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作者：Elliott, G; Ito, T
作者单位：Hitotsubashi University; University of California System; University of California San Diego
摘要：This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural trading rule. We find that although the survey data are not the best predictor of future spot rates in terms of typical mean square forecast error criteria, the survey data can be used to obtain on average...
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作者：Huybens, E; Smith, BD
作者单位：Instituto Tecnologico Autonomo de Mexico; University of Texas System; University of Texas Austin
摘要：Empirical evidence suggests that real activity, the volume of bank lending activity, and the volume of trading in equity markets are strongly positively correlated. At the same time, inflation and financial market activity are strongly negatively correlated (in the long run), as are inflation and the real rate of return on equity. Inflation and real activity are also negatively correlated in the long run, particularly for economies with relatively high rates of inflation. We present a monetary...
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作者：Zeira, J
作者单位：Hebrew University of Jerusalem
摘要：This paper offers an informational explanation to stock markets' booms and crashes. This explanation builds on the idea of 'informational overshooting': if market fundamentals change for an unknown period of time, prices experience a boom, which ends in a crash, due to informational dynamics. The paper then shows that 'informational overshooting' occurs when the market expands to a new capacity, which is unknown until it is reached. The paper presents two examples of such expansions, one due t...
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作者：Huffman, GW; Wynne, MA
作者单位：Southern Methodist University; Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：In this paper we construct a multisector business cycle model which is capable of reproducing the procyclical behavior of cross-sector measures of capital, employment and output. We start by documenting the difficulty that a standard variant of a conventional real business cycle model has in accounting for these facts. We then show how the introduction of intratemporal adjustment costs for investment can significantly enhance the performance of such a model. These costs make it difficult to al...
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作者：Rebelo, S; Xie, DY
作者单位：Northwestern University; National Bureau of Economic Research; Hong Kong University of Science & Technology
摘要：This paper studies some continuous-time cash-in-advance models in which interest rate smoothing is optimal. We consider both deterministic and stochastic models. In the stochastic case we obtain two results of independent interest: (i) we study what is, to our knowledge, the only version of the neoclassical model under uncertainty that can be solved in closed form in continuous time; and (ii) we show how to characterize the competitive equilibrium of a stochastic continuous time model that can...
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作者：Freeman, S
作者单位：University of Texas System; University of Texas Austin
摘要：This paper compares three institutions that offer an elastic currency - open market operations, a discount window, and a private, banknote-issuing clearinghouse - in an economy with financial markets otherwise hampered by a lack of liquidity. When this economy is subject to aggregate financial shocks, these alternative forms of central banking are shown to differ in their implications for risk-sharing. Interesting implications include (i) central bank losses and monetary innovations that are p...
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作者：Bénassy, JP
摘要：I construct in this article a simple adaptation of Lucas' 1972 article on the neutrality of money. A closed-form solution is derived, which allows to understand a number of positive and normative properties of the model. (C) 1999 Elsevier Science B.V. All rights reserved.
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作者：[Anonymous]
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作者：Karayalçin, C
作者单位：State University System of Florida; Florida International University
摘要：This paper studies a dynamic optimizing small open economy model that emphasizes the supply-side responses of labor and capital to changes in fiscal policy. The model used generates results that are consistent with a number of empirical regularities in small open economies. Furthermore, temporary fiscal shocks are shown to have permanent positive effects on output and negative effects on consumption and welfare. The strength of these effects are shown to depend on intertemporal elasticities of...
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作者：Ireland, PN
作者单位：Boston College
摘要：This paper derives the restrictions imposed by Barro and Gordon's theory of time-consistent monetary policy on a bivariate time-series model for inflation and unemployment and tests those restrictions using quarterly US data from 1960 through 1997. The results show that the data are consistent with the implications of the theory for the long-run behavior of the two variables, indicating that the theory can explain the initial rise and subsequent fall of inflation over the past four decades. Th...
