Learning asymmetries in real business cycles

Journal of Monetary Economics

Volumn 53, Issue 4, 2006, Pages 753-772

  Van Nieuwerburgh, Stijn ^a   Veldkamp, Laura ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Asymmetry; Business cycles; Learning; Uncertainty

Indexed keywords

EID: 33744910102     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2005.02.003     Document Type: Article

References (40)

1. Acemoglu D., and Scott A. Asymmetric business cycles: theory and time-series evidence. Journal of Monetary Economics 40 (1997) 501-533
2. Backus D., Kehoe P., and Kydland F. International real business cycles. Journal of Political Economy 100 4 (1992) 745-775
3. Baxter, M., King, R., 1995. Measuring business cycles: approximate band-pass filters for economic time series. NBER Working Paper No. 5022.
4. Bekaert G., and Wu G. Asymmetric volatility and risk in equity markets. The Review of Financial Studies 13 1 (2000) 1-42
5. Boldrin M., and Levine D. Growth cycles and market crashes. Journal of Economic Theory 96 (2001) 13-39
6. Boldrin M., Christiano L., and Fisher J. Habit persistence asset, returns and the business cycle. American Economic Review 91 1 (2001) 149-166
7. Cagetti M., Hansen L., Sargent T., and Williams N. Robustness and pricing with uncertain growth. Review of Financial Studies 15 2 (2001) 363-404
8. Campbell J., and Cochrane J. By force of habit: a consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 107 2 (1999) 205-251
9. Chakley M., and Lee I.-H. Learning and asymmetric business cycles. Review of Economic Dynamics 1 (1998) 623-645
10. Chamley C., and Gale D. Information revelation and strategic delay in a model of investment. Econometrica 62 5 (1994) 1065-1085
11. Chen J., Hong H., and Stein J. Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Journal of Financial Economics 61 3 (2001) 345-381
12. Cogley T. Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey. Journal of Monetary Economics 49 (2002) 309-334
13. Cooley T., and Prescott E. Frontiers of Business Cycle Research (1995), Princeton University Press, Princeton, NJ
14. Ebell, M., 2001. Why are asset returns more volatile during recessions? A theoretical explanation. Working Paper Studienzentrum Gerzensee Working Paper No. 01.01.
15. Evans G., Honkapohja S., and Romer P. Growth cycles. American Economic Review 88 June (1998) 495-515
16. Faust, J., Rogerson, J., Wright, J., 2001. News and noise in g-7 gdp announcements. Mimeo Federal Reserve Board, International Finance Division.
17. Fixler, D., Grimm, B., 2002. Reliability of gdp and related nipa estimates. Survey of Current Business, 9-27.
18. Grimm B., and Parker R. Reliability of the quarterly and annual estimates of gdp and gross domestic income. Survey of Current Business 12-21 (1998)
19. Hansen G. Indivisible labor and the business cycle. Journal of Monetary Economics 16 (1985) 309-327
20. Hansen, G., Prescott, E., 2000. Capacity constraints, asymmetries and the business cycle. Mimeo.
21. Hodrick R., and Prescott E. Post-war U.S. business cycles: an empirical investigation. Journal of Money, Credit and Banking 29 (1997) 1-16
22. Jovanovic, B., 2003. Asymmetric cycles. Review of Economic Studies, Forthcoming.
23. Jovanovic B., and Nyarko Y. Learning by doing and the choice of technology. Econometrica 50 6 (1982) 1345-1370
24. Kasa, K., 1995. Signal extraction and the propagation of business cycles. Federal Reserve Bank of San Francisco Working Papers in Applied Economic Theory, No. 95-14.
25. Kocherlakota, N., 2000. Creating business cycles though credit constraints. Federal Reserve Bank of Minneapolis Quarterly Review Summer, 2-10.
26. Kydland F., and Prescott E. Time to build and aggregate fluctuations. Econometrica 50 6 (1982) 1345-1370
27. Lang W., and Nakamura L. The dynamics of credit markets in a model with learning. Journal of Monetary Economics 26 (1990) 305-318
28. Lucas, R., 1987. Models of business cycles. Yrjo Jahnsson Lectures. Blackwell, London.
29. Lustig, H., Van Nieuwerburgh, S., 2005. Quantitative asset pricing implications of household collateral constraints. Working Paper NYU Stern and UCLA.
30. Mankiw G., and Shapiro M. News or noise? An analysis of gnp revisions. Survey of Current Business 66 (1986) 20-25
31. Neftci S. Are economic times series asymmetric over the business cycle?. Journal of Political Economy 92 2 (1984) 307-328
32. Potter, S., 1999. Fluctuations in confidence and asymmetric business cycles. Mimeo Federal Reserve Bank of New York.
33. Rich, R., Tracy, J., 2003. Modeling uncertainty: predictive accuracy as a proxy for predictive confidence. Federal Reserve Bank of New York Staff Reports No. 161.
34. Rob R. Learning and capacity expansion under demand uncertainty. Review of Economic Studies 58 4 (1991) 655-675
35. Sargent T. Two models of measurement and the investment accelerator. Journal of Political Economy 97 2 (1989) 251-287
36. Van Nieuwerburgh, S., Veldkamp, L., 2004. Information acquisition and portfolio underdiversification. NYU Working Paper.
37. Veldkamp L. Slow boom, sudden crash. Journal of Economic Theory 124 4 (2005) 230-257
38. Veronesi P. Stock market overreaction to bad news in good times: a rational expectations equilibrium model. The Review of Financial Studies 12 5 (1999) 975-1007
39. Williams N. Small noise asymptotics for a stochastic growth model. Journal of Economic Theory 119 (2004) 271-298
40. Zeira J. Informational overshooting booms and crashes. Journal of Monetary Economics 43 (1999) 237-257