This paper presents an integrated approach to wage and employment determination combining microeconomic evidence with macroeconomic theory. More specifically, we first develop an efficiency wage model with labor turnover and show that the worker’s decision problem gives rise to a quit-rate function. We then use microeconomic data to estimate this quit-rate function and to test the specification...

in this study, we assess the impact of oil price changes on the macroeconomic variables of some oil importers in oecd countries, including usa, italian, france and japan during the period 1960-2002. the results for different countries imply asymmetric impact of oil price changes on gdp growth rates; moreover, the results show that monetary shocks are an important and noticeable factor explainin...

We analyse the impact of news on five financial markets in the Czech Republic, Hungary and Poland using a newly constructed data set in a GARCH framework. Macroeconomic shocks (on GDP, inflation rate, current account and trade balance) are constructed as deviations from expected values. EMU-related political and fiscal news is captured as news dummies. Macroeconomic shocks significantly affect ...

This paper uses a panel structural vector autoregressive (VAR) model to investigate the extent to which global financial conditions, i.e., a global risk-free interest rate and global financial risk, and country spreads contribute to macroeconomic fluctuations in emerging countries. The main findings are: (1) Global financial risk shocks explain about 20 percent of movements both in the country ...

This paper evaluates the effects of high-frequency uncertainty shocks on a set of lowfrequency macroeconomic variables representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most t...

The credit market continues to be the main mechanism for financing investments in developing countries, particularly in Morocco. In this sense, monetary and macro-prudential policies require the inclusion of this market in macroeconomic analysis. In this article, we use the model proposed by Bernanke et al. (1999) "BGG" in the case of Morocco to answer two main questions: is there a mechanism f...

The effect of wealth on consumption is an issue of longstanding interest to economists. Analysts believe that fluctuations in household wealth have driven major swings in economic activity. This paper considers so-called wealth effects—the impact of changes in wealth on household consumption and the overall macroeconomy. There is an extensive existing literature on wealth effects, but there are...

We build a simple model of banking in the presence of macroeconomic shocks where the comparative roles of private and public monitors can be analyzed. This model provides endogenous justifications for prudential regulation (capital requirements) and emergency liquidity assistance by the Central Bank (lender of last resort). We show that market discipline can be helpful, but does not solve the f...

In this paper we study identification in dynamic factor models and argue that factor models are better suited than VARs to provide a structural representation of the macroeconomy. Factor models distinguish measurement errors and other idiosyncratic disturbances from structural macroeconomic shocks. As a consequence, the number of structural shocks is no longer equal to the number of variables i...