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作者：Duffee, GR; Zhou, CS
作者单位：University of California System; University of California Berkeley; University of California System; University of California Riverside; Peking University
摘要：We model the effects on banks of the introduction of a market for credit derivatives; in particular, credit-default swaps. A bank can use such swaps to temporarily transfer credit risks of their loans to others, reducing the likelihood that defaulting loans trigger the bank's financial distress. Because credit derivatives are more flexible at transferring risks than are other, more established tools, such as loan sales without recourse, these instruments make it easier for banks to circumvent ...
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作者：Carlstrom, CT; Fuerst, TS
作者单位：University System of Ohio; Bowling Green State University; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
摘要：An increasingly common approach to the theoretical analysis of monetary policy is to ensure that a proposed policy does not introduce real indeterminacy and thus sunspot fluctuations into the model economy, Policy is typically conducted in terms of directives for the nominal interest rate. This paper uses a discrete-time money-in-the-utility function model to demonstrate how seemingly minor modifications in the trading environment result in dramatic differences in the policy restrictions neede...
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作者：Paquet, A; Robidoux, B
作者单位：University of Quebec; University of Quebec Montreal
摘要：This paper examines the impact of adjusting the Solow residual for variable capacity utilization on the empirical assessment of market structure and exogeneity of productivity shocks. Making use of an innovative measure of capacity utilization available in Canada reveals that its aggregate market structure is well described by constant returns to scale and perfect competition in contrast to most studies which do not make this adjustment. Furthermore, when the capital stock is adjusted for vari...
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作者：Bomfim, AN
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Motivated by issues raised in both the finance and economics literatures, I construct a dynamic general equilibrium model where agents use differing degrees of sophistication when forecasting future economic conditions. All agents solve standard dynamic optimization problems and face strategic complementarity in production, but some solve their inference problems based on simple forecasting rules of thumb. Assuming a hierarchical information structure similar to the one in Townsend's (J. Polit...
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作者：Caballero, RJ; Krishnamurthy, A
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Northwestern University
摘要：We build a model of emerging markets crises which features two types of collateral constraints. Finns in a domestic economy have limited borrowing capacity from international investors. They also have limited borrowing capacity with respect to each other. We study how the presence and changes in these collateral constraints affect financial and real variables. A binding international constraint in the aggregate leads to a sharp rise in interest rates and fire sales of domestic assets, while li...
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作者：Alvarez, F; Veracierto, M
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Chicago; Universidad Torcuato Di Tella; National Bureau of Economic Research
摘要：We construct a general equilibrium model to evaluate the quantitative effects of severance payments in the presence of contractual and reallocational frictions. Key elements of the model are establishment level dynamics, imperfect insurance markets, and variable search decisions. In contrast to previous studies that analyzed severance payments in frictionless environments, we find that severance payments can have large positive effects on employment and welfare. This result is a consequence of...
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作者：Kim, S
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper documents data-oriented, detailed evidence on the international transmission of U.S. monetary policy shocks for the flexible exchange rate period using VAR models. First, U.S. expansionary monetary policy shocks lead to booms in the non-U.S., G-6 countries. In this transmission, changes in trade balance seem to play a minor role while a decrease in the world real interest rate seems important. Second, U.S. expansionary monetary policy shocks worsen the U.S. trade balance in about a ...
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作者：Amato, JD; Swanson, NR
作者单位：Bank for International Settlements (BIS); Texas A&M University System; Texas A&M University College Station
摘要：Data on monetary aggregates are subject to periodic redefinitions, presumably in part to improve their link to measures of output. Money data are also revised on a regular basis. Taking these data imperfections into account, we reassess the evidence on the marginal predictive content of MI and M2 for real and nominal output. In particular, first by using the latest version of the data that is available, and then using sequences of historical time series that would have been available to foreca...
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作者：Kwok, C
作者单位：City University of Hong Kong
摘要：This paper considers an environment in which entrepreneurs cannot commit their human capitals to investment projects and the amount of external funds that they can raise is constrained by the salvage values of the physical capital goods. In order to raise sufficient external funds, entrepreneurs might have to use capital goods that are less project specific. In a two-period lived overlapping generations model with aggregate shocks, this paper shows that the presence of the agency problem can p...
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作者：Kahn, CM; Roberds, W
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Using a neoclassical monetary model, we investigate the welfare cost of a payment system that operates as a real-time gross settlement (RTGS) system. We illustrate how the cost of such systems ultimately derives from the credit constraints imposed by RTGS. The effects of these constraints can be undone if the central bank makes intraday credit freely available. If intraday credit is only available on a collateralized basis, however, RTGS will always impose a liquidity cost. (C) 2001 Published ...
