Intertemporal Substitution and Sectoral Comovement in a Sticky Price Model

Strong procyclical fluctuations in the durable production are the most prominent feature of the empirical response to monetary shocks. This paper investigates the role of preferences in matching this feature of the data in a two-sector sticky price model with flexibly priced durables. The reaction of durables depends crucially on whether preferences are separable between labor and aggregate consumption. When preferences are separable, the model exhibits perverse behavior. Flexibly priced durables contract during periods of economic expansion. However, sticky price model with non-separable preferences can replicate the empirically plausible response of durable spending. The key to the model’s success hinges upon the fact that the non-separable preferences imply the complementarity between aggregate consumption and labor supply, absent in the separable preference. Finally, we present empirical evidence supporting the non-separable preferences.

Costly Labor Reallocation, Non-Separable Preferences, and Expectation Driven Business Cycles

A key feature of the business cycle data is that output, employment and investment move up and down together in dierent sectors of the economy. However, standard business cycle models fail to generate this business cycle sectoral co-movement. In this paper we propose a two-sector business cycle model that generates the sectoral cycle co-movement in response to both contemporaneous shocks and news shocks about fundamentals. The key elements to the model’s success are frictions in intersectoral labor mobility and non-separable preferences in consumption and leisure, along with adjustment costs to investment and variable capital utilization.

The delayed effects of monetary shocks in a two-sector New Keynesian model

This paper studies a two-sector New Keynesian model that captures the hump-shaped response of non-durable and durable spending to a monetary shock when non-durable prices are sticky and durable goods are flexibly priced. Based on the estimated parameters, we show that habit formation and investment adjustment costs are not sufficient to generate the gradual response of non-durable and durable spending in this setup. We find that nominal wage rigidity and non-separable preferences between consumption and labor are also necessary to delay the peak response of non-durable and durable spending in the estimated two-sector New Keynesian model

Dynamic analysis in productivity, oil shock, and recession

The first chapter analyzes the predictive power of the interest rate for various industry-level measures of productivity growth. Although industry-level data are only available at an annual frequency, by using the state space model and the Kalman filter, it is possible to perform the Granger-causality test at a quarterly frequency. The results highlight the heterogeneous nature of predictive power and suggest that the nonexogeneity of the Solow residual reported by Evans (1992) is due to manufacturing industries. In addition, two case studies on industries in which we can obtain an appropriate measure of capital utilization rate show that the forecasting ability of the interest rate diminishes after taking account of variable capital utilization in TFP growth. The second chapter studies macroeconomic consequences of oil-price shocks. Output responses to oil-price shocks not only tend to be weaker, but also to peak earlier recently. This chapter builds a model that incorporates a realistic structure of US petroleum consumption and explores three possible explanations for the changes. The first is based on deregulation in the transportation sector, which has brought more competition and improved efficiency in the industry. The second is overall improvements in use of energy. The third is less persistence of the oil-price shock. Under realistic parameter values, it is demonstrated that all three factors play an important role quantitatively. These three factors together could account for a large portion of the changes over time. The third chapter examines forecasting models of recession probabilities. There are two margins to improve forecasting accuracy: including additional variables and using different functional form. Using out-of-sample and cross validation methods, I systematically compare the performance of various forecasting models that differ in terms of variables included and functional forms used. I find substantial gains from including additional variables, such as the S\&P 500 and non-farm employment growth, together with the term spread. Additionally, we can further improve forecasting accuracy by utilizing a non- Normal distribution. I also explore this possibility by using the generalized Edgeworth expansion. Resulting predictions outperform ones from a probit model in all three measures of forecasting accuracy considere

Sticky Wages in a World of Ideas

The search for new ideas by profit-seeking firms and knowledge spillovers are well-known and fundamental sources of modern economic growth. This paper examines the implications of idea productionand knowledge capital for monetary business cycles. We construct a sticky-wage model where workers produce goods based on firm-specific knowledge capital and researchers develop new ideas aided by the economywide stock of knowledge. As a quantitatively small group in the economy, researchers are inconsequential for the real effects of monetary shocks when the returns to research are low. However, this intuitive conclusion can be overturned when the returns to research are high. In this situation, monetary shocks can have significant real effects as long as wages are sticky for researchers, even if wages are perfectly flexible for workers, who are quantitatively dominant in the economy.経済成⻑の研究では、利潤を追求する企業による新しいアイデアの探索と知識の波及は内⽣的な経済成⻑の基本的な源泉となりうることがよく知られており、新しいアイデアの⽣産が経済成⻑にとって重要な要因であると認識されてきた。⼀⽅、景気循環の⽂献では、研究開発活動が景気循環に対して順循環的でその重要性が⽰唆されている。しかし、研究開発費の対 GDP ⽐や研究者の対労働者コスト⽐が⼩さいため、標準的な景気循環の⽂献ではあまり検討されていない。 この⽋落に対処するため、本研究ではアイデアの⽣産と知識資本を明⽰的に組み⼊れたニューケインジアン粘着賃⾦モデルを構築し、アイデアの⽣産が景気循環、⾦融ショックに与える影響を考察している。その結果、アイデアの⽣産関数の形状が⾦融ショックの実質変数への影響に対して重要な要因になることが明らかになった。1) 研究開発の収益が⼩さい場合、⾦融ショックの実質変数への影響に対して、研究活動の定量的影響はあまりない。しかし、2) 研究開発の収益が⾼い場合、経済において多数を占める労働者の賃⾦が完全に伸縮的であっても、研究者の賃⾦が粘着的である限り、⾦融ショックが実質変数に⼤きな影響を与える可能性がある。 この結果は、アイデアや知識資本を含む貨幣景気循環モデルを理解する上で、アイデアの⽣産関数の形状が重要な要因となることを⽰唆している。Jones（2019a）は、アイデアの⽣産を含む経済成⻑理論のサーで、「アイデアの⽣産関数の形状は依然として興味深い研究対象である」と結論付けている。今回の分析結果は、Jones（2019a）による従来の議論に、貨幣的景気循環モデルの観点から新しい視点を加えている。アイデアの⽣産関数において、アイデアの⽣産は「知識資本の蓄積」（standing-on-shoulders効果）と「研究へのリターンの度合い」の⼆つのパラメータによって決定される。経済成⻑論では、この「知識資本の蓄積」が経済成⻑を理解する上で重要な要因として重視されている（Jones, 2005）。これに対して、本研究の粘着賃⾦モデルは、「知識資本の蓄積」の効果ではなく、「研究開発の収益の度合い」が、⾦融ショックの実質変数への及効果に対する重要な要因として重視される