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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：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...
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作者：CUMBY, RE; HUIZINGA, J
作者单位：University of Chicago; New York University
摘要：Many economic models yield the prediction that the unobservable conditional expectations of two series are perfectly correlated. In this paper, we propose an informative method for investigating this prediction. The method involves examining the sample correlation coefficient for the fitted values from unrestricted ordinary least squares regressions, and the estimated standard error and confidence interval of this correlation coefficient. The method is designed to supplement existing statistic...
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作者：BUFFIE, EF
摘要：This paper analyzes the impact of public sector price increases combined with employment cuts in a dynamic optimizing model. If the government adopts a tough layoff policy, the real wage is highly flexible and the reforms are perceived to be permanent, there is a strong presumption that real output will be higher and inflation lower over all time horizons. Problems may arise during the adjustment process, however, when the reforms are not credible or the real wage adjusts slowly to clear the l...
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作者：FUHRER, J; MOORE, G
摘要：We investigate relationships between asset prices and inflation in a modern Keynesian model in which monetary policy controls inflation by manipulating the federal funds rate. The indicator properties of asset prices are quite sensitive to the monetary policy rule. Including the asset prices themselves in the reaction function can invert the sense of the indicator properties. Targeting the asset prices is tantamount to targeting the real interest rate: when all of the weight in the reaction fu...
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作者：GUISO, L; JAPPELLI, T; TERLIZZESE, D
作者单位：University of Naples Federico II; European Central Bank; Bank of Italy
摘要：We test for the presence of precautionary saving using a self-reported measure of earnings uncertainty drawn from the 1989 Italian Survey of Household Income and Wealth. The effect of uncertainty on wealth accumulation is consistent with the theory of precautionary saving and with decreasing prudence, but explains only a small fraction of saving. The results cast doubts on the empirical relevance of precautionary saving in response to earnings uncertainty, but are not in contrast with the impo...
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作者：EVANS, CL
摘要：Productivity shocks play a central role in real business cycles as an exogenous impulse to macroeconomic activity. However, measured Solow-Prescott residuals do not behave as an exogenous impulse. Rather, econometric evidence provided in this paper indicates that (1) money, interest rates, and government spending Granger-cause these impulses, and (2) a substantial component of the variance of these impulses (between one quarter and one half) is attributable to variations in aggregate demand. T...
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作者：RAMEY, VA
作者单位：National Bureau of Economic Research
摘要：This paper tests the relative importance of technology shocks and financial shocks as sources of fluctuations in money. The model extends the theory of King and Plosser (1984) by recognizing that both money and trade credit provide transactions services. Under certain conditions, the co-movements between money and trade credit can reveal the nature of the underlying shocks. The empirical results strongly suggest that shocks to the financial system account for most of the fluctuations in money ...
