2期

最新文章

• Margin requirements and equilibrium asset prices AI翻译
  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 ...
• Business cycles in emerging economies: the role of interest rates AI翻译
  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...
• International dimensions of optimal monetary policy AI翻译
  作者：Corsetti, G; Pesenti, P
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; European University Institute; Roma Tre University; Centre for Economic Policy Research - UK; National Bureau of Economic Research
  摘要：This paper provides a baseline general equilibrium model of optimal monetary policy among interdependent economics with monopolistic firms and nominal rigidities. An inward-looking policy of domestic price stabilization is not optimal when firms' markups are exposed to currency fluctuations. Such a policy raises exchange rate volatility, leading foreign exporters to charge higher prices vis-a-vis increased uncertainty in the export market. As higher import prices reduce the purchasing power of...
• Interest rate rules and price determinacy: The role of transactions services of bonds AI翻译
  作者：Canzoneri, MB; Diba, BT
  作者单位：Georgetown University
  摘要：Interest rate rules have been associated with price indeterminacy when they do not respond aggressively enough to inflation. Price indeterminacy is typically associated with indeterminacy of real bond balances, suggesting that the missing element is a meaningful role for government bonds. We assume that government bonds provide arbitrarily small transactions services and show that this can dramatically change the local and global determinacy conditions. In particular, the specification of fisc...
• Erratum to The term structure of real interest rates:: theory and evidence from UK index-linked bonds (vol 51, pg 1509, 2004) AI翻译
  作者：Seppälä, J
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign
• Discretionary monetary policy and inflation persistence AI翻译
  作者：Westelius, NJ
  摘要：Rational expectations models of staggered price/wage contracts have failed to replicate the observed persistence in inflation and unemployment during disinflationary periods. The current literature on this persistency puzzle has focused on augmenting the nominal contract model with imperfect credibility and learning. In this paper, I re-examine the persistency puzzle by focusing on the discretionary nature of monetary policy. I show that when the central bank is allowed to re-optimize a quadra...
• Interest rate interactions in the classical gold standard, 1880-1914: was there any monetary independence? AI翻译
  作者：Bordo, MD; MacDonald, R
  作者单位：Rutgers University System; Rutgers University New Brunswick; National Bureau of Economic Research; University of Glasgow; Leibniz Association; Ifo Institut
  摘要：This paper examines an hypothesis of Svensson (1994) (Journal of Monetary Economics 33, 157-199) that a credible target zone can confer on a country a degree of independence in the operation of its monetary policy, even when exchange rates are fixed. We test this hypothesis for the Classical gold standard using a newly created monthly data base for the period 1880-1913. Building on the recently noted finding that the Classical gold standard represented a credible, well-behaved, target zone sys...
• What are the effects of monetary policy on output? Results from an agnostic identification procedure AI翻译
  作者：Uhlig, H
  作者单位：Humboldt University of Berlin; Tilburg University; Deutsche Bundesbank; Centre for Economic Policy Research - UK
  摘要：This paper proposes to estimate the effects of monetary policy shocks by a new agnostic method, imposing sign restrictions on the impulse responses of prices, nonborrowed reserves and the federal funds rate in response to a monetary policy shock. No restrictions are imposed on the response of real GDP to answer the key question in the title. I find that contractionary monetary policy shocks have no clear effect on real GDP, even though prices move only gradually in response to a monetary polic...
• What do you expect? Imperfect policy credibility and tests of the expectations hypothesis AI翻译
  作者：Kozicki, S; Tinsley, PA
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; George Washington University
  摘要：The expectations hypothesis of the term structure of interest rates describes a conventional view of the transmission mechanism of monetary policy where bond rates reflect current and expected movements in the policy-controlled rate. However, empirical rejections of the expectations hypothesis are commonplace and lead many to question this description of policy transmission. This paper argues that failure to account for imperfect policy credibility may explain empirical rejections. Empirical r...