2012

最新文章

• Fire sales and the financial accelerator AI翻译
  作者：Choi, Woon Gyu; Cook, David
  作者单位：Hong Kong University of Science & Technology; International Monetary Fund
  摘要：During financial turmoil, increases in risk lead to higher default, foreclosure, and fire sales. This paper introduces a costly liquidation process for foreclosed collateral and pro-cyclical recovery rates in a dynamic stochastic general equilibrium model of the financial accelerator. Links between endogenous recovery rates, risk premia, and default risk generate a liquidity spiral, magnifying financial accelerator effects. We illustrate how collateral liquidation and monetary policy alter the...
• How important is the intensive margin of labor adjustment? Discussion of Aggregate hours worked in OECD countries: New measurement and implications for business cycles by Lee Ohanian and Andrea Raffo AI翻译
  作者：van Rens, Thijs
  作者单位：Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University
• Financial crises, bank risk exposure and government financial policy AI翻译
  作者：Gertler, Mark; Kiyotaki, Nobuhiro; Queralto, Albert
  作者单位：New York University; Princeton University; Federal Reserve System - USA; Federal Reserve System Board of Governors
  摘要：A macroeconomic model with financial intermediation is developed in which the intermediaries (banks) can issue outside equity as well as short term debt. This makes bank risk exposure an endogenous choice. The goal is to have a model that can not only capture a crisis when banks are highly vulnerable to risk, but can also account for why banks adopt such a risky balance sheet in the first place. We use the model to assess quantitatively how perceptions of fundamental risk and of government cre...
• Short-run money demand AI翻译
  作者：Ball, Laurence
  作者单位：Johns Hopkins University
  摘要：The conventional wisdom holds that the short-run demand for money is unstable. This paper challenges the conventional view by finding a stable demand for M1 in U.S. data from 1959 through 1993. The approach follows previous work in interpreting long-run money demand as a cointegrating relation, and it uses Goldfeld's partial-adjustment model to interpret short-run dynamics. The key innovation is the choice of the interest rate in the money demand function. Most previous work uses a short-term ...
• Ambiguity shifts and the 2007-2008 financial crisis AI翻译
  作者：Boyarchenko, Nina
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
  摘要：Faced with doubts about the quality of information and the quality of modeling techniques, ambiguity-averse agents assign higher probabilities to lower utility states, leading to higher CDS premia and lower equity prices. Using data on financial institutions. I find that the sudden increases in credit spreads during the recent crisis can be explained by changes in the amount of ambiguity faced by market participants and changes in how the total amount of ambiguity was distributed between ambig...
• Comment on: Monetary policy under financial uncertainty by Noah Williams AI翻译
  作者：Williams, Noah
• What explains the lagged-investment effect? AI翻译
  作者：Eberly, Janice; Rebelo, Sergio; Vincent, Nicolas
  作者单位：Northwestern University; National Bureau of Economic Research; Universite de Montreal; HEC Montreal
  摘要：The best predictor of current investment at the firm level is lagged investment. This lagged-investment effect is empirically more important than the cash-flow and Q effects combined. We show that the specification of investment adjustment costs proposed by Christiano et al. (2005) predicts the presence of a lagged-investment effect and that a generalized version of their model is consistent with the behavior of firm-level data from Compustat. (C) 2012 Elsevier B.V. All rights reserved.
• Structural change and financing constraints AI翻译
  作者：Ilyina, Anna; Samaniego, Roberto
  作者单位：George Washington University; International Monetary Fund
  摘要：In a multi-industry growth model, firms need external funds for productivity-enhancing R&D, and face financing constraints. The cost of research differs across industries, so financing constraints hinder industry productivity growth unevenly. Equilibrium industry dynamics map into a differences-in-differences regression specification where industry growth depends on the interaction between country financial development and industry R&D intensity. The paper provides a framework for interpreting...
• Targeted transfers and the fiscal response to the great recession AI翻译
  作者：Oh, Hyunseung; Reis, Ricardo
  作者单位：Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
  摘要：Between 2007 and 2009, government expenditures increased rapidly across the OECD countries. While economic research on the impact of government purchases has flourished, in the data, most of the increase in expenditures was in government transfers. After documenting this fact, we argue that future research should focus on the positive impact of transfers. Towards this, we present a model in which there is no representative agent and Ricardian equivalence does not hold because of uncertainty, i...
• Dividend and capital gains taxation under incomplete markets AI翻译
  作者：Anagnostopoulos, Alexis; Carceles-Poveda, Eva; Lin, Danmo
  作者单位：State University of New York (SUNY) System; Stony Brook University; University System of Maryland; University of Maryland College Park
  摘要：Motivated by the Jobs and Growth Tax Relief Reconciliation Act (JGTRRA) of 2003, the effects of capital income tax cuts are investigated in an economy with heterogeneous households and a representative, mature firm. Dividend tax cuts, contrary to capital gains tax cuts, lead to a decrease in investment and capital. This is because they increase the market value of existing capital and households require a higher return to hold this additional wealth. In line with empirical evidence, the model ...