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作者：Caballero, RJ; Krishnamurthy, A
作者单位：Northwestern University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：Emerging market economies are fertile ground for the development of real estate and other financial bubbles. Despite these economies' significant growth potential, their corporate and government sectors do not generate the financial instruments to provide residents with adequate stores of Value. Capital often flows Out of these economies seeking these stores Of Value in the developed world. Bubbles are beneficial because they provide domestic stores of value and thereby reduce capital outflows...
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作者：Bayer, Christian
作者单位：Dortmund University of Technology
摘要：This paper examines the implications of financing frictions on capital stocks and on capital accumulation in the presence of non-convex costs of adjusting the capital stock. In this setup finance has an influence on both, the level of capital and the timing of investment. Finance and productivity are complements and finance influences investment the strongest when firms wish to significantly adjust capital for fundamental reasons. These theoretical considerations are confronted with UK data. W...
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作者：Banerjee, Abhijit Vinayak
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作者：Aguiar, Mark; Broner, Fernando A.
作者单位：Pompeu Fabra University; Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：Emerging market crises are characterized by large swings in both macroeconomic fundamentals and asset prices. The economic significance of observed movements in macroeconomic variables is obscured by the brief and extreme nature of crises. In this paper we propose to study the macroeconomic consequences of crises by studying the behavior of effective fundamentals, constructed by studying the relative movements of stock prices during crises. We find that these effective fundamentals provide a d...
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作者：Alvarez-Lois, Pedro P.
作者单位：Bank of England
摘要：This paper presents a monetary dynamic general equilibrium model featuring a strong internal propagation mechanism. Limited short-run factor substitutability and idiosyncratic demand uncertainty play a prominent role in the results. Firms are ex post heterogeneous and a well defined distribution of capacity utilization rates characterizes the equilibrium of the model. The economy responds gradually to aggregate shocks since firms with excess capacity can raise production without experiencing l...
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作者：Uribe, Martin
作者单位：Duke University; National Bureau of Economic Research
摘要：Under certain monetary-fiscal regimes the risk of default and thus the emergence of sovereign risk premiums are inevitable. This paper argues that in this context even small differences in the specification of monetary policy can have enormous effects on the equilibrium behavior of default rates and risk premiums. Under some monetary policy rules studied, the conditional expectation of default rates and sovereign risk premiums are constant, so movements in these variables always arrive as a su...
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作者：Evans, GW; Ramey, G
作者单位：University of Oregon; University of California System; University of California San Diego
摘要：A striking implication of the replacement of adaptive expectations by rational expectations was the Lucas critique, which showed that expectation parameters, and endogenous variable dynamics, depend on policy parameters. We consider this issue from the vantage point of bounded rationality, where for transparency we model bounded rationality by means of simple adaptive expectations. We show that for a range of processes, monetary policy remains subject to the Lucas critique. However, there are ...
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作者：Ellison, Martin
作者单位：University of Warwick; Centre for Economic Policy Research - UK
摘要：Many central banks in many time periods have sought to avoid interest rate reversals, but at present there is no good explanation of this phenomenon. Our analysis identifies a new learning cost associated with reversing the interest rate. In a standard monetary model with forward-looking expectations, data uncertainty and parameter uncertainty, a policy that frequently reverses the interest rate makes learning the key parameters of the model more difficult. Optimal monetary policy internalises...
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作者：Alexander, Gordon J.; Baptista, Alexandre M.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; George Washington University
摘要：We examine the economic implications arising from a bank using a VaR-constrained mean-variance model for the selection of its trading portfolio as a consequence of the Basle Capital Accord. Surprisingly, we show that when a VaR constraint is imposed, it is plausible that certain banks will end up selecting 'riskier' portfolios than they would have chosen in the absence of the constraint. Accordingly, regulators such as the Basle Committee on Banking Supervision should be aware that allowing a ...
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作者：Burstein, Ariel T.
作者单位：University of California System; University of California Los Angeles
摘要：This paper studies a state-dependent pricing model in which firms face a fixed cost of changing their pricing plans. A pricing plan specifies an entire sequence of time-varying future prices. Allowing firms to choose a pricing plan rather than a single price generates inflation inertia in the response of the economy to small changes in the growth rate of money. Allowing firms to choose when to change their pricing plan generates a non-linear response of inflation and output to small and large ...
