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作者：Hasler, Michael; Ornthanalai, Chayawat
作者单位：University of Toronto
摘要：Financial contagion occurs when return and volatility transmit between fundamentally unrelated sectors. Our equilibrium model shows that contagion arises because investors pay fluctuating attention to news. As a negative shock hits one sector, investors pay more attention to it. This raises the volatility of equilibrium discount rates resulting in simultaneous spikes in cross-sector correlations and volatilities. We test the economic mechanism of the model on fundamentally unrelated U.S. indus...
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作者：Augustin, Patrick
作者单位：McGill University
摘要：The shape of the term structure of credit default swap spreads is an informative signal about the importance of global and domestic risk factors to the time variation of sovereign credit spreads. Exploiting cross-country heterogeneity among 44 countries, I document that the importance of global and country-specific risk in explaining sovereign credit risk varies with the sign of the slope of the term structure and the duration of its inversion. A model is used to show that global uncertainty s...
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作者：Ascari, Guido; Phaneuf, Louis; Sims, Eric R.
作者单位：University of Oxford; University of Pavia; University of Quebec; University of Quebec Montreal; University of Notre Dame; National Bureau of Economic Research
摘要：The welfare and cyclical implications of moderate trend inflation are addressed in an augmented medium-scale DSGE model. Increasing trend inflation from 2 to 4 percent generates a consumption-equivalent welfare loss of about 4 percent. Welfare costs of this magnitude are driven by: staggered wage contracts, trend growth, extended borrowing, a roundabout production structure, and the interaction between trend inflation and shocks to the marginal efficiency of investment (MEI). A sticky-price mo...
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作者：Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano
作者单位：Bocconi University; Centre de Recerca en Economia Internacional (CREI)
摘要：This paper analyzes sovereign bondholdings by 20,000 banks in 191 countries and 20 sovereign default episodes over 1998-2012, establishing two robust facts. First, banks hold many government bonds (on average 9% of assets) in normal times, particularly banks making fewer loans and operating in less financially-developed countries. Second, during default years, banks with the average exposure to government bonds exhibit a lower growth rate of loans than banks without bonds (7-percentage points ...
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作者：Shen, Wenyi; Yang, Shu-Chun S.
作者单位：Oklahoma State University System; Oklahoma State University - Stillwater; National Sun Yat Sen University; International Monetary Fund
摘要：Despite much empirical evidence on business cycle-dependent government spending multipliers, the theoretical channels underlying such results are uncertain. In an environment with involuntary unemployment, this paper shows that downward nominal wage rigidity, which arises only in recessions, can generate business cycle-dependent government spending multipliers. In line with Keynesian views, a demand stimulus reduces unemployment in recessions and may not drive up inflation and wages as in expa...
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作者：Gomes, Joao F.
作者单位：University of Pennsylvania
摘要：Private nonresidential investment contracted sharply during the Great Recession in most advanced economies and remains well below its pre-2008 trend. While weakness in business investment naturally accounts for a short term drop in the aggregate demand for goods and services, a persistent decline in new capital formation is also bound to have long lasting effects on an economy's ability to produce. Some of the reasons behind this large and prolonged contraction in corporate investment are read...
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作者：English, William B.; Van den Heuvel, Skander J.; Zakrajsek, Egon
作者单位：Yale University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Using high-frequency identification, we estimate the reaction of bank stock prices to movements in interest rates prompted by FOMC announcements and examine how this reaction varies with key bank characteristics. Bank stock prices decline significantly following unanticipated increases in the level or slope of the yield curve. The reaction is larger for banks that rely heavily on core deposits but is reduced for banks with a large maturity mismatch, consistent with banks' role in maturity tran...
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作者：Kehrig, Matthias
作者单位：Duke University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
摘要：Aum et al. (2018) quantify the impact of production complementarities and differential productivity growth across occupations and sectors on the slowdown of aggregate productivity growth. This note expands their work to study substitutability between new computer equipment and labor in individual occupations as opposed to all occupations combined. Preliminary empirical evidence suggests (1) significantly different elasticities of substitution between computers and labor across occupations and ...
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作者：Bunn, Philip; Le Roux, Jeanne; Reinold, Kate; Surico, Paolo
作者单位：Bank of England; Centre for Economic Policy Research - UK; University of London; London Business School
摘要：A set of newly-added questions in the 2011-2014 Bank of England/NMG Consulting Survey reveals that British households tend to change their consumption by significantly more in reaction to temporary and unanticipated falls in income than to rises of the same size. Household balance sheet characteristics such as high debt-to-income ratios and small liquidity buffers, concerns about credit market access and higher subjective risk of lower future income account for a sizable share of this spending...
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作者：Benhabib, Jess; Dong, Feng; Wang, Pengfei
作者单位：Shanghai Jiao Tong University; Hong Kong University of Science & Technology
摘要：This paper introduces a simple adverse selection problem arising in credit markets into a standard textbook continuous-time real business cycle model. Such adverse selection generates multiple steady states and both local and global indeterminacy, and can give rise to equilibria with probabilistic jumps in credit, consumption, investment and employment driven by Markov sunspots under calibrated parameterizations and fully rational expectations. Introducing reputational effects eliminates defau...
