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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...
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作者：Williams, Noah
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作者：Young, Eric R.
作者单位：University of Virginia
摘要：This paper considers tax policies to deal with Sudden Stops - declines in aggregate activity that are magnified by a binding collateral constraint - that occasionally occur in emerging market economies. Households and/or the government are assumed to face model uncertainty and desire robustness against alternative models. Welfare gains from optimal taxation are small if the government trusts its model of household expectations, whether those expectations are altered by model uncertainty or not...
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作者：Williams, Noah
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：Monetary policy may play a substantial role in mitigating the effects of financial crises. In this paper, I suppose that the economy occasionally but infrequently experiences crises, where financial variables affect the broader economy. I analyze optimal monetary policy under such financial uncertainty, where policymakers recognize the possibility of crises. Optimal monetary policy is affected during the crisis and in normal times, as policymakers guard against the possibility of crises. In th...
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作者：Hansen, Lars Peter; Sargent, Thomas J.
作者单位：University of Chicago; New York University
摘要：For each of three types of ambiguity, we compute a robust Ramsey plan and an associated worst-case probability model. Ex post, ambiguity of type I implies endogenously distorted homogeneous beliefs, while ambiguities of types II and III imply distorted heterogeneous beliefs. Martingales characterize alternative probability specifications and clarify distinctions among the three types of ambiguity. We use recursive formulations of Ramsey problems to impose local predictability of commitment mul...
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作者：Arellano, Cristina
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作者：Yeltekin, Sevin
作者单位：Carnegie Mellon University
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作者：Croce, Mariano M.; Nguyen, Thien T.; Schmid, Lukas
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Pennsylvania; Duke University
摘要：Recent fiscal interventions have raised concerns about US public debt, future distortionary tax pressure, and long-run growth potential. We explore the long-run implications of public financing policies aimed at short-run stabilization when: (i) agents are sensitive to model uncertainty, as in Hansen and Sargent (2007), and (ii) growth is endogenous, as in Romer (1990). We find that countercyclical deficit policies promoting short-run stabilization reduce the price of model uncertainty at the ...
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作者：Hollifield, Burton
作者单位：Carnegie Mellon University
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作者：Adam, Klaus; Woodford, Michael
作者单位：Columbia University; University of Mannheim
摘要：We consider optimal monetary stabilization policy in a New Keynesian model with explicit microfoundations, when the central bank recognizes that private-sector expectations need not be precisely model-consistent, and wishes to choose a policy that will be as good as possible in the case of any beliefs close enough to model-consistency. We show how to characterize robustly optimal policy without restricting consideration a priori to a particular parametric family of candidate policy rules. We s...
