-
作者：Imrohoroglu, Selahattin; Kitao, Sagiri; Yamada, Tomoaki
作者单位：University of Southern California; Keio University; Meiji University
摘要：Japan is aging and has the highest government debt-to-output ratio among advanced economies. In this article, we build a micro data-based, large-scale overlapping generations model for Japan in which individuals differ in age, gender, employment type, income, and asset holdings, and incorporate the Japanese pension rules. Using existing pension law, current fiscal policy, and medium variants of demographic projections, we produce future paths for government expenditures and tax revenues, with ...
-
作者：Anenberg, Elliot
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I examine the effects of seller uncertainty over their home value on the housing market. Using evidence from home listings and transactions data, I first show that sellers do not have full information about current period demand conditions for their homes. I incorporate this type of uncertainty into a dynamic microsearch model of the home selling problem with Bayesian learning. The estimated model highlights how information frictions help to explain the microdecisions of sellers and how these ...
-
作者：Li, Wenli; Liu, Haiyong; Yang, Fang; Yao, Rui
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of North Carolina; East Carolina University; Louisiana State University System; Louisiana State University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We construct a model of optimal life-cycle housing and nonhousing consumption and estimate the elasticity between the two goods to be 0.487. The estimate is robust to different assumptions of housing adjustment cost, but sensitive to the choice of sample period and the degree of aggregation of data moments. We then conduct experiments in which house prices and household income fluctuate. Compared with the benchmark, the impact of the shocks on homeownership rates is reduced, but the impact on ...
-
作者：Morris, Stephen; Shin, Hyun Song
作者单位：Princeton University; Bank for International Settlements (BIS)
摘要：We provide a theoretical decomposition of bank credit risk into insolvency risk and illiquidity risk, defining illiquidity risk to be the counterfactual probability of failure due to a run when the bank would have survived in the absence of a run. We show that illiquidity risk is (i) decreasing in the liquidity ratiothe ratio of realizable cash on the balance sheet to short-term liabilities; (ii) decreasing in the excess return of debt; and (iii) increasing in the solvency uncertaintya measure...
-
作者：Tsuyuhara, Kunio
作者单位：University of Calgary
摘要：This article proposes a model with dynamic incentive contracts and on-the-job search in a frictional labor market. The optimal long-term contract exhibits an increasing wage-tenure profile. With increasing wages, worker effort also increases with tenure. These two features imply that the probabilities of both voluntary and involuntary job separation decrease with both job tenure and the duration of employment. Given these results, workers experience differing labor market transitionsbetween em...
-
作者：Foerster, Andrew T.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City
摘要：This article considers the determinacy and distributional consequences of regime switching in monetary policy. Although switching in the inflation target does not affect determinacy, switches in the inflation response can cause indeterminacy. Satisfying the Taylor principle period by period is neither necessary nor sufficient for determinacy when inflation responses switch; indeterminacy can arise if monetary policy responds too aggressively to inflation in the active regime. Inflation target ...
-
作者：Citanna, Alessandro; Siconolfi, Paolo
作者单位：Yeshiva University; Columbia University
摘要：We decentralize incentive efficient allocations in large adverse selection economies by introducing a competitive market for mechanisms, that is, for menus of contracts. Facing a budget constraint, informed individuals purchase (lottery) tickets to enter mechanisms, whereas firms sell tickets and supply slots at mechanisms at given prices. Beyond optimization, market clearing, and rational expectations, an equilibrium requires that firms cannot favorably change, or cut, prices. An equilibrium ...
-
作者：Allen, Jason; Chapman, James; Echenique, Federico; Shum, Matthew
作者单位：Bank of Canada; California Institute of Technology
摘要：Using detailed transactions-level data on interbank loans, we examine the efficiency of an overnight interbank lending market and the bargaining power of its participants. Our analysis relies on the equilibrium concept of the core, which imposes a set of no-arbitrage conditions on trades in the market. For Canada's Large Value Transfer System, we show that although the market is fairly efficient, systemic inefficiency persists throughout our sample. The level of inefficiency matches distinct p...
-
作者：Rho, Youngwoo; Rodrigue, Joel
作者单位：Vanderbilt University
摘要：This article characterizes the complementarity between exporting and investment in physical capital. We argue that new investment allows young exporters to grow faster and survive longer in export markets while reducing their vulnerability to productivity or demand shocks across markets. We structurally estimate our model using detailed firm-level data. We find that the choice of cost structure has a large impact on model performance and the estimated costs of exporting or investment. Using de...
-
作者：Stacey, Derek
作者单位：Toronto Metropolitan University
摘要：I propose a search model of a decentralized market with asymmetric information in which sellers are unable to commit to asking prices announced ex ante. Relaxing the commitment assumption prevents sellers from using price posting as a signaling device to direct buyers' search. Private information about the gains from trade and inefficient entry on the demand side then contribute to market illiquidity. Endogenous sorting among costly marketing platforms can facilitate the search process by segm...
