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作者：Kehoe, P
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Minnesota System; University of Minnesota Twin Cities
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作者：Coen-Pirani, D
作者单位：Carnegie Mellon University
摘要：This paper studies the effect of margin requirements on asset prices and trading volume in a general equilibrium asset pricing model where Epstein-Zin investors differ in their degree of risk aversion. Under the assumptions of unit intertemporal elasticity of substitution and zero net supply of riskless assets, I show analytically that binding margin requirements do not affect stock prices. This result stands in contrast to previous partial equilibrium analysis where fixed margin requirements ...
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作者：McGough, B; Rudebusch, GD; Williams, JC
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Oregon State University
摘要：Using a short-term interest rate as the monetary policy instrument can be problematic near its zero bound constraint. An alternative strategy is to use a long-term interest rate as the policy instrument. We find when Taylor-type policy rules are used by the central bank to set the long rate in a standard New Keynesian model, indeterminacy-that is, multiple rational expectations equilibria - may often result. However, a policy rule with a long-rate policy instrument that responds in a forward-l...
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作者：Bouakez, H; Cardia, E; Ruge-Murcia, FJ
作者单位：Universite de Montreal; Universite de Montreal; Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal
摘要：The dynamic effects and relative importance of monetary shocks in the US business cycle are studied using a sticky-price dynamic stochastic general equilibrium model with habit formation and capital adjustment costs. The model is estimated via maximum likelihood using data on output, real money balances, and the nominal interest rate. Econometric results indicate that the model has a strong internal propagation mechanism that can explain the persistent and hump-shaped response of US output and...
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作者：Gallmeyer, MF; Hollifield, B; Zin, SE
作者单位：Carnegie Mellon University; Texas A&M University System; Texas A&M University College Station; Mays Business School; National Bureau of Economic Research
摘要：Recent empirical research shows that a reasonable characterization of federal-funds-rate targeting behavior is that the change in the target rate depends on the maturity structure of interest rates and exhibits little dependence on lagged target rates. See, for example, Cochrane and Piazzesi [2002. The Fed and interest rates-a high-frequency identification. American Economic Review 92, 90-95.]. The result echoes the policy rule used by McCallum [1994a. Monetary policy and the term structure of...
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作者：Neumeyer, PA; Perri, F
作者单位：Universidad Torcuato Di Tella; Consejo Nacional de Investigaciones Cientificas y Tecnicas (CONICET); New York University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：We find that in a sample of emerging economies business cycles are more volatile than in developed ones, real interest rates are countercyclical and lead the cycle, consumption is more volatile than output and net exports are strongly countercyclical. We present a model of a small open economy, where the real interest rate is decomposed in an international rate and a country risk component. Country risk is affected by fundamental shocks but, through the presence of working capital, also amplif...
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作者：Christiano, LJ
作者单位：Northwestern University
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作者：Alesina, A; Angeletos, GM
作者单位：Massachusetts Institute of Technology (MIT); Harvard University; National Bureau of Economic Research
摘要：Bigger governments raise the possibilities for corruption; more corruption may in turn raise the support for redistributive policies that intend to correct the inequality and injustice generated by corruption. We formalize these insights in a simple dynamic model. A positive feedback from past to current levels of taxation and corruption arises either when wealth originating in corruption and rent seeking is considered unfair, or when the ability to engage in corruption is unevenly distributed...
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作者：Huang, KXD; Liu, Z
作者单位：Emory University; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：In an economy with nominal rigidities in both an intermediate good sector and a finished good sector, and thus with a natural distinction between CPI and PPI inflation rates, a benevolent central bank faces a tradeoff between stabilizing the two measures of inflation, a final output gap and, unique to our model, a real marginal cost gap in the intermediate sector, so that optimal monetary policy is second-best. We discuss how to implement the optimal policy with minimal information requirement...
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作者：Baxter, M; Kouparitsas, MA
作者单位：Boston University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：This paper investigates the determinants of business cycle comovement between countries. Our dataset includes over 100 countries, both developed and developing. We search for variables that are robust in explaining comovement. using the approach of Learner (Amer. Econom. Rev. 73 (1983) 31). Variables considered are (i) bilateral trade between countries: (ii) total trade in each country; (iii) sectoral structure; (iv) similarity in export and import baskets: (v) factor endowments; and (vi) grav...
