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作者：Gollier, C; Schlesinger, H
作者单位：University of Alabama System; University of Alabama Tuscaloosa; Universite de Toulouse; Universite Toulouse 1 Capitole; Universite de Toulouse; Universite Toulouse 1 Capitole
摘要：We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall, We show that these conditions neither imply, nor are implied by the conditions for second-degree stochastic dominance. For example, if the payoff on an asset becomes riskier in the sense of second-degree stochastic dominance, the equilibrium price o...
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作者：Evans, MDD; Lyons, RK
作者单位：University of California System; University of California Berkeley; Georgetown University; National Bureau of Economic Research
摘要：This paper addresses whether currency trades have greater price impact when public information is flowing rapidly. We develop an optimizing model to account for why public news should increase the price impact of trades. Using transaction data made available by electronic trading, we test whether trades following macroeconomic news have higher price impact. They do: price impact per dollar traded is about 10 percent higher per news announcement in the previous hour. After controlling for publi...
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作者：Nelson, E
作者单位：Bank of England
摘要：Meltzer (The transmission process. In Deutsche Bundesbank (ed.), The Monetary Transmission Process, 2001) shows that real monetary base growth is a significant determinant of consumption growth in the US, controlling for the short-term real interest rate. In this paper, I show that the same property of base money holds for total output (relative to trend or potential) in both the US and the UK. The standard optimizing IS-LM model cannot account for this result, but I show that it can once the ...
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作者：Nakagawa, H
作者单位：Aoyama Gakuin University
摘要：This paper investigates the relationship between real exchange rates and real interest differentials. While sticky-price exchange-rate theories predict a relationship, empirical evidence on the hypothesized link has proved elusive. Our conjecture is that the empirical difficulty is due to a failure to recognize nonlinearity in real exchange rate adjustment. When we introduce threshold nonlinearity into a traditional model to take account of a transaction cost-induced 'band of inaction' for pri...
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作者：Bordo, MD; Végh, CA
作者单位：University of California System; University of California Los Angeles; Rutgers University System; Rutgers University New Brunswick; National Bureau of Economic Research
摘要：The contrast between the early nineteenth century Argentinean experience of high inflation and the American experience of low inflation is interpreted in terms of an optimal taxation model. It is argued that the two countries' experiences diverged because of the different constraints they faced in financing wartime government expenditures. In the presence of frequent wars, ever-tightening access to foreign capital, and an inadequate tax base, Argentina's use of the inflation tax may be viewed ...
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作者：Collard, F; Dellas, H
作者单位：University of Bern
摘要：We examine macroeconomic stability and the properties of the international transmission of business cycles under three exchange rate systems: a flexible, a unilateral peg (EMS) and a single currency (EMU). The subjects of study are Germany and France. In France, macroeconomic volatility under EMU is comparable to that under a flexible exchange rate system but considerably lower than that under EMS. In Germany, output volatility is significantly higher under EMS-relative to the flexible regime-...
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作者：Eberly, JC
作者单位：Northwestern University; National Bureau of Economic Research
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作者：Gilchrist, S; Leahy, JV
作者单位：Boston University; National Bureau of Economic Research
摘要：The first part of this paper surveys the literature on asset prices and monetary policy. We then consider the appropriate policy response to two types of shocks that are associated with how asset prices affect the economy. The first set of shocks are the ones whose primary impact lies in the future. These shocks affect the economy and asset prices through expectations of future growth. The second set are shocks to net worth which directly impact the ability of firms to borrow and for consumers...
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作者：Gollier, C
作者单位：Universite de Toulouse; Universite de Toulouse
摘要：The aim of this paper is to provide a theoretical foundation to the notions of time diversification and decreasing absolute aversion to risk on wealth. We examine the attitude towards risk on initial wealth when the agent allocate this wealth to consumption over his lifetime. Time diversification occurs in that case because the agent will optimally split the risk on wealth into small, seemingly independent, risks on consumption. The introduction of liquidity constraints reduces the implicit ti...
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作者：Boyd, JH; Chang, C; Smith, BD
作者单位：University of Minnesota System; University of Minnesota Twin Cities; University of Texas System; University of Texas Austin; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：This paper undertakes a simple general equilibrium analysis of the consequences of deposit insurance programs, the way in which they are priced, and the way in which they fund revenue shortfalls. In our economy, the central issue in analyzing deposit insurance is how the government will make up any FDIC losses. Deposit insurance premia matter only in so far as they affect the level of implied FDIC revenue shortfalls. Moreover, local variations in the magnitude of FDIC losses will generically b...
