http://www.bis.org/cbhub/list/author/author_2215/index.rss Research hub papers by author Thomas A. Lubik en http://richmondfed.org/publications/research/working_papers/2012/pdf/wp12-02.pdf Richmond Fed Working Papers by Luca Benati, Thomas A. Lubik Sales, Inventories, and Real Interest Rates: A Century of Stylized Facts 2012-04-11T06:23:59Z We use Bayesian time-varying parameters structural VARs with stochastic volatility to investigate changes in both the reduced-form and the structural correlations between business inventories and either sales growth or the real interest rate in the United States during both the interwar and the post-WWII periods. We identify four structural shocks by combining a single long-run restriction to identify a permanent output shock as in Blanchard and Quah (1989), with three sign restrictions to identify demand- and supply-side transitory shocks. We produce several new stylized facts which should inform the development of new models of inventories. In particular, we show that (i) during both the interwar and the post-WWII periods, the structural correlation between inventories and the real interest rate conditional on identified interest rate shocks is systematically positive; (ii) the reduced-form correlation between the two series is positive during the post-WWII period, but in line with the predictions of theory it is robustly negative during the interwar era; and (iii) during the interwar era, the correlations between inventories and either of the two other series exhibits a remarkably strong co-movement with output at the business-cycle frequencies. Sales, Inventories, and Real Interest Rates: A Century of Stylized Facts 2012-04-11T06:23:59Z Abstract http://richmondfed.org/publications/research/working_papers/2012/wp_12-02.cfm Full text http://richmondfed.org/publications/research/working_papers/2012/pdf/wp12-02.pdf Luca Benati Thomas A. Lubik Luca Benati, Thomas A. Lubik 2012-04 Richmond Fed Working Papers C11 C32 E32 http://richmondfed.org/publications/research/working_papers/2011/pdf/wp11-08.pdf Richmond Fed Working Papers by Thomas A. Lubik, Wing Leong Teo Deep Habits in the New Keynesian Phillips Curve 2011-12-01T06:25:59Z We derive and estimate a New Keynesian Phillips curve (NKPC) in a model where consumers are assumed to have deep habits. Habits are deep in the sense that they apply to individual consumption goods instead of aggregate consumption. This alters the NKPC in a fundamental manner as it introduces expected and contemporaneous consumption growth as well as the expected marginal value of future demand as additional driving forces for inflation dynamics. We construct the driving process in the deep habits NKPC by using the model's optimality conditions to impute time series for unobservable variables. The resulting series is considerably more volatile than unit labor cost. General Methods of Moments (GMM) estimation of the NKPC shows an improved fit and a much lower degree of indexation than in the standard NKPC. Our analysis also reveals that the crucial parameters for the performance of the deep habit NKPC are the habit parameter and the substitution elasticity between differentiated products. The results are broadly robust to alternative specifications. Deep Habits in the New Keynesian Phillips Curve 2011-12-01T06:25:59Z Abstract http://richmondfed.org/publications/research/working_papers/2011/wp_11-08.cfm Full text http://richmondfed.org/publications/research/working_papers/2011/pdf/wp11-08.pdf Wing Leong Teo Thomas A. Lubik Thomas A. Lubik, Wing Leong Teo 2011-11 Richmond Fed Working Papers http://richmondfed.org/publications/research/working_papers/2011/pdf/wp11-02.pdf Richmond Fed Working Papers by Thomas A. Lubik Aggregate Labor Market Dynamics in Hong Kong 2011-05-06T06:23:59Z I specify a simple search and matching model of the labor market and estimate it on unemployment and vacancy data for Hong Kong over the period 2000-2010 using Bayesian methods. The model fits the data remarkably well. The estimation shows that the main driver of fluctuations in the labor market are productivity shocks, with cyclical movements in the separation rate playing only a subordinate role. The parameter estimates are broadly consistent with those found in the literature. In order to replicate