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作者：Cochrane, John H.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：McCallum (2009) argues that learnability can save new-Keynesian models from indeterminacies. He claims the unique bounded equilibrium is learnable, and the explosive equilibria are not. However, he assumes that agents can directly observe the monetary policy shock. Reversing this assumption, I find the opposite: the bounded equilibrium is not learnable and the unbounded equilibria are learnable. More generally, I argue that a threat by the Fed to move to an unlearnable equilibrium for all but ...
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作者：Favara, Giovanni; Giordani, Paolo
作者单位：University of Lausanne
摘要：New Keynesian models of monetary policy downplay the role of monetary aggregates, in the sense that the level of output, prices, and interest rates can be determined without knowledge of the quantity of money. This paper evaluates the empirical validity of this prediction by studying the effects of shocks to monetary aggregates using a vector autoregression (VAR). Shocks to monetary aggregates are identified by the restrictions suggested by New Keynesian monetary models. Contrary to the theore...
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作者：Kleshchelski, Isaac; Vincent, Nicolas
作者单位：Universite de Montreal; HEC Montreal; Washington University (WUSTL)
摘要：Survey evidence shows that the main reason why firms keep prices stable is that they are concerned about losing customers or market share. We construct a general equilibrium model in which firms care about the size of their customer base. Firms and customers form long-term relationships because consumers incur costs to switch sellers. In an environment with sectoral productivity shocks, we show that cost pass-through is a non-monotonic function of the size of switching costs. Specifically, pri...
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作者：Rudanko, Leena
作者单位：Boston University
摘要：Recent research seeking to explain the strong cyclicality of US unemployment emphasizes the role of wage rigidity. This paper proposes a micro-founded model of wage rigidity-an equilibrium business cycle model of job search, where risk neutral firms post optimal long-term contracts to attract risk averse workers. Equilibrium contracts feature wage smoothing, limited by the inability of parties to commit to contracts. The model is consistent with aggregate wage data if neither worker nor firm c...
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作者：Quadrini, Vincenzo
作者单位：University of Southern California
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作者：Bohn, Henning
作者单位：University of California System; University of California Santa Barbara
摘要：Risk-sharing implications of alternative fiscal policies are compared in a stochastic production economy with overlapping generations. Ex ante efficiency is shown to be achievable with optimal transfers, regardless of distributional concerns. For CRRA preferences, stylized real-world policies (notably safe debt and safe pensions) are found inefficient in the direction of imposing not enough productivity risk on retirees and too much on future generations. Safe transfers can be rationalized as ...
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作者：Benmelech, Efraim; Dlugosz, Jennifer
作者单位：Harvard University; National Bureau of Economic Research; Harvard University
摘要：Collateralized loan obligations (CLOs) were one of the largest and fastest growing segments of the structured finance market, fueling the 2003-2007 boom in syndicated loans and leveraged buyouts. The credit crisis brought CLO issuance to a halt, and as a result the leveraged loan market dried up. Similar to other structured finance products, investors in CLOs rely heavily on credit rating provided by the rating agencies, yet little is known about CLO rating practices. This paper attempts to fi...
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作者：Guerron-Quintana, Pablo A.
作者单位：North Carolina State University
摘要：A forward-looking model of the demand for money based on heterogeneous and sluggish-portfolio adjustment can simultaneously account for the low short-run and high long-run semi-elasticities reported in the literature. The parameter estimates from the model for the short-run and long-run interest semi-elasticities are 1.04 and 13.16, respectively. A Simulated version of the model suggests that the Great Moderation can be partially attributed to financial innovations in the late 1970s. When movi...
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作者：Sveen, Tommy; Weinke, Lutz
作者单位：Norges Bank; Humboldt University of Berlin; Duke University
摘要：We demonstrate that the presence of an empirically plausible labor adjustment decision at the firm level rationalizes strategic complementarities in price-setting which help explain inflation dynamics. Those strategic complementarities are typically assumed away in the related existing literature. This motivates our revisiting of inflation and labor market dynamics. (C) 2009 Elsevier B.V. All rights reserved.
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作者：Skreta, Vasiliki; Veldkamp, Laura
作者单位：New York University
摘要：Many identify inflated credit ratings as one contributor to the recent financial-market turmoil. We develop an equilibrium model of the market for ratings and use it to examine possible origins of and cures for ratings inflation. In the model, asset issuers can shop for ratings-observe multiple ratings and disclose only the most favorable-before auctioning their assets. When assets are simple, agencies' ratings are similar and the incentive to ratings shop is low. When assets are sufficiently ...
