To celebrate the theory, several works have been devoted to a comprehensive survey of the literature, represented by King and Rebelo (1999). Efforts have been also made to discuss open questions in the literature in an attempt to suggest future studies, such as Rebelo (2005). However, a systematic review of the real business cycle theory involving different perspectives to compact the literature into a narrative representation seems currently unavailable. This paper tries to fill the gap.

Using a German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional standard deviation of firm-level innovations in the Solow residual, value added and employment is robustly and significantly countercyclical. 2) The cross-sectional standard deviation of firm-level investment is procyclical. We show that a heterogeneous-firm RBC model with quantitatively realistic countercyclically disperse innovations in the firm-level Solow residual and non-convex adjustment costs calibrated to the non-Gaussian features of the steady state investment rate distribution, produces investment dispersion that positively comoves with the cycle, with a correlation coefficient of 0.58, compared to 0.45 in the data. We argue more generally that the cross-sectional business cycle dynamics impose tight empirical restrictions on structural parameters and stochastic properties of driving forces in heterogeneous-firm models, and are therefore paramount in the calibration of these models.

Using a standard decomposition of forecasts errors into common and idiosyncratic shocks, we show that aggregate forecast uncertainty can be expressed as the disagreement among the forecasters plus the perceived variability of future aggregate shocks. Thus, the reliability of disagreement as a proxy for uncertainty will be determined by the stability of the forecasting environment, and the length of the forecast horizon. Using density forecasts from the Survey of Professional Forecasters, we find direct evidence in support of our hypothesis. Our results support the use of GARCH-type models, rather than the ex post squared error in consensus forecasts, to estimate the ex ante variability of aggregate shocks as a component of aggregate uncertainty.

I analyze the impact of food price inflation on parental decisions to send their children to school. Moreover, I use the fact that food crop farmers and cotton farmers were exposed differently to that shock to estimate the income elasticity of school enrolment. The results suggest that the shock-induced loss in purchasing power had an immediate effect on enrolment rates. Instrumental variable estimates show that the effect of household income on children's school enrolment is much larger than a simple OLS regression would suggest. Hence, policies to expand education in Sub-Saharan Africa, should not neglect the demand side.

We study the dynamics of an industry subject to aggregate demand shocks where the productivity of a firm's technology evolves stochastically over time. Each period, each firm, given the aggregate demand shock, the productivity of its technology, and the distribution of technology productivities in the economy, (i) chooses whether to remain in the industry or to exit to sell its resources to an entrant; and (ii) an active firm chooses how much capital and labor to employ, and hence output to produce. To characterize the intertemporal evolution of the distribution of firms, we discuss in particular how exit decisions, aggregate output, profits and distributions of firm productivities vary, (a) across different demand realization paths; (b) along a demand history path, detailing the effects of continued good or bad market conditions; and (c) for different anticipated future market conditions. Sufficient conditions are provide for worse demand realizations to lead to increased exit of low-productivity firms and then to improved distributions of firms at all future dates and states. Finally, it is shown that a downturn in demand can raise welfare due to the impact on exit decisions.

This paper discusses the applicability of a multi-sector business cycle model to the Japanese economy. Through dynamic factor analysis, output fluctuations are decomposed into aggregate and sectoral shocks. It is shown that independent sectoral shocks are more significant than common shocks, which conclusion is consistent with the model proposed by Long and Plosser (1983). In addition, the paper reveals that the importance of aggregate shocks increased during the so-called "bubble" period of the late 1980's., 科学研究費補助金（特定領域研究） = Grant-in-Aid for Scientific Research on Priority Areas

This Paper shows how microeconomic data on investment plans can be used to study the structure of risk faced by firms. Revisions of investment plans form a martingale, and thus reveal the underlying shocks driving investment. We decompose revisions in investment plans into micro, sector and aggregate shocks, and exploit stock market data to distinguish between structural (value-related) shocks and measurement error in investment revisions. Using panel data for US firms, we find that micro shocks are not the dominant source of risk in investment decisions, and that much of the observed micro variation is actually due to heterogeneity in firm-level responses to aggregate shocks. Firms are able to diversify most idiosyncratic investment risk, and they do not appear to be liquidity-constrained.

This paper considers the efficiency of financial intermediation and the propagation of business cycle shocks in a model of long-term relationships between entrepreneurs and lenders, where lenders may be constrained in their short-run access to liquidity. When liquidity is low, relationships are subject to breakups that lead to loss of joint surplus. Liquidity outflows cause damage to financial structure by breaking up relationships, and damage persists due to frictions in the formation of new relationships. Feedbacks between aggregate investment and the structure of intermediation greatly magnify the effects of shocks. For large shocks, financial collapse may become inescapable in the absence of external intervention.

We develop a theoretical model of the dynamics of an industry over the business cycle. In the economy, both aggregate demand and the productivity of a firm's technology evolve stochastically. Each period, firms must choose whether to produce or to exit and attempt to sell off their resources to an entrant, so there is a non-trivial opportunity cost of production. We characterize the intertemporal evolution of the distribution of firms, where are distinguished by their capital in place and the productivity of their technology. We characterize exit rates by age, size and productivity. A useful social planner's characterization of the competitive equilibrium is provided. Predictions of our theoretical model are broadly consistent with observed cyclical patterns.

The purpose of this paper is to test the life-cycle permanent income hypothesis using an unbalanced panel from the Spanish family expenditure survey. Our model accounts for aggregate shocks and non-separability in the Euler equation among consumption goods, contrary to most of the Literature in this area. Our results do not indicate excess sensitivity of consumption growth to income.