We explore the impact of investment-specific technology (IST) shocks on the crosssection of stock returns. IST shocks reflect technological advances embodied in new capital goods. Using a structural model, we show that IST shocks have a differential effect on the two fundamental components of firm value, the value of assets in place and the value of growth opportunities. This differential sensi...

Number of Papers published in peer-reviewed journals: Number of Papers published in non peer-reviewed journals: Final Report: Modeling Systems of Dependent Components Report Title New classes of stochastic models for network systems having stochastically dependent components are studied by a combination of probabilistic analysis and efficient simulation techniques. For instance, in a model in w...

We estimate a time-varying parameter VAR (TVP-VAR) with stochastic volatility using U.S. data to study the effects of uncertainty shocks on inflation. find response inflation be negative in post-WWII period. Our findings suggest that propagate like aggregate demand and not supply shocks.

We analyze the euro area business cycle in a medium scale DSGE model where we assume two stochastic trends: one on total factor productivity and one on the in ation target of the central bank. To justify our choice of integrated trends, we test alternative speci cations for both of them. We do so, estimating trends together with the model's structural parameters, to prevent estimation biases. I...

Pentameric ligand-gated ion channels (pLGICs) are similar in structure but either inhibited or potentiated by alcohols and anesthetics. This dual modulation has previously not been understood, but the determination of X-ray structures of prokaryotic GLIC provides an ideal model system. Here, we show that a single-site mutation at the F14' site in the GLIC transmembrane domain turns desflurane a...

This paper examines the composition of trade between the United States and eight Asian Pacific economies from 1962 to 1992. Analysis of the time series pattern of individual commodities at the SITC four-digit level reveals economically significant changes in the pattern of trade, reflecting changing comparative advantage based on changing factor proportions, technology transfer and product cycl...

I characterize cyclical fluctuations in the cross-sectional dispersion of firm-level productivity. Using the micro-estimated dispersion, or “risk,” stochastic process as an input to a baseline DSGE financial accelerator model, I assess how well the model reproduces cyclical movements in both real and financial conditions of the economy. In the model, risk shocks calibrated to micro data lead to...

This paper proposes the use of data on expectations to identify the role of news shocks in business cycles. This approach exploits the fact that news shocks cause agents to adjust their expectations about the future even when current fundamentals are not affected. Using data on expectations, we estimate a dynamic, stochastic, general equilibrium model that incorporates news shocks for the U.S. ...

Our analysis of macroeconomic fluctuations in the previous two chapters has developed two very incomplete pieces. In Chapter 5, we considered a full intertemporal macroeconomic model built from microeconomic foundations with explicit assumptions about the behavior of the underlying shocks. The model generated quantitative predictions about fluctuations, and is therefore an example of a quantita...

a r t i c l e i n f o This paper estimates a Markov-switching dynamic stochastic general equilibrium (MS-DSGE) model that allows shifts in the monetary policy rule coefficients as well as the shock volatilities with Korean data ranged from 1976 to 2013. We find that allowing for the regime-switching aspect both in monetary policy rules and shock volatil-ities is a crucial setup in improving the...