Nathan S. Balke | Southern Methodist University (original) (raw)
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Papers by Nathan S. Balke
Globalization Institute Working Paper No. 317r2, 2021
We examine the interaction of uncertainty and credit frictions in a New Keynesian framework. The ... more We examine the interaction of uncertainty and credit frictions in a New Keynesian framework. The model considers credit frictions arising from costly-state verification in the provision of loans to fund the acquisition of capital by entrepreneurs and includes three types of time-varying stochastic volatility shocks related to monetary policy uncertainty, financial risk (micro-uncertainty), and macro-uncertainty. Key parameters are estimated by the Simulated Method of Moments using U.S. data from 1984:Q1 until 2014:Q4. We find: 1. Micro-uncertainty has first-order effects that are significantly larger than the effects of macro-uncertainty and monetary policy uncertainty. 2. Poor credit conditions exacerbate the economic drag from micro-uncertainty shocks, amplify the effects of monetary policy shocks, and mitigate the impact of TFP shocks. 3. A degree of asymmetry and non-scalability appears in response to monetary policy shocks, dependent on the degree of nominal rigidities and init...
Economic and Financial Policy Review, Feb 1, 1993
Forthcoming Journal of International Economics, 2012
Economic and Financial Policy Review, 1996
The Energy Journal, Jun 1, 2002
... This paper uses a near vector autoregressive model of the US economy to examine where the asy... more ... This paper uses a near vector autoregressive model of the US economy to examine where the asymmetry might originate. ... 2. Check on the provider's web page whether it is in fact available. 3. Perform a search for a similarly titled item that would be available. Publisher Info. ...
Economic and Financial Policy Review, 1994
Oil price shocks are thought to have played a prominent role in U.S. economic activity. In this p... more Oil price shocks are thought to have played a prominent role in U.S. economic activity. In this paper, we employ Bayesian methods with a dynamic stochastic general equilibrium model of world economic activity to identify the various sources of oil price shocks and economic fluctuation and to assess their effects on U.S. economic activity. We find that changes in oil
In this paper, we show that the data have difficulty distinguishing a stock price decomposition i... more In this paper, we show that the data have difficulty distinguishing a stock price decomposition in which expectations of future real dividend growth is a primary determinant of stock price movements from one in which expectations of future excess returns are a primary determinant. The data cannot distinguish between these very different decompositions because movements in the price–dividend ratio are
Globalization Institute Working Paper No. 317r2, 2021
We examine the interaction of uncertainty and credit frictions in a New Keynesian framework. The ... more We examine the interaction of uncertainty and credit frictions in a New Keynesian framework. The model considers credit frictions arising from costly-state verification in the provision of loans to fund the acquisition of capital by entrepreneurs and includes three types of time-varying stochastic volatility shocks related to monetary policy uncertainty, financial risk (micro-uncertainty), and macro-uncertainty. Key parameters are estimated by the Simulated Method of Moments using U.S. data from 1984:Q1 until 2014:Q4. We find: 1. Micro-uncertainty has first-order effects that are significantly larger than the effects of macro-uncertainty and monetary policy uncertainty. 2. Poor credit conditions exacerbate the economic drag from micro-uncertainty shocks, amplify the effects of monetary policy shocks, and mitigate the impact of TFP shocks. 3. A degree of asymmetry and non-scalability appears in response to monetary policy shocks, dependent on the degree of nominal rigidities and init...
Economic and Financial Policy Review, Feb 1, 1993
Forthcoming Journal of International Economics, 2012
Economic and Financial Policy Review, 1996
The Energy Journal, Jun 1, 2002
... This paper uses a near vector autoregressive model of the US economy to examine where the asy... more ... This paper uses a near vector autoregressive model of the US economy to examine where the asymmetry might originate. ... 2. Check on the provider's web page whether it is in fact available. 3. Perform a search for a similarly titled item that would be available. Publisher Info. ...
Economic and Financial Policy Review, 1994
Oil price shocks are thought to have played a prominent role in U.S. economic activity. In this p... more Oil price shocks are thought to have played a prominent role in U.S. economic activity. In this paper, we employ Bayesian methods with a dynamic stochastic general equilibrium model of world economic activity to identify the various sources of oil price shocks and economic fluctuation and to assess their effects on U.S. economic activity. We find that changes in oil
In this paper, we show that the data have difficulty distinguishing a stock price decomposition i... more In this paper, we show that the data have difficulty distinguishing a stock price decomposition in which expectations of future real dividend growth is a primary determinant of stock price movements from one in which expectations of future excess returns are a primary determinant. The data cannot distinguish between these very different decompositions because movements in the price–dividend ratio are