-
作者：Basso, Henrique S.; Rachedi, Omar
作者单位：Banco de Espana; Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE)
摘要：Leveraging adoption U.S. metropolitan areas, automation reduces the sensitivity of inflation to unemployment. To rationalize this finding, we build a New Keynesian model with search frictions in the labor market where robot adoption flattens the Phillips curve. The key channel is the option value of automation: the threat of automating labor tasks alters effective workers' bargaining power, muting the wage sensitivity unemployment. We validate the relevance of this channel in the data by showi...
-
作者：De Graeve, Ferre; Westermark, Andreas
作者单位：KU Leuven; Sveriges Riksbank
摘要：Macroeconomic research often relies on structural vector autoregressions, (S)VARs, to uncover empirical regularities. Critics argue the method goes awry due to lag truncation: short lag lengths imply a poor approximation to important data-generating processes (e.g. DSGE models). Empirically, short lag length is deemed necessary as increased parametrization induces excessive uncertainty. The paper shows that this argument is incomplete. Longer lag length simultaneously reduces misspecification,...
-
作者：Miranda-Pinto, Jorge; Murphy, Daniel; Walsh, Kieran James; Young, Eric R.
作者单位：International Monetary Fund; University of Queensland; University of Virginia; Swiss Federal Institutes of Technology Domain; ETH Zurich; University of Virginia
摘要：We introduce a new quantitative model of household expenditure shocks to rationalize the common anecdote of a low-income and low-liquidity household that uses additional income to save (repay debt) rather than consume. Our model also rationalizes key features of the joint dynamics of household-level consumption and income, including our finding that consumption is volatile yet disconnected from income, especially for households experiencing episodes of high consumption. The key feature of our ...
-
作者：Luo, Yulei; Nie, Jun; Wang, Xiaowen; Young, Eric R.
作者单位：University of Hong Kong; Wuhan University; Liaoning University; University of Virginia
摘要：In this paper we propose a production-cost smoothing model with Knightian uncertainty and ambiguity aversion to study the joint behavior of production, inventories, and sales. Our model can explain ten facts that previous studies find difficult to account for simultaneously including the high volatility of production relative to sales, the low ratio of inventory-investment volatility to sales volatility, the positive correlation between sales and inventory investment, and the negative correlat...
-
作者：Tanaka, Hiroatsu
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I study the dynamics of default-free bond yields and term premia using a novel equilibrium term structure model with a New-Keynesian core and imperfect information about productivity. Imperfect information can justify a shock to signals about productivity that does not lead to actual changes in productivity, which can be interpreted as a demand shock. When incorporated in a DSGE term structure model with a standard productivity shock, this demand shock generates term premia that are on average...
-
作者：Barreto, Cesar; Merkl, Christian
作者单位：Organisation for Economic Co-operation & Development (OECD); University of Erlangen Nuremberg
摘要：Our paper documents the importance of ex ante worker heterogeneity for labor market dynamics and for the composition of the unemployment pool over the business cycle. In recessions, unemployment pool shifts toward workers with higher wages in their previous jobs. Based administrative data for Germany and two-way worker and firm wage fixed effects, we show that this shift is mainly connected to worker heterogeneity, not to firm heterogeneity. We calibrate search and matching model with ex ante ...
-
作者：Alessandri, Piergiorgio; Jorda, Oscar; Venditti, Fabrizio
作者单位：European Central Bank; Bank of Italy; Federal Reserve System - USA; University of California System; Federal Reserve Bank - San Francisco; University of California Davis; Center for Economic & Policy Research (CEPR)
摘要：Financial markets play an important role in generating monetary policy transmission asymmetries in the U.S. Credit spreads only adjust to unexpected increases in interest rates, causing output and prices to respond more to a monetary contraction than to a monetary loosening. At a one year horizon, the 'financial multiplier' of monetary policy - defined as the ratio between the cumulative responses of employment and credit spreads - is zero for a monetary loosening,-2 for a monetary contraction...
-
作者：Fogli, Alessandra
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
-
作者：Nguyen, Lam
摘要：Instrument validity cannot be tested in a just-identified model, and it is not clear what conclusion to draw when instrument validity is rejected in an over-identified model. In practice, researchers tend to regard instruments as valid when they lead to sensible inferences. This paper develops a proxy structural vector autoregression with imperfect confidence in instrument validity, enabling researchers to incorporate and investigate those prior beliefs alongside other identifying information ...
-
作者：Ahn, Hie Joo; Rudd, Jeremy B.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We propose an empirical framework in which shocks to worker reallocation, aggregate activity, and labor supply drive the joint dynamics of the labor market and inflation, and where reallocation shocks take two forms depending on whether they result from quits or from job losses. We find that these structural shocks, which affect the Beveridge curve, have different effects on inflation. Our model fully decomposes shifts of or along the empirical Beveridge curve in terms of the contribution of e...
