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作者：Corsetti, Giancarlo; Kuester, Keith; Meier, Andre; Mueller, Gernot J.
作者单位：University of Cambridge; University of Bonn; International Monetary Fund
摘要：Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this sovereign risk channel. The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region and strongly procyclical fiscal policy at the aggregate level exacerbates the risk of belief-driven deflationary downturns. The m...
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作者：Walentin, Karl
作者单位：Sveriges Riksbank
摘要：How do aggregate quantities at the business cycle frequency respond to shocks to the spread between residential mortgage rates and government bonds? Using a structural VAR approach, we find that mortgage spread shocks impact the real economy by both economically and statistically significant magnitudes: a 100 basis point decline in the spread causes a peak increase in consumption, residential investment and GDP by 1.6 percent, 6.2 percent and 1.9 percent, respectively. Presumably, these effect...
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作者：Davison, Lee K.; Ramirez, Carlos D.
作者单位：Federal Deposit Insurance Corporation (FDIC); George Mason University; Federal Deposit Insurance Corporation (FDIC)
摘要：Using a newly discovered dataset of U.S. bank suspensions from 1921 to 1929, we discovered that banking panics were more common in the 1920s than had been believed. Besides identifying panics, we investigate their determinants, finding that local banking panics were more likely when fundamental economic conditions were generally weak and more likely in overbanked states; they were less likely in states with deposit insurance or states where a relatively large share of banks belonged to chain b...
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作者：Araujo, Luis; Guimaraes, Bernardo
作者单位：Getulio Vargas Foundation; Michigan State University
摘要：Fundamental models of money, while explicit about the frictions that render money essential, are silent on how agents actually coordinate in its use. This paper studies this coordination problem, providing an endogenous map between the primitives of the environment and the beliefs on the acceptability of money. We show that an increase in the frequency of trade meetings, besides its direct impact on payoffs, facilitates coordination. In particular, for a large enough frequency of trade meeting...
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作者：House, Christopher L.
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：Fixed costs models are difficult to analyze because they feature non-degenerate, timevarying distributions of capital across firms. If investments are sufficiently long-lived however then the cross-sectional distribution of capital holdings has virtually no bearing on the equilibrium and the aggregate behavior of fixed-cost models is essentially identical to neoclassical models. The findings are due to a near infinite elasticity of investment timing for long-lived investments - a feature share...
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作者：Schwartzman, Felipe
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：After emerging market crises, value added falls more in manufacturing industries that normally exhibit higher inventory/cost ratios. Moreover, the difference in value added between manufacturing industries with different inventory/cost ratios persists years into the recovery. A shock to aggregate TFP cannot by itself match this pattern. In contrast, a persistent increase in the cost of foreign capital can. In the context of a calibrated multisector small open economy model, a shock to the cost...
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作者：Acharya, Viral; Engle, Robert; Pierret, Diane
作者单位：New York University; Universite Catholique Louvain
摘要：We compare the capital shortfall measured by regulatory stress tests, to that of a benchmark methodology the - V-Lab stress test - that employs only publicly available market data. We find that when capital shortfalls are measured relative to risk-weighted assets, the ranking of financial institutions is not well correlated to the ranking of the V-Lab stress test, whereas rank correlations increase when required capitalization is a function of total assets. We show that the risk measures used ...
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作者：Kane, Edward J.
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作者：Santoro, Emiliano; Petrella, Ivan; Pfajfar, Damjan; Gaffeo, Edoardo
作者单位：University of Copenhagen; Catholic University of the Sacred Heart; University of London; Centre for Economic Policy Research - UK; Tilburg University; University of Trento
摘要：There is widespread evidence that monetary policy exerts asymmetric effects on output over contractions and expansions in economic activity, while price responses display no sizeable asymmetry. To rationalize these facts we develop a dynamic general equilibrium model where households' utility depends on consumption deviations from a reference level below which loss aversion is displayed. State-dependent degrees of real rigidity and elasticity of intertemporal substitution in consumption genera...
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作者：Camera, Gabriele; Gioffre, Alessandro
作者单位：Chapman University System; Chapman University; Goethe University Frankfurt
摘要：According to theory, money supports trade in a world without enforcement and, in particular, in large societies, where gift-exchange is unsustainable. It is demonstrated that, in fact, monetary equilibrium breaks down in the absence of adequate enforcement institutions and it collapses as societies that lack external enforcement grow large. This unique result is derived by unveiling the existence of a tacit enforcement assumption in the literature that explains the advantages from monetary exc...
