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作者：Kozicki, S; Tinsley, PA
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; University of Cambridge
摘要：This paper links the term structure to perceptions of monetary policy. Long-horizon forecasts of short rates required by no-arbitrage term structure models are heavily influenced by the endpoints, or limiting conditional forecasts, of the short rate process. Common assumptions that the short rate is mean-reverting or contains a unit root are shown to generate unrealistic yield predictions. Failures occur because these assumptions inadequately account for historical shifts in market perceptions...
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作者：Bomfim, AN
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I analyze the business cycle implications of noisy economic indicators in the context of a dynamic general equilibrium model. Two main results emerge. First, measurement error in preliminary data releases can have a quantitatively important effect on economic fluctuations. For instance, under efficient signal-extraction, the introduction of accurate economic indicators would make aggregate output 10-30 percent more volatile than suggested by the post-war experience of the U.S. economy. Second,...
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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：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...
