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作者：Cogley, Timothy; Sargent, Thomas J.
作者单位：University of California System; University of California Davis; New York University
摘要：By positing learning and a pessimistic initial prior, we build a model that disconnects a representative consumer's subjective attitudes toward risk from the high price of risk that a rational-expectations econometrician would deduce from financial market data. We follow Friedman and Schwartz [1963. A Monetary History of the United States, 1857-1960. Princeton University Press, Princeton, NJ] in hypothesizing that the Great Depression heightened fears of economic instability. We use a robustne...
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作者：Damjanovic, Tatiana; Damjanovic, Vladislav; Nolan, Charles
作者单位：University of St Andrews
摘要：We develop a simple and intuitive approach for analytically deriving unconditionally optimal (UO) policies, a topic of enduring interest in optimal monetary policy analysis. The approach can be employed in both general linear-quadratic problems and in the underlying non-linear environments. A detailed example is provided using a canonical New Keynesian framework. (C) 2008 Elsevier B.V. All rights reserved.
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作者：Mills, David C., Jr.; Nesmith, Travis D.
作者单位：Federal Reserve System - USA
摘要：What drives the intraday patterns of settlement in payment and securities settlement systems? Using a model of the strategic interaction of participants in these systems to capture some stylized facts about the Federal Reserve's Fedwire funds and securities systems, this paper identifies three factors that influence a participant's decision on when to send transactions intraday: cost of intraday liquidity, extent of settlement risk, and system design. With these factors, the model can make pre...
