-
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...
-
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...
-
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)...
-
作者：Zarnowitz, Victor; Ozyildirim, Ataman
摘要：A study of business cycles does not require trend estimation and elimination, but a study of growth cycles does. Major cyclical slowdowns and speedups deserve to be analyzed, but the needed time series decomposition presents difficult problems, mainly because trends and cycles influence each other. We compare cyclical movements in levels, deviations from trend, and smoothed growth rates for both the quarterly real GDP and the monthly U.S. Coincident Index-using the phase average trend (PAT). T...
-
作者：Amaral, Pedro S.; Quintin, Erwan
作者单位：Southern Methodist University; Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：In developing nations, formal workers tend to be more experienced, more educated, and earn more than informal workers. These facts are often interpreted as evidence that low-skill workers face barriers to entry into the formal sector. Yet, there is little empirical evidence that such barriers are important. This paper describes a model where, in equilibrium, the characteristics of formal and informal workers differ systematically, even though labor markets are perfectly competitive. The inform...
-
作者：Auguste, Sebastian; Dominguez, Kathryn M. E.; Kamil, Herman; Tesar, Linda L.
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; International Monetary Fund
摘要：Cross-listed shares may confound government efforts to control capital outflows by providing a legal means through which investors can transfer their wealth outside the country. We study the recent experience of investors who while subject to capital controls, were able to purchase cross-listed shares using local currency, convert them into dollar-denominated shares, re-sell them abroad, and deposit the dollar proceeds in foreign bank accounts. Capital controls drive a wedge between the price ...
-
作者：Iwata, Shigeru; Wu, Shu
作者单位：University of Kansas
摘要：Using a nonlinear structural VAR approach, we estimate the effects of exogenous monetary policy shocks in the presence of a zero lower bound constraint on nominal interest rates and examine the impact of such a constraint on the effectiveness of counter-cyclical monetary policies based on the data from Japan. We find that when interest rates are at zero, the output effect of exogenous shocks to monetary policy is cut in half if the central bank continues to target the interest rate. The condit...
-
作者：Gorton, Gary; Huang, Lixin
作者单位：University of Pennsylvania; National Bureau of Economic Research; City University of Hong Kong
摘要：Central banking is intimately related to liquidity provision to banks during times of crisis, the lender-of-last-resort function. This activity arose endogenously in certain banking systems. Depositors lack full information about the value of bank assets, so that during macroeconomic downturns they monitor their banks by withdrawing in a banking panic. The likelihood of panics depends on the industrial organization of the banking system. Banking systems with well-diversified big banks are less...
-
作者：Guvenen, Fatih
作者单位：University of Rochester
摘要：In this paper we reconcile two opposing views about the elasticity of intertemporal substitution (EIS). Empirical studies using aggregate consumption data typically find the EIS to be close to zero, whereas calibrated models designed to match growth and fluctuations facts typically require it to be close to one. This contradiction is resolved when two kinds of heterogeneity are acknowledged: one, the majority of households do not participate in stock markets; and two, the EIS increases with we...
-
作者：Krueger, Dirk; Uhlig, Harald
作者单位：Goethe University Frankfurt; Humboldt University of Berlin
摘要：This paper analyzes dynamic equilibrium risk sharing contracts between profit-maximizing intermediaries and a large pool of ex ante identical agents that face idiosyncratic income uncertainty that makes them heterogeneous ex post. In any given period, after having observed her income, the agent can walk away from the contract, while the intermediary cannot, i.e. there is one-sided commitment. We consider the extreme scenario that the agents face no costs to walking away, and can sign up with a...
