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作者：Levy, Amnon; Hennessy, Christopher
作者单位：University of California System; University of California Berkeley
摘要：We develop a computable general equilibrium model explaining financing over the business cycle. To avert agency conflicts, managers must hold a high percentage of their firm's equity. During contractions, firms substitute debt for equity in order to maintain managerial equity shares. During expansions, risk-sharing improves, with increases in managerial wealth facilitating substitution of equity for debt. In calibrated simulations, (counter) cyclical variation in leverage is only exhibited by ...
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作者：Alvarez, Fernando; Lucas, Robert E., Jr.
作者单位：University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research
摘要：We study a variation of the Eaton-Kortum model, a competitive, constant-returns-to-scale multicountry Ricardian model of trade. We establish existence and uniqueness of an equilibrium with balanced trade where each country imposes an import tariff. We analyze the determinants of the cross-country distribution of trade volumes, such as size, tariffs and distance, and compare a calibrated version of the model with data for the largest 60 economies. We use the calibrated model to estimate the gai...
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作者：Eisfeldt, Andrea L.
作者单位：Northwestern University
摘要：A quantitative examination of the demand for liquid assets arising from consumption smoothing motives reveals that such demand is very low. Consumers faced with income streams calibrated to match income and unemployment data and returns and transactions costs calibrated to match US Treasury Bill data almost exclusively buy and hold illiquid long term assets even though the return premium on long term assets is quite small. This is because, with standard preferences, savings are highly persiste...
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作者：Ashcraft, Adam B.; Campello, Murillo
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Illinois System; University of Illinois Urbana-Champaign; National Bureau of Economic Research
摘要：The functioning of internal capital markets in financial conglomerates facilitates a novel identification strategy of the balance sheet channel of monetary policy. We look at small subsidiary banks that are affiliated with the same holding company but operate in different geographical areas. These banks face the same marginal cost of funds due to internal capital markets, but face different borrowers as they concentrate their lending with small local businesses. Exploring cross-sectional varia...
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作者：Chugh, Sanjay K.
摘要：Ramsey models of fiscal and monetary policy featuring time-separable preferences and a fixed supply of capital predict highly volatile inflation with no serial correlation. In this paper, we show that an otherwise-standard Ramsey model that incorporates capital accumulation and habit persistence predicts highly persistent inflation. The result depends on increases in either the ability to smooth consumption or the preference for doing so. The effect operates through the Fisher relationship: a ...
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作者：Roush, Jennifer E.
作者单位：Federal Reserve System - USA
摘要：In practice, the expectations theory of the term structure is employed extensively in monetary policy analysis despite its empirical failure. This paper performs a conditional test of the theory that is directly relevant to monetary theory and policy. It finds that the theory holds quite well conditional on identified monetary policy shocks, but fails conditional on aggregate supply shocks that prompt an immediate jump in prices. It also finds that policy responses to movements in the term str...
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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：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：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：Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan
摘要：I analyze the effects of bank characteristics and macroeconomic shocks on interest rate riskmanagement behavior of commercial banks. My findings are consistent with hedging theories based on cost of financial distress and costly external financing. Banks with higher probability of financial distress manage their interest rate risk more aggressively, both by means of on-balance sheet and off-balance sheet instruments. As compared to the derivative users, the derivative non-user banks adopt cons...
