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作者：Bénassy, JP
作者单位：Centre National de la Recherche Scientifique (CNRS)
摘要：I investigate whether a government should lead an activist policy in a rigorous utility maximizing framework under rational expectations. The economy is one with preset wages, and is subject to both demand and supply shocks. It is assumed that the government can never act on the basis of information superior to that of the private sector. Moreover wages are set after government policy has been carried out. We find that the optimal policy is nevertheless an activist countercyclical one. In has ...
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作者：Lloyd-Ellis, H; Zhu, X
作者单位：Queens University - Canada; University of Toronto
摘要：We use the returns on a set of international financial securities to identify exogenous shocks to the Canadian federal surplus. We find that a large portion of the variation in the surplus can be replicated by a linear combination of these returns and that the recent rise in debt resulted from adverse shocks and a delayed response by the government. We develop a framework to evaluate the gains from a risk management strategy, using these securities to hedge against shocks. We find that hedging...
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作者：Carlson, JA; Valev, NT
作者单位：University System of Georgia; Georgia State University; Purdue University System; Purdue University
摘要：Low credibility, reflected in persistent expectations of high inflation, is the usual suspect in costly disinflation efforts. A currency board is a monetary regime that attempts to establish credibility by reducing uncertainty regarding the inflation preferences of the policymaker and the environment in which the policymaker operates. This paper uses unique survey data from Bulgaria and finds that expected inflation is indeed lowered by the prospect of a currency board but to a different degre...
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作者：Bekaert, G; Hodrick, RJ; Marshall, DA
作者单位：Federal Reserve System - USA; Columbia University; National Bureau of Economic Research
摘要：We investigate whether term structure anomalies in U.S. data may be due to a generalized peso problem, in which a high-interest-rate regime occurred less frequently in the U.S. sample than was rationally anticipated. We formalize this idea by estimating a regime-switching model of short-term interest rates with data from seven countries. Under the small-sample distributions generated by the model, the expectations hypothesis is rejected. When we allow moderate time variation in term premiums, ...
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作者：Aoki, K
作者单位：Bank of England
摘要：An optimizing model, with a flexible-price sector and a sticky-price sector, is presented to analyze the effects of relative-price changes on inflation fluctuations. The relative price of the flexible-price good represents a shift parameter of the New Keynesian Phillips curve. The optimal monetary policy is to target sticky-price inflation, rather than a broad inflation measure. Although stabilizing the relative price around its efficient value is one of the appropriate goals of the central ba...
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作者：Ellison, M; Valla, N
作者单位：European University Institute; University of Warwick
摘要：In this paper we examine the optimal level of central bank activism in a standard model of monetary policy with uncertainty, learning and strategic interactions. We calibrate the model using G7 data and find that the presence of strategic interactions between the central bank and private agents creates an additional motivation for caution in the optimal monetary policy. An activist policy designed to help learning and reduce future uncertainty creates extra volatility in inflation expectations...
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作者：Kuttner, KN
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper estimates the impact of monetary policy actions on bill, note, and bond yields, using data from the futures market for Federal funds to separate changes in the target funds rate into anticipated and unanticipated components. Interest rates' response to anticipated target rate changes is small, while their response to unanticipated changes is large and highly significant. These responses are generally consistent with the expectations hypothesis of the term structure. Surprise target ...
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作者：Khan, A; Ravikumar, B
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We examine the impact of incomplete risk-sharing on growth and welfare. The source of market incompleteness in our economy is private information: a household's idiosyncratic productivity shock is not observable by others. Risk-sharing between households occurs through long-term contracts with intermediaries. We find that incomplete risk-sharing tends to reduce the rate of growth relative to the complete risk-sharing benchmark. Numerical examples indicate that the welfare cost and the growth e...
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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; Johns Hopkins University
摘要：This paper presents a new stage-of-fabrication inventory model with delivery, usage, and stocks of input materials that distinguishes between gross production and value added. It extends the linear-quadratic model of output inventories by adding the joint determination of input inventories. Empirically, input inventories are more important than output inventories. Maximum likelihood estimation of the decision rules yields correctly signed and significant parameter estimates using data for nond...
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作者：Otrok, C
作者单位：University of Virginia
摘要：Lucas (Models of Business Cycles, Basil Blackwell, New York, 1987) argues that the gain from eliminating aggregate fluctuations is trivial. However, a number of researchers have altered assumptions on preferences and found that the gain from eliminating business cycles is potentially very large. This paper estimates the welfare cost of business cycles, allowing for potential time-non-separabilities in preferences, where discipline is placed on the choice of preference parameters by requiring t...
