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作者：Eisfeldt, Andrea L.; Rampini, Adriano A.
作者单位：Northwestern University; Duke University
摘要：Used capital is cheap up front but requires higher maintenance payments later on. We argue that the timing of these investment cash outflows makes used capital attractive to financially constrained firms, since it is cheap when evaluated using their discount factor. In contrast, it may be expensive from the vantage point of an unconstrained agent. We provide an overlapping generations model and determine the price of used capital in equilibrium. Agents with less internal funds are more credit ...
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作者：Chang, Roberto
作者单位：Rutgers University System; Rutgers University New Brunswick; National Bureau of Economic Research
摘要：The simultaneous determination of financial default and political crises is studied in an open economy model. Political crises accompany default in equilibrium because of an information transmission conflict between the government and the public. Multiple equilibria are possible: if foreign lenders are pessimistic about the country's stability, they demand a high interest on the debt, exacerbating distortions and possibly leading to political crisis; but if lenders are optimistic, the cost of ...
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作者：Coenen, Guenter; Levin, Andrew T.; Christoffel, Kai
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; European Central Bank
摘要：We formulate a generalized price-setting framework that incorporates staggered contracts of multiple durations and that enables us to directly identify the influences of nominal vs. real rigidities. We estimate this framework using macroeconomic data for Germany (1975-1998) and for the U.S. (1983-2003). In each case, we find that the data are well-characterized by nominal contracts with an average duration of about two to three quarters. We also find that new contracts exhibit very low sensiti...
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作者：Guimaraes, Bernardo; Morris, Stephen
作者单位：Princeton University; University of London; London School Economics & Political Science
摘要：Market participants' risk attitudes, wealth and portfolio composition influence their positions in a pegged foreign currency and, therefore, may have important effects on the sustainability of currency pegs. This paper analyzes such effects in a global game model of currency crises with continuous action choices, generating a rich set of theoretical comparative static predictions related to often discussed but rarely modelled accounts of currency attacks. The model can be solved in closed form...
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作者：Mackowiak, Bartosz
作者单位：European Central Bank
摘要：Estimated structural VARs show that external shocks are an important source of macroeconomic fluctuations in emerging markets. Furthermore, U.S. monetary policy shocks affect interest rates and the exchange rate in a typical emerging market quickly and strongly. The price level and real output in a typical emerging market respond to U.S. monetary policy shocks by more than the price level and real output in the U.S. itself. These findings are consistent with the idea that when the U.S. sneezes...
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作者：Midrigan, Virgiliu
作者单位：New York University
摘要：Menu-cost models predict a hump-shaped relationship between real and nominal exchange rate volatility. The hump occurs at higher values of nominal exchange rate volatility, the higher trade costs and lower international substitution elasticities are. These predictions accord well with the negative relationship between relative price and nominal exchange rate volatility I document using a data set of prices collected in Eastern Europe in a volatile environment. In contrast, trade costs must be ...
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作者：Davis, Morris A.; Heathcote, Jonathan
作者单位：University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve System Board of Governors; Georgetown University; Center for Economic & Policy Research (CEPR)
摘要：One can conceptualize a house as a bundle comprising a reproducible tangible structure and a nonreproducible plot of land. When the value of a home is decomposed this way, land capitalizes the market value of a home's location. We develop a formal relationship between the dynamics of house prices, structures costs and land prices, and thereby construct the first constant-quality price and quantity indexes for the aggregate stock of residential land in the United States. In a range of applicati...
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作者：Otrok, Christopher; Ravikumar, B.; Whiteman, Charles H.
作者单位：University of Virginia; University of Iowa
摘要：We develop a generalization of the Hansen-Jagannathan (1991) volatility bound that (i) incorporates the serial correlation properties of return data and (ii) allows us to calculate a spectral version of the bound. This generalization enables us to judge whether models match important aspects of the data in the long run, at business cycle frequencies, seasonal frequencies, etc. Our bound permits evaluation of models without requiring their explicit solution in a way that respects the dynamic im...
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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：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...
