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作者：Kahn, M; Kandel, S; Sarig, O
作者单位：Reichman University; University of Pennsylvania; Tel Aviv University; Bank of Israel
摘要：We examine the impact of monetary policy using Israeli data on nominal and indexed bonds, which allow us to decompose nominal interest rates into inflation expectations and ex ante real interest rates. We find that a monetary policy shock, introduced by raising the overnight rate the Bank of Israel charges member banks, raises real interest rates but lowers inflation expectations. Long-term real interest rates are less impacted than short-term rates. Lastly, monetary shocks affect the exchange...
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作者：Otrok, C; Ravikumar, B; Whiteman, CH
作者单位：University of Iowa; University of Virginia
摘要：We explore how the introduction of habit preferences into the simple intertemporal consumption-based capital asset pricing model solves the equity premium and risk-free rate puzzles. While agents with time-separable preferences care only about the overall volatility of consumption, we show that agents with habit preferences care not only about overall volatility, but also about the temporal distribution of that volatility. Specifically, habit agents are much more averse to high-frequency fluct...
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作者：Harding, D; Pagan, A
作者单位：University of Melbourne; Australian National University; University of Oxford
摘要：Following Burns and Mitchell we define the cycle as a pattern in the level of aggregate economic activity. An algorithm to locate turning points is developed, as is a new measure of pro-cyclicality. A link between turning points and the moments of the series is established thereby providing the statistical foundation that Burns and Mitchell's work lacked. Using these tools we are able to dissect cycles in terms of the contributions made by trend growth, volatility, serial correlation and non-l...
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作者：Humphreys, BR; Maccini, LJ; Schuh, S
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; University System of Maryland; University of Maryland Baltimore County
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作者：Weber, CE
作者单位：Seattle University
摘要：This paper reexamines previous findings that some 50% of disposable income goes to households who consume their current incomes in violation. of the Permanent Income Hypothesis. In particular, I test whether such findings are robust to assumed intertemporal non-separability in the utility function. When the household utility function is permitted to be non-separable in consumption in adjacent time periods, the estimated fraction of disposable income which goes to such rule of thumb households ...
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作者：Gervais, M
作者单位：Queens University - Canada; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：This paper studies the impact of the preferential tax treatment of housing capital in a dynamic general equilibrium life-cycle economy populated by heterogeneous individuals. The model includes the main housing tax provisions currently in place in the U.S. and a minimum downpayment requirement upon purchasing non-divisible houses. The tax code makes the return on housing capital larger than that on business capital, which distorts the lifetime profile and composition of individuals' savings. T...
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作者：Nelson, E
作者单位：Bank of England
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作者：Christiano, LJ; Todd, RM
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research; Northwestern University
摘要：'No'. So says one model that is broadly consistent with postwar U.S. seasonal and business cycle data. (C) 2002 Elsevier Science B.V. All rights reserved.
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作者：Huang, KXD; Liu, Z
作者单位：Emory University; Utah System of Higher Education; Utah State University
摘要：Staggered price-setting and staggered wage-setting are commonly viewed as similar mechanisms in generating persistent real effects of monetary shocks. In this paper, we distinguish the two mechanisms in a dynamic stochastic general equilibrium framework. We show that, although the dynamic price-setting and wage-setting equations are alike, a key parameter governing persistence is linked to the underlying preferences and technologies in different ways. With reasonable parameter values, the stag...
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作者：Lee, K; Ni, S
作者单位：University of Missouri System; University of Missouri Columbia; Kyung Hee University
摘要：This paper analyzes the effects of oil price shocks on demand and supply in various industries. The impulse responses of identified VAR models indicate that for industries that have a large cost share of oil, such as petroleum refinery and industrial chemicals, oil price shocks mainly reduce supply. In contrast, for many other industries, with the automobile industry being a particularly important example, oil price shocks mainly reduce demand. The paper suggests that oil price shocks influenc...
