Retrieving the state-space representation from Dynare

How is it possible to recover the state-space representation after solving a DSGE model in Dynare? This note presents how to simulate impulse-response functions and the dynamics of a system after a series of exogenous shocks after solving the model with Dynare. I present a step-by-step framework and apply it to a simple Real Business Cycles model and a basic New Keynesian model. Nevertheless, the same structure can be used in large DSGE models.info:eu-repo/semantics/publishedVersio

The role of the abandonment option in strategic capital allocation: a review of selected literature

We review the most relevant contributions to the abandonment option since the late 1960s. We begin by approaching the contributions to the literature before the emergence of the real options approach to capital investment decisions, and thereafter, under a consistent real options approach, highlighting the interactions between the option to abandon and other types of options. We then identify the methodologies adopted, and the business sectors/ types of investment projects where the abandonment option is more frequently studied. We also debate the strategic role of the abandonment solution in corporate divestitures and under a game-theoretical approach. Finally, we present some concluding remarks and identify how certain gaps found in the literature may constitute opportunities for future research

The Covid-19 recession in Germany : a macropidemiological analysis

What are the drivers of output fluctuations in Germany during the COVID-19 pandemic? We develop a macro-epidemiological model based on the evidence that efficiency and labor wedges are the key distortions in the neoclassical growth model that account for the GDP dynamics during the period. We find that the consumption and laborsupply effects of containment policies and the endogenous responses of households to pandemic-associated health risks can account for almost all weekly dynamics of output in Germany between the first quarter of 2020 and the second quarter of 2021. The containment policies are found to be responsible for especially large output losses during the pandemic, but the endogenous household responses appear to play an important complementary role. We simulate a counterfactual, laissezfaire type of response to the pandemic and find that not only would it not have avoided a sizeable recession either, but it would also lead to substantially higher losses in human life and stress on the German health service.info:eu-repo/semantics/publishedVersio

The 2008 Crisis: An International Finance (Over)view

The aim of this paper is to present an international finance view of the 2008 crisis. By relying on four traditional international finance classes of models (the intertemporal current account approach, two exchange rate risk premium models and open-economy economic policy models), we addresed, theoretically, the importance of macro-finance aspects of the episode such as portfolio reallocation and its aggregate effects, using data for supporting the claims. Moreover, by telling the story of the crisis, divided in three periods (Great Moderation, Great Recession and Euro Crisis) we provided an overview of the deployments as well as an understanding of the development from a slightly point of view

Business Cycle Accounting: what have we learned so far?

What drives recessions and expansions? Since it was introduced in 2007, there have been hundreds of business cycle accounting (BCA) exercises, a procedure aimed at identifying classes of models that hold quantitative promise to explain a certain period of economic fluctuations. First, we exemplify the procedure by studying the U.S. recessions in 1973 and 1990 using and reflect upon the critiques BCA has been subject to. Second, we look into the many equivalence theorems that the literature has produced and that allow BCA practitioners to identify the theories that are quantitatively relevant for the economic period under study. Third, we describe the methodological extensions that have been brought forth since BCA’s original inception. We end by providing some broad conclusions regarding the relative contribution of each wedge: GDP and aggregate investment are usually driven by an efficiency wedge, hours of work are closely related to the labor wedge and, in an open economy, the investment wedge helps to explain country risk spreads on international bonds. Larger changes in interest rates and currency crises are usually associated with the investment and/or the labor wedge. Finally, we contribute with a graphical user interface that allows practitioners to perform business cycle accounting exercises with minimal effort

Business Cycle Accounting: what have we learned so far?

What drives recessions and expansions? Since it was introduced in 2007, there have been hundreds of business cycle accounting (BCA) exercises, a procedure aimed at identifying classes of models that hold quantitative promise to explain a certain period of economic fluctuations. First, we exemplify the procedure by studying the U.S. recessions in 1973 and 1990 using and reflect upon the critiques BCA has been subject to. Second, we look into the many equivalence theorems that the literature has produced and that allow BCA practitioners to identify the theories that are quantitatively relevant for the economic period under study. Third, we describe the methodological extensions that have been brought forth since BCA’s original inception. We end by providing some broad conclusions regarding the relative contribution of each wedge: GDP and aggregate investment are usually driven by an efficiency wedge, hours of work are closely related to the labor wedge and, in an open economy, the investment wedge helps to explain country risk spreads on international bonds. Larger changes in interest rates and currency crises are usually associated with the investment and/or the labor wedge. Finally, we contribute with a graphical user interface that allows practitioners to perform business cycle accounting exercises with minimal effort

A crise financeira e a política econômica: poderia ter sido diferente?

The aim of this paper is to analyse whether the economic policy response capability was a relevant factor for minimizing the 2008 financial crisis severity within its first year. The research hypothesis is that countries with a larger space for expansionary policies have registered a less severe crisis, holding everything else constant. The results from cross-country regressions corroborate with the hypothesis for the monetary policy. In relation to the fiscal policy, the sign of the parameters was the opposite of what was expected, signaling that, even countries with good fiscal results can experience limitations to Keynesian stimulus due to debt intolerances. However, the interaction between central govern result and gross debt confirms the research hypothesis, whereas a better management of the fiscal flow and debt stock simultaneously seems to be relevant. Adding an investment grade variable to the specifications highlighted that the crisis was more severe within the developed economies

Brand reposition impact in the internationalization of Brazilian footwear companies: the Havaianas case

New markets, needs, desires and opportunities seem to appear every day on the global stage. This also means an increase in the number of competitors, technological innovations and new purchase alternatives for the consumer. The conquest of these buyers’ preferences therefore becomes the purpose of many companies, to whom brand starts to be seen as an intangible asset – fundamental in attracting the attention of several interest groups; creating an emotional bond with the customer. The excessive focus given by many organizations to the products and services offered is often limited to their functional and technical characteristics, and has given them the appearance of simple commodities, without any added value. This paper intends to show how is possible to reverse this kind of situation: creating a strong brand, whether in the local or international sphere of action, based in the planning and implementation of integrated actions of the marketing mix variables. With a case study carried out together with São Paulo Alpargatas (specifically with their sandals business unit which manages the brand Havaianas), the factors that made them one of the biggest Brazilian icons abroad are studied: the associations developed; the communication strategy used; the new position achieved by the brand; and the implementation of a long-lasting strategy.info:eu-repo/semantics/publishedVersio

Financial frictions and the economic the depression in Brazil

What is behind the economic depression Brazil experienced between 2014 and 2016? A synthetic control estimation corroborates the hypothesis of a mainly domestic episode. With that in mind, we apply the business cycle accounting method and find that the episode was driven by the efficiency wedge. We find econometric evidence that public development bank outlays have a positive (negative) impact in the short-run (long-run) on the efficiency wedge. This motivates a model with financial frictions and a public development bank that is able to reproduce the dynamics of output during the crisis

Output falls and the international transmission of crises

Economic crises are usually transmitted across countries via either price or quantity shocks on the balance of payments. This paper complements the literature on international trade and business cycles by analyzing the role of imported intermediates goods inputs during the Great Financial Crisis in small open economies. We find that in an increasingly integrated world, intra-industry international trade is an important channel of propagation of shocks. A depreciation of the real exchange rate rises to costs of intermediate output, which decreases production. Our quantitative model is able to reproduce both the intensity and the velocity of the crisis in Mexico