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作者：Bergin, PR; Feenstra, RC
作者单位：University of California System; University of California Davis; National Bureau of Economic Research
摘要：This paper generates persistent real effects of a monetary disturbance in the context of staggered price setters. The model combines two related and reinforcing features: a translog demand structure and a particular input-output production structure, These features offer a rationale why a firm, when computing its own optimal contract price, is influenced by the prices set in other overlapping contracts. Practically, the two features interact in a positive manner and provide a way to generate s...
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作者：Hallwood, CP; MacDonald, R; Marsh, IW
作者单位：University of Connecticut; University of Strathclyde; City St Georges, University of London; Centre for Economic Policy Research - UK
摘要：We investigate dollar-sterling exchange rate expectations during the period 1890-1908. We show that the dollar faced a 'Peso problem' in that for much of the period financial markets expected it to depreciate against sterling, but this never in fact happened - i.e. expectations were persistently biased. Drawing on the economic history of the period we identify 11 'events' which probably gave rise to realignment expectations. Once the dollar's adherence to the gold standard was settled as a pol...
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作者：Tallarini, TD
作者单位：Carnegie Mellon University
摘要：This paper considers the business cycle, asset pricing, and welfare effects of increased risk aversion, while holding intertemporal substitution preferences constant. I show that increasing risk aversion does not significantly affect the relative variabilities and co-movements of aggregate quantity variables. At the same time, it dramatically improves the model's asset market predictions. The welfare costs of business cycles increase when preference parameters are chosen to match financial dat...
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作者：Kim, S; Roubini, N
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Past empirical research on the effects of monetary policy in closed and open economies found evidence of several anomalies, such as the 'liquidity', 'price','exchange rate' and 'forward discount bias' puzzles. In this paper, we develop an approach that provides a solution to these empirical anomalies in an open economy setup. We use a 'structural VAR' approach with non-recursive contemporaneous restrictions and we identify monetary policy shocks by modeling the reaction function of the monetar...
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作者：Muscatelli, VA; Spinelli, F
作者单位：University of Glasgow; University of Brescia
摘要：This payer examines the stability of the demand for money in Italy using a newly extended data set for the period 1861-1996. We examine how the evolution of the financial system in Italy and policy shifts have affected the behavior of the long-run demand for money, and present tests of structural stability. We find the demand for broad money to be remarkably stable, despite periods of considerable economic turbulence. In addition, we present evidence on the monetary transmission mechanism. Our...
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作者：Hess, GD; Shin, K
作者单位：University System of Ohio; Oberlin College; Korea University
摘要：Cochrane (1991, Journal of Political Economy 99, 957-976) and Mace (1991, Journal of Political Economy 99, 928-956) test if risk sharing across households is complete in the sense that household consumption moves one-for-one with aggregate consumption. In their studies the source of income risk is idiosyncratic, and agents can share risk across the entire economy. Using a sample of households from the Panel Study on Income Dynamics (PSID), we explore whether households share the risk associate...
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作者：Rupert, P; Rogerson, R; Wright, R
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University of Pennsylvania
摘要：We argue that estimates of intertemporal substitution elasticities obtained from standard life cycle models are subject to a downward bias because they neglect changes in work done at home over the life cycle. We extend the standard life cycle model to include home production and estimate it using data from three time use surveys. We find that the downward bias is large. (C) 2000 Published by Elsevier Science B.V. All rights reserved. JEL classification: D1; J2.
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作者：Hall, GJ
作者单位：Yale University
摘要：I study detailed data from eleven automobile assembly plants. These data display considerable cross-plant heterogeneity in production scheduling. To explain the observed heterogeneity, I solve a dynamic programming model. When desired production is below the plant's minimum efficient scale, non-convexities induce production bunching; the plant uses less than full capital utilization on average and production is more volatile than sales. When desired production is above the plant's minimum effi...
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作者：Athanasoulis, SG; van Wincoop, E
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Yale University
摘要：We propose a new methodology to evaluate the gains from global risksharing that is closely connected to the empirical growth literature. We obtain estimates of diversifiable growth uncertainty at various horizons from regressions of country-specific deviations from world growth on a wide set of variables in the information set. This is used to obtain a measure of the welfare gain from risksharing for a representative country. We find large benefits from risksharing. The gain for a 35-year hori...
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作者：Dupor, B
作者单位：University of Pennsylvania
摘要：This paper addresses exchange rate determination under a nominal interest peg in a two-country cash-in-advance model. Under two types of cash-in-advance constraints, if both governments peg the nominal interest rate on domestic bonds, there is a continuum of equilibria, each consistent with different nominal exchange rates and real resource allocations. The well-known finding of equilibrium uniqueness under a nominal interest rate peg in a closed economy does not survive in a multi-country, mu...
