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作者：Sommer, Kamila; Sullivan, Paul; Verbrugge, Randal
作者单位：United States Department of Labor
摘要：Using a dynamic equilibrium model of housing tenure choice with fully specified markets for homeownership and rental properties, and endogenous house prices and rents, this paper studies the effect of fundamentals on equilibrium house prices and rents. Lower interest rates, relaxed lending standards, and higher incomes are shown to account for approximately one-half of the increase in the U.S. house price-rent ratio between 1995 and 2006, and to generate the pattern of rapidly growing house pr...
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作者：Ellison, Martin; Scott, Andrew
作者单位：University of Oxford; Bank of Finland; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：The combination of learning and depletion in non-renewable resource markets adds significant volatility to commodity prices. The market consists of a small number of suppliers who make depletion plans based on their perceptions of how sensitive price is to supply. Learning leads to changes in these perceptions and hence the revision of depletion plans, which can have a dramatic effect on market supply and price. Firstly, price trends upwards faster than the rate of time preference as the non-r...
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作者：Abbritti, Mirko; Fahr, Stephan
作者单位：University of Navarra; European Central Bank
摘要：The growth rates of wages, unemployment and output of a number of OECD countries have a strongly skewed distribution. In this paper we analyze to what extent downward wage rigidities can explain these empirical business cycle asymmetries. To this aim, we introduce asymmetric wage adjustment costs in a New-Keynesian DSGE model with search and matching frictions in the labor market. Increasing wages is less costly than cutting them. It follows that wages increase relatively fast and thus limit v...
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作者：Adelino, Manuel; Gerardi, Kristopher; Willen, Paul S.
作者单位：Duke University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Boston; National Bureau of Economic Research
摘要：A leading explanation for the lack of widespread mortgage renegotiation is the existence of frictions in the mortgage securitization process. This paper finds similarly small renegotiation rates for securitized loans and loans held on banks' balance sheets that become seriously delinquent, in particular during the early part of the financial crisis. We argue that information issues endemic to home mortgages, where lenders negotiate with large numbers of borrowers, lead to barriers in renegotia...
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作者：Alvarez, Fernando; Lippi, Francesco
作者单位：University of Chicago; University of Sassari
摘要：We consider an inventory model for a liquid asset where the per-period net expenditures have two components: one that is frequent and small and another that is infrequent and large. We give a theoretical characterization of the optimal management of liquid asset as well as of the implied observable statistics. We use our characterization to interpret some aspects of households' currency management in Austria, as well as the management of demand deposits by a large sample of Italian investors. ...
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作者：Reiter, Michael; Sveen, Tommy; Weinke, Lutz
作者单位：BI Norwegian Business School; Humboldt University of Berlin
摘要：The lumpy nature of plant-level investment is generally not taken into account in the context of New Keynesian monetary theory (see, e.g., Christiano et al., 2005; Woodford, 2005). Our main result shows that if this theory is augmented by a standard model of lumpy investment, monetary policy shocks lead to large but very short-lived impacts on output and inflation, in a way that goes against empirical evidence and the consensus view in the literature. (C) 2013 Elsevier B.V. All rights reserved.
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作者：Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco
作者单位：Columbia University; National Bureau of Economic Research; European Central Bank
摘要：The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (uncertainty), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being stronger. The result holds in a structural vector autoregressive framework, controlling for business cycle movements and using a variety of id...
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作者：Benhabib, Jess; Wang, Pengfei
作者单位：New York University; Hong Kong University of Science & Technology
摘要：Self-fulfilling equilibria and indeterminacy can easily arise in a simple financial accelerator model with reasonable parameter calibrations and without increasing returns in production. A key feature for generating indeterminacy in our model is the countercyclical markup due to the procyclical loan-to-output ratio. We illustrate, via simulations, that our financial accelerator model can generate rich business cycle dynamics, including hump-shaped output in response to demand shocks as well as...
