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作者：Gali, Jordi
作者单位：Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Barcelona School of Economics
摘要：Central banks projections - i.e. forecasts conditional on a given interest rate path - are often criticized on the grounds that their assumptions are inconsistent with the existence of a unique equilibrium in many forward-looking models. The present paper describes three alternative approaches to constructing projections that are not subject to the above criticism, using the New Keynesian model as a reference framework. The three approaches are shown to generate different projections for infla...
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作者：Hancock, Diana; Passmore, Wayne
作者单位：Federal Reserve System - USA
摘要：On November 25, 2008, the Federal Reserve announced it would purchase mortgage-backed securities (MBS). This program affected mortgage rates through three channels: (1) improved market functioning in both primary and secondary mortgage markets, (2) clearer government backing for Fannie Mae and Freddie Mac, and (3) anticipation of portfolio rebalancing effects. We use empirical pricing models for MBS yields and for mortgage rates to measure relative importance of channels: The first two were im...
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作者：Gai, Prasanna; Haldane, Andrew; Kapadia, Sujit
作者单位：Bank of England; University of Auckland
摘要：This paper develops a network model of interbank lending in which unsecured claims, repo activity and shocks to the haircuts applied to collateral assume centre stage. We show how systemic liquidity crises of the kind associated with the interbank market collapse of 2007-2008 can arise within such a framework, with funding contagion spreading widely through the web of interlinkages. Our model illustrates how greater complexity and concentration in the financial network may amplify this fragili...
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作者：Finocchiaro, Daria
作者单位：Sveriges Riksbank
摘要：Heterogeneity in planning propensity affects wealth inequality and asset prices. This paper presents an economy where attentive agents plan their consumption period by period, while inattentive agents plan every other period. Inattentive consumers face more uncertainty and trade at unfavorable prices. If the only source of uncertainty is future income, inattentive consumers accumulate more wealth. In contrast, with uncertain asset returns inattentive investors accumulate less wealth. Asset pri...
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作者：Gu, Chao; Guzman, Mark; Haslag, Joseph
作者单位：University of Missouri System; University of Missouri Columbia; University of Reading
摘要：Using a modified version of Freeman's (1996) payment system model, the optimal intraday rate is examined. The production set is modified to account for a non-degenerate distribution of settlements within a day. In addition to the modified production set, the consumption set is modified. A positive intraday interest rate may be able to implement the planner's allocation. (C) 2011 Elsevier B.V. All rights reserved.
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作者：Furfine, Craig H.
作者单位：Northwestern University
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作者：Niemann, Stefan
作者单位：University of Essex
摘要：Assuming that macroeconomic policies are directed by distinct monetary and fiscal policy makers who cannot commit to future actions, we reassess the implications of monetary conservatism and fiscal impatience in a setting with nominal government debt. For environments where a non-negative steady state level of government debt (assets) emerges in the absence of conservatism and impatience, monetary conservatism induces accumulation of a higher stock of liabilities (assets) and has adverse (posi...
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作者：Bhamra, Harjoat S.; Fisher, Adlai J.; Kuehn, Lars-Alexander
作者单位：Carnegie Mellon University; University of British Columbia
摘要：When a corporation issues debt with a fixed nominal coupon, the real value of future payments decreases with the price level. Forward-looking corporate default decisions therefore depend on monetary policy through its impact on expected inflation. We build a general equilibrium economy with deadweight bankruptcy costs that demonstrates how nominal rigidities in corporate debt create an important role for monetary policy even in the absence of standard nominal frictions such as staggered price ...
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作者：Lo, Andrew W.
作者单位：Massachusetts Institute of Technology (MIT)
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作者：Alquist, Ron; Chabot, Benjamin
作者单位：Bank of Canada; Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research
摘要：A commonly cited benefit of the classical gold standard is that it reduced borrowing costs by signaling a country's commitment to financial probity. Using a new dataset, this paper tests whether gold-standard adherence was negatively correlated with the cost of capital. Conditional on UK risk factors, there is no evidence that the bonds issued by countries off gold earned systematically higher excess returns than the bonds issued by countries on gold. This conclusion is robust to allowing beta...
