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Appendix for Financial Frictions and Fluctuations in Volatility

Author

Listed:
  • Cristina Arellano
  • Yan Bai
  • Patrick J. Kehoe

Abstract

This appendix contains five sections. Section 1 provides details for the comparative statics exercise performed in the simple example. Section 2 discusses extending the model to allow firms to default on the wages for managers. Section 3 describes the firm-level and aggregate data. Section 4 contains the details of the computational algorithm. Finally, Section 5 reports the results for our model with a lower labor elasticity.

Suggested Citation

  • Cristina Arellano & Yan Bai & Patrick J. Kehoe, 2017. "Appendix for Financial Frictions and Fluctuations in Volatility," Staff Report 538, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:538
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    More about this item

    Keywords

    Uncertainty shocks; Firm heterogeneity; Labor wedge; Credit constraints; Great Recession; Credit crunch;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production

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