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作者：Huang, Kevin X. D.; Liu, Zheng
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Vanderbilt University; Emory University
摘要：International trade in intermediate inputs and, increasingly, in goods produced at multiple stages of processing has been widely studied in the real trade literature. We assess the role of this feature of modern world trade in accounting for some stylized facts about international business cycles. Our model with staggered prices and trade in intermediates across four stages of processing does well in explaining the observed international correlations in aggregate quantities, and it performs mu...
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作者：Nosal, Ed; Wallace, Neil
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：A simple matching-model of money with the potential for counterfeiting is constructed. In contrast to the existing literature, lotteries are included. These provide scope for the operation of the intuitive criterion of Cho and Kreps. The application of that refinement is shown to imply that there is no equilibrium with counterfeiting. If the cost of producing counterfeits is low enough, then there is no monetary equilibrium. Otherwise, there is a monetary equilibrium without counterfeiting. In...
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作者：Adam, Klaus
作者单位：European Central Bank; Centre for Economic Policy Research - UK
摘要：This paper determines optimal nominal demand policy in a flexible price economy in which firms pay limited attention to aggregate variables. Firms' inattentiveness gives rise to idiosyncratic information errors and imperfect common knowledge about the shocks hitting the economy. This is shown to have strong implications for optimal nominal demand policy. In particular, if firms' prices are strategic complements and economic shocks display little persistence, monetary policy has strong real eff...
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作者：Basistha, Arabinda; Nelson, Charles R.
作者单位：University of Washington; University of Washington Seattle; West Virginia University
摘要：Forward-looking versions of the New Keynesian Phillips curve imply that the output gap, the deviation of the actual output from its natural level due to nominal rigidities, drives the dynamics of inflation relative to expected inflation. We exploit this to set up a bivariate unobserved component model for extracting new estimates of the output gap in the US. The gap estimates are large and persistent even after allowing for correlated trend and cycle shock. We then augment our model to use the...
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作者：Schaumburg, Ernst; Tambalotti, Andrea
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Northwestern University
摘要：We propose a simple framework for analyzing a continuum of monetary policy rules characterized by differing degrees of credibility, in which commitment and discretion become special cases of what we call quasi-commitment. The monetary policy authority is assumed to formulate optimal commitment plans, to be tempted to renege on them, and to succumb to this temptation with a constant exogenous probability known to the private sector. By interpreting this probability as a continuous measure of th...
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作者：Storesletten, Kjetil
作者单位：University of Oslo
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作者：Edge, Rochelle M.; Laubach, Thomas; Williams, John C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：An extensive literature has analyzed the macroeconomic effects of shocks to the level of aggregate productivity; however, there has been little corresponding research on sustained shifts in the growth rate of productivity. In this paper, we examine the effects of shocks to productivity growth in a dynamic general equilibrium model where agents do not directly observe whether shocks are transitory or persistent. We show that an estimated Kalman filter model using real-time data describes econom...
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作者：Fernald, John G.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Structural vector autoregressions with long-run restrictions are extraordinarily sensitive to low-frequency correlations. Recent literature finds that the estimated effects of technology shocks are sensitive to how one treats hours per capita. However, after allowing for (statistically and economically significant) trend breaks in productivity, results are much less sensitive: hours fall when technology improves. The issue is that the common high-low-high pattern of productivity growth and hou...
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作者：Milani, Fabio
作者单位：University of California System; University of California Irvine
摘要：Monetary DGSE models under rational expectations typically require large degrees of features as habit formation in consumption and inflation indexation to match the inertia of macroeconomic variables. This paper presents an estimated model that departs from rational expectations and nests learning by economic agents, habits, and indexation. Bayesian methods facilitate the joint estimation of the learning gain coefficient together with the 'deep' parameters of the economy. The empirical results...
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作者：Saltari, Enrico; Ticchi, Davide
作者单位：University of Urbino; Sapienza University Rome
摘要：We analyze the role of risk aversion and intertemporal substitution in a simple dynamic general equilibrium model of investment and savings. Our main finding is that risk aversion cannot by itself explain a negative relationship between aggregate investment and aggregate uncertainty, as the effect of increased uncertainty on investment also depends on the intertemporal elasticity of substitution. In particular, the relationship between aggregate investment and aggregate uncertainty is positive...
