Members Research Papers

End of 9-Endings, Price Recall, and Price Perceptions

Version Date: 
Apr 2017
Author/s: 
Abstract: 

Prices that end with 9, also known as psychological price points, are common, comprising about 70% of the retail prices. They are also more rigid than other prices. We take advantage of a natural experiment to document an emergence of a new price ending that has the same effects as 9-endings.

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Firm Uncertainty Cycles and the Propagation of Nominal Shocks

JEL codes: 
E50
Version Date: 
Feb 2017
Author/s: 
Abstract: 

Firms operate in constantly changing and uncertain environments. We argue that firm uncertainty is a key determinant of pricing decisions, and that it affects the propagation of nominal shocks in the economy. For this purpose, we develop a price-setting model with menu costs and imperfect information about idiosyncratic productivity.

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Evaluating forecasts of a vector of variables: a German forecasting competition

JEL codes: 
C53, E27, E37
Version Date: 
Jul 2014
Author/s: 
Abstract: 

In this paper we present an evaluation of forecasts of a vector of variables of the German economy made by different institutions. Our method permits one to evaluate the forecasts for each year and then if one is interested to combine the years.

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Business Cycle Spillovers in the EU15: What is the Message Transmitted by the Periphery?

JEL codes: 
C32, E32, F00
Version Date: 
Dec 2013
Abstract: 

We examine business cycle spillovers in the EU15 countries by employing the spillover index approach of Diebold and Yilmaz (2009, 2012), over the period 1977-2012. The propagation mechanisms of business cycle shocks among EU15 is becoming a major interest due to unprecedented recent economic turbulence. The results of our analysis reveal the following empirical regularities.

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Time-varying Business Cycles Synchronisation in Europe

JEL codes: 
C32, E32, F43, O52
Version Date: 
Nov 2013
Abstract: 

The paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2009. The paper provides evidence that changes in the business cycle synchronisation correspond to institutional changes that have taken place at a European level.

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Yield curve and Recession Forecasting in a Machine Learning Framework

JEL codes: 
E30, E39
Version Date: 
Nov 2013
Author/s: 
Abstract: 

In this paper, we investigate the forecasting ability of the yield curve in terms of the
U.S. real GDP cycle. More specifically, within a Machine Learning (ML) framework,
we use data from a variety of short (treasury bills) and long term interest rates (bonds)
for the period from 1976:Q3 to 2011:Q4 in conjunction with the real GDP for the

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Explicit Evidence of an Implicit Contract

JEL codes: 
B12
Version Date: 
Aug 2013
Author/s: 
Abstract: 

We offer the first direct evidence of an implicit contract in a goods market. The evidence comes from the market for Coca-Cola. We demonstrate that the Coca-Cola Company left a written evidence of its implicit contract with its consumers—a very explicit form of an implicit contract.

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A note on firm entry, markups and the business cycle

JEL codes: 
E22
Version Date: 
Jul 2013
Author/s: 
Abstract: 

This paper proposes a monetary model with firm entry as a means for alleviating the difficulties of real business cycle models in reproducing the smoothness and persistence of macroeconomic variables together with the volatility of profits and markups.

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Firms' entry, monetary policy and the international business cycle

JEL codes: 
E32, E52
Version Date: 
Jul 2013
Author/s: 
Abstract: 

This paper proposes a two-country monetary model with firm entry as a means for alleviating the comovement puzzles in international business cycle models. It shows that business formation can generate fluctuations in output, employment, investment and trade flows close to those in the datawhile at the sametimeproviding positive international comovements.

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Firms' entry, monetary policy and the international business cycle

JEL codes: 
E30, E32, E52
Version Date: 
Jun 2013
Author/s: 
Abstract: 

This paper proposes a two-country monetary model with firm entry as a means for alleviating the comovement puzzles in international business cycle models. It shows that business formation can generate fluctuations in output, employment, investment and trade flows close to those in the datawhile at the sametimeproviding positive international comovements.

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