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作者：LANG, WW; NAKAMURA, LI
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
摘要：Recent explanations of the transmission mechanism of monetary policy have emphasized that riskier, lower net worth borrowers are more dependent on bank lending than larger, less risky borrowers. Evidence from the Federal Reserve's Survey on Terms of Bank Lending indicates that the proportion of relatively high quality new loans (%Safe) moves countercyclically and Granger causes GDP and inventory investment. In the aftermath of a tightening of monetary policy, the %Safe variable increases, and ...
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作者：ENGLE, RF; ISSLER, JV
作者单位：Getulio Vargas Foundation; University of California System; University of California San Diego
摘要：We investigate in this paper the degree of short-run and long-run comovement in U.S. sectoral output data by estimating sectoral trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced form for sectoral outputs from first principles. Cointegration and common-cycle tests are performed; sectoral output data seem to share a relatively high number of common trends and a relatively low number of common cycles. A special trend-cycle decomposition of the da...
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作者：DURLAUF, SN; MACCINI, LJ
作者单位：Johns Hopkins University; University of Wisconsin System; University of Wisconsin Madison
摘要：This paper has two purposes. One is to assess different models of inventory behavior in terms of their ability to approximate the realized data. We do this initially for the pure production smoothing model and then for a sequence of generalizations. Our analysis both performs specification tests as well as measures the deviations of the data from each null model through use of a noise ratio statistic. A second purpose is to explore whether observed cost shocks, in particular raw materials pric...
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作者：FUHRER, JC; MOORE, GR; SCHUH, SD
作者单位：Federal Reserve System - USA
摘要：We compare generalized method of moments (GMM) and maximum likelihood (ML) estimators of the parameters of a linear-quadratic inventory model using nondurable manufacturing data and Monte Carlo simulations. Data-based GMM estimates for five normalizations vary widely, generally rejecting the model. The ML estimate generally supports the model. Monte Carlo experiments reveal that the GMM estimates are often biased (apparently due to poor instruments), statistically insignificant, economically i...
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作者：ARIFOVIC, J
摘要：This paper studies overlapping generations economies in which agents use genetic algorithms to learn correct decision rules. The results of computer simulations show that a genetic algorithm converges to the unique monetary steady state in case of a constant money supply policy and to the low-inflation stationary equilibrium in case of a constant real deficit financed through seignorage. Features of the genetic algorithm adaptation are compared to the performance of other learning algorithms a...
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作者：STRAHAN, PE
摘要：This paper shows that depositors lost confidence in FSLIC during the two years prior to passage of FIRREA, legislation which recapitalized the deposit insurance fund in 1989. During this period, promised returns on retail CDs reflected the expected loss and return standard deviation on these securities in the absence of government insurance. Cross-sectional analysis is used to estimate both the probability and the conditional price of risk associated with FSLIC default. The results suggest tha...
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作者：MCLAUGHLIN, KJ
作者单位：University of Rochester
摘要：This paper characterizes intertemporal substitution along intertemporal consumption profiles. A precise definition of the intertemporal elasticity of substitution is presented and compared to intertemporal analogs of the Hicks-Alien and direct elasticities of substitution, and the marginal-utility-of-wealth (or lambda-) constant own-price elasticity of demand. In a model with perfect foresight, I establish that lambda-constant comparative statics accurately characterizes intertemporal substitu...
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作者：DOW, JP
摘要：This paper examines the effect of a monetary shock in a stochastic growth model with a cash-in-advance constraint and a financial intermediary. It explores the differences between the results of restrictions on nominal price adjustment (the demand effect) and restrictions on savings behavior (the liquidity effect). It is found that the model that produces the appropriate response to a temporary monetary shock includes both demand and liquidity effects.
