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作者：Aghion, Philippe; Bacchetta, Philippe; Ranciere, Romain; Rogoff, Kenneth
作者单位：Swiss Finance Institute (SFI); University of Lausanne; Harvard University; National Bureau of Economic Research
摘要：The vast empirical exchange rate literature finds the effect of exchange rate volatility on real activity to be small or insignificant. In contrast, this paper offers empirical evidence that real exchange rate volatility can have a significant impact on productivity growth. However, the effect depends critically on a country's level of financial development. The results appear robust to time window, alternative measures of financial development and exchange rate volatility, and outliers. We al...
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作者：Amano, Robert; Moran, Kevin; Murchison, Stephen; Rennison, Andrew
作者单位：Bank of Canada; Laval University
摘要：What are the steady-state implications of inflation in a general-equilibrium model with real per capita output growth and staggered nominal price and wage contracts? Surprisingly, a benchmark calibration implies an optimal inflation rate of -1.9 percent. The analysis also shows that trend inflation has important effects on the economy when combined with nominal contracts and real output growth. Steady-state output and welfare losses are quantitatively important even for low values of trend inf...
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作者：Andolfatto, David; Nosal, Ed
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Simon Fraser University
摘要：The business of money creation is conceptually distinct from that of intermediation. Yet, these two activities are frequently-but not always-combined together in the form of a banking system. We develop a simple model to examine the question: When is banking essential? There is a role for money due to a lack of record-keeping and a role for intermediation due to the existence of private information: both money and intermediation are essential. When monitoring costs associated with intermediati...
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作者：Consolo, Agostino; Favero, Carlo A.
作者单位：Bocconi University
摘要：Empirical estimates of monetary policy reaction functions feature a very high estimated degree of monetary policy inertia. This evidence is very hard of reconcile with the alternative evidence of low predictability of monetary policy rates. In this paper we examine the potential relevance of the problem of weak instruments to correctly identify the degree of monetary policy inertia in forward-looking monetary policy reaction function of the type originally proposed by Taylor [1993. Discretion ...
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作者：Perron, Pierre; Wada, Tatsuma
作者单位：Boston University; Wayne State University
摘要：Trend-cycle decompositions for US real GDP such as the unobserved components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER chronology, ascribes much movements to the trend leaving little to the cycle, and some imply a negative correlation between the noise to the cycle and the trend. We argue that these features are artifacts created by the neglect of a change in the slope of the trend fu...
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作者：De Graeve, Ferre; Emiris, Marina; Wouters, Raf
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas; European Central Bank; National Bank of Belgium
摘要：By expanding the macro part of macro-finance models, historical fluctuations in US bond yields turn out to be largely consistent with the rational expectations hypothesis. We estimate a medium-scale macro-finance DSGE model of the term structure to establish this. Our finding contrasts with existing macro-finance models and suggests that their-small-scale or non-structural-perspective on the macroeconomy mutes expectations, thereby underestimating the expectations hypothesis' potential. Out-of...
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作者：Mathis, Jerome; McAndrews, James; Rochet, Jean-Charles
作者单位：Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Federal Reserve System - USA; Federal Reserve Bank - New York; Universite Federale Toulouse Midi-Pyrenees (ComUE)
摘要：Credit rating agencies (CRAs) are accused of bearing a strong responsibility for contributing to the subprime crisis by having been deliberately too lax in the ratings of some structured products. In response to this accusation, CRAs argue that such an attitude would be too dangerous for them, since their reputation is at stake. The objective of this article is to examine the validity of this argument within a formal model: Are reputation concerns sufficient to discipline rating agencies.? We ...
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作者：Perri, Fabrizio
作者单位：University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
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作者：Faig, Miquel; Li, Zhe
作者单位：University of Toronto; Shanghai University of Finance & Economics
摘要：The monetary search model by Lagos and Wright (2005) is extended with imperfect information about nominal shocks as in Lucas (1972). An analytical solution exists with logarithmic preferences. In general, individuals hold precautionary balances. Calibrated to United States postwar data, the welfare cost of the monetary cycle is calculated to be small (below 0.0003% of GDP) compared to the welfare cost of the inflation tax (around 0.25% of GDP). The main reason for the minute welfare cost of th...
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作者：Boel, Paola; Camera, Gabriele
作者单位：Purdue University System; Purdue University; Bowdoin College
摘要：The welfare cost of anticipated inflation is quantified in a calibrated model of the U.S. economy that exhibits tractable equilibrium dispersion in wealth and earnings. inflation does not generate large losses in societal welfare, yet its impact varies noticeably across segments of society depending also on the financial sophistication of the economy. If money is the only asset, then inflation mostly hurts the wealthier and more productive agents, while those poorer and less productive may eve...
