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作者：Sterk, Vincent
作者单位：European Central Bank; De Nederlandsche Bank NV; Vrije Universiteit Amsterdam; University of Amsterdam
摘要：Frictions in lending between households have been proposed as a Solution to the difficulties new-Keynesian models have in predicting a decline ill both durable and nondurable consumption following a monetary tightening. By revisiting a standard new-Keynesian framework with collateral constraints, it is shown that the presence Of Such credit frictions in fact makes it more difficult to generate the joint decline. The intuitive reasons behind this result are provided, which should be helpful in ...
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作者：Justiniano, Alejandro; Primiceri, Giorgio E.; Tambalotti, Andrea
作者单位：Northwestern University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：The origins of business cycles are still controversial among macroeconomists. This paper contributes to this debate by studying the driving forces of fluctuations in an estimated new neoclassical synthesis model of the U.S. economy. In this model, most of the variability of output and hours at business cycle frequencies is due to shocks to the marginal efficiency of investment. Imperfect competition and, to a lesser extent, technological frictions are the key to their transmission. Although la...
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作者：Belo, Frederico
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：A stochastic discount factor for asset returns is recovered from equilibrium marginal rates of transformation inferred from producers' first-order conditions. The marginal rate of transformation implies a novel macro-factor asset pricing model that does a reasonable job explaining the cross-sectional variation in average stock returns with plausible parameter Values. Using a flexible representation of firms' production technology, producers' ability to transform output across states of nature ...
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作者：Forni, Mario; Gambetti, Luca
作者单位：Universita di Modena e Reggio Emilia; Autonomous University of Barcelona
摘要：A structural factor model for 112 US monthly macroeconomic series is used to study the effects of monetary policy. Monetary policy shocks are identified using a standard recursive scheme, in which the impact effects on both industrial production and prices are zero. The main findings are the following. First, the maximal effect oil bilateral real exchange rates is observed on impact, so that the delayed overshooting puzzle disappears. Second, after a contractionary shock prices fall at all hor...
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作者：Rodrigues, Mauro
作者单位：Universidade de Sao Paulo
摘要：Despite Latin America's dismal performance between the 1950s and 1980s, the region experienced strong capital deepening. We suggest that these facts can be explained as a consequence of the restrictive trade regime adopted at that time. Our framework is based on a dynamic Heckscher-Ohlin model, with scale economies in the capital-intensive sector. Initially, the economy is open and produces only the labor-intensive good. The trade regime is modeled as a move to a closed economy. The model prod...
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作者：Iskrev, Nikolay
作者单位：Banco de Portugal
摘要：The issue of identification arises whenever, structural models are estimated. Lack of identification means that the empirical implications of some model parameters are either undetectable or indistinguishable from the implications of other parameters. Therefore, identifiability most be verified prior to estimation. This paper provides a simple method for conducting local identification analysis in linearized DSGE models, estimated in both full and limited information settings. In addition to e...
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作者：Graham, Liam; Wright, Stephen
作者单位：University of London; University College London; University of London; Birkbeck University London
摘要：Information is market-consistent if agents only use market prices to infer the underlying states of the economy. This paper applies this concept to a stochastic growth model with incomplete markets and heterogeneous agents. The economy with market-consistent information can never replicate the full information equilibrium, and there are substantial differences in impulse responses to aggregate productivity shocks. These results are robust to the introduction of a noisy public signal and aggreg...
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作者：Casares, Miguel
作者单位：Universidad Publica de Navarra
摘要：The introduction of both market-clearing wages and nominal rigidities on wage setting call be used to rationalize unemployment as excess supply of labor in the New Keynesian model. As a result, wage inflation dynamics are forward-looking and depend negatively oil the rate of unemployment. Moreover, both price inflation and wage inflation evolve as indicated by equations equivalent to those obtained in Erceg et al. (2000), though with different slope coefficients. In all equal-volatility compar...
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作者：Crowe, Christopher
作者单位：International Monetary Fund
摘要：Using inflation forecast data for 11 IT adoption countries, IT adoption is found to promote convergence in forecast errors, suggesting that it enhances transparency. This result, Which is subjected to several robustness checks and found to be robust, supports Morris and Shin's (2002) contention that better public information is most beneficial for forecasters with bad private information. However, it does not Support their hypothesis that better public information could make private forecasts ...
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作者：Green, Edward J.; Zhou, Ruilin
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：In a random-matching economy of traders who maximize cumulative consumption (overtaking criterion), the stationary, Markov, Bayesian-perfect equilibrium is studied. At Such equilibrium two results hold: (1) perfect substitutability between current and future consumption implies a no-surplus condition; and (2) by the no-surplus condition, there is a nominal price at which all trades must Occur. These results strengthen the seminal results of Ostroy (1973) regarding monetary bilateral exchange i...
