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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：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：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：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-...
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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：LEEPER, EM; GORDON, DB
作者单位：Clemson University
摘要：A short-run negative relationship between monetary aggregates and interest rates - the `liquidity effect' - is central to discussions of monetary policy. This paper searches for this empirical relationship. We investigate whether the characterization of the liquidity effect is sensitive to: (i) changes in sample period, (ii) conditioning the correlations on past information, (iii) assuming money growth is exogenous, and (iv) treating monetary changes as anticipated or unanticipated. The correl...
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作者：ELLIS, DM; FLANNERY, MJ
作者单位：State University System of Florida; University of Florida; Texas A&M University System; Texas A&M University College Station; University of North Carolina; University of North Carolina Chapel Hill
摘要：Uninsured bank liabilities should offer a promised yield that compensates depositors for their expected default losses. However, the conjectural guarantees available to large U.S. banking firms makes it questionable whether large depositors should or do feel themselves exposed to credit risk. Prior papers have evaluated the determinants of bank risk premia using cross-sectional data, with relatively inconclusive results. This paper investigates the same issue in a methodologically independent ...
