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作者：Abel, AB
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on riskless bills. This paper analyzes term premia and risk premia in a general equilibrium model with catching up with the Joneses preferences and a novel formulation of leverage. Closed-form solutions for moments of asset returns are derived. First-order approximations...
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作者：Gorton, G
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：During the pre-Civil War period, US banks issued distinct private monies, called bank notes. A bank note is a perpetual, risky, non-interest-bearing, debt claim with the right to redeem on demand at par in specie. This paper investigates the pricing of this private money taking into account the enormous changes in technology during the period, namely, the introduction and rapid diffusion of the railroad. A contingent claims pricing model for bank notes is proposed and tested using monthly bank...
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作者：Merz, M
作者单位：Rice University
摘要：Worker flows to and from unemployment simultaneously occur over the US business cycle, and the size of the flows is positively linked to the unemployment rate. Unemployment flows and the unemployment rate are highly volatile, persistent and countercyclical. Inflows lead the unemployment rate, and the unemployment rate leads outflows over the business cycle. The one-sector stochastic growth model is augmented by matching frictions in the labor market and match-specific productivity shocks that ...
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作者：Shi, S
作者单位：Queens University - Canada
摘要：This paper constructs a model to integrate the search monetary theory into a neoclassical growth model. With divisible goods and money, the model is used to examine the relationship between money growth and capital accumulation. The framework uncovers a distinct extensive effect that an increase in the money growth rate increases the frequency of successful trades by increasing the number of agents in the market. This positive extensive effect on the number of trades can dominate the conventio...
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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：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：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：Faig, M; Shum, P
作者单位：York University - Canada; University of Toronto
摘要：We evaluate the effects of corporate taxation on firms' investment and financing choices. We focus on how the asymmetry of the corporate tax, imperfect loss carry-overs, endogenous financing with credit constraints, and different degrees of investment irreversibility affect both incremental investment and entry decisions. We fmd that, as long as capital can be financed with debt at the margin, the tax distortions on the marginal investment decision are small. This is particularly so if the tec...
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作者：Koustas, Z; Serletis, A
作者单位：University of Calgary; Brock University
摘要：We use post-war quarterly data for Belgium, Canada, Denmark, France, Germany, Greece, Ireland, Japan, the Netherlands, the United Kingdom and the United States to examine the Fisherian link between inflation and short-term nominal interest rates. In doing so, we apply the King and Watson (1997) methodology, paying particular attention to the integration and cointegration properties of the variables, since meaningful Fisher effect tests critically depend on such properties. We conclude that the...
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作者：Imbs, JM
作者单位：New York University
摘要：Using a partial equilibrium model that allows for factor hoarding, I construct series on input utilization rates for ten OECD countries. These series are used in growth accounting computations of total factor productivity which filter out cyclical variations in input utilization rates. The main findings are as follows:(i) adjusted Solow residuals grow consistently faster than standard measures; (ii) the variability of the adjusted Solow residual is in some cases smaller than the standard resid...
