Anastasiia Antonova

Membre associée , Faculté d'économie et de gestion (FEG) , Bank of Canada

Antonova
Thèse
2025, Aix-Marseille Université
Téléchargement
CV
Contact
anastasiia.antonova[at]univ-amu.fr
Site
https://sites.google.com/view/anastasiia-antonova/
Résumé Firm entry and capital investment both vary over the business cycle. This paper analyzes the role of the firm entry delay option (waiting option) in the joint dynamics of firm entry and investment in a news-driven RBC model. We introduce the waiting option by restricting the number of potential firm entrants and demonstrate that the combination of news shocks and the waiting option effect yields empirically plausible joint dynamics of firm entry and investment over the business cycle. In contrast, the model without the entry delay option produces excessively volatile firm entry. We rationalize our findings using an analytical real-option model of firm entry.
Mots clés Entry delay option, Firm entry, News shocks, Real business cycle
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Résumé Recessions are often accompanied by heightened uncertainty. We look at the effect of endogenous uncertainty on aggregate demand and its implications for monetary policy. We enrich a non-linear New-Keynesian model with imperfect noisy information, where the precision of signals is pro-cyclical. The endogenous uncertainty channel amplifies aggregate demand effects through precautionary saving. Ultimately, it can even reverse sign of the output-gap response to a supply shock. Monetary policy can eliminate both pricing and information-induced inefficiencies by closing the output gap. Based on U.S. household income forecast errors data, we estimate a sizable and significant degree of pro-cyclicality in the precision of signals.
Mots clés Precautionary saving, Aggregate demand, Imperfect information, Endogenous uncertainty
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Résumé Endogenous uncertainty acts as an aggregate-demand amplification mechanism of supply shocks. Using U.S. data, we first stress that taking into account time-varying macroeconomic uncertainty leads to a significantly stronger recession and less inflationary pressures, in response to a TFP shock. In addition, we show empirically that households' misperception increases during recessions. To rationalize these findings, we build a noisy-information New-Keynesian model where the precision of signals increases with economic activity. Pro-cyclical precision of information gives rise to an amplified precautionary saving behavior. A fullfledged model parametrized by using consumer-based forecast errors generates a demandlike recession of supply shock.
Mots clés Uncertainty, Imperfect information, Keynesian supply shocks
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