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作者：Smith, Josephine M.; Taylor, John B.
作者单位：Stanford University
摘要：A formula is derived that links the coefficients of the monetary policy rule for the short-term interest rate to the coefficients of the implied affine equations for long-term interest rates. The formula predicts that an increase in the coefficients in the monetary policy rule will lead to an increase in the coefficients in the affine equations. Empirical evidence for such a prediction is provided. The curve of the response coefficients by maturity is also predicted by the formula. The formula...
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作者：Bianchi, Francesco; Mumtaz, Haroon; Surico, Paolo
作者单位：Bank of England; Princeton University
摘要：The conduct of monetary policy, the term structure of interest rates and the structure of the economy in the UK have changed over the post-WWII period. We model the interaction between the macroeconomy and financial markets using a time-varying VAR augmented with the factors from the yield curve. There is evidence of a great moderation in the dynamics of the yield curve, with the factors being persistent and volatile before the introduction of inflation targeting in 1992 but becoming stable af...
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作者：Ashcraft, Adam B.; Santos, Joao A. C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Many have claimed that credit default swaps (CDSs) have lowered the cost of debt financing to firms by creating new hedging opportunities and information for investors. This paper evaluates the impact that the onset of CDs trading has on the spreads that underlying firms pay to raise funding in the corporate bond and syndicated loan markets. Employing a range of methodologies, we fail to find evidence that the onset of CDS trading lowers the cost of debt financing for the average borrower. Fur...
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作者：Jeske, Karsten; Kitao, Sagiri
作者单位：University of Southern California
摘要：The U.S. tax policy on health insurance is regressive because it subsidizes only those offered group insurance through their employers, who also tend to have a relatively high income. Moreover, the subsidy takes the form of deductions fro m the progressive income tax system giving high income earners a larger subsidy. To understand the effect of the policy, we construct a dynamic general equilibrium model with heterogenous agents and an endogenous demand for health insurance. A complete remova...
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作者：Smith, Anthony A., Jr.
作者单位：Yale University
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作者：Klein, Paul; Ventura, Gustavo
作者单位：University of Iowa; Western University (University of Western Ontario); Stockholm University
摘要：Barriers to labor mobility across countries coexist with substantial differences in living standards largely attributable to productivity differences. A growth model with endogenous labor movements is used to assess the effects on output, capital accumulation and welfare of removing barriers to labor mobility. The model is parameterized so that it is consistent with evidence on historical labor movements, and is applied to two cases: the enlargement of the European Union and the (hypothetical)...
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作者：King, Robert G.
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作者：Spatt, Chester
作者单位：Carnegie Mellon University; National Bureau of Economic Research; Carnegie Mellon University
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作者：Nolan, Charles; Thoenissen, Christoph
作者单位：University of St Andrews
摘要：Employing the financial accelerator (FA) model of Bernanke et al. [1999. The Financial accelerator in a quantitative business cycle framework. In: Taylor. J.B.. Woodford, M. (Eds.), Handbook of Macroeconomics, vol. 1C. Handbooks in Economics, vol. 15. Elsevier, Amsterdam, pp. 1341-1393] enhanced to include a shock to the FA mechanism, we construct and study shocks to the efficiency of the financial sector during post-war US business cycles. These shocks are found to (i) be very tightly linked ...
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作者：Mackowiak, Bartosz; Moench, Emanuel; Wiederholt, Mirko
作者单位：Northwestern University; European Central Bank; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：In the median sector, 100 percent of the long-run response of the sectoral price index to a sector-specific shock occurs in the month of the shock. The standard Calvo model and the standard sticky-information model can match this finding only under extreme assumptions concerning the profit-maximizing price. The rational-inattention model of Mackowiak and Wiederholt [2009a. Optimal sticky prices under rational inattention. American Economic Review 99, 769-803] can match this finding without an ...
