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作者：Peck, James; Shell, Karl
作者单位：University System of Ohio; Ohio State University; Cornell University
摘要：Restrictions placed on bank portfolios are analyzed in a banking model designed to capture the role of checking accounts in facilitating transactions. Forcing banks to hold only liquid assets creates the incentive for liquidity-based runs. Even when a run does not occur, welfare is reduced as a result of overinvestment in the liquid asset. (C) 2010 Elsevier B.V. All rights reserved.
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作者：Bali, Turan G.; Engle, Robert F.
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University
摘要：The intertemporal capital asset pricing model of Merton (1973) is examined using the dynamic conditional correlation (DCC) model of Engle (2002). The mean-reverting DCC model is used to estimate a stock's (portfolio's) conditional covariance with the market and test whether the conditional covariance predicts time-variation in the stock's (portfolio's) expected return. The risk-aversion coefficient, restricted to be the same across assets in panel regression, is estimated to be between two and...
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作者：Dong, Mei; Jiang, Janet Hua
作者单位：University of Manitoba
摘要：The set of incentive-feasible allocations is examined in a dynamic quasi-linear environment where agents lack commitment and have private information over their idiosyncratic characteristics. When record-keeping is available, the first-best allocation is implementable in a set of sufficiently patient economies. When record-keeping is limited to one money, this set is strictly smaller except when private information is absent. When record-keeping is expanded, but limited to two monies, the set ...
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作者：Kuester, Keith
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Frictional unemployment means that workers, for some time, are a firm-specific factor of production. This paper models the resulting interaction of wage bargaining and price setting at the firm level in a New Keynesian model with labor market matching frictions. Real rigidities arise and the labor share ceases to be a good proxy for marginal costs. The model replicates the impulse responses of an SVAR for U.S. data better than alternatives in which the real rigidities arising at the firm level...
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作者：Chiu, Jonathan; Molico, Miguel
作者单位：Bank of Canada
摘要：The long-run welfare costs of inflation are studied in a micro-founded model with trading frictions and costly liquidity management. By modelling the liquidity management decision, the model endogenizes the responses of velocity, output, the degree of market segmentation, and the distribution of money. Compared to the traditional estimates based on a representative agent model, the welfare costs of inflation are significantly smaller due to distributional effects of inflation. The welfare cost...
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作者：Auer, Raphael; Fischer, Andreas M.
作者单位：Princeton University; Swiss National Bank (SNB)
摘要：The effect of import competition from low-wage countries on U.S. inflationary pressure is estimated using a new methodology that identifies the causal response of prices to comparative advantage-induced supply shocks in these nations. The results of a panel covering 325 manufacturing industries from 1997 to 2006 show that imports from nine low-wage countries are associated with strong downward pressure on prices. When these nations capture a 1% share of the U.S. sector, the sector's producer p...
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作者：Ferrero, Andrea
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The US external deficits have been the most striking manifestation of global imbalances. This paper investigates the contribution of productivity growth, demographics and fiscal policy in accounting for the evolution of the US external imbalances against industrialized countries during the last three decades. Productivity growth plays a dominant role. Demographics explain a non-negligible and nearly permanent component of the US trade deficit. Furthermore, the international demographic transit...
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作者：Ennis, Huberto M.; Keister, Todd
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; Federal Reserve System - USA; Federal Reserve Bank - New York; European University Institute
摘要：When policy makers have limited commitment power, self-fulfilling bank runs can arise as an equilibrium phenomenon. We study how such banking panics unfold in a version of the Diamond and Dybvig (1983) model. A run in this setting is necessarily partial, with only some depositors participating. In addition, a run naturally occurs in waves, with each wave of withdrawals prompting a further response from policy makers. In this way, the interplay between the actions of depositors and the response...
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作者：Sabelhaus, John; Song, Jae
作者单位：University System of Maryland; University of Maryland College Park
摘要：Between 1980 and the early 1990s the variability of labor earnings growth rates across the prime-age working population fell significantly. This decline and timing are consistent with other macro and micro observations about growth variability that are collectively referred to as the Great Moderation. The variability of earnings growth is negatively correlated with age at any point in time, and the U.S. working age population got older during this period because the Baby Boom was aging. Howeve...
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作者：Sustek, Roman
作者单位：University of Iowa
摘要：A monetary aggregate consisting predominantly of zero-maturity deposits, called MZM, tends to systematically lead output in the US business cycle. Such fluctuations are observed both before and after the 1979 monetary policy change. Similar dynamics are obtained in a model with multi-stage production and purchase-size heterogeneity when agents optimally choose their mix of cash, checkable, and time deposits used in transactions. The causality in the model runs from real activity to money, rath...
