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作者：Eeckhoudt, Louis; Schlesinger, Harris
作者单位：University of Alabama System; University of Alabama Tuscaloosa; IESEG School of Management; University of Munich
摘要：How does risk affect saving? Empirical work typically examines the effects of detectible differences in risk within the data. How these differences affect saving in theoretical models depends on the metric one uses for risk. For labor-income risk, second-degree increases in risk require prudence to induce increased saving demand. However, prudence is not necessary for first-degree risk increases and not sufficient for higher-degree risk increases. For increases in interest-rate risk, a precaut...
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作者：Schorfheide, Frank
作者单位：University of Pennsylvania
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作者：Chowdhury, Ibrahim; Schabert, Andreas
作者单位：Swiss National Bank (SNB); Dortmund University of Technology; Tinbergen Institute
摘要：Federal Reserve nonborrowed reserve supply systematically responded to changes in inflation and in the output gap over the period 1969-2000. While the feedback from output gap is always negative, the response of money supply to changes in inflation varies considerably across time. Nonborrowed reserves decreased with inflation in the post1979 period and increased in the pre-1979 period. Applying a standard macro-model, the estimated reaction functions are shown to ensure equilibrium determinacy...
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作者：Broner, Fernando A.
作者单位：Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University
摘要：The first generation models of currency crises have often been criticized because they predict that, in the absence of very large triggering shocks, currency attacks should be predictable and lead to small devaluations. This paper shows that these features of first generation models are not robust to the inclusion of private information. In particular, this paper analyzes a generalization of the Krugman-Flood-Garber (KFG) model, which relaxes the assumption that all consumers are perfectly inf...
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作者：Andolfatto, David; Hendry, Scott; Moran, Kevin
作者单位：Laval University; Simon Fraser University; Bank of Canada
摘要：Several recent papers report evidence of an apparent statistical bias in inflation expectations and interpret these findings as overturning the rational expectations hypothesis. In this paper, we investigate the validity of such an interpretation. We present a computational dynamic general equilibrium model capable of generating aggregate behavior similar to the data alone several dimensions. By construction, model agents form rational expectations. We run a standard regression on equilibrium ...
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作者：Cordoba, Juan-Carlos
作者单位：Rice University
摘要：To examine the role of debt constraints and incomplete asset markets (lack of insurance markets) in explaining U.S. inequality. we run horse races between competing models. For a widely used model, we decompose inequality into its fundamental driving forces. The underlying source of inequality in all models is uninsurable idiosyncratic risk. Both debt constraints and incomplete asset markets are needed to account for inequality, but asset market incompleteness is the key friction. It better ac...
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作者：Moore, Michael J.; Roche, Maurice J.
作者单位：Queens University Belfast; Maynooth University; Queens University - Canada
摘要：The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence. Two methodologies are employed to explore this model's ability to generate volatile and persistent exchange rates. In the first, actual data is used for the exogenous driving processes. In the second, the model is simulated using estimated forcing processes. The theory, in both cases, is capable of explaining the high volatility and persistence of real and nominal exchange rat...
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作者：Hamilton, James D.
作者单位：University of California System; University of California San Diego
摘要：The conventional notion of a monetary policy shock as a surprise change in the fed funds rate is misspecified. The primary news for market participants is not what the Fed just did, but is instead new information about the Fed's future intentions. Revisions in these anticipations show tip instantaneously in long-term mortgage rates. Home sales do not respond until much later. This paper attributes this delay-and hence Much of the hump-shaped response of economic activity to monetary policy-to ...
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作者：Giannone, Domenico; Reichlin, Lucrezia; Small, David
作者单位：European Central Bank
摘要：A tormal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method can track the real-time flow of the type of information monitored by central banks because it can handle large data sets with staggered data-release dates. Each time new data are released, the nowcasts are updated on the basis of progressively larger data sets that, reflecting the unsynchronized dat...
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作者：Kurozumi, Takushi
作者单位：Bank of Japan
摘要：In recent monetary policy literature, optimal commitment policy and its variant from a timeless perspective have been studied with emphasis on welfare gains from policy commitment. These policies, however, involve a time-consistency problem called a stabilization bias in forward-looking models. We analyze Chad and Kehoe's [1990. Sustainable plans. journal of Political Economy 98, 783-802] Sustainable equilibrium and examine optimal sustainable policy, i.e. a policymaker's strategy in the best ...
