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作者：Canova, Fabio; Sala, Luca
作者单位：Pompeu Fabra University; ICREA; Centre de Recerca en Economia Internacional (CREI); Bocconi University; Bocconi University
摘要：We investigate identification issues in DSGE models and their consequences for parameter estimation and model evaluation when the objective function measures the distance between estimated and model-based impulse responses. Observational equivalence, partial and weak identification problems are widespread and typically produced by an ill-behaved mapping between the structural parameters and the coefficients of the solution. Different objective functions affect identification and small samples ...
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作者：Den Haan, Wouter J.; Kaltenbrunner, Georg
作者单位：University of Amsterdam; Vrije Universiteit Amsterdam; Centre for Economic Policy Research - UK
摘要：In a business cycle model that incorporates a standard matching framework, employment increases in response to news shocks, even though the wealth effect associated with the increase in expected productivity reduces labor force participation. The reason is that the matching friction induces entrepreneurs to increase investment ill new projects and vacancies early. If there is underinvestment in new projects ill the competitive equilibrium, then the efficiency gains associated with all increase...
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作者：Roberds, William; Schreft, Stacey L.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：An environment is analyzed in which agents join clubs (payment networks) in order to facilitate trade. The networks compile personal identifying data (PID) so as to match transactors to transactions histories. Technological limitations cause the networks' data management practices to impact each other's incidence and costs of identity theft. Too much data collection and too little security arise in equilibrium with noncooperative networks compared to the efficient allocation. A number of poten...
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作者：Ashcraft, Adam B.
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作者：Dupor, Bill; Han, Jing; Tsai, Yi-Chan
作者单位：University System of Ohio; Ohio State University
摘要：Researchers have used unanticipated changes to monetary policy to identify preference and technology parameters of macroeconomic models. This paper uses changes in technology to identify the same set of parameters. Estimates based on technology shocks differ substantially from those based on monetary policy shocks. In the post-World War II United States, a positive technology shock reduces inflation and increases hours worked, significantly and rapidly in both cases. Relative to policy shock i...
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作者：Bjornland, Hilde C.; Leitemo, Kai
作者单位：BI Norwegian Business School; Norges Bank; Bank of Finland
摘要：We estimate the interdependence between US monetary policy and the S&P 500 using structural vector autoregressive (VAR) methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature [Christiano, L.J., Eichenbaum, M., Evans, C.L., 1999. Monetary policy shocks: what have we learned a...
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作者：Aguiar, Mark
作者单位：University of Rochester
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作者：Pistaferri, Luigi
作者单位：Stanford University
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作者：Comin, Diego; Mulani, Sunil
作者单位：Harvard University; National Bureau of Economic Research
摘要：We present an endogerrous growth model that explains the evolution of the first and second moments of productivity growth at the aggregate and firm level during the postwar period. Growth is driven by the development of both (i) idiosyncratic R&D innovations and (ii) general innovations that can be freely adopted by many firms. Firm-level volatility is affected primarily by the Schumpeterian dynamics associated with the development of R&D innovations. The variance of aggregate productivity gro...
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作者：Lu, Biao; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We extract two systematic economic factors from a wide array of noisy and sparsely observed macroeconomic releases, and link the dynamics and market prices of the two factors to the interest rate term structure. The two factors predict 77.9-82.1% of the daily variation in LIBOR and swap rates from one month to 10 years. Shocks on inflation-related releases have large, positive impacts on interest rates of all maturities, leading to parallel shifts of the yield curve, but shocks on output-relat...
