We consider a dynamic macroeconomic model with households that regard relative affluence as social status. The measure of relative affluence can be the ratio to, or the difference from, the social average. The two specifications lead to quite different results: with the ratio specification full employment is necessarily realized, whereas with the difference specification persistent shortages of...

We study the relation between macroeconomic fundamentals and asset pricing through the lens of a state of the art dynamic stochastic general equilibrium (DSGE) model considered in Christiano, Trabandt and Walentin (2011). We provide a full-information Bayesian estimation of the model using macro variables and extract three fundamental shocks to the economy through the model: neutral technology ...

We analyze the interaction between risk sharing and capital accumulation in a stochastic OLG model with production. We give a complete characterization of interim Pareto optimality. Our characterization also subsumes equilibria with a PAYG social security system. In a competitive equilibrium interim Pareto optimality is equivalent to intergenerational exchange e¢ciency, which in turn implies dy...

We present a model in which investors observe the same macroeconomic data but have varying levels of information about the parameters that determine the distribution of the expected returns on investment. During a crisis that increases macroeconomic uncertainty and reduces asset prices, the threshold required return that triggers investment is lower for an informed investor than for an uninform...

the purpose of this paper is to examine the effects of monetary, fiscal and oil revenue shocks on macroeconomic variables in the framework of rule and discretionary monetary policy. to end this, we use a new keynesian dynamic stochastic general equilibrium (dsge) model. given the dominant role of oil in the country, we consider the role of oil shock in the model through different channels. the ...

This study explores the effects of macroeconomic policies on measures of macroeconomic performance such as growth and inflation by setting up a dynamic post-Keynesian model with government and central bank interventions. In doing so, this study reconsiders the arguments in favor of a policy regime. The model in this paper generates several varieties of economic growth regimes and inflation dyna...

Economic growth is the most common goal in any economy, and capital is one of the most important determinants of growth. In the last few decades, the use of securities in various countries' capital markets has expanded and has become an essential part of the economic system supplying the capital need for investors and other institutions. This study aims to analyze the effect of securities used ...

In this paper we investigate macroeconomic dynamics in the presence of frictions in both labor and credit markets. On the basis of the macroeconomic model in Merz (1995) with labor market frictions and capital accumulation, our paper offers an extension to frictions in credit markets which, analogously, are modeled as a search-and-matching process. Using the Merz model as limit case, we conside...

This paper investigates the effects of macroeconomic volatility on non–financial firms’ cash holding behavior. Using an augmented cash buffer–stock model, we demonstrate that an increase in macroeconomic volatility will cause the cross–sectional distribution of firms’ cash–to–asset ratios to narrow. We test this prediction on a panel of non–financial firms drawn from the annual COMPUSTAT databa...