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作者：Leahy, John
作者单位：New York University
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作者：Johnson, Timothy C.
作者单位：University of London; London Business School
摘要：It is widely believed that there is a fundamental linkage between major technological innovations, speculative fever, and wasteful overinvestment. This paper presents an equilibrium model of investment in a new industry, whose return-to-scale is not known in advance. Overinvestment relative to the full-information case is then optimal as the most efficient way to learn about the new technology. Moreover, the initial overinvestment is accompanied by apparently inflated stock prices and apparent...
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作者：Shin, Yongseok
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：It is known that a government can implement the optimal complete-market Ramsey allocations by issuing non-contingent bonds of different maturities. The implied optimal maturity structure is time- and state-invariant- i.e. it is not actively managed. I construct a model where the Ramsey allocations can be implemented with active management of the maturity structure. In a numerical example that reflects the time-series properties of the British government's expenditure during the 18th century, i...
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作者：Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva
作者单位：European Central Bank; ICREA; Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Banco de Espana
摘要：This paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross-country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role. We detect differences across business cycle phases but, apart from an increase in synchronicity in the late 1990s, find little evidence of major structural changes. We also find no evidence of the ...
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作者：Lin, Shu; Ye, Haichun
作者单位：State University System of Florida; Florida Atlantic University
摘要：We evaluate the treatment effect of inflation targeting in seven industrial countries that adopted this policy in the 1990s. To address the self-selection problem of policy adoption, we make use of a variety of propensity score matching methods recently developed in the treatment effect literature. Our results show that inflation targeting has no significant effects on either inflation or inflation variability in these seven countries. Further evidence from long-term nominal interest rates and...
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作者：Edge, Rochelle M.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The inability of sticky-price monetary business cycle models to generate liquidity effects has been extensively documented by a number of authors. This paper develops a sticky-price monetary business cycle model with investment gestation lags and habit-persistence in consumption that is capable of generating an empirically plausible liquidity effect. Published by Elsevier B.V.
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作者：Goldberg, Dror
作者单位：Texas A&M University System; Texas A&M University College Station
摘要：Partially directed search replaces the total randomness of monetary search models. Agents choose whether to stay in their production location or visit other locations. Each visiting agent randomly chooses one shop among many in each location. As in random matching models, a commodity or fiat object can endogenously become money, but the details are richer and conform better with evidence: any commodity can be money; the best commodity is the most likely money; fiat money can totally crowd out ...
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作者：Letterie, Wilko A.; Pfann, Gerard A.
作者单位：Maastricht University
摘要：We propose a structural model to investigate the existence and possible differences between low and high regimes of investment expenditures in equipment at the firm level. The existence of such differences is predicted by recent theoretical studies of investment behavior stressing the role of asymmetries and non-convexities in the adjustment cost technology. The structural spike model is estimated for a balanced panel of Dutch firms operating in 13 different industrial sectors. The flexibility...
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作者：Balduzzi, Pierluigi; Yao, Tong
作者单位：Boston College; University of Arizona
摘要：Starting from the cross-sectional aggregation of marginal utilities, rather than intertemporal marginal rates of substitution, this paper develops a new heterogeneous-agent pricing kernel. A closed-form version of the new kernel depends on changes in the cross-sectional variance of log consumption, rather than the variance of changes in log consumption, as in Constantinides and Duffie [1996. Asset pricing with heterogeneous consumers. Journal of Political Economy 104, 219-237]. We implement th...
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作者：Laing, Derek; Li, Victor E.; Wang, Ping
作者单位：Villanova University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Washington University (WUSTL); National Bureau of Economic Research
摘要：This paper investigates the relationship between money growth, inflation, and productive activity in a dynamic general-equilibrium, multiple-matching framework where trade frictions are manifested by limited consumption variety. Productive activity and matching in the goods market are endogenized by a time allocation decision of work and search effort. We find that a high degree of complementarity between participation in the labor and goods markets creates a channel by which inflation can pos...
