-
作者：Gertler, Mark; Karadi, Peter
作者单位：New York University; National Bureau of Economic Research; European Central Bank; Center for Economic & Policy Research (CEPR)
摘要：We provide evidence on the transmission of monetary policy shocks in a setting with both economic and financial variables. We first show that shocks identified using high frequency surprises around policy announcements as external instruments produce responses in output and inflation that are typical in monetary VAR analysis. We also find, however, that the resulting modest movements in short rates lead to large movements in credit costs, which are due mainly to the reaction of both term premi...
-
作者：Brunnermeier, Markus K.; Sannikov, Yuliy
作者单位：Princeton University
摘要：This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities. First, an undercapitalized country borrows too much since each firm does not internalize that an increase in production capacity undermines their output price, worsening their terms of trade. From an ex ante perspective each firm undermines the nat...
-
作者：Gali, Jordi; Gambetti, Luca
作者单位：Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Autonomous University of Barcelona; Autonomous University of Barcelona
摘要：We estimate the response of stock prices to monetary policy shocks using a time-varying coefficients VAR. Our evidence points to protracted episodes in which stock prices end up increasing persistently in response to an exogenous tightening of monetary policy. That response is at odds with the conventional view on the effects of monetary policy on bubbles, as well as with the predictions of bubbleless models. We also argue that it is unlikely that such evidence can be accounted for by an endog...
-
作者：Del Negro, Marco; Giannoni, Marc P.; Schorfheide, Frank
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; University of Pennsylvania
摘要：Several prominent economists have argued that existing DSGE models cannot properly account for the evolution of key macroeconomic variables during and following the recent Great Recession. We challenge this argument by showing that a standard DSGE model with financial frictions available prior to the recent crisis successfully predicts a sharp contraction in economic activity along with a protracted but relatively modest decline in inflation, following the rise in financial stress in 2008:IV. ...
-
作者：Araujo, Aloisio; Schommer, Susan; Woodford, Michael
作者单位：Getulio Vargas Foundation; Instituto Nacional de Matematica Pura e Aplicada (IMPA); Columbia University
摘要：We consider the effects of central bank purchases of a risky asset as an additional dimension of policy alongside conventional interest rate policy in a general-equilibrium model of asset pricing with endogenous collateral constraints. The effects of asset purchases depend on the way that they affect collateral constraints. We show that under some circumstances, central bank purchases relax financial constraints, increase aggregate demand, and may even achieve a Pareto improvement; but in othe...
-
作者：Christiano, Lawrence J.; Eichenbaum, Martin S.; Trabandt, Mathias
作者单位：Northwestern University; Federal Reserve System - USA
摘要：We argue that the vast bulk of movements in aggregate real economic activity during the Great Recession were due to financial frictions. We reach this conclusion by looking through the lens of an estimated New Keynesian model in which firms face moderate degrees of price rigidities, no nominal rigidities in wages, and a binding zero lower bound constraint on the nominal interest rate. Our model does a good job of accounting for the joint behavior of labor and goods markets, as well as inflatio...
-
作者：Svensson, Lars E. O.
作者单位：Stockholm School of Economics; Stockholm University; National Bureau of Economic Research
摘要：If inflation expectations become firmly anchored at the inflation target even when average inflation deviates from the target, the long-run Phillips curve becomes nonvertical. During 1997-2011, average inflation expectations in Sweden have been close to the inflation target of 2 percent, whereas average inflation has fallen short of the target by 0.6 percentage points. The estimates reported suggest that the slope of the long-run Phillips curve is about 0.75. Then the average unemployment rate...
-
作者：Gilchrist, Simon; Lopez-Salido, David; Zakrajsek, Egon
作者单位：Boston University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper compares the effects of conventional monetary policy on real borrowing costs with those of the unconventional measures employed after the target federal funds rate hit the zero lower bound (ZLB). For the ZLB period, we identify two policy surprises: changes in the two-year Treasury yield around policy announcements and changes in the ten-year Treasury yield that are orthogonal to those in the two-year yield. The efficacy of unconventional policy in lowering real borrowing costs is c...
-
作者：Coibion, Olivier; Gorodnichenko, Yuriy
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research; University of California System; University of California Berkeley
摘要：We evaluate explanations for the absence of disinflation during the Great Recession and find popular explanations to be insufficient. We propose a new explanation for this puzzle within the context of a standard Phillips curve. If firms' inflation expectations track those of households, then the missing disinflation can be explained by the rise in their inflation expectations between 2009 and 2011. We present new econometric and survey evidence consistent with firms having similar expectations...
