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作者：Adam, Klaus; Kuang, Pei; Xie, Shihan
作者单位：University of London; University College London; Centre for Economic Policy Research - UK; University of Macau; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We observe a rich set of public information signals available to participants in the Survey of Professional Forecasters (SPF) and decompose individual forecast revisions into those due to public information and a remainder due to residual information. We find that SPF forecasters overreact to residual information at almost all forecast horizons and for almost all forecast variables. In addition, forecasts are overly anchored to prior beliefs for all variables at all forecast horizons. We show ...
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作者：Dong, Ding; Liu, Zheng; Wang, Pengfei
作者单位：Hong Kong Baptist University; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Firm-level evidence suggests that turbulence that reshuffles firms' productivity rankings rises sharply in recessions. An increase in turbulence reallocates labor and capital from high-to low-productivity firms, reducing aggregate TFP and the stock market value of firms. A real business cycle model with heterogeneous firms and financial frictions can generate the observed macroeconomic and reallocation effects of turbulence. In the model, increased turbulence makes high-productivity firms less...
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作者：Adam, Klaus; Pfaeuti, Oliver; Reinelt, Timo
作者单位：University of Mannheim; University of Texas System; University of Texas Austin; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：U.S. households' housing price expectations deviate systematically from full-information rational expectations: (i) expectations are updated on average too sluggishly, (ii) expectations initially underreact but subsequently overreact to housing price changes, and (iii) households are overly optimistic (pessimistic) about housing price growth when the price-to-rent ratio is high (low). We show that weak forms of housing price growth extrapolation allow to simultaneously replicate the behavior o...
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作者：Esquivel, Carlos
作者单位：Rutgers University System; Rutgers University New Brunswick
摘要：I study how, in the presence of default risk, the Dutch disease amplifies an inefficiency in the sectoral allocation of capital. In a sovereign default model with commodities and production of traded and non-traded goods, default incentives increase when more capital is allocated to non-traded production. Households do not internalize this, giving rise to an inefficiently large non-traded sector. Commodity windfalls amplify this inefficiency through the classic Dutch disease mechanism. I chara...
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作者：Bellofatto, Antonio Andres
作者单位：University of Queensland
摘要：This paper studies the role of wealth taxes in providing insurance against lifespan risk through the lens of a dynamic Mirrlees model with altruism. I derive novel formulas linking optimal taxes on savings and bequests to the degree of annuity market imperfections at the optimum. In the presence of positive correlation between productivity and life expectancy, optimal annuity markups are positive in expectation. This creates a motive not only for taxing savings but also for subsidizing bequest...
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作者：Boyarchenko, Nina; Crump, Richard K.; Kovner, Anna; Shachar, Or
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Centre for Economic Policy Research - UK; Leibniz Association; Ifo Institut; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We link bond market functioning to future economic activity through a new measure, the Corporate Bond Market Distress Index (CMDI). The CMDI coalesces metrics from primary and secondary markets in real time, offering a unified measure to capture access to debt capital markets. The index correctly identifies periods of distress and predicts future realizations of commonly-used measures of market functioning, while the converse is not the case. We show that disruptions in access to corporate bon...
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作者：Bacher, Annika; Gruebener, Philipp; Nord, Lukas
作者单位：BI Norwegian Business School; Washington University (WUSTL); University of Pennsylvania
摘要：This paper provides evidence that the added worker effect - labor force entry upon spousal job loss - is stronger for young than old households. Using a life cycle model of two-member households in a frictional labor market, we study whether this age-dependency is driven by heterogeneous needs for or availability of spousal insurance. Our framework endogenizes asset and human capital accumulation, as well as arrival rates of job offers, and is disciplined against U.S. micro data. Counterfactua...
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作者：Rebelo, Sergio; Santana, Miguel; Teles, Pedro
作者单位：Northwestern University; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Northwestern University; Bank of Canada; Banco de Portugal; Universidade Catolica Portuguesa; Universidade Catolica Portuguesa
摘要：We develop a model in which households make decisions using a dual-process framework. System 1 relies on fast, intuitive heuristics but is prone to error, while System 2 demands cognitive effort but yields more accurate decisions. Monopolistic firms can influence which system households engage through pricing. This strategic influence creates a novel source of price inertia. The model accounts for the rockets and feathers phenomenon (prices rise quickly but fall slowly), explains why firms wit...
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作者：Schaal, Edouard; Taschereau-Dumouchel, Mathieu
作者单位：Centre de Recerca en Economia Internacional (CREI); Cornell University
摘要：We develop a quantitative theory of business cycles with coordination failures. Because of demand complementarities and increasing returns, firms seek to coordinate production and multiple equilibria arise. We use a global game approach to discipline equilibrium selection and show that the unique dynamic equilibrium exhibits multiple steady states. Coordination on high production may fail after a large transitory shock, pushing the economy in a quasi-permanent recession. Our calibrated model r...
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作者：Darmouni, Olivier; Siani, Kerry Y.
作者单位：Columbia University; Massachusetts Institute of Technology (MIT)
摘要：How do asset purchases by central banks transmit to the real economy? Using micro-data on corporate balance sheets, we study firm behavior after the unprecedented policy support to corporate bond markets in 2020. As bond yields fell, firms issued bonds to accumulate large and persistent amounts of liquid assets. The effect on real investment was generally weak: many issuers already had access to bank liquidity and maintained equity payouts, while others used bond funds to pay back bank debt. T...
