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作者：MOURMOURAS, A; RUSSELL, S
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University System of Georgia; University of Georgia
摘要：We use an overlapping generations model with a risky storage technology to describe a new type of 'sunspot' equilibrium characterized by excessive price level volatility and overinvestment in stored goods. The features of this equilibrium lead us to interpret it as involving 'speculation' and as arising when banks create excessive quantities of money. This interpretation provides welfare justification for imposing quantity limits on the bank money stock. We argue that the monetary regime estab...
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作者：AIYAGARI, SR; CHRISTIANO, LJ; EICHENBAUM, M
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research; Northwestern University
摘要：We study the impact on aggregate variables of changes in government consumption using the neoclassical stochastic growth model. We show, theoretically, that the impact on output and employment of a persistent change in government consumption exceeds that of a temporary change. We also show that, in principle, there can be an analog to the Keynesian multiplier in the neoclassical growth model. Finally, in an empirically plausible version of the model, we show that the interest rate impact of a ...
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作者：SCHREFT, SL
摘要：Credit controls are generally believed to result in an inefficient allocation of resources. This paper presents a counterexample. It displays a general equilibrium, multi-good model with spatial separation for which steady state equilibria exist in which both cash (i.e., fiat currency) and trade credit are used in exchange. Transaction costs, restrictions on the timing of trade, and a positive nominal interest rate cause the laissez-faire equilibrium to be nonoptimal. A quantitative restrictio...
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作者：CABALLERO, RJ; LYONS, RK
作者单位：National Bureau of Economic Research
摘要：In this paper we highlight a new dimension of the aggregate procyclical productivity phenomenon. We show that estimates of the degree of returns to scale are larger for manufacturing as a whole than for two-digit industries. Since this difference must be due to factors that are only internalized at the most aggregate level, we term it an external effect. This result rules out explanations based on own-input variation - such as true increasing returns and unmeasured factor utilization tied to o...
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作者：SIEGEL, JJ
摘要：Spurred by the work of Mehra and Prescott (M-P), economists have been attempting to explain the surprisingly low levels of real interest rates in light of the behavior of aggregate consumption. This paper constructs a continuous 'risk-free' interest rate series for the United States and the United Kingdom from the beginning of the nineteenth century, extending the period analyzed by M-P, 1889-1978, both backward and forward. It is found that the real rate of return on both long- and short-term...
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作者：KASA, K
摘要：This paper presents evidence concerning the number of common stochastic trends in the equity markets of the U.S., Japan, England, Germany, and Canada. Monthly and quarterly data from January 1974 through August 1990 on Morgan Stanley's Capital International indices are used to compute Johansen (1990) tests for common trends. The results indicate the presence of a single common trend driving these countries' stock markets. Estimates of the factor loadings suggest that this trend is most importa...
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作者：FAMA, EF
摘要：Although the permanent-income model is a cornerstone of macroeconomics, the evidence for its assumption that output has a transitory component is mixed. This paper documents transitory variation in GNP. The story centers on the variation in investment, relative to consumption. Consumption behaves like a random walk. In the long term, investment moves one-for-one with consumption. In the near term, however, investment takes strong transitory swings away from the random walk it shares with consu...
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作者：FREEMAN, S; POLASKY, S
作者单位：Boston College; University of Texas System; University of Texas Austin; Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：This paper presents a model displaying sustained growth in output resulting from the accumulation of knowledge. The accumulation of knowledge is endogenous, determined by a level of study chosen by optimizing agents. Although knowledge can be owned and sold, its equilibrium price is below its value to future production, implying that the equilibrium suffers from a Pareto-nonoptimal underaccumulation of knowledge. These features of the equilibrium result from two special properties of knowledge...
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作者：MISHKIN, FS
作者单位：National Bureau of Economic Research
摘要：This paper resolves the puzzle of why a strong Fisher effect (a high correlation between the level of interest rates and inflation) occurs only during certain periods but not for others. Empirical evidence finds no support for a short-run Fisher effect in which a change in expected inflation is associated with a change in interest rates, but supports the existence of a long-run Fisher effect in which inflation and interest rates have a common stochastic trend when they exhibit trends. These re...
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作者：CANOVA, F
作者单位：Brown University
摘要：In post-WWII experience U.S. monetary authorities have attempted to eliminate seasonal fluctuations in prices and nominal interest rates. Developments in financial markets and recently discovered empirical regularities regarding the seasonal cycle seem to make these activities questionable. Using a money-in-the-utility-function model this paper analyzes the welfare properties of price and interest rate smoothing policies and the sense in which the distinction between seasonal and cyclical fluc...
