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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：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：MORTENSEN, DT
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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：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：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：MOURMOURAS, A; RUSSELL, S
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University System of Georgia; University of Georgia; International Monetary Fund
摘要：We study welfare and equivalence relationships between two schemes for financing a recurrent real expenditure: reserve-requirement-augmented seigniorage (RRS) and seigniorage/deposit tax combinations (SD). The model we employ includes overlapping generations, fiat currency, and a risky physical asset. Its implications depend critically on whether it is specified so as to be 'diversifying' - so that fiat currency has value when the expenditure is financed via optimal taxation of asset returns. ...
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作者：COOPER, RW; HALTIWANGER, JC
作者单位：University System of Maryland; University of Maryland College Park
摘要：Existing empirical evidence suggests that output is more variable than consumption so that production smoothing is not apparently present. In this paper, we investigate some macroeconomic implications of the proposition that the empirical evidence reflects the presence of some firms in the economy that produce with nonconvex technologies. Overall, when activities are sufficiently complementary and inventory holding is sufficiently costly, nonconvexities at the firm level can generate a pattern...