the volatility of unemployment and vacancies the model estimates require a high replacement ratio and a low bargaining power for workers in addition to two extraneous sources of uncertainty. The estimates are robust to a relaxation of the prior information and small changes in the underlying model specification, which suggests that the data are informative and that the model is well specified. Overall, the Hong Kong labor market can be characterised by having a low degree of churning in normal times, but rapid firings and hirings in recessions and expansions. Aggregate Labor Market Dynamics in Hong Kong 2011-05-06T06:23:59Z Abstract http://richmondfed.org/publications/research/working_papers/2011/wp_11-02.cfm Full text http://richmondfed.org/publications/research/working_papers/2011/pdf/wp11-02.pdf Thomas A. Lubik Thomas A. Lubik 2011-05 Richmond Fed Working Papers http://www.bundesbank.de/download/volkswirtschaft/dkp/2010/201025dkp.pdf Deutsche Bundesbank Discussion Papers by Michael Krause, Thomas Lubik Instability and indeterminacy in a simple search and matching model 2011-01-10T12:39:00Z Instability and indeterminacy in a simple search and matching model 2011-01-10T12:39:00Z Full text http://www.bundesbank.de/download/volkswirtschaft/dkp/2010/201025dkp.pdf Michael Krause Thomas A. Lubik Michael Krause, Thomas Lubik 2010-12-30 Deutsche Bundesbank Discussion Papers http://richmondfed.org/publications/research/working_papers/2010/pdf/wp10-12.pdf Richmond Fed Working Papers by Michael U. Krause, Thomas A. Lubik On-the-Job Search and the Cyclical Dynamics of the Labor Market 2010-06-22T06:31:00Z We develop a business cycle model with search and matching frictions in the labor market and show that on-the-job search generates substantial amplification and propagation. Rising search by employed workers in an expansion amplifies the incentives of firms to post vacancies. By keeping job creation costs low for firms, on-the-job search amplifies exogenous shocks. In our calibration, this allows the model to generate fluctuations of unemployment, vacancies, and job-to-job transitions whose magnitudes are close to the data, and leads output to be highly autocorrelated. On-the-job search implies higher-order serial correlation that is absent from the standard search and matching model. On-the-Job Search and the Cyclical Dynamics of the Labor Market 2010-06-22T06:31:00Z Abstract http://richmondfed.org/publications/research/working_papers/2010/wp_10-12.cfm Full text http://richmondfed.org/publications/research/working_papers/2010/pdf/wp10-12.pdf Thomas A. Lubik Michael U. Krause Michael U. Krause, Thomas A. Lubik 2010-06 Richmond Fed Working Papers E24 E32 J64 http://richmondfed.org/publications/research/working_papers/2010/wp_10-01.cfm Richmond Fed Working Papers by Inventories, Inflation Dynamics, and the New Keynesian Phillips Curve Inventories, Inflation Dynamics, and the New Keynesian Phillips Curve 2010-02-10T17:40:59Z Inventories, Inflation Dynamics, and the New Keynesian Phillips Curve 2010-02-10T17:40:59Z Abstract http://richmondfed.org/publications/research/working_papers/2010/wp_10-01.cfm Thomas A. Lubik Wing Leong Teo Inventories, Inflation Dynamics, and the New Keynesian Phillips Curve 2010-02 Richmond Fed Working Papers http://richmondfed.org/publications/research/working_papers/2008/pdf/wp08-1.pdf Richmond Fed Working Papers by Michael U. Krause, David Lopez-Salido, Thomas A. Lubik Inflation Dynamics with Search Frictions: A Structural Econometric Analysis 2008-04-02T19:26:00Z The New Keynesian Phillips curve explains inflation dynamics as being driven by current and expected future real marginal costs. In competitive labor markets, the labor share can serve as a proxy for the latter. In this paper, we study the role of real marginal cost components implied by search frictions in the labor market. We construct a measure of real marginal costs by using newly available labor market data on worker finding rates. Over the business cycle, the measure is highly correlated with the labor share. Estimates of the Phillips curve using GMM reveal that the marginal cost measure remains significant, and that inflation dynamics are mainly driven by the forward-looking component. Bayesian estimation of the full new Keynesian model with search