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作者：Levine, Paul; McAdam, Peter; Pearlman, Joseph
作者单位：European Central Bank; University of Surrey; London Metropolitan University
摘要：Our objectives are: to quantify the stabilization welfare gains from commitment; to examine how commitment to an optimal rule can be sustained as an equilibrium: to find a simple interest rate rule that approximates the optimal commitment one. We utilize an empirical micro-founded euro-area DSGE model, a quadratic approximation of household utility as the welfare criterion, employing a nominal interest rate lower bound. In contrast to previous studies, we find significant commitment stabilizat...
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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：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：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 ...
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作者：Foellmi, Reto; Zweimueller, Josef
作者单位：University of Bern; University of Zurich
摘要：Non-linear Engel-curves for consumer goods cause continuous structural change. Goods are sequentially introduced starting out as a luxury with high income elasticity and ending up as a necessity with low income elasticity. Although this leads to rising and falling sectoral employment shares, the model exhibits a steady growth path along which the Kaldor facts are satisfied. Extending the basic model to the case of endogenous product innovations shows that complementarities between aggregate an...
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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...
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作者：Whelan, Karl
作者单位：University College Dublin
摘要：If asset returns are predictable, then rational expectations and the arithmetic of budget constraints together imply that these predictable changes in returns should affect current consumption. This paper presents a new framework linking consumption, income, and observable assets to expectations of future asset returns. Relative to previous work on this topic, the framework proposed in this paper has a number of advantages including not relying on untestable assumptions concerning unobservable...
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作者：Del Negro, Marco; Schorfheide, Frank
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Pennsylvania
摘要：We discuss prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provide a method for constructing prior distributions for a Subset of these parameters from beliefs about steady-state relationships and second moments of the endogenous variables. The empirical application documents how the specification of the prior distribution affects our assessment of the relative importance of price and wage rigidities in a New Keynesian DSGE model. (C) 2008 Elsev...
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作者：Bergin, Paul R.; Corsetti, Giancarlo
作者单位：University of California System; University of California Davis; European University Institute; Roma Tre University
摘要：The creation of new firms, referred to as the extensive margin, is a significant but overlooked dimension of monetary policy. A monetary VAR documents that monetary policy has significant effects on firm creation. An analytically tractable model combining sticky prices and firm entry shows that entry alters the transmission of monetary policy innovations, acting much like a type of investment in more standard models. Monetary policy rules that offset the uncertainty of productivity shocks can ...
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作者：Mertens, Karel
作者单位：Cornell University
摘要：Establishing the existence and nature of changes in the conduct and transmission of monetary policy is key in understanding the remarkable macroeconomic performance of the US since the mid-1980s. This paper presents evidence on a phenomenon of disintermediation occurring during the major recessions in the 1960s and 1970s, but absent ever since, and shows that disintermediation is closely linked to the existence of deposit rate ceilings under regulation Q. In a monetary DSGE model that incorpor...
