7期

最新文章

• Monetary policy under model and data-parameter uncertainty AI翻译
  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...
• Economic determinants of the nominal treasury yield curve AI翻译
  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...
• Expectations, learning and macroeconomic persistence AI翻译
  作者：Milani, Fabio
  作者单位：University of California System; University of California Irvine
  摘要：Monetary DGSE models under rational expectations typically require large degrees of features as habit formation in consumption and inflation indexation to match the inertia of macroeconomic variables. This paper presents an estimated model that departs from rational expectations and nests learning by economic agents, habits, and indexation. Bayesian methods facilitate the joint estimation of the learning gain coefficient together with the 'deep' parameters of the economy. The empirical results...
• Are stationarity and cointegration restrictions really necessary for the intertemporal budget constraint? AI翻译
  作者：Bohn, Henning
  作者单位：University of California System; University of California Santa Barbara
  摘要：Time series related to fiscal and external deficits are commonly subjected to stationarity and cointegration tests to assess if the deficits are sustainable. Such tests are incapable of rejecting sustainability. The intertemporal budget constraint proves to be satisfied if either the debt series or the revenue and with-interest spending series are integrated of arbitrarily high order, i.e., stationary after differencing arbitrarily often. Revenues and spending do not have to be cointegrated. R...
• Growth and volatility AI翻译
  作者：Imbs, Jean
  作者单位：Swiss Finance Institute (SFI)
  摘要：Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories implying a positive growth-volatility coefficient, which appear to hold in sectoral data. In particular, volatile sectors command high investment ra...
• Euler equations and money market interest rates: A challenge for monetary policy models AI翻译
  作者：Canzoneri, Matthew B.; Cumby, Robert E.; Diba, Behzad T.
  作者单位：Georgetown University
  摘要：Standard macroeconomic models equate the money market rate targeted by the central bank with the interest rate implied by a consumption Euler equation. We use U.S. data to calculate the interest rates implied by Euler equations derived from a number of specifications of household preferences. Correlations between these Euler equation rates and the Federal Funds rate are generally negative. Regression results and impulse response functions imply that the spreads between the Euler equation rates...