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作者：Angeloni, Ignazio; Faia, Ester
作者单位：Goethe University Frankfurt
摘要：Optimizing banks subject to runs are introduced in a macro model to study the transmission of monetary policy and its interplay with bank capital regulation when banks are risky. A monetary expansion and a positive productivity shock increase bank leverage and risk. Risk-based capital requirements amplify the cycle and are welfare detrimental. Within a class of simple policy rules, the best combination includes mildly anticyclical capital ratios (as in Basel III) and a response of monetary pol...
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作者：Belo, Frederico; Yu, Jianfeng
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：High rates of government investment in public sector capital forecast high risk premiums both at the aggregate and firm-level. This result is in sharp contrast with the well-documented negative relationship between the private sector investment rate and risk premiums. To explain the empirical findings, we extend the neoclassical q-theory model of investment and specify public sector capital as an additional input in the firm's technology. We show that the model can quantitatively replicate the...
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作者：Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral
作者单位：McGill University; Carleton University; University of Ottawa; University of Ottawa; Bank of Canada
摘要：Full- and limited-information identification-robust methods are proposed for structural systems, notably DSGE models, which are valid whether identification is weak or strong, theory-intrinsic or data-specific. The proposed methods are applied to a standard New Keynesian system for the U.S. Single- and multi-equation estimation and fit are also compared. When a unique rational-expectation stable equilibrium is imposed, the model is rejected. In contrast, limited-information inference produces ...
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作者：Lin, Xiaoji; Zhang, Lu
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor rationality, the relation must be explained by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are not necessarily risk factors; characteristics-based factor models are linear approximations of firm-level investment returns. The evidence that characteristics dominate covariances in horse races does not necessari...
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作者：Yang, Dennis Tao; Zhu, Xiaodong
作者单位：University of Virginia; University of Toronto
摘要：This paper develops a two-sector model that illuminates the role played by agricultural modernization in the transition from stagnation to growth. When agriculture relies on traditional technology, industrial development reduces the relative price of industrial products, but has a limited effect on per capita income because most labor has to remain in farming. Growth is not sustainable until this relative price drops below a certain threshold, thus inducing farmers to adopt modern technology t...
