Roman Sustek
University of
Southampton
Position: Lecturer
(Assistant Professor), Economics, University of Southampton
Specialisation: Macroeconomics, monetary
economics, financial economics
Research: Business cycles,
housing and mortgages, yield curve and monetary policy
Research Teaching Recessions (US, UK) CV Links Contact Picture
Research
Publications
·
Sustek, R., Plant-level Nonconvex Output Adjustment and Aggregate
Fluctuations, Journal of Monetary
Economics 58:4, 2011.
·
Sustek, R., Monetary
Business Cycle Accounting, Review of Economic
Dynamics 14:4, October 2011. (older WP version here)
·
Sustek, R., Monetary Aggregates and the Business Cycle, Journal
of Monetary Economics 54:4, May
2010. (older WP version here)
·
Henriksen, E., Kydland, F. E., and Sustek, R., Globally
Correlated Nominal Fluctuations, Journal of Monetary Economics (forthcoming).
(older version available as NBER Working Paper 15213 here)
Working papers
- Housing Dynamics over the Business Cycle New version (coauthors: Finn Kydland and
Peter Rupert; Under review). An older version available as NBER Working
Paper 18432 here. Slides are available here.
Current
projects
- Mortgages and Monetary Policy (coauthors: Carlos
Garriga and Finn Kydland)
- Labour Market Distortions in UK Economic
Downturns: The Sick Economy of the 1990s (coauthor: John Gathergood)
- Exact and Approximate Mortgages: A Comparison
(coauthors: Peter Rupert and Vincent Sterk)
- Cyclical Volatility and Inflation Dynamics
(coauthors: Espen Henriksen and Stanley Zin) slides
- Risk and Return on Housing Investment
(coauthors: Christopher Otrok and B. Ravikumar)
Research Teaching Recessions CV Links Contact Picture
Teaching (2012/13)
·
Introductory Lab Sessions for Macro I (MSc/PhD)
o
Syllabus
·
ECON6023 Macroeconomics I
(MSc/PhD)
o
Syllabus
o
Homework 1 Homework 2
(Fortran code,
exe file) Homework 3 Homework 4
(Iacoviello and
Pavan 2011)
·
ECON3010 Topics in Macroeconomics III (3rd yr UG)
o
Syllabus
Research Teaching Recessions CV Links Contact Picture
Recessions –
data and wedges
|
The charts below provide a useful way (I think) of looking at the data and organising our thinking about the sources behind the movements in the data. They also put the current recession in a historical perspective and allow easy cross-country comparisons. Some may find the data charts alone useful. Others, familiar with BCA, may find the wedges charts helpful for thinking about the data. |
United States (up to 2012.Q3) ---
charts in PDF and JPEG formats
US per capita real GDP, 1959.Q1-2013.Q3
(PDF, JPEG)
|
Recessions |
Quantities |
Inflation and interest rates |
Real wedges |
Nominal wedges |
|
1960 |
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|
1969 |
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|
1973 |
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|
1980 |
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|
1990 |
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|
2001 |
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|
2008 |
Notes Data description All NIPA data reflect the 2009 comprehensive revision. NIPA quantities are deflated with the GDP deflator. All
quantities are in per capita terms
(divided by population 16+). The per-capita data for real GDP,
consumption, investment, and the sum of government consumption and net
exports are expressed as percentage
deviations from a linear trend of 1.6% per annum. The deviations are
normalised to be equal to zero one quarter before the start of each
recession. Hours are expressed as percentage deviations from a
post-WWII mean, normalised to be equal to zero one quarter before the start
of each recession. Inflation and interest rates are expressed at
annual rates, normalised to be equal to zero one quarter before the start of
each recession. A start of a recession is taken as the quarter in which the
recession starts according to the NBER
recession dates. In line with the organisation of
the data in modern business cycle theory, expenditures on consumer durable
goods and government investment are included as a part of investment.
