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作者：Araujo, Luis; Shevchenko, Andrei
作者单位：Michigan State University
摘要：We consider an economy where trade is decentralized and agents have incomplete information with respect to the value of money. Agents' learning evolves from private experiences and we explore how the formation of prices interacts with learning. We show that multiple equilibria arise, and equilibria with price dispersion entail more learning than equilibria with one price. Price dispersion increases communication about private histories, which in turn increases the overall amount of information...
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作者：Brissimis, Sophocles N.; Magginas, Nicholas S.
作者单位：European Central Bank; Bank of Greece; University of Piraeus; Athens University of Economics & Business
摘要：With a view to addressing the major disadvantage of the VAR model, namely the inadequate description of the central bank reaction function, we propose a VAR specification that proves successful in solving the price puzzle featuring in monetary VARs for the US. This specification consists in augmenting a standard VAR with two forward-looking variables: the federal funds futures rate (or alternatively a money market forward rate) reflecting monetary policy expectations and a composite leading in...
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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 ...
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作者：Whitesell, William
作者单位：Federal Reserve System - USA
摘要：This paper evaluates reserves regimes versus interest rate corridors, which have become competing frameworks for monetary policy implementation. Rate corridors, relying on lending and deposit facilities to create ceilings and floors for overnight interest rates, evince mixed results on controlling volatility. Reserve requirements allow period-average smoothing of interest rates but, even if remunerated, are subject to reserve avoidance activities. A system of voluntary, period-average reserve ...
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作者：Casares, Miguel
作者单位：Universidad Publica de Navarra
摘要：The idea that the investment process takes time to produce finished capital goods was an integral part of Kydland and Prescott's early work on real business cycles, but this feature has been dropped in much recent work, mainly because it seemed to have little effect on macroeconomic dynamics. With a generalization of the time- to-build feature that incorporates multiple types of capital, however, a New Keynesian model can produce u-shaped responses in output, investment, and inflation to a mon...
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作者：Angeletos, George-Marios; Calvet, Laurent-Emmanuel
作者单位：Massachusetts Institute of Technology (MIT); Harvard University; Hautes Etudes Commerciales (HEC) Paris; National Bureau of Economic Research
摘要：We introduce a neoclassical growth economy with idiosyncratic production risk and incomplete markets. Each agent is an entrepreneur operating her own technology with her own capital stock. The general equilibrium is characterized by a closed-form recursion in the CARA-normal case. Incomplete markets introduce a risk premium on private equity, which reduces the demand for investment. As compared to complete markets, the steady state can thus have both a lower capital stock due to investment ris...
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作者：House, Christopher L.
作者单位：University of Michigan System; University of Michigan
摘要：Many economists believe that credit market distortions create a financial accelerator which destabilizes the economy. This paper shows that when credit market distortions arise from adverse selection they sometimes stabilize the economy rather than destabilize it. The stabilizing forces are closely related to forces that cause overinvestment in static models. When investment projects are equity financed, or when contracts are written optimally, the distortions always stabilize the economy. Thu...
