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作者：Aliprantis, C. D.; Camera, G.; Puzzello, D.
作者单位：Purdue University System; Purdue University; University of Kentucky; University of Kentucky
摘要：We study infinite-horizon monetary economies characterized by trading frictions that originate from random pairwise meetings, and commitment and enforcement limitations. We prove that introducing occasional trade in 'centralized markets' opens the door to an informal enforcement scheme that sustains a non-monetary efficient allocation. All is required is that trading partners be patient and their actions be observable. We then present a matching environment in which trade may occur in large ma...
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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...
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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...
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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 ...
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作者：Jacobs, Kris
作者单位：McGill University
摘要：We use panel data to estimate nonlinear Euler equations for preferences that are nonseparable in consumption and leisure. This approach departs from existing panel data studies that investigate linearizations and/or separable preferences. Intuitively plausible estimates are obtained only when excluding nonassetholders from the sample, which indicates the importance of asset market participation. For market participants, estimated parameter values are intuitively appealing, but differ from exis...
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作者：Sun, Hongfel
作者单位：University of Toronto
摘要：This paper addresses the problem of monitoring the monitor in a model of money and banking with private information and aggregate uncertainty. There is no need to monitor a bank if it requires loans to be repaid partly with money. A market arises at the repayment stage and generates information-revealing prices that perfectly discipline the bank. This mechanism also applies when there exist multiple banks. With multiple banks, competition of private monies improves welfare. A prohibition on pr...
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作者：Eichenbaum, Martin; Fisher, Jonas D. M.
作者单位：Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：This paper assesses the empirical performance Calvo style models of price re-optimization. We first show that versions of these models in which firms update non-re-optimized prices to lagged inflation account well for the statistical behavior of post-war U.S. inflation rates. We then investigate whether these models imply plausible degrees of inertia in price setting behavior by firms. They do, but only if we depart from two standard auxiliary assumptions: monopolistically competitive firms fa...
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作者：Wang, Neng
作者单位：Columbia University
摘要：I present an explicitly solved equilibrium model for the distribution of wealth and income in an incomplete-markets economy. I first propose a self-insurance model with an inter-tempo rally dependent preference [Uzawa, H. 1968. Time preference, the consumption function, and optimal asset holdings. In: Wolfe, J.N. (Ed.), Value, Capital, and Growth: Papers in Honour of Sir John Hicks. Edinburgh University Press, Edinburgh, pp. 485-504]. Ithen derive an analytical consumption rule which captures ...
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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...
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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...
