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作者：Carroll, CD; Samwick, AA
作者单位：Dartmouth College; National Bureau of Economic Research
摘要：This paper uses the Panel Study of Income Dynamics to provide some of the first direct evidence that wealth is systematically higher for consumers with predictably greater income uncertainty. However, the apparent pattern of precautionary wealth is not consistent with a standard parameterization of the life cycle model in which consumers are patient enough to begin saving for retirement early in life; wealth is estimated to be far less sensitive to uncertainty than implied by that model. Inste...
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作者：Broadbent, B; Barro, RJ
摘要：We investigate the behavior of an optimizing monetary authority in an economy described by a simple AS/AD model. We develop a simple methodology for deriving the optimal policy, and the associated model solution, for various forms of the authority's objectives. In our empirical work, we focus on one of these specifications, in which the authority cares about both the rate of inflation and the level of price innovations (which boost real output in our model), along the lines of Barro and Gordon...
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作者：Lumpkin, SA; OBrien, JM
作者单位：Federal Reserve System - USA
摘要：In practice, the interest rate sensitivity of depository institution (DI) net worth is measured in terms of maturity mismatches arising from nominal contracts in their financial portfolios. Academic studies also frequently invoke nominal contracting to explain a positive covariation observed between DI stock returns and bond returns. For a sample of thrifts reporting detailed financial data (1984-1992), this study estimates monthly changes in their financial portfolio values due to changes in ...
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作者：Bekaert, G; Hodrick, RJ; Marshall, DA
作者单位：Columbia University; Stanford University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：In an effort to explain simultaneously the excess return predictability observed in equity, bond and foreign exchange markets, we incorporate preferences exhibiting first-order risk aversion into a general equilibrium two-country monetary model. When we calibrate the model to US and Japanese data, we find that first-order risk aversion substantially increases excess return predictability. However, this increased predictability is insufficient to match the data. We conclude that the observed pa...
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作者：Barr, DG; Campbell, JY
作者单位：Brunel University; National Bureau of Economic Research
摘要：This paper estimates expected future real interest rates and inflation rates from observed prices of UK government nominal and index-linked bonds, The estimation method takes account of imperfections in the indexation of UK index-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation follow simple time-series processes whose parameters can be estimated from the cross-section of bond prices. The extracted inflation expectat...
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作者：Bhattacharya, U; Weller, P
作者单位：University of Iowa
摘要：We analyze an asymmetric information model of sterilized intervention in the foreign exchange market. We characterize an equilibrium in which a central bank with 'inside information' about its exchange rate target trades with risk averse speculators who have private information about future spot rates. The model identifies circumstances in which perverse' responses to intervention will be observed, i.e, the domestic currency depreciates when the central bank purchases it, and it provides condi...
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作者：Rich, G
摘要：This paper provides a survey and analysis of Swiss monetary policy since the shift to a floating exchange rate in 1973. Although the Swiss National Bank (SNB), by international comparison, managed to achieve a high degree of price stability, it could not prevent temporary bursts of inflation. I argue that the problem lay in an inappropriate SNB response to such disturbances as unexpected exchange rate shocks, and show that in constructing optimum feedback rules, the SNB must take account of th...
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作者：Goodfriend, M
摘要：Optimal monetary policy is studied in a model with no contractual restrictions or physical costs of changing prices. Nevertheless, the price level is sticky in a range of mark-up indeterminacy, and inflation occurs only when employment presses against capacity. Under full information, the monetary authority can exploit price level stickiness to minimize the mark-up and keep employment at a constrained optimum without inflation, Under uncertainty, negative aggregate demand shocks produce real c...
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作者：Cooper, RW; Johri, A
作者单位：McMaster University
摘要：This paper considers the importance of dynamic complementarities as an endogenous source of propagation in a dynamic stochastic economy. Dynamic complementarities link the stocks of human and organizational capital, which are influenced by past levels of economic activity, to current levels of productivity. We supplement an otherwise standard dynamic business cycle model with both contemporaneous and dynamic complementarities. The model is calibrated using estimates of these effects from both ...
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作者：Jonsson, G
摘要：This paper develops a positive model of monetary policy that allows for persistent unemployment and electoral uncertainty. The common credibility problem associated with low-inflation monetary policy results in both a more severe inflation bias and a stabilization bias. However, a simple state contingent performance contract eliminates both biases. Monetary policy is also subject to two different strategic political considerations: It is used to influence future policy decisions as well as to ...
