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作者：Chevillon, Guillaume; Massmann, Michael; Mavroeidis, Sophocles
作者单位：Brown University; Vrije Universiteit Amsterdam; ESSEC Business School; Institut Polytechnique de Paris; ENSAE Paris
摘要：Identification of structural parameters in models with adaptive learning can be weak, causing standard inference procedures to become unreliable. Learning also induces persistent dynamics, and this makes the distribution of estimators and test statistics non-standard. Valid inference can be conducted using the Anderson-Rubin statistic with appropriate choice of instruments. Application of this method to a typical new Keynesian sticky-price model with perpetual learning demonstrates its usefuln...
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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：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：Dennis, Richard
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：The monetary policy literature assumes increasingly that policy is formulated according to the timeless perspective (Woodford, 1999a). However, by treating appropriately the auxiliary state variables that characterize the timeless perspective equilibrium when evaluating policy performance, this paper shows that discretionary policymaking can be superior to timeless perspective policymaking and identifies model features that make this outcome more likely. Using standard New Keynesian DSGE model...
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作者：Bekaert, Geert; Engstrom, Eric
作者单位：Columbia University; National Bureau of Economic Research
摘要：The so-called Fed model postulates that the dividend or earnings yield on stocks should equal the yield on nominal Treasury bonds, or at least that the two should be highly correlated. In US data there is indeed a strikingly high time series correlation between the yield on nominal bonds and the dividend yield on equities. This positive correlation is often attributed to the fact that both bond and equity yields comove strongly and positively with expected inflation. Contrary to some of the ex...
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作者：Bech, Morten L.; Chapman, James T. E.; Garratt, Rodney J.
作者单位：Bank of Canada; Federal Reserve System - USA; Federal Reserve Bank - New York; University of California System; University of California Santa Barbara
摘要：Liquidity flows through a financial network cannot be accurately described using external processing constraints alone. Behavioral aspects of participants also matter. A method similar to Google's PageRank procedure is used to produce a ranking of participants in the Canadian Large Value Transfer System in terms of their daily liquidity holdings. Accounting for differences in banks' processing speeds is essential for explaining why observed distributions of liquidity differ from the initial di...
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作者：Gust, Christopher; Leduc, Sylvain; Vigfusson, Robert
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Over the past 20 years, U.S. import prices have become less responsive to the exchange rate. We propose that a significant portion of this decline is a result of increased trade integration. To illustrate this effect, we develop an open economy DGE model featuring demand curves with variable elasticities so that a firm's pricing decision depends on its competitors' prices. As a result, a foreign exporter finds it optimal to vary its markup in response to shocks that change the exchange rate, i...
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作者：Neiman, Brent
作者单位：University of Chicago
摘要：About 40 percent of all U.S. international trades occurs between related parties, or intrafirm, such as trades between a parent and subsidiary of the same multinational corporation. This paper uses a transaction-level dataset that distinguishes arm's length from intrafirm trades to demonstrate that for differentiated products, intrafirm prices are characterized by (1) less stickiness, (2) less synchronization, and (3) greater exchange rate passthrough. (C) 2010 Elsevier B.V. All rights reserved.
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作者：Gorodnichenko, Yuriy; Ng, Serena
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; Columbia University
摘要：Dynamic stochastic general equilibrium (DSGE) models are often solved and estimated under specific assumptions as to whether the exogenous variables are difference or trend stationary. However, even mild departures of the data generating process from these assumptions can severely bias the estimates of the model parameters. This paper proposes new estimators that do not require researchers to take a stand on whether shocks have permanent or transitory effects. These procedures have two key fea...
