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作者：Altavilla, Carlo; Brugnolini, Luca; Gurkaynak, Refet S.; Motto, Roberto; Ragusa, Giuseppe
作者单位：European Central Bank; Ihsan Dogramaci Bilkent University; Ihsan Dogramaci Bilkent University; University of Pisa
摘要：We map ECB policy communication into yield curve changes and study the information flow on policy dates. A byproduct is the publicly available Euro Area Monetary Policy Event-Study Database (EA-MPD), containing intraday asset price changes. We find that Policy Target, Forward Guidance and Quantitative Easing factors capture about all the variation in the yield curve, with different factors appearing in the windows covering the policy decision announcement and the press conference, and having t...
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作者：Benhima, Kenza
作者单位：University of Lausanne
摘要：Dispersed information can generate booms and busts in economic activity. Boom-bust dynamics appear when firms are initially over-optimistic about demand due to a noisy private news. Consequently, they overproduce, which generates a boom and depresses their markups. Because the news is private, firms cannot relate these low markups to aggregate optimism. As low markups can also signal low demand, this overturns their expectations, generating a bust. We emphasize a novel role for imperfect commo...
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作者：Chang, Chun; Liu, Zheng; Spiegel, Mark M.; Zhang, Jingyi
作者单位：Shanghai Jiao Tong University; Federal Reserve System - USA; Shanghai University of Finance & Economics
摘要：China's central bank frequently adjusts reserve requirements for macroeconomic stabilization. We evaluate the effectiveness of such policy in a two-sector DSGE model. A heavy-industry sector-proxied as state-owned enterprises (SOEs)-is financed through government-guaranteed bank loans subject to reserve requirements, while more productive private firms rely on unregulated off-balance sheet financing. Increasing reserve requirements reallocates resources towards private firms, raising both aggr...
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作者：Drautzburg, Thorsten
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：New businesses are important for job creation and have contributed more than proportionally to the recent economic fluctuations. Given the risk exposure of entrepreneurs, this paper asks whether changing risk can explain the dynamics of new businesses. It makes two contributions. First, it provides a tractable, quantitative framework for analyzing business creation when entrants are exposed to idiosyncratic risk. Second, it provides conditions under which data on the size distribution of new b...
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作者：Cole, Harold L.
作者单位：University of Pennsylvania
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作者：Hagedorn, Marcus; Luo, Jinfeng; Manovskii, Iourii; Mitman, Kurt
作者单位：University of Oslo; University of Pennsylvania; Stockholm University; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：We assess the power of forward guidance promises about future interest rates as a monetary tool in a liquidity trap using a quantitative incomplete-markets model. Our results suggest the effects of forward guidance are negligible. A commitment to keep future nominal interest rates low for a few quarters although macro indicators suggest otherwise has only trivial effects on current output and employment. We explain theoretically why in complete markets models forward guidance is powerful gener...
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作者：Cao, Dan; Lorenzoni, Guido; Walentin, Karl
作者单位：Georgetown University; Northwestern University; National Bureau of Economic Research; Sveriges Riksbank
摘要：A model of investment with financial constraints is used to study the relation between investment and Tobin's q. A firm is financed by both inside and outside investors. When insiders' wealth is scarce, the firm's value includes a quasi-rent on invested capital. Therefore, two forces drive q: the value of invested capital and future quasi-rents. Relative to a frictionless benchmark, this weakens the relationship between investment and q, generating more realistic correlations between investmen...
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作者：Campbell, Jeffrey R.; Ferroni, Filippo; Fisher, Jonas D. M.; Melosi, Leonardo
作者单位：Tilburg University; Federal Reserve System - USA; Federal Reserve Bank - Chicago; European University Institute
摘要：The viability of forward guidance as a monetary policy tool depends on the horizon over which it can be communicated and its influence on expectations over that horizon. This paper develops and estimates a model of imperfect central bank communications and uses it to measure how effectively the Fed has managed expectations about future interest rates and the influence of its communications on macroeconomic outcomes. Standard models assume central banks have perfect control over expectations ab...
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作者：Istrefi, Klodiana
作者单位：European Central Bank; Bank of France
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作者：Bachmann, Rildiger; Born, Benjamin; Elstner, Steffen; Grimme, Christian
作者单位：University of Notre Dame; Frankfurt School Finance & Management; Leibniz Association; Ifo Institut; Leibniz Association; RWI - Leibniz Institut fur Wirtschaftsforschung; University of Munich; Leibniz Association; Ifo Institut
摘要：Does time-varying business uncertainty/volatility affect the price setting of firms and in what way? We estimate from the micro data of the German ifo Business Climate Survey the impact of idiosyncratic volatility on the extensive margin of firm-level price setting behavior. Heightened uncertainty increases the probability of a price change, suggesting that, for price setting, the volatility effect dominates the wait-and-see effect. In a second step, we use structural vector autoregressions to...
