We investigate the hypothesis that macroeconomic fluctuations are primitively the results of many microeconomic shocks. We define fundamental volatility as the volatility that would arise from an economy made entirely of idiosyncratic sectoral or firm-level shocks. Fundamental volatility accounts for the swings in macroeconomic volatility in the major world economies in the past half-century. I...

Asset pricing theory has long recognized that financial markets compensate investors who are exposed to some components of uncertainty. This is where macroeconomics comes into play. The economy-wide shocks, the primary concern of macroeconomists, by their nature are not diversifiable. Exposures to these shocks cannot be averaged out with exposures to other shocks. Thus, returns on assets that d...

We explore the link between wealth inequality and macroeconomic volatility in a two-sector neoclassical growth model with heterogeneous agents. The model has a unique aggregate steady state which is independent of the level of inequality. However, whenever preferences do not exhibit hyperbolic absolute risk aversion, wealth heterogeneity may affect the volatility of output. In particular, we sh...

In this chapter we consider the effects of exogenous energy shocks on an agentbased macroeconomic system and study the out-of-equilibrium dynamics. We introduce automatic stabilizers that allow the artificial economy to absorbe the shocks. Two types of macroeconomic stabilization policies are implemented: a consumer subsidy scheme that compensates households for their loss in purchasing power, ...

The estimation of the impact of macroeconomic announcements on the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 to January 2011, we find that external macroeconomic announcements dominate price changes in the Foreign Exchange and Ibovespa markets, while the impact of the domestic ones is ...

This paper investigates the link between the optimal level of nonfinancial firms’ leverage and macroeconomic uncertainty. We develop a structural model of a firm’s value maximization problem that predicts that as macroeconomic uncertainty increases the firm will decrease its optimal level of borrowing. We test this proposition using a panel of non–financial US firms drawn from the COMPUSTAT qua...

in this paper, we examine influence oil shocks on macroeconomic variables and dutch disease phenomena when these variables encountered positive oil revenue shocks. statistical model which is copula approach is used to show when iran's macroeconomic variables encountered positive oil revenue casus dutch disease and oil revenue has non-symmetric influence on the growth economic. in another w...

This paper investigates the impact of seventeen US macroeconomic announcements on two broad and representative commodity futures indices. Based on a large sample from 1989 to 2005 we show that the daily price response of the CRB and GSCI commodity futures indices to macroeconomic news is state-dependent. During recessions, positive (negative) news about inflation and real activity lead to posit...

Macroeconomic Performance and Collective Bargaining: An International Perspective This paper critically reviews the research on how collective bargaining systems influence macroeconomic performance in industrialized countries. The review considers effects of bargaining level, coordination, and corporatist institutional arrangements. Key empirical results turn out to be quite fragile, and much o...

An Analysis of Macroeconomic Impacts Produced by the Fixed Capital Investment in China Liu Baojun Tianjin University of Finance and Economics, Tianjin, 300222,China Abstract. In this paper we analyzed macroeconomic impacts produced by fixed capital investment in China, and proposed a model to analyze effect of structural change of fixed capital investment for macroeconomic impacts of fixed capi...