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作者：al-Nowaihi, A; Levine, P
作者单位：University of Surrey; Centre for Economic Policy Research - UK; University of Surrey; University of Leicester
摘要：This paper shows that political monetary cycles can be avoided in a monetary regime with Walsh-type contracts. Such contracts were originally proposed to eliminate the inflationary bias of discretionary monetary policy. This requires some commitment mechanism to enforce the contract and prevent its renegotiation, but here we rule this out. Instead, in the context of a monetary regime with an instrument-independent central bank and an inflation target (the goal) set by the government, Walsh con...
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作者：Chadha, B; Tsiddon, D
作者单位：International Monetary Fund; Tel Aviv University
摘要：This paper examines the distribution of output around capacity when money demand is a nonlinear function of the nominal interest rate such that nominal interest rates cannot become negative. When fluctuations in output result primarily from disturbances to the money market, the variance of output is shown to be an increasing function of the trend inflation rate. When they result from disturbances to the goods market, the variance of output is a decreasing function of the trend inflation rate. ...
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作者：Swanson, NR
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We examine the extent to which fluctuations in the money stock anticipate (or Granger cause) fluctuations in real output using a variety of rolling window and increasing window estimation techniques. Various models are considered using simple sum as well as Divisia measures of M1 and M2, income, prices, and both the T-bill rate and the commercial paper rate. Findings indicate that the relation between income, money, prices, and interest rates is stable, as long as sufficient data are used, and...
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作者：Burnside, C
作者单位：The World Bank
摘要：There is nothing misleading in the fact that different filtering techniques lead to different facts about macroeconomic time series. The fact that economists use a large number of filters to extract the 'cyclical' and 'trend' components of time series simply means that these concepts do not have unique meaning among them. Alternative filters provide different windows through which economists can examine their models and data. It is an open question as to whether some of these windows are more ...
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作者：Fung, BSC; Kasumovich, M
作者单位：Bank of Canada
摘要：In this paper, a simple identification technique is used to study the effects of monetary shocks in VAR models for the G-6 countries. Monetary shocks are identified by long-run cointegration restrictions and the assumption of long-run money neutrality. The short-run dynamics corresponding to a monetary shock are consistent with the predictions of monetary theory and can be interpreted as a monetary policy shock. The results suggest that the stock of money has an active role in the transmission...
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作者：Hamilton, JD; Monteagudo, J
作者单位：University of California System; University of California San Diego; Autonomous University of Barcelona
摘要：In an insightful and influential paper, Mankiw et al. (1992, Quarterly Journal of Economics 107, 407-437) have suggested that an augmented Solow growth model can account for 80% of the variation in output per capita across countries due to different steady-state growth paths that result from differences in saving rates, education, and population growth. This paper carries their analysis one step further and asks whether changes in the growth rate between the 1960s and the 1980s can also be exp...
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作者：Canzoneri, MB; Dellas, H
作者单位：Center for Economic & Policy Research (CEPR); Georgetown University; Georgetown University; Universite Catholique Louvain; Universite Catholique Louvain; National & Kapodistrian University of Athens; University of Bonn
摘要：We use consumption-based CAPM models (with fixed and flexible wages) to analyze the effect of central bank operating procedures on the ex ante real rate of return on a one-period nominal bond. We show that operating procedures affect both the risk-free rate and the risk premium. Nominal interest rate targeting produces the highest real interest rates; money targeting produces the lowest rates; and nominal income targeting comes out somewhere in between. Our simulations suggest that the central...
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作者：Canova, F
作者单位：Pompeu Fabra University; Universita di Modena e Reggio Emilia; Centre for Economic Policy Research - UK
摘要：This note argues that it is hardly the case that the profession is fully aware that the application of different filters to the data leads to different outcomes and that we have enough evidence to claim that these differences are unimportant to evaluate the fit models to the data. (C) 1998 Elsevier Science B.V. All rights reserved.
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作者：den Haan, WJ; Spear, SA
作者单位：University of California System; University of California San Diego; National Bureau of Economic Research; University of California System; University of California San Diego
摘要：In this paper, we document that the volatility of monthly real interest rates is characterized by long periods of relatively constant volatility, interrupted by short periods of sharp increases in volatility. Moreover, volatility is correlated with measures of economic activity and financial market frictions. In particular, the conditional variance of real interest rates is negatively correlated with the growth rate of industrial production and positively correlated with the spread between the...
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作者：Aiyagari, SR; McGrattan, ER
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Rochester
摘要：We find that the welfare gains to being at the optimum quantity of debt rather than the current US level are small, and, therefore, concerns regarding the high level of debt in the US economy may be misplaced. This finding is based on a model of a large number of infinitely lived households whose saving behavior is influenced by precautionary saving motives and borrowing constraints. This model incorporates a different role for government debt than is found in standard models, and it captures ...
