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作者：BARTOLINI, L; BODNAR, GM
作者单位：University of Rochester; International Monetary Fund
摘要：This paper studies the term structure of forward premia in a target zone with imperfect credibility. The relationship between spot and forward exchange rates, which reflects the possibility of realignments of the band, is studied for various intervention policies with different degrees of credibility. Forward market data is used to estimate the implied credibility of the French/German target zone during the EMS. Parameter estimates accord with the experience of the FF/DM exchange rate during t...
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作者：ENGINEER, M; BERNHARDT, D
作者单位：Queens University - Canada
摘要：We characterize the set of equilibrium transfers between overlapping generations when transfer institutions are endogenous. In stationary economies, Pareto-improving transfers require institutions cost as much to construct as they convey - even if less costly institutions exist that make the same transfer. If institutions can be built upon, they may cost less and convey more, but transfers may become excessive. Interpreting such institutions as social security, we introduce private saving. Wit...
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作者：DOTSEY, M; MAO, CS
作者单位：National Taiwan University
摘要：In this paper we investigate the accuracy of approximating policy functions for three different approximation methods in the context of a neoclassical model with a production tax. We find that a variant of the King, Plosser, and Rebelo procedure yields the best approximations overall, but that in certain instances researchers may be better off using a discrete state space solution to the Euler equations of the model.
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作者：BOYD, JH; SMITH, BD
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Cornell University
摘要：We investigate several common assertions about intermediation and how it affects the allocation of investment capital. We use a model with adverse selection and costly state verification in which both debt contracts and credit rationing are observed. Intermediaries arise due to a comparative advantage in information acquisition. Relative to the situation absent intermediation, intermediaries reduce credit rationing and (inefficient) interest rate differentials. The model also shows how large i...
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作者：KLEMKOSKY, RC; PILOTTE, EA
作者单位：University of Wyoming; Indiana University System; Indiana University Bloomington
摘要：We use instrumental variables estimation to document variation in ex ante term premia on U.S. Treasury bills and bonds of maturities ranging from two months to twenty years. For the April 1959 to December 1989 sample period, ex ante term premia are found to be positively related to the ex ante variability in the nominal one-month risk-free rate of interest. Significant shifts in the stochastic process generating term premia are documented subsequent to the October 1979 and October 1982 shifts ...
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作者：CAVAGLIA, S
作者单位：Maastricht University; Hasselt University
摘要：This paper applies Kalman filtering techniques to estimate the persistence of ex ante real interest differentials. Identification results for state space models applicable in other contexts are presented and exploited in the model estimation. Ex ante real interest differentials for the period 1973-1987 are found to be relatively short-lived and mean-reverting to zero, thus providing empirical support for theoretical models of economic interdependence characterized by real rate equality in the ...
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作者：MORTENSEN, DT
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作者：ENGLUND, P; PERSSON, T; SVENSSON, LEO
作者单位：Stockholm University; Uppsala University
摘要：We examine Swedish business cycle data for 1861-1988 in the time domain as well as in the frequency domain. There is evidence of a business cycle in the form of considerable spectral mass for cycles between three and eight years. The variability of the series varies considerably over time: for most series it is highest in the inter-war period. Relative variability is fairly stable over time: cross-section ratios between moving standard deviations for the series do not change much. Comovements ...
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作者：WALLACE, N
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：This is a version of Lucas's (1972) 'Expectations and the Neutrality of Money' with finite supports for the exogenous random variables and with aggregate real shocks. The finite supports simplify the proofs and permit solutions for examples to be computed. The presence of aggregate shocks permits the model to display output-aggregate demand and output-inflation correlations that more closely duplicate those found in some data sets, correlations that have been interpreted as evidence against th...
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作者：ECKSTEIN, Z; LEIDERMAN, L
作者单位：Boston University
摘要：This paper empirically investigates the restrictions embodied in a Sidrauski-type model for the cross-relations between consumption, money holdings, inflation, and assets' returns using quarterly data for the high-inflation economy in Israel, 1970-1988. Using a set of the estimated parameters it is shown that the model's implications for seigniorage are quite different than those from a Cagan-type model. That is, while the model is able to account for the observed stability of the seigniorage-...
