2014

最新文章

• A neoclassical interpretation of momentum AI翻译
  作者：Liu, Laura Xiaolei; Zhang, Lu
  作者单位：Hong Kong University of Science & Technology; Peking University; University System of Ohio; Ohio State University; National Bureau of Economic Research
  摘要：The neoclassical theory of investment implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of investment), and earn higher expected stock returns than losers. The investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, long-run risks in momentum, a...
• A macroeconomic approach to corporate capital structure AI翻译
  作者：Katagiri, Mitsuru
  作者单位：Bank of Japan
  摘要：The cross-sectional distribution of corporate capital structure and its macroeconomic implications are underexplored research areas. This paper embeds a dynamic trade-off theory of firm financing into a general equilibrium model with firm dynamics. I find that the stationary equilibrium replicates fairly well the distribution of leverage as well as the relationship between leverage, size and profitability. The counterfactual experiment points out relatively small effects of tax benefits on cor...
• Dissent in monetary policy decisions AI翻译
  作者：Riboni, Alessandro; Ruge-Murcia, Francisco
  作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; McGill University
  摘要：Voting records indicate that dissents in monetary policy committees are frequent and predictability regressions show that they help forecast future policy decisions. This paper develops a model of consensual collective decision-making and dissent, and estimates it using individual voting data from the Bank of England and the Riksbank. Regressions based on artificial data simulated from the model show that decision-making frictions help account for the predictive power of current dissents. (C) ...
• Predatory trading, Stigma and the Fed's Term Auction Facility AI翻译
  作者：La'O, Jennifer
  作者单位：Columbia University; National Bureau of Economic Research
  摘要：Predatory trading may affect the incentives for banks to raise liquidity in times of financial distress. In these periods, borrowing becomes a signal of illiquidity, exposing borrowers to predatory trading and possible insolvency. A stigma of borrowing thus arises, leading distressed banks to take on more illiquid positions than they would otherwise. The Fed's Term Auction Facility (TAF) can alleviate this problem. The TAF's competitive auction format allows auction winners to signal that they...
• Comment on: Floating a lifeboat: The Banque de France and the crisis of 1889 by PC Hautcoeur, A. Riva, and EN White AI翻译
  作者：Ugolini, Stefano
  作者单位：Universite de Toulouse; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; Institut d'Etudes Politiques Toulouse (SciencePo Toulouse); Universite Toulouse III - Paul Sabatier
• Comment on Sovereign debt markets in turbulent times: Creditor discrimination and crowding-out effects by Broner, Erce, Martin and Ventura AI翻译
  作者：Wright, Mark L. J.
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research
• Internal debt crises and sovereign defaults AI翻译
  作者：Arellano, Cristina; Kocherlakota, Narayana
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Minnesota System; University of Minnesota Twin Cities
  摘要：Internal and sovereign debt crises occur together and happen more frequently in economies with weak bankruptcy institutions. This paper provides a novel explanation. Internal crises arise because of the inability to liquidate private debtors when many default. In an optimal contract, a successful entrepreneur repays yet an unsuccessful one defaults and liquidates his assets. The bounds on liquidation generate, however, a second equilibrium where domestic borrowers default because others are al...
• Social security and the rise in health spending AI翻译
  作者：Zhao, Kai
  作者单位：University of Connecticut
  摘要：In a quantitative model of Social Security with endogenous health, I argue that Social Security increases the aggregate health spending of the economy because it redistributes resources to the elderly whose marginal propensity to spend on health is high. I show by using computational experiments that the expansion of US Social Security can account for over a third of the dramatic rise in US health spending from 1950 to 2000. In addition, Social Security has a spill-over effect on Medicare. As ...
• Uncertainty shocks and unemployment dynamics in U.S. recessions AI翻译
  作者：Caggiano, Giovanni; Castelnuovo, Efrem; Groshenny, Nicolas
  作者单位：University of Padua; University of Melbourne; Bank of Finland; University of Adelaide
  摘要：What are the effects of uncertainty shocks on unemployment dynamics? We answer this question by estimating non-linear (Smooth-Transition) VARs with post-WWII U.S. data. The relevance of uncertainty shocks is found to be much larger than that predicted by standard linear VARs in terms of (i) magnitude of the reaction of the unemployment rate to such shocks, and (ii) contribution to the variance of the prediction errors of unemployment at business cycle frequencies. The ability of different clas...
• The contribution of rising school quality to US economic growth AI翻译
  作者：You, Hye Mi
  作者单位：State University of New York (SUNY) System; University at Buffalo, SUNY
  摘要：U.S. public school expenditures per pupil increased by a factor of 9 during the 20th century. This paper quantifies how much U.S. labor quality has grown due to the rise in educational spending. A schooling model and cross-sectional earnings variations across cohorts are exploited to identify the effect of the increased school expenditures on labor quality growth. The findings are that (i) U.S. labor quality increased by 0.4% per year between 1967 and 2000, one-fifth of which is attributable t...