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作者：Olovsson, Conny
作者单位：Stockholm University
摘要：The welfare effects of intergenerational risk sharing through a pay-as-you-go social security system that is efficiently indexed to wages or interest rates are quantified. Comparing steady states, there are large welfare gains of being born into an economy with efficient risk sharing as compared to the current U.S. system. Efficient policy involves an increasingly risky net of tax income over the life cycle. When adjustment to steady state is taken into account, the welfare gains largely turn ...
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作者：Lagos, Ricardo
作者单位：New York University
摘要：An asset-pricing model is developed in which financial assets are valued for their liquidity-the extent to which they are useful in facilitating exchange as well as for being claims to streams of consumption goods The theory is used to study the implications of this liquidity channel for average asset returns the equity-premium puzzle and the risk-free rate puzzle (C) 2010 Elsevier B V All rights reserved
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作者：Zhylyevskyy, Oleksandr
作者单位：Iowa State University
摘要：The two leading explanations for the counterintuitive behavior of Interest rates during the Greenback Era (1862-1878) - the resumption expectations model of Calomiris (1988) and the capital flow argument of Friedman and Schwartz (1963) - are inconsistent with each other in terms of their treatment of financial arbitrage A methodology to identify unexploited arbitrage opportunities in financial data is proposed Observable returns strongly suggest that the money market of the Greenback Era did n...
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作者：Abe, Naohito; Tonogi, Akiyuki
作者单位：Hitotsubashi University; Mitsubishi International Corporation (MIC)
摘要：Using Japanese daily scanner data with three billion observations of prices and quantities from 1988 to 2005, this paper investigates micro and macro price dynamics. These data reveal that the frequency of price changes is much larger than that found in standard monthly datasets. The price change frequency exhibits a clear trend and strong across-store heterogeneity, which casts doubts on standard New Keynesian assumptions. The Consumer Price Index (CPI) based on scanner data appears to track ...
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作者：Baeriswyl, Romain; Cornand, Camille
作者单位：Swiss National Bank (SNB); Centre National de la Recherche Scientifique (CNRS); Universites de Strasbourg Etablissements Associes; Universite de Strasbourg
摘要：In an economy affected by shocks that are imperfectly known, the monetary instrument takes on a dual stabilizing role: as a policy response that directly influences the economy and as a vehicle for information that reveals the central bank's assessment to firms. Because mark-up shocks cannot be neutralized by monetary policy, providing firms with more information about these shocks exacerbates their reaction and creates a larger distortion. Recognizing the signaling role of its instrument, the...
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作者：Hryshko, Dmytro; Luengo-Prado, Maria Jose; Sorensen, Bent E.
作者单位：University of Alberta; Northeastern University; University of Houston System; University of Houston
摘要：Homeowners in the Panel Study of Income Dynamics are able to maintain a high level of consumption following job loss (or disability) in periods of rising local house prices while the consumption drop for homeowners who lose their job in times of lower house prices is substantial These results are consistent with homeowners being able to access wealth gains when housing appreciates as witnessed by their ability to smooth consumption more than renters A calibrated model of endogenous homeownersh...
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作者：Danthine, Jean-Pierre; Kurmann, Andre
作者单位：University of Quebec; University of Quebec Montreal
摘要：A reciprocity-based model of wage determination is incorporated into a modern dynamic general equilibrium framework and estimated on U.S. data. The estimation reveals that rent-sharing (between workers and firms) and wage entitlement (based on past wages) are important determinants of wage setting for the model to fit the dynamic responses of output, wages and inflation to various exogenous shocks. Aggregate employment conditions (measuring workers' outside option), on the other hand, are foun...
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作者：King, Robert G.
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作者：Aghion, Philippe; Angeletos, George-Marios; Banerjee, Abhijit; Manova, Kalina
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Harvard University
摘要：How does uncertainty and credit constraints affect the cyclical composition of investment and thereby volatility and growth? This paper addresses this question within a model where firms engage in two types of investment: a short-term one; and a long-term one, which contributes more to productivity growth. Because it takes longer to complete, long-term investment has a relatively less cyclical return; but it also has a higher liquidity risk. The first effect ensures that the share of long-term...
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作者：Patton, Andrew J.; Timmermann, Allan
作者单位：Duke University; University of California System; University of California San Diego
摘要：Key sources of disagreement among economic forecasters are identified by using data on cross-sectional dispersion in forecasters' long- and short-run predictions of macroeconomic variables. Dispersion among forecasters is highest at long horizons where private information is of limited value and lower at short forecast horizons. Moreover, differences in views persist through time. Such differences in opinion cannot be explained by differences in information sets; our results indicate they stem...
