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作者：Kim, CJ; Piger, J
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Korea University
摘要：This paper investigates the nature of U.S. business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We identify a common stochastic trend and common transitory component by embedding the permanent income hypothesis within a simple growth model. Markov-switching in each component captures two types of asymmetry: Shifts in the growth rate of the common stochastic trend, having permanent effects, and plucking deviations from the common stochastic trend, having...
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作者：Rudebusch, GD
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Numerous studies have used quarterly data to estimate monetary policy rules or reaction functions that appear to exhibit a very slow partial adjustment of the policy interest rate. The conventional wisdom asserts that this gradual adjustment reflects a policy inertia or interest rate smoothing behavior by central banks. However, such quarterly monetary policy inertia would imply a large amount of forecastable variation in interest rates at horizons of more than 3 months, which is contradicted ...
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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...
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作者：Rogerson, R; Schindler, M
作者单位：Arizona State University; Arizona State University-Tempe; University of Pennsylvania
摘要：Recent work has documented the large persistent earnings losses associated with the displacement of high tenure workers. In this paper, we assess the welfare costs of this risk, assuming that workers do not have access to insurance markets. We find that the cost is substantial, on the same order of magnitude as the cost associated with unemployment risk. We also argue that long duration unemployment insurance is likely to exacerbate this cost, and that government-financed severance payments ar...
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作者：Wen, Y
作者单位：Cornell University
摘要：Why do countries and industries with large seasonal fluctuations also have large business cycles? It is well known that seasonal fluctuations account for the bulk of total output fluctuations, yet it is unknown whether seasonal fluctuations can trigger business cycles. Using a procedure that allows for identification of seasonal innovations, I found that seasonal shocks explain 50% of the business cycle in aggregate output. Such findings provide a novel and powerful explanation for the observe...
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作者：Canova, F; De Nicoló, G
作者单位：Pompeu Fabra University; University of Southampton; Centre for Economic Policy Research - UK; International Monetary Fund
摘要：This paper examines the importance of monetary disturbances for cyclical fluctuations in real activity and inflation. It employs a novel identification approach which uses the sign of the cross-correlation function in response to shocks to assign a structural interpretation to orthogonal innovations. We find that identified monetary shocks have reasonable properties; that they significantly contribute to output and inflation cycles in all G-7 countries; that they contain an important policy co...
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作者：Bullard, J; Mitra, K
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of London; Royal Holloway University London
摘要：We study macroeconomic systems with forward-looking private sector agents and a monetary authority that is trying to control the economy through the use of a linear policy feedback rule. We use stability under recursive learning a la Evans and Honkapohja (Learning and Expectations in Macroeconomics, Princeton University Press, Princeton, New Jersey, 2001) as a criterion for evaluating monetary policy rules in this context. We find that considering learning can alter the evaluation of alternati...
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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...
