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作者：Alexopoulos, Michelle; Cohen, Jon
作者单位：University of Toronto
摘要：New indicators of technological change in the US based on information drawn from the catalogue of the Library of Congress for the period 1909-1949 are developed and used to pinpoint the relationship, first, between technical change and economic activity, and, second, between fluctuations in innovative activity and the Great Depression. Although links between technological change, output and productivity are found, results suggest that the slowdown in technological progress in the early 1930s d...
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作者：Faia, Ester
作者单位：Goethe University Frankfurt; Leibniz Association; Institut fur Weltwirtschaft an der Universitat Kiel (IFW)
摘要：Traditional New Keynesian models prescribe that optimal monetary policy should aim at price stability. In the absence of a labor market frictions, the monetary authority faces no unemployment/inflation trade-off. The design of optimal monetary policy is analyzed here for a framework with sticky prices and matching frictions in the labor market. Optimal policy features deviations from price stability in response to both productivity and government expenditure shocks. When the Hosios [1990. On t...
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作者：Gilchrist, Simon; Yankov, Vladimir; Zakrajsek, Egon
作者单位：Boston University; National Bureau of Economic Research
摘要：To identify disruptions in credit markets, research on the role of asset prices in economic fluctuations has focused on the information content of various corporate credit spreads. We re-examine this evidence using a broad array of credit spreads constructed directly from the secondary bond prices on outstanding senior unsecured debt issued by a large panel of nonfinancial firms. An advantage of our ground-up approach is that we are able to construct matched portfolios of equity returns, which...
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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：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：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：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：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：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：Beechey, Meredith J.; Wright, Jonathan H.
作者单位：Johns Hopkins University; Sveriges Riksbank
摘要：Macroeconomic news announcements move yields and forward rates on nominal and index-linked bonds and inflation compensation. This paper estimates the reactions using high-frequency data on nominal and index-linked bond yields, allowing the effects of news announcements on real rates and inflation compensation to be parsed far more precisely than is possible using daily data. Long-term nominal yields and forward rates are very sensitive to macroeconomic news announcements. Inflation compensatio...