frictions helps us disentangle which shocks are driving the economy to generate the observed unit labor cost dynamics. We find that mark-up shocks are the dominant force in labor market fluctuations. Inflation Dynamics with Search Frictions: A Structural Econometric Analysis 2008-04-02T19:26:00Z Abstract http://richmondfed.org/publications/research/working_papers/2008/wp_08-1.cfm Full text http://richmondfed.org/publications/research/working_papers/2008/pdf/wp08-1.pdf Thomas A. Lubik Michael U. Krause J. David López-Salido Michael U. Krause, David Lopez-Salido, Thomas A. Lubik 2008-04 Richmond Fed Working Papers http://217.110.182.54/download/volkswirtschaft/dkp/2007/200717dkp.pdf Deutsche Bundesbank Discussion Papers by Michael Krause, Thomas Lubik Does intra-firm bargaining matter for business cycle dynamics? 2007-08-06T18:05:00Z Does intra-firm bargaining matter for business cycle dynamics? 2007-08-06T18:05:00Z Full text http://217.110.182.54/download/volkswirtschaft/dkp/2007/200717dkp.pdf Michael Krause Thomas A. Lubik Michael Krause, Thomas Lubik 2007-08-06 Deutsche Bundesbank Discussion Papers E24 E32 J64 http://www.ecb.int/pub/pdf/scpwps/ecbwp779.pdf European Central Bank Working papers by Michael U. Krause and Thomas A. Lubik On-the-job search and the cyclical dynamics of the labor market 2007-07-27T17:58:00Z On-the-job search and the cyclical dynamics of the labor market 2007-07-27T17:58:00Z ECB Full text http://www.ecb.int/pub/pdf/scpwps/ecbwp779.pdf Thomas A. Lubik Michael U. Krause Michael U. Krause and Thomas A. Lubik 2007-07 European Central Bank Working papers E24 E32 J64 http://217.110.182.54/download/volkswirtschaft/dkp/2007/200715dkp.pdf Deutsche Bundesbank Discussion Papers by Michael Krause, Thomas Lubik On-the-job search and the cyclical dynamics of the labor market 2007-07-27T17:56:59Z On-the-job search and the cyclical dynamics of the labor market 2007-07-27T17:56:59Z Full text http://217.110.182.54/download/volkswirtschaft/dkp/2007/200715dkp.pdf Michael Krause Thomas A. Lubik Michael Krause, Thomas Lubik 2007-07-27 Deutsche Bundesbank Discussion Papers E24 E32 J64 http://richmondfed.org/publications/research/working_papers/2006/pdf/wp06-5.pdf Richmond Fed Working Papers by Thomas A. Lubik, Paolo Surico The Lucas Critique and the Stability of Empirical Models 2006-08-08T17:32:59Z Empirical evidence suggests that movements in international relative prices (such as the real exchange rate) are large and persistent. Nontraded goods, both in the form of final consumption goods and as an input into the production of final tradable goods, are an important aspect behind international relative price movements. In this paper we show that nontraded goods have important implications for exchange rate behavior, even though fluctuations in the relative price of nontraded goods account for a relatively small fraction of real exchange rate movements. In our quantitative study nontraded goods magnify the volatility of exchange rates when compared to the model without nontraded goods. Cross-country correlations and the correlation of exchange rates with other macro variables are closer in line with the data. In addition, contrary to a large literature,standard alternative assumptions about the currency in which firms price their goods are virtually inconsequential for the properties of aggregate variables in our model, other than the terms of trade. The Lucas Critique and the Stability of Empirical Models 2006-08-08T17:32:59Z Abstract http://richmondfed.org/publications/research/working_papers/2006/wp_06-5.cfm Full text http://richmondfed.org/publications/research/working_papers/2006/pdf/wp06-5.pdf Paolo Surico Thomas A. Lubik Thomas A. Lubik, Paolo Surico 2006-07 Richmond Fed Working Papers http://www.rbNZ.govt.nz/research/discusspapers/dp05_06.pdf Reserve Bank of New Zealand Discussion Papers by Thomas A Lubik A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism 2005-12-21T07:08:00Z A Simple, Structural, and Empirical Model of the Antipodean Transmission Mechanism 2005-12-21T07:08:00Z Abstract http://www.rbNZ.govt.nz/research/discusspapers/dp2005.html#P24_1284 Full text http://www.rbNZ.govt.nz/research/discusspapers/dp05_06.pdf Thomas A. Lubik Thomas A Lubik 2005-12 Reserve Bank of New Zealand Discussion Papers C11 C51 C52 E58