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作者：Orphanides, Athanasios; Williams, John C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We examine the performance and robustness properties of monetary policy rules in an estimated macroeconomic model in which the economy undergoes structural change and where private agents and the central bank possess imperfect knowledge about the true structure of the economy. Policyrnakers follow an interest rate rule aiming to maintain price stability and to minimize fluctuations of unemployment around its natural rate but are uncertain about the economy's natural rates of interest and unemp...
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作者：Dominguez, Begona
作者单位：University of Auckland
摘要：This paper studies the time-inconsistency problem of optimal capital taxes. In the absence of full-commitment, it is well known that debt restructuring cannot solve the time-inconsistency problem for economies with a private stock of capital. We re-examine this result by exploring the role of institutional delays in government policies. We show that, when the implementation of government policy requires time, debt restructuring can enforce commitment to the optimal capital taxes. We conclude t...
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作者：Burstein, Ariel; Eichenbaum, Martin; Rebelo, Sergio
作者单位：National Bureau of Economic Research
摘要：Large devaluations are generally associated with large declines in real exchange rates. We develop a model which embodies two complementary forces that account for the large declines in the real exchange rate that occur in the aftermath of large devaluations. The first force is sticky nontradable-goods prices. The second force is the impact of real shocks that often accompany large devaluations. We argue that sticky nontradable goods prices generally play an important role in explaining post-d...
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作者：Wallace, Neil; Zhu, Tao
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Cornell University
摘要：From 1863-1914, banks in the U.S. could issue notes subject to full collateral, a tax on outstanding notes, redemption of notes on demand, and a clearing fee per issued note cleared through the Treasury. The system failed to satisfy a purported arbitrage condition: the yield on collateral exceeded the tax rate plus the product of the clearing fee and the average clearing rate of notes. The failure is explained by a model in which note issuers choose to issue notes only in trades that produce a...
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作者：Gavin, William T.; Kydland, Finn E.; Pakko, Michael R.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of California System; University of California Santa Barbara
摘要：This paper analyzes the interaction of inflation with the tax code and its contribution to aggregate fluctuations. We find significant effects operating through the tax on realized nominal capital gains. A tax on nominal bond income magnifies these effects. Our innovation is to combine monetary policy shocks with non-indexed taxes in a model where the central bank implements policy using an interest rate rule. Monetary policy had important effects on the behavior of the business cycle before 1...
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作者：Veldkamp, Laura; Wolfers, Justin
作者单位：New York University; University of Pennsylvania
摘要：Synchronized expansions and contractions across sectors define business cycles. Yet synchronization is puzzling because productivity across sectors exhibits weak correlation. While previous explanations emphasized production complementarity, our analysis explores complementarity in information acquisition. Because information about future productivity has a high fixed cost of production and a low marginal cost of replication, sectors can share the cost of acquiring aggregate information, rathe...
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作者：Ang, Andrew; Bekaert, Geert; Wei, Min
作者单位：Columbia University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time-series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term structure. s...
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作者：Campbell, John Y.; Cocco, Joao F.
作者单位：Harvard University; University of London; London Business School; National Bureau of Economic Research
摘要：Housing is a major component of wealth. Since house prices fluctuate considerably over time, it is important to understand how these fluctuations affect households' consumption decisions. Rising house prices may stimulate consumption by increasing households' perceived wealth, or by relaxing borrowing constraints. This paper investigates the response of household consumption to house prices using UK micro data. We estimate the largest effect of house prices on consumption for older homeowners,...
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作者：Bullard, James; Feigenbaum, James
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：A puzzle in consumption theory is the observation of a hump in age-consumption profiles. This paper studies a general equilibrium life-cycle economy with capital in which households include both consumption and leisure in their period utility function. A calibrated version of the model shows that a significant hump in life-cycle consumption is a feature of the equilibrium. Thus inclusion of leisure in household preferences may provide part of the explanation of observed life-cycle consumption ...
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作者：Gurkaynaka, Refet S.; Sack, Brian; Wright, Jonathan H.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Ihsan Dogramaci Bilkent University; Centre for Economic Policy Research - UK
摘要：The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers and practitioners do not have available to them a long history of high-frequency yield curve estimates. This paper fills that void by making public the Treasury yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present. We use a well-...
