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作者：Hooker, MA
摘要：Strong evidence is found that oil prices no longer Granger cause many U.S. macroeconomic indicator variables in data after 1973. ii number of potential explanations are explored: that sample stability issues are responsible, that oil prices are now endogenous, and that linear and symmetric specifications misrepresent the form of the oil price interaction. None of these hypotheses are supported by the data. The OPEC price increases do appear to have had significant impacts, while the effects of...
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作者：Devarajan, S; Swaroop, V; Zou, HF
作者单位：The World Bank
摘要：Noting that the literature has focused on the link between the level of public expenditure and growth, we derive conditions under which a change in the composition of expenditure leads to a higher steady-state growth rate of the economy. The conditions depend not just on the physical productivity of the different components of public expenditure but also on the initial shares. Using data from 43 developing countries over 20 years we show that an increase in the share of current expenditure has...
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作者：Grier, KB; Perry, MJ
作者单位：University of Michigan System; University of Michigan; University of Michigan Flint
摘要：One potential real effect of inflation is its influence on the dispersion of relative prices in the economy. Menu cost models generally imply that higher trend inflation will increase price dispersion. In contrast, signal extraction models predict that increased inflation uncertainty will raise relative price dispersion. Existing empirical studies do not distinguish between these separate hypotheses. We constuct a bivariate GARCH-M model of inflation and relative price dispersion to test these...
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作者：Chatterjee, S; Corbae, D
作者单位：University of Iowa
摘要：We develop a variant of Townsend's turnpike model where the trading friction is related to a commitment problem rather than spatial separation alone. Specifically, expenditure on financial services is necessary to ensure commitment. When commitment is costless, the equilibrium allocation is equivalent to that from an Arrow sequential markets equilibrium. When commitment is prohibitively expensive, the allocation is similar to the Townsend equilibrium. We use numerical examples to study the con...
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作者：DeNicolo, G
作者单位：Sapienza University Rome
摘要：In a model of banking with asymmetric information among depositors and multiple sources of aggregate risk, I show that a demand deposit arrangement with state-contingent deposit payments and a priority-of-claims provision on final date resources is (almost) best. Under this arrangement, intermediaries infer the realization of aggregate risk and of a privately observed signal on the outcome of the risky technology from depositors' withdrawal choices, and panics as well as information-based runs...
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作者：Hooker, MA
摘要：James Hamilton argues that oil price changes are still important for the macroeconomy, and that using a filter which screens out drops and measures increases relative to a reference level well represents the effects of price changes when they are 'choppy', While this measure outperforms the oil price transformations considered in my paper, much of its predictive power is coming from the pre-1986 (and pre-1973) part of the sample. With less than 10 years of choppy data, finding the best oil pri...
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作者：Correia, I; Teles, P
作者单位：Banco de Portugal; Universidade Catolica Portuguesa
摘要：In contrast to the recent literature on the optimal inflation tax, we show that, in models where money reduces transactions costs, it is optimal to set the inflation tax to zero when seigniorage is replaced by revenue from distortionary taxes. The main reasons for this result are that the variable costs of supplying real balances are negligible and the inflation tax is a unit tax. We also show that the intermediate good optimal taxation rules in the public finance literature cannot be directly...
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作者：Burnside, C
摘要：A number of recent papers have used simple linear regressions in an attempt to identify market structure, the extent of returns to scale, and possible external effects in U.S. manufacturing industries. The results obtained from these regressions have important implications for several branches of modem macroeconomics. As a result, the macro literature frequently cites specific numerical evidence from Caballero and Lyons (1992) and Hall (1990), which suggests that there are quantitatively signi...
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作者：Fleissig, A; Swofford, JL
作者单位：University of South Alabama; Saint Louis University
摘要：We estimate a dynamic asymptotically ideal model of a system of money demand equations. This specification allows incomplete portfolio adjustment. We base our policy conclusions on Morishima elasticities, because as Blackorby and Russell (1989) show, the Allen-Uzawa elasticities can give misleading results. We find that cash assets, savings deposits, and small time deposits are all substitutes for each other. These results imply that monetary authorities should target a relatively broad moneta...
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作者：Jonsson, G; Klein, P
作者单位：International Monetary Fund; Stockholm University
摘要：In this paper we show that fluctuations in distortive taxes can account for some of the key features of the Swedish post-war business cycle. The empirical fit of a simple stochastic growth model is significantly improved when it is amended to include imperfectly predictable fluctuations in payroll taxes, consumption taxes, and government consumption. Indeed, using the simulated method of moments, SMM, we find that, for large sets of conventional moments, models with stochastic fiscal policy ca...
