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作者：Shi, Shouyong
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：The objective here is to evaluate the quantitative importance of financial frictions in business cycles. The analysis shows that a negative financial shock can cause aggregate investment, employment and consumption to fall with output. Despite this realistic comovement among macro quantities, a negative financial shock generates an equity price boom as the shock tightens firms' financing constraint. This counterfactual response of the equity price is robust to a wide range of variations in how...
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作者：Carvalho, Carlos; Schwartzman, Felipe
作者单位：Pontificia Universidade Catolica do Rio de Janeiro; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：For a given frequency of price adjustment, monetary non-neutrality is smaller if older prices are disproportionately more likely to change. Selection for the age of prices provides a complete characterization of price-setting frictions in time-dependent models. Selection for older prices is weaker and non-neutralities are larger if the hazard function of price adjustment is less strongly increasing. Selection is weaker if there is heterogeneity in price stickiness. Finally, selection is weaker...
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作者：Stepanchuk, Serhiy; Tsyrennikov, Viktor
作者单位：Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; International Monetary Fund
摘要：The ability to issue debt that pays in units of the domestic good leads a country to accumulate a large and negative net foreign asset position while maintaining a positive position in equity. This debt market advantage also helps to explain the weak relationship between the real exchange rate and relative consumption. Our stylized model matches the key facts about the U.S. international portfolio, the U.S. real exchange rate, and explains nearly 50% of the observed variation in the valuation ...
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作者：Ilut, Cosmin L.
作者单位：Duke University
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作者：Mankart, Jochen; Rodano, Giacomo
作者单位：Deutsche Bundesbank; European Central Bank; Bank of Italy
摘要：Bankruptcy provides entrepreneurs with insurance against the financial consequences of failure at the cost of worsened credit conditions. Using a quantitative general equilibrium model of entrepreneurship, we show that the presence of secured credit in addition to unsecured credit substantially alters this trade-off. If secured credit is not available the optimal bankruptcy law is harsh since the negative effect dominates. If secured credit is available the optimal law is lenient since entrepr...
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作者：Bhutta, Neil
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：From 1999 to 2013, U.S. mortgage debt doubled before contracting sharply. I estimate mortgage inflows and outflows that shed light on the sources of volatility. During the boom, inflows from real estate investors tripled, far outpacing other segments such as first-time homebuyers. During the bust, a collapse in inflows keyed the debt decline, while an expansion of outflows due to defaults played a more minor role. Inflow declines partly reflect a dramatic falloff in first-time homebuying, espe...
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作者：Duygan-Bump, Burcu; Levkov, Alexey; Montoriol-Garriga, Judit
摘要：This paper shows that financing constraints of small firms were one of the drivers of unemployment dynamics during the 2007-2009 recession in the United States. Specifically, workers in small firms were more likely to become unemployed during the 2007-2009 recession than comparable workers in large firms, but only if they were employed in industries with high financing needs. We find very similar results for the 1990-1991 recession, but not for the 2001 recession, where only the former was ass...
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作者：Lustig, Hanno
作者单位：University of California System; University of California Los Angeles
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作者：Kara, Engin
作者单位：Ozyegin University
摘要：New Keynesian models have been criticised on the grounds that they require implausibly large price shocks to explain inflation. Bils et al. (2012) show that, while these shocks are needed to reduce the excessive inflation persistence generated by the models, they give rise to unrealistically volatile reset price inflation. This paper shows that introducing heterogeneity in price stickiness in the models overcomes these criticisms directed at them. The incorporation of heterogeneity in price st...
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作者：Mauro, Paolo; Romeu, Rafael; Binder, Ariel; Zaman, Asad
作者单位：Peterson Institute for International Economics; University of Michigan System; University of Michigan; Georgetown University
摘要：Drawing on a newly collected historical dataset of fiscal stocks and flows, we analyze the determinants of variation, both across countries and over time, in how fiscal policy responds to increases in the government debt-to-GDP ratio. The fiscal data comprise revenues, primary expenditures, interest bill, and government debt for 55 countries for up to two hundred years. The policy response (increase in the primary fiscal balance in response to debt increases) is found to be significantly weake...
