2006

最新文章

• Optimal monetary policy with durable consumption goods AI翻译
  作者：Erceg, Christopher; Levin, Andrew
  作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
  摘要：We document that the durable goods sector is much more interest-sensitive than the nondurables sector, and then investigate the implications of these sectoral differences for monetary policy. We formulate a two-sector general equilibrium model that is calibrated both to match the sectoral responses to a monetary shock derived from our empirical VAR and to imply an empirically realistic degree of sectoral output volatility and comovement. While the social welfare function involves sector-specif...
• Bank-based versus market-based financial systems: A growth-theoretic analysis AI翻译
  作者：Chakraborty, S; Ray, T
  作者单位：University of Oregon; Hong Kong University of Science & Technology; Indian Statistical Institute; Indian Statistical Institute Delhi
  摘要：We study bank-based and market-based financial systems in an endogenous growth model. Lending to firms is fraught with moral hazard as owner-managers may reduce investment profitability to enjoy private benefits. Bank monitoring partially resolves the agency problem, while market-finance is more 'hands-off'. A bank-based or market-based system emerges from firm-financing choices. Neither system is unequivocally better for growth, which crucially depends on the efficiency of financial and legal...
• Data revisions and the identification of monetary policy shocks AI翻译
  作者：Croushore, Dean; Evans, Charles L.
  作者单位：University of Richmond; Federal Reserve System - USA; Federal Reserve Bank - Chicago
  摘要：Monetary policy research using time-series methods has been criticized for using more information than the Federal Reserve had available. To quantify the role of this criticism, we estimate VARs with real-time data while accounting for the latent nature of many economic variables, such as output. Our estimated monetary policy shocks are closely correlated with typically estimated measures. The impulse response functions are broadly similar across estimation methods. Our evidence suggests that ...
• Comment on Mankiw and Swagel, The politics and economics of offshore outsourcing AI翻译
  作者：Deardorff, Alan V.
  作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
• A portfolio view of consumer credit AI翻译
  作者：Musto, DK; Souleles, NS
  作者单位：National Bureau of Economic Research; University of Pennsylvania
  摘要：To compute risk-adjusted returns and gauge the volatility of their portfolios, lenders need to know the covariances of their loans' returns with aggregate returns. We use unique credit bureau data to measure individuals' 'covariance risk', i.e., the covariance of their default risk with aggregate consumer default rates, and more generally to analyze the distribution of credit, including the effects of credit scores. We find significant heterogeneity in covariance risk across consumers. Also, t...
• Productivity, tradability, and the long-run price puzzle AI翻译
  作者：Bergin, Paul R.; Glick, Reuven; Taylor, Alan M.
  作者单位：University of California System; University of California Davis; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
  摘要：Long-run cross-country price data exhibit a puzzle. Today, richer countries exhibit higher price levels than poorer countries, a stylized fact usually attributed to the Balassa-Samuelson (BS) effect. But looking back 50 years, this effect virtually disappears from the data. What is often assumed to be a universal property is actually quite specific to recent times, emerging a half century ago and growing steadily over time. What might potentially explain this historical pattern? We develop an ...
• Comment on: Can financial innovation help to explain the reduced volatility of economic activity? AI翻译
  作者：Wachter, JA
  作者单位：University of Pennsylvania; National Bureau of Economic Research
• The expectations hypothesis of the term structure when interest rates are close to zero AI翻译
  作者：Ruge-Murcia, Francisco J.
  作者单位：Universite de Montreal; Universite de Montreal
  摘要：In an economy where cash can be stored costlessly in nominal terms, the nominal interest rate is bounded below by zero. This paper derives the implications of this non-negativity constraint for the term structure and shows that it induces a nonlinear and convex relation between short- and long-term interest rates. The long-term rate responds asymmetrically to changes in the short-term rate, and by less than that is predicted by the benchmark linear model. In particular, a decrease in the short...
• Risk sharing across generations without publicly owned equities AI翻译
  作者：Smetters, Kent
  作者单位：National Bureau of Economic Research
  摘要：The U.S. Social Security trust fund currently invests in government bonds. Investing some of it instead in equities while continuing to pay Social Security benefits under existing rules would alter - potentially improve - the sharing of financial risks across non-trading generations. This paper shows that the same risk sharing can be achieved without direct government ownership of equities if instead the government places a linear and symmetric tax on risky private capital returns. This equiva...
• Price-level versus inflation targeting AI翻译
  作者：Vestin, David
  作者单位：European Central Bank
  摘要：This paper shows that price-level targeting outperforms inflation targeting in the standard New-Keynesian model, under the assumption that the central bank is forced to operate in an environment characterized by discretion. In the benchmark case, with no persistence in the shocks, the commitment solution can be fully replicated. Intuitively, price-level targeting introduces history dependence and a stationary level of prices, both of which are prominent features of the commitment solution. (c)...