Three essays on business cycles

In the first chapter, I study a model in which intangible capital accumulation is the driving force of medium-term business cycle. The study is motivated by recent empirical research inspired by the IT revolution, which has argued that intangible capital is an important missing piece in the economic analysis of asset prices and business cycles. I introduce intangible capital in an otherwise standard real business cycle model with recursive utility, and show that the model's performance in matching data substantially improves. Specifically, the model is consistent with (i) business cycle facts on the volatility of output, consumption, investment, labor hours, and intangible spending as well as their co-movement with output at both high- and medium- frequencies, (ii) asset market facts on a high equity premium and a low and stable risk-free rate, and (iii) the joint dynamics of output and asset prices, namely, aggregate firm value leading the business cycle.;In the second chapter, I investigate a possible cause of the so-called "great moderation," a substantial decline in the volatility of output and inflation from the mid-1980s to the mid-2000s observed in many developed countries. I show that monetary policy can be a factor behind the great moderation in a version of the sticky-information model where frequency of information updating is endogenously determined. In the framework, stable price environment induces price setters to update their price plans less frequently, which then loosens the monetary authority's trade-off between price stability and output stability.;In the third chapter, I conduct an empirical study of the so-called Japanese "lost decade," over a decade-long economic slump in the Japanese economy since early 1990s. I investigate the effect of Japanese monetary policy when short-term nominal interest rates were virtually zero. A structural break in the mid-90s was an issue in previous empirical work, but the sample period of this paper, from March 1999 to October 2006, is free from it. The main finding is that monetary policy acting through the reserve balance control during the period had real effects on the economy.