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作者：Reynard, S
作者单位：Swiss National Bank (SNB)
摘要：This paper uses multi-period cross-sectional data on financial assets holdings to shed light on the postwar stability of money demand in the United States. I first present a new measure of the evolution of financial market participation, by relating participation to the extensive margins of money demand, and quantify the influence of wealth on participation decisions. I then relate the increase in participation to the period of missing money and to the subsequent higher interest rate elasticit...
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作者：Cook, D
作者单位：Hong Kong University of Science & Technology
摘要：In emerging markets, external debt is denominated almost entirely in large, developed country currencies such as the U.S. dollar. This liability dollarization offers a channel through which exchange rate variation can lead to business cycle instability. When firms' assets are denominated in domestic currency and liabilities are denominated in foreign currency, an exchange rate depreciation worsens firms' balance sheets, which leads to higher capital costs and contractions in capital spending. ...
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作者：Aghion, P; Bacchetta, P; Banerjee, A
作者单位：Study Center Gerzensee; Harvard University; University of Lausanne; Centre for Economic Policy Research - UK; Massachusetts Institute of Technology (MIT)
摘要：This paper introduces a framework for analyzing the role of financial factors as a source of instability in small open economies. Our basic model is a dynamic open economy model with a tradeable good produced with capital and a country-specific factor. We also assume that firms face credit constraints, with the constraint being tighter at a lower level of financial development. A basic implication of this model is that economies at an intermediate level of financial development are more unstab...
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作者：Beaudry, P; Portier, F
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; University of British Columbia; National Bureau of Economic Research; Institut Universitaire de France; Centre for Economic Policy Research - UK
摘要：This paper explores a theory of business cycles in which recessions and booms arise due to difficulties encountered by agents in properly forecasting the economy's future needs in terms of capital. The idea has a long history in the macroeconomic literature, as reflected by the work of Pigou (Industrial Fluctuation, MacMillan, London, 1926). The contribution of this paper is twofold. First, we illustrate the type of general equilibrium structure that can give rise to such phenomena. Second, we...
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作者：Giordani, P
作者单位：University of New South Wales Sydney
摘要：This paper proposes an explanation for the frequent appearance of a price puzzle in VARs designed for monetary policy analysis. It assumes that the data are generated by a model in which output and output gap are not equivalent, while an econometrician follows the common practice of including only output in the VAR. The omission of the output gap is shown to spuriously produce a price puzzle (and several other incorrect conclusions) in a class of commonly used models. This can happen even if t...
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作者：Fuhrer, JC; Rudebusch, GD
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：New Keynesian macroeconomic models have generally emphasized that expectations of future output are a key factor in determining current output. The theoretical motivation for such forward-looking behavior relies on a straightforward generalization of the well-known Euler equation for consumption. In this paper, we use maximum likelihood and generalized method of moments (GMM) methods to explore the empirical importance of output expectations. We find little evidence that rational expectations ...
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作者：Faust, J; Swanson, ET; Wright, JH
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Using the prices of federal funds futures contracts, we measure the impact of the surprise component of Federal Reserve policy decisions on the expected future trajectory of interest rates. We show how this information can be used to identify the effects of a monetary policy shock in a standard VAR. This alternative approach to identification is quite different, and, we argue, more plausible, than the conventional identifying restrictions. We find that a usual recursive identification of the m...
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作者：Akyol, A
作者单位：York University - Canada
摘要：This study investigates an incomplete markets economy in which the saving behavior of a continuum of infinitely lived agents is influenced by precautionary saving motives and borrowing constraints. Agents can use two types of assets (interest bearing IOUS and money) to smooth consumption. Money is valued because of a timing friction in the bond market. In particular, the bond market closes before agents observe their idiosyncratic productivity shock. I find that the Friedman rule is not optima...
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作者：Normandin, M; Phaneuf, L
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; University of Quebec; University of Quebec Montreal; University of Quebec; University of Quebec Montreal
摘要：We propose an empirical procedure, which exploits the conditional heteroscedasticity of fundamental disturbances, to test the targeting and orthogonality restrictions imposed in the recent VAR literature to identify monetary policy shocks. Based on U.S. monthly data for the post-1982 period, we reject the non-borrowed-reserve and interest-rate targeting procedures. In contrast, we present evidence supporting targeting procedures implying more than one policy variable. We also always reject the...
