Central bank research hub - Papers by Susanto Basu
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Research hub papers by author Susanto BasuenUncertainty Shocks in a Model of Effective Demand
http://www.kansascityfed.org/publicat/reswkpap/pdf/rwp14-15.pdf
Kansas City Fed Working Papers by Susanto Basu and Brent BundickUncertainty Shocks in a Model of Effective Demand2014-11-26T17:34:00ZCan increased uncertainty about the future cause a contraction in output and its components? This paper examines the role of uncertainty shocks in a one-sector, representative-agent, dynamic, stochastic general-equilibrium model. When prices are exible, uncertainty shocks are not capable of producing business-cycle comovements among key macroeconomic variables. With countercyclical markups through sticky prices, however, uncertainty shocks can generate fluctuations that are consistent with business cycles. Monetary policy usually plays a key role in offsetting the negative impact of uncertainty shocks. If the central bank is constrained by the zero lower bound, then monetary policy can no longer perform its usual stabilizing function and higher uncertainty has even more negative effects on the economy. We calibrate the size of uncertainty shocks using fluctuations in the VIX and find that increased uncertainty about the future may indeed have played a significant role in worsening the Great Recession, which is consistent with statements by policymakers, economists, and the financial press.Uncertainty Shocks in a Model of Effective DemandFull texthttp://www.kansascityfed.org/publicat/reswkpap/pdf/rwp14-15.pdfBrent BundickSusanto BasuSusanto Basu and Brent Bundick2014-11Federal Reserve Bank of Kansas City Research Working PapersE32E52Uncertainty Shocks in a Model of Effective Demand
http://www.bos.frb.org/economic/wp/wp2012/wp1215.pdf
Boston Fed Working papers by Susanto Basu and Brent BundickUncertainty Shocks in a Model of Effective Demand2012-12-21T06:23:00ZThis paper examines the role of uncertainty shocks in a one-sector, representative-agent dynamic stochastic general equilibrium model. When prices are flexible, uncertainty shocks are not capable of producing business cycle comovements among key macro variables. With countercyclical markups through sticky prices, however, uncertainty shocks can generate fluctuations that are consistent with business cycles. Monetary policy usually plays a key role in offsetting the negative impact of uncertainty shocks. If the central bank is constrained by the zero lower bound, then monetary policy can no longer perform its usual stabilizing function and higher uncertainty has even more negative effects on the economy. Calibrating the size of uncertainty shocks using fluctuations in the VIX, the authors find that increased uncertainty about the future may indeed have played a significant role in worsening the Great Recession, which is consistent with statements by policymakers, economists, and the financial press.Uncertainty Shocks in a Model of Effective DemandAbstracthttp://www.bos.frb.org/economic/wp/wp2012/wp1215.htmFull texthttp://www.bos.frb.org/economic/wp/wp2012/wp1215.pdfBrent BundickSusanto BasuSusanto Basu and Brent Bundick2000-12Federal Reserve Bank of Boston Working PapersSome Evidence on the Importance of Sticky Wages
http://www.bos.frb.org/economic/wp/wp2010/wp1011.pdf
Boston Fed Working papers by Alessandro Barattieri, Susanto Basu, and Peter GottschalkSome Evidence on the Importance of Sticky Wages2010-12-03T17:40:00ZNominal wage stickiness is an important component of recent medium-scale macroeconomic models, but to date there has been little microeconomic evidence supporting the assumption of sluggish nominal wage adjustment. We present evidence on the frequency of nominal wage adjustment using data from the Survey of Income and Program Participation (SIPP) for the period 1996¿1999. The SIPP provides high-frequency information on wages, employment, and demographic characteristics for a large and representative sample of the U.S. population. The main results of the analysis are as follows: (1) After correcting for measurement error, wages appear to be very sticky. In the average quarter, the probability that an individual will experience a nominal wage change is between 5 and 18 percent, depending on the samples and assumptions used. (2) The frequency of wage adjustment does not display significant seasonal patterns. (3) There is little heterogeneity in the frequency of wage adjustment across industries and occupations. (4) The hazard of a nominal wage change first increases and then decreases, with a peak at 12 months. (5) The probability of a wage change is positively correlated with the unemployment rate and with the consumer price inflation rate.Some Evidence on the Importance of Sticky WagesAbstracthttp://www.bos.frb.org/economic/wp/wp2010/wp1011.htmFull texthttp://www.bos.frb.org/economic/wp/wp2010/wp1011.pdfPeter GottschalkAlessandro BarattieriSusanto BasuAlessandro Barattieri, Susanto Basu, and Peter Gottschalk2010-12Federal Reserve Bank of Boston Working PapersProductivity, Welfare, and Reallocation: Theory and Firm-Level Evidence
