-
作者：Gruen, D; Pagan, A; Thompson, C
作者单位：Australian National University; Reserve Bank of Australia
摘要：In this paper we discuss the development of Phillips curves in Australia over the forty years since Phillips first estimated one using Australian data. We examine the central issues faced by researchers estimating Australian Phillips curves. These include the distinction between the short- and long-run trade-offs between inflation and unemployment, and the changing level of the non-accelerating inflation rate of unemployment (NAIRU), particularly in the 1970s. We estimate Phillips curves for p...
-
作者：Cook, D
作者单位：Hong Kong University of Science & Technology
摘要：I suggest a 'liquidity effect' model in which financial intermediation costs are determined by aggregate economic activity. An expansionary monetary shock leads to a persistent contraction in the loan-deposit rate spread, a persistent liquidity effect, and a persistent real expansion. A feature of this expansion is that nominal prices respond sluggishly to monetary shocks as an equilibrium outcome. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: E32; E4; E51.
-
作者：Galí, J; Gertler, M
作者单位：New York University; Pompeu Fabra University
摘要：We develop and estimate a structural model of inflation that allows for a fraction of firms that use a backward-looking rule to set prices. The model nests the purely forward-looking New Keynesian Phillips curve as a particular case. We use measures of marginal cost as the relevant determinant of inflation, as the theory suggests, instead of an ad hoc output gap. Real marginal costs are a significant and quantitatively important determinant of inflation. Backward-looking price setting, while s...
-
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...
-
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...
-
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...
-
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...
-
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...
-
作者：Dupor, B
作者单位：University of Pennsylvania
摘要：This paper studies the ability of input-output relationships to generate fluctuations in aggregate output in several multi-sector models, including that of Long and Plosser (1983). In these models, the manufacture of each sector's output depends on other sectors for materials. These interconnections provide a mechanism for transmission of shocks across sectors and over time. We ask how aggregates from these multi-sector models behave relative to single-sector models. We provide conditions unde...
-
作者：Clark, PB; Goodhart, CAE; Huang, HZ
作者单位：International Monetary Fund; University of London; London School Economics & Political Science; International Monetary Fund
摘要：Using a rational expectations model based on a Phillips curve with persistence in inflation, we derive optimal monetary policy rules under both commitment and discretion. We assume that the central bank targets the natural rate of output, so there is no incentive generating an average inflation bias. With commitment, inflation has less persistence but more conditional variability, whereas output has more persistence and less conditional variability than with discretion. As the commitment strat...
