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作者：Faust, J; Rogers, JH
摘要：We address the role of monetary policy shocks in exchange rate behavior using an inference procedure that allows us to relax dubious identifying assumptions. We find: (i) The peak exchange rate response may be delayed or nearly immediate; (ii) In every otherwise reasonable identification, monetary policy shocks lead to large uncovered interest rate parity (UIP) deviations; (iii) Monetary policy shocks may account for a smaller portion of exchange rate variance than found earlier. While (i) is ...
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作者：Camera, G; Winkler, J
作者单位：Purdue University System; Purdue University
摘要：We endogenize circulation of currencies and price formation in a decentralized trading environment with two countries and two currencies. In equilibrium sellers of homogeneous goods may post prices in the national or also in the foreign currency, given unobservable buyers' valuations. We prove that, under different monetary regimes, the absence of well integrated international goods markets doesn't necessarily imply a violation of the law of one price. We also illustrate the behavior of prices...
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作者：Brandt, MW; Wang, KQ
作者单位：Duke University; National Bureau of Economic Research; University of Toronto
摘要：We formulate a consumption-based asset pricing model in which aggregate risk aversion is time-varying in response to both news about consumption growth (as in a habit formation model) and news about inflation. We estimate our model and explore its pricing implications for the term structure of interest rates and the cross-section of stock returns. Our empirical results support the hypothesis that aggregate risk aversion varies in response to news about inflation. The induced time-variation in ...
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作者：Levy, D; Dezhbakhsh, H
作者单位：Emory University; Bar Ilan University
摘要：We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To study the sources of this diversity, we estimate the short-run, business cycle, and long-run frequency components of the sampled series. For most OECD countries the bulk of the spectral mass is in the business cycle frequency band, and the magnitude of this cyclical component increases with income. For the developing countries, however, the spectral mass is not concentrated in the business cycle fre...
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作者：Steinsson, J
作者单位：Harvard University
摘要：This paper studies optimal monetary policy in a model where inflation is persistent. Two types of price setters are assumed to exist. One acts rationally given Calvo-type constraints on price setting. The other type sets prices according to a rule-of-thumb. This results in a Phillips curve with both a forward-looking term and a backward-looking term. The Phillips curve nests a standard purely forward-looking Phillips curve as well as a standard purely backward-loo king Phillips curve as specia...
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作者：Minier, JA
作者单位：University of Miami
摘要：Recent literature has established a positive correlation between financial development and economic growth. While papers such as Bencivenga et al. (J. Econom. Theory 67 (1995) 53) identify potential nonlinearifies in this relationship, empirical research to date has allowed for only linear relationships. This paper uses regression tree techniques to investigate whether the partial correlation between growth and financial development differs based on countries' levels of financial and economic ...
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作者：Head, A; Shi, SY
作者单位：University of Toronto; Queens University - Canada
摘要：In this paper we construct a two-country search model to determine the nominal exchange rate between two fiat monies. Our model allows agents to use any currency to trade for goods in all countries. However, search frictions restrict agents' opportunities for instantaneous arbitrage, and hence make the nominal exchange rate determinate. The nominal exchange rate depends on the two countries' economic fundamentals, including the stocks and growth rates of the two monies. Direct exchanges betwee...
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作者：de Lint, CR; Stolin, D
作者单位：Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; TBS Education
摘要：Although the empirical evidence about the leading indicator property of the term spread (LIPTS) is powerful, this property lacks a rigorous theoretical foundation. This paper investigates whether dynamic equilibrium asset pricing models are able to provide a theoretical underpinning for the LIPTS. We study an endowment and a production economy. The endowment economy is unable to account for the LIPTS. On the other hand, a model with endogenous production provides a reasonable theoretical justi...