http://www.bos.frb.org/economic/wp/wp2009/wp0919.pdf
Boston Fed Working papers by Susanto Basu, Luigi Pascali, Fabio Schiantarelli, and Luis ServenProductivity, Welfare, and Reallocation: Theory and Firm-Level Evidence2009-12-28T17:42:00ZWe prove that the change in welfare of a representative consumer is summarized by the current and expected future values of the standard Solow productivity residual. The equivalence holds if the representative household maximizes utility while taking prices parametrically. This result justifies total factor productivity (TFP) as the right summary measure of welfare (even in situations where it does not properly measure technology) and makes it possible to calculate the contributions of disaggregated units (industries or firms) to aggregate welfare using readily available TFP data. Based on this finding, we compute firm and industry contributions to welfare for a set of European OECD countries (Belgium, France, Great Britain, Italy, and Spain), using industry-level (EU-KLEMS) and firm-level (Amadeus) data. After adding further assumptions about technology and market structure (firms minimize costs and face common factor prices), we show that changes in welfare can be decomposed into three components that reflect, respectively, technological change, aggregate distortions, and allocative efficiency. Then, using appropriate firm-level data, we assess the importance of each of these components as sources of welfare improvement in the same set of European countries.Productivity, Welfare, and Reallocation: Theory and Firm-Level EvidenceAbstracthttp://www.bos.frb.org/economic/wp/wp2009/wp0919.htmFull texthttp://www.bos.frb.org/economic/wp/wp2009/wp0919.pdfLuigi PascaliFabio SchiantarelliSusanto BasuLuis ServénSusanto Basu, Luigi Pascali, Fabio Schiantarelli, and Luis Serven2009-12Federal Reserve Bank of Boston Working PapersThe Value of Risk: Measuring the Service Output of U.S. Commercial Banks
http://www.bos.frb.org/economic/econbios/wang.htm
Boston Fed Working papers by Susanto Basu, Robert Inklaar, and J. Christina WangThe Value of Risk: Measuring the Service Output of U.S. Commercial Banks2008-06-29T16:30:00ZRather than charging direct fees, banks often charge implicitly for their services via interest spreads. As a result, much of bank output has to be estimated indirectly. In contrast to current statistical practice, dynamic optimizing models of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find that between 1997 and 2007, in the U.S. National Accounts, on average, bank output is overestimated by 21 percent and GDP is overestimated by 0.3 percent. Moreover, compared with current methods, our new estimates imply more plausible estimates of the share of capital in income and the return on fixed capital.The Value of Risk: Measuring the Service Output of U.S. Commercial BanksAbstracthttp://www.bos.frb.org/economic/wp/wp2008/wp0804.htmFull texthttp://www.bos.frb.org/economic/econbios/wang.htmRobert InklaarJ. Christina WangSusanto BasuSusanto Basu, Robert Inklaar, and J. Christina Wang2008-06Federal Reserve Bank of Boston Working PapersA General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output
http://www.bos.frb.org/economic/wp/wp2004/wp047.pdf
Boston Fed Working papers by J. Christina Wang, Susanto Basu, and John G. FernaldA General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output2004-12-30T07:10:59ZA General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank OutputAbstracthttp://www.bos.frb.org/economic/wp/wp2004/wp047.htmFull texthttp://www.bos.frb.org/economic/wp/wp2004/wp047.pdfJohn G. FernaldJ. Christina WangSusanto BasuJ. Christina Wang, Susanto Basu, and John G. Fernald2004-12Federal Reserve Bank of Boston Working PapersE01E44G2G21Are Technology Improvements Contractionary?
http://www.chicagofed.org/publications/workingpapers/wp2004_20.pdf
Chicago Fed Working papers by Susanto Basu, John Fernald, Miles KimballAre Technology Improvements Contractionary?2004-12-01T12:00:00ZAre Technology Improvements Contractionary?Abstracthttp://www.chicagofed.org/economic_research_and_data/wp_abstract.cfm?pubsID=672Full texthttp://www.chicagofed.org/publications/workingpapers/wp2004_20.pdfMiles KimballSusanto BasuJohn G. FernaldSusanto Basu, John Fernald, Miles Kimball2004-11Federal Reserve Bank of Chicago Working PapersThe Case of the Missing Productivity Growth
http://www.chicagofed.org/publications/workingpapers/papers/wp2003-08.pdf
Chicago Fed Working papers by Susanto Basu , John Fernald , Nicholas Oulton , Sylaja SrinivasanThe Case of the Missing Productivity Growth2004-04-01T17:50:00ZThe Case of the Missing Productivity GrowthAbstracthttp://www.chicagofed.org/economic_research_and_data/wp_abstract.cfm?pubsID=194Full texthttp://www.chicagofed.org/publications/workingpapers/papers/wp2003-08.pdfNicholas OultonSylaja SrinivasanSusanto BasuJohn G. FernaldSusanto Basu , John Fernald , Nicholas Oulton , Sylaja Srinivasan2003-04Federal Reserve Bank of Chicago Working Papers