No attempt is made to impute, and include as a part of output, service flows
from the stocks of durable goods and government capital. Hours are
average weekly hours times all employees in non-farm business sector. The inflation
rate is for the GDP deflator. The interest rate is the yield on
3-month T-bills. All data are quarterly and, with
the exception of the interest rate, are seasonally adjusted. Data sources are FRED and BEA. Wedges For details on real
and nominal wedges see this paper.
Real wedges have been originally developed in this paper.
Broadly speaking,
the efficiency wedge is the Solow residual, the labour wedge measures an
implicit tax on labour, investment wedge measures an implicit tax on
investment, government wedge is a residual in the economy’s aggregate
constraint not accounted for by consumption and investment (thus it is the
sum of government consumption and NX), asset market wedge is an implicit tax
on holding short-term risk-free bonds, and mon. policy wedge is a Taylor rule
residual. (Note: the monetary policy wedge has been scaled up to be well
visible on the chart.) Efficiency and government consumption wedges are expressed as
percentage deviations from trend; labour, investment, asset market, and
monetary policy wedges are expressed as percentage point deviations from
a mean. All wedges are normalised to be equal to zero one quarter before the
start of each recession. |
United Kingdom (up to 2012.Q3) ---
charts in PDF and JPEG formats
UK per capita real GDP, 1975.Q1-2012.Q3
(PDF, JPEG)
|
Recessions |
Quantities |
Inflation and interest rates |
Real wedges |
Nominal wedges |
|
1980 |
||||
|
1990 |
||||
|
2008 |
|
Notes Data description All National Accounts data reflect the October 2011
comprehensive revision. National Accounts quantities are deflated with the GDP
deflator. All quantities are in per capita terms
(divided by population 16+). The per-capita data for real GDP,
consumption, investment, and the sum of government consumption and net
exports are expressed as percentage
deviations from a linear trend of 1.9% per annum. The deviations are
normalised to be equal to zero one quarter before the start of each
recession. Hours are expressed as percentage deviations from a mean,
normalised to be equal to zero one quarter before the start of each recession.
Inflation and interest rates are expressed at annual rates, normalised to
be equal to zero one quarter before the start of each recession. A start of a
recession is taken as the quarter of a first decline in real per-capita GDP.
This gives the following dates: 1980.Q1, 1990.Q3, and 2008.Q1. The recessions
are shown in the above chart for real per capita GDP. In
line with the organisation of the data in modern business cycle theory,
expenditures on consumer durable goods and government investment are included
as a part of investment. No attempt is made to impute, and include as
a part of output, service flows from the stocks of durable goods and
government capital. Hours are for
total actual weekly hours worked. The inflation rate is for the GDP
deflator. The interest rate is the yield on 3-month T-bills. All data are quarterly and, with
the exception of the interest rate, are seasonally adjusted. Data sources are ONS and Bank of England. Wedges See
the US notes above. |
Research Teaching Recessions CV Links Contact Picture
Links
Conjuncture
·
Cooley-Rupert US
Economic Snapshot
·
Cooley-Rupert
European Economic Snapshot
Macro Blogs
·
Stephen
Williamson: New Monetarist Economics
·
John Cochrane’s
Grumpy Economist
Housing markets
·
European Mortgage Federation
(Europe)
·
Council of
Mortgage Lenders (UK)
·
Federal Housing
Finance Agency (US)
·
International
Union of Housing Finance (International)
·
Building.co.uk
(UK)
·
National
Association of Real Estate Investment Trusts (US)
·
National Association of Realtors
(US)
·
Multifamily Housing
News (US)
·
Mortgage Bankers
Association (US)
Colleagues from Soton Macro Group
Research Teaching Recessions CV Links Contact Picture
Contact
Social Sciences, Economics Phone: +44 (0) 23 8059 3265
University of Southampton Email: rs1y10@soton.ac.uk
Murray Building (Bld. 58)
Southampton,
SO17 1BJ
United Kingdom
Research Teaching Recessions CV Links Contact Picture
Picture
With Eric Young and Espen
Henriksen at LAEF in Santa Barbara.
Research Teaching Recessions CV Links Contact Picture