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作者：Ravenna, Federico
作者单位：University of California System; University of California Santa Cruz; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：The performance of dynamic stochastic general equilibrium models is often tested against estimated VARs. This requires that the data-generating process consistent with the DSGE theoretical model has a finite order VAR representation. This paper discusses the assumptions needed for a finite order VAR(p) representation of a DSGE model to exist. When a VAR(P) is only an approximation to the exact infinite order VAR, the truncated VAR(p) may return largely incorrect estimates of the impulse respon...
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作者：Schmitt-Grohe, Stephanie; Uribe, Martin
作者单位：National Bureau of Economic Research; Duke University
摘要：Welfare-maximizing monetary- and fiscal-policy rules are studied in a model with sticky prices, money, and distortionary taxation. The Ramsey-optimal policy is used as a point of comparison. The main findings are: the size of the inflation coefficient in the interest-rate rule plays a minor role for welfare. It matters only insofar as it affects the determinacy of equilibrium. Optimal monetary policy features a muted response to output. Interest-rate rules that feature a positive response to o...
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作者：Sbordone, Argia M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：In this paper, I consider the policy implications of two alternative structural interpretations of observed inflation persistence, which correspond to two alternative specifications of the new Keynesian Phillips curve (NKPC). The first specification allows for some degree of intrinsic persistence by way of a lagged inflation term in the NKPC. The second is a purely forward-looking model, in which expectations farther into the future matter and coefficients are time-varying. In this specificati...
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作者：DeJong, David N.; Ripoll, Marla
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：In the context of a simple asset-pricing environment, we study the ability of self-control preferences to account for the stock-price volatility, risk-free-rate and equity-premium puzzles. Using a full-information estimation procedure, we estimate the presence of a quantitatively small self-control effect in the data. Moreover, with results obtained using CRRA preferences serving as a benchmark, we find that the adoption of self-control preferences makes only a marginal contribution towards a ...
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作者：Ahlin, Christian; Shintani, Mototsugu
作者单位：Vanderbilt University
摘要：We revisit a foundational theoretical paper in the menu-cost literature, Sheshinski and Weiss [1983. Optimum pricing policy under stochastic inflation. Review of Economic Studies 50(3), 513-529], one of the few to treat stochastic inflation with persistent deviations from trend. In contrast to the original finding, we show that optimal pricing in this environment entails using different (s, S) bands in high-inflation and low-inflation states of the world. The low-inflation band is strictly con...
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作者：Kotlikoff, Laurence J.; Smetters, Kent; Walliser, Jan
作者单位：University of Pennsylvania; National Bureau of Economic Research; Boston University; The World Bank
摘要：Financing Social Security benefits at current levels implies significant increases in payroll taxes within the next 20 years under current US demographic developments. Using a general-equilibrium overlapping-generations model with realistic patterns of fertility and lifespan extension, this study shows that future generations would be harmed during the demographic transition due to rising pavroll taxes, which crowd out savings and slow real wage growth below the rate of technological progress....
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作者：Lucas, Deborah
作者单位：Northwestern University; National Bureau of Economic Research
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作者：Cateau, Gino
作者单位：Bank of Canada
摘要：Empirical Taylor rules are much less aggressive than those derived from optimization-based models. This paper analyzes whether accounting for uncertainty across competing models and (or) real-time data considerations can explain this discrepancy. It considers a central bank that chooses a Taylor rule in a framework that allows for an aversion to the second-order risk associated with facing multiple models and measurement-error configurations. The paper finds that if the central bank cares stro...
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作者：Evans, Charles L.; Marshall, David A.
作者单位：Federal Reserve System - USA
摘要：Macroeconomic shocks account for most of the variability of nominal Treasury yields, inducing parallel shifts in the level of the yield curve. We develop a new approach to identifying macroeconomic shocks that exploits model-based empirical shock measures. Technology shocks shift yields through their effect on expected inflation and the term premium. Shocks to preferences for current consumption affect yields through their impact on real rates and expected inflation. For both shocks, the syste...
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作者：Albanesi, Stefania
作者单位：Columbia University
摘要：Cross-country evidence on inflation and income inequality suggests that they are positively related. This article explores the hypothesis that this correlation is the outcome of a distributional conflict underlying the determination of government policies. A political economy model is presented in which equilibrium inflation is positively related to the degree of inequality in income due to the relative vulnerability to inflation of low income households. (C) 2006 Elsevier B.V. All rights rese...
