-
作者：Caggese, Andrea
作者单位：Pompeu Fabra University
摘要：We develop a model of an industry with many heterogeneous firms that face both financing constraints and irreversibility constraints. We use this model to examine the cyclical behavior of aggregate fixed investment, variable capital in vestment, and output in the presence of persistent idiosyncratic and aggregate shocks. Our model yields three main results. First, the effect of the irreversibility constraint on fixed capital investment is reinforced by the financing constraint. Second, the eff...
-
作者：Attanasio, Orazio; Kitao, Sagiri; Violante, Giovanni L.
作者单位：University of London; University College London; Centre for Economic Policy Research - UK; New York University
摘要：How sustainable are the current social security systems in the developed economies, given the projected demographic trends? The most recent literature has answered this question through dynamic general-equilibrium models in a closed-economy framework. This paper provides a new quantitative benchmark of analysis for this question represented by a two-region model (South and North) of the world economy where capital flows across regions. The timing and the extent of the demographic transition-an...
-
作者：Wang, Pengfei; Wen, Yi
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Cornell University
摘要：We document that persistent and lagged inflation (with respect to output) is a world-wide phenomenon in that these short-run inflation dynamics are highly synchronized across countries. In particular, the average cross-country correlation of inflation is significantly and systematically stronger than that of output, while the cross-country correlation of money growth is essentially zero. We investigate whether standard monetary models driven by monetary shocks are consistent with the empirical...
-
作者：Ascari, Guido; Ropele, Tiziano
作者单位：University of Pavia; University of Milano-Bicocca; European Central Bank; Bank of Italy
摘要：In the monetary policy literature it is common to assume that trend inflation is zero, despite overwhelming evidence that zero inflation is neither empirically relevant nor a practical objective for central bank policy. We therefore extend the standard New Keynesian model to allow for positive trend inflation, showing that even low trend inflation has strong effects on optimal monetary policy and the dynamics of inflation, output and interest rates. Under discretion, the efficient policy deter...
-
作者：Del Negro, Marco; Otrok, Christopher
作者单位：University of Virginia; Federal Reserve System - USA
摘要：We use a dynamic factor model estimated on quarterly state-level data from 1986 to 2005 via Bayesian methods to disentangle the relative importance of the common component in OFHEO house price movements from local (state- or region-specific) shocks. We find that historically movements in house prices were mainly driven by the local component. The recent period (2001-2005) has been different: the increase in house prices is a national phenomenon. We use a VAR to investigate the extent to which ...
-
作者：Brock, William A.; Durlauf, Steven N.; Nason, James M.; Rondina, Giacomo
作者单位：University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of California System; University of California San Diego
摘要：This paper compares the performance of different policy rules. Our comparisons focus on simple feedback rules versus rules which are optimal, given knowledge of the correct economic structure and the appropriate loss function for the policymaker. First, we compare rule performance when the correct model is not known. Second, we compare rule performance with respect to the frequency-specific behavior for variables of interest. Taken as a whole, our results indicate how the case for a model-spec...
-
作者：Campbell, John Y.; Nosbusch, Yves
作者单位：Harvard University; University of London; London School Economics & Political Science
摘要：In the presence of overlapping generations, a social security system, with contingent taxes and benefits, can affect both asset prices and intergenerational risksharing. In a simple model with two risky factors of production-human capital, owned by the young, and physical capital, owned by all older generations-asocial security system that optimally shares risks exposes future generations to a share of the risk in physical capital. Such a system reduces precautionary saving and increases the r...
-
作者：Levin, Andrew; Yun, Tack
摘要：This paper formulates a stylized New Keynesian model in which each individual firm can select the frequency of its price adjustments. The endogeneity of contract duration has a dramatic impact on the magnitude of the aggregate effects of steady-state inflation. With a plausible calibration of the magnitude of menu costs and other structural parameters, this model predicts a relationship between steady-state inflation and the frequency of price adjustment that is reasonably close to the empiric...
-
作者：Lippi, Francesco; Neri, Stefano
摘要：A small scale new keynesian model for the euro area is estimated with maximum likelihood under the assumptions of imperfect information and discretionary monetary policy. The estimated parametrization of this widely used dynamic stochastic model unveils the monetary authorities' objectives and the information content of two indicator variables: monetary aggregates and real unit labour costs. The results highlight a significant policy concern about interest-rate smoothing and inflation; almost ...
-
作者：Aruoba, S. Boragan; Rocheteau, Guillaume; Waller, Christopher
作者单位：University of Notre Dame; Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University System of Maryland; University of Maryland College Park
摘要：Search models of monetary exchange have typically relied on Nash [1950. The bargaining problem. Econometrica 18, 155-162] bargaining, or strategic games that yield an equivalent outcome, to determine the terms of trade. By considering alternative axiomatic bargaining solutions in a search model with divisible money, we show that the properties of the bargaining solutions do matter both qualitatively and quantitatively for questions of first-degree importance in monetary economics such as: (i) ...
