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作者：Huggett, M; Ospina, S
作者单位：Georgetown University
摘要：When are aggregate precautionary savings positive? We address this question in the context of a general equilibrium model where infinitely-lived agents receive idiosyncratic labor endowment shocks, hold a risk-free asset to smooth consumption and face a liquidity constraint, We prove that (1) the steady-state capital stock is always larger in any equilibrium with idiosyncratic shocks and a liquidity constraint than without idiosyncratic shocks (i.e. aggregate precautionary savings are positive...
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作者：Daniel, BC
作者单位：State University of New York (SUNY) System; University at Albany, SUNY
摘要：Recent work (Loyo, E., Going international with the fiscal theory of the price level. Manuscript, John F. Kennedy School of Government, Harvard University, 1998; Dupor, B., Exchange rates and the fiscal theory of the price level. Journal of Monetary Economics 45, 613-630) has shown that extension of the fiscal theory of the price level to an open economy yields indeterminate prices and exchange rates, calling into question the usefulness of the theory. This paper shows that by carefully tailor...
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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：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：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：Chen, NK
作者单位：National Taiwan University
摘要：A dynamic general equilibrium model is proposed to study the interactions between the banking sector, asset prices and aggregate economic activity. A durable asset serves as a productive input and as a collateral for loans. The propagation mechanism of a negative productivity shock is enhanced and prolonged through the interaction of credit constraints and asset prices, where the bank loan and the investment are squeezed by a higher bank capital-asset ratio for lending and at the same time, a ...
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作者：Holmes, TJ; Schmitz, JA
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Minnesota System; University of Minnesota Twin Cities
摘要：There is a large and growing theoretical literature studying the allocation of individuals and their effort amongst productive and unproductive entrepreneurial activities. Trade and competition between regions have been recognized as potentially powerful forces limiting unproductive entrepreneurial activities. In this paper we extend the technology-ladder model of Grossman and Helpman to study this issue and demonstrate conditions under which lowering of tariffs leads to a shift from unproduct...
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作者：Agell, J; Persson, M
作者单位：Uppsala University; Stockholm University
摘要：In this paper, we analyze government budget balance within a simple model of endogenous growth. For the AK model, simple analytical conditions for a tax cut to be self-financing can be derived. The critical variable is not the tax rate per se, but the transfer-adjusted tax rate. We discuss some conceptual issues in dynamic revenue analysis, and we explain why previous studies have arrived at seemingly contradictory results. Finally, we perform an empirical study of the transfer-adjusted tax ra...
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作者：Brennan, MJ; Xia, YH
作者单位：University of California System; University of California Los Angeles; University of Pennsylvania
摘要：A dynamic general equilibrium model of stock prices is developed which yields a stock price volatility and equity premium that are close to the historical values. Non-observability of the expected dividend growth rate introduces an element of learning which increases the volatility of stock price. Calibration to the U.S. dividend and consumption processes yield interest rate and stock price processes that conform closely to the styled facts for the U.S, capital market. (C) 2001 Elsevier Scienc...
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作者：A'Hearn, B; Woitek, U
作者单位：University of Glasgow; Franklin & Marshall College
摘要：This paper establishes stylized facts about business cycles in the late 19th century, using spectral analysis techniques which allow an intuitive description and analysis of cyclical structure in economic fluctuations. Analysis of industrial production data for 13 countries permits the following generalizations. In the advanced North Atlantic economies, a fairly regular long cycle with a periodicity of 7-10 years is identified in all countries. This component explains a substantial fraction of...
