-
作者：Piazzesi, Monika; Swanson, Eric T.
作者单位：National Bureau of Economic Research; University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Many researchers have used federal funds futures rates as measures of financial markets' expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment. In this paper, we document that excess returns on federal funds futures have been positive on average and strongly countercyclical. In parti cular, excess returns are surprisingly well predicted by macroeconomic indicators such as employment growth and finan...
-
作者：Thapar, Aditi
作者单位：New York University
摘要：I develop a methodology that uses the forecasts of market participants and of policy makers to estimate the effects of monetary policy on output and inflation. My approach has advantages over the standard practice of fitting a vector autoregression to the data. I apply my methodology to data on output, interest rates and prices. I find that, even using the Federal Reserve Board's Greenbook forecasts to control for the policy maker's information set, prices rise initially in response to a monet...
-
作者：Gollin, Douglas
作者单位：Williams College
摘要：In most poor countries, small firms and self-employment are the dominant forms of business enterprise-even in the manufacturing sector. For rich countries, in contrast, self-employed people account for very small shares of manufacturing employment and output. This paper builds on Lucas [1978. On the size distribution of business firms. Bell Journal of Economics 9(2), 508-523] to ask whether structural changes of this kind are driven by productivity differences. A model, calibrated to Japanese ...
-
作者：Rudebusch, Glenn D.; Swanson, Eric T.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the bond premium puzzle. We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to the data. We find that introducing long-memory habits in consumption as well as labor market frictions can help fit the term premium, but only by serious...
-
作者：Rotemberg, Julio J.
作者单位：Harvard University
-
作者：Athreya, Kartik B.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：The widespread use of debt and default suggests that unsecured credit markets play an important role in consumption smoothing. In this paper, I address two previously unanswered questions. First, how does policy towards debt default affect the evolution of consumption and net worth over the life-cycle? Second, how does debt default policy interact with social insurance over the life-cycle? The findings are as follows. First, US default policy appears lax, in the sense that it creates severe cr...
-
作者：Nelson, Edward; Schwartz, Anna J.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; National Bureau of Economic Research
摘要：We provide a brief rejoinder to Krugman [2008, Response to Nelson and Schwartz journal. of Monetary Economics 55, this issue] on three issues that are central to his original New York Review ofBooks article and his reply to our setting the record straight: (i) criticisms of Friedman; (ii) criticisms of monetarism; and (iii) interpretations of histor y. (c) 2008 Elsevier BY. All rights reserved.
-
作者：Jaimovich, Nir; Floetotto, Max
作者单位：Stanford University; National Bureau of Economic Research
摘要：We present a model in which net business formation is endogenously procyclical. Variations in the number of operating firms lead to countercyclical variations in markups that give rise to endogenous procyclical movements in measured total factor productivity (TFP). Based oil this result, the paper suggests a simple structural decomposition of variations in TFP into those originating from exogenous shocks and those originating endogenously from the interaction between firms' entry and exit deci...
-
作者：Nelson, Edward; Schwartz, Anna J.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; National Bureau of Economic Research
摘要：Paul Krugman's essay Who Was Milton Friedman? seriously mischaracterizes Friedman's economics and his legacy. In this paper, we provide a rejoinder to Krugman on these issues. In the course of setting the record straight, we provide a self-contained guide to Milton Friedman's impact on modern monetary economics and on today's central banks. We also refute the conclusions that Krugman draws about monetary policy from the experiences of the United States in the 1930s and of Japan in the 1990s. (...
-
作者：Antinolfi, Gaetano; Kawamura, Enrique
作者单位：Washington University (WUSTL)
摘要：Modern financial sectors consist of banks, asset markets and a central bank. This paper builds a model where these institutions provide different financial services, and their interaction supports efficient allocations. When one institution is missing equilibria are, by construction, inefficient. The paper analyzes how interest rates and asset prices depend on the structure of the financial sector and characterizes the central bank policy that supports efficient allocations. The analysis relie...
