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作者：Athreya, Kartik; Tam, Xuan S.; Young, Eric R.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; University of Cambridge; University of Virginia
摘要：Important changes have occurred in unsecured credit markets over the past three decades. Most prominently, there have been large increases in aggregate consumer debt, the personal bankruptcy rate, the size of bankruptcies, the dispersion of interest rates paid by borrowers, and the relative discount received by those with good credit ratings. We find that improvements in information available to lenders on household-level costs of bankruptcy can account for a significant fraction of what has b...
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作者：Morris, Stephen; Shin, Hyun Song
作者单位：Princeton University
摘要：We illustrate the corrosive effect of even small amounts of adverse selection in an asset market and show how it can lead to the total breakdown of trade. The problem is the failure of market confidence, defined as approximate common knowledge of an upper bound on expected losses. Small probability events can unravel market confidence. We discuss the role of contagious adverse selection and the problem of toxic assets in the recent financial crisis.
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作者：Silva, Andre C.
作者单位：Universidade Nova de Lisboa
摘要：Cash-in-advance models usually require agents to reallocate money and bonds in fixed periods. Every month or quarter, for example. I show that fixed periods underestimate the welfare cost of inflation. I use a model in which agents choose how often they exchange bonds for money. In the benchmark specification, the welfare cost of 10 percent instead of 0 inflation increases from 0.1 percent of income with fixed periods to 1 percent with optimal periods. The results are robust to different prefe...
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作者：Rudebusch, Glenn D.; Swanson, Eric T.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：The term premium in standard macroeconomic DSGE models is far too small and stable relative to the data-an example of the bond premium puzzle. However, in endowment economy models, researchers have generated reasonable term premiums by assuming investors have recursive Epstein-Zin preferences and face long-run economic risks. We show that introducing Epstein-Zin preferences into a canonical DSGE model can also produce a large and variable term premium without compromising the model's ability t...
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作者：Weise, Charles L.
作者单位：Gettysburg College
摘要：Drawing on an analysis of Federal Open Market Committee (FOMC) documents, this paper argues that political pressures on the Federal Reserve were an important contributor to the rise in inflation in the United States in the 1970s. Members of the FOMC understood that a serious attempt to tackle inflation would generate opposition from Congress and the executive branch. Political considerations contributed to delays in monetary tightening, insufficiently aggressive anti-inflation policies, and th...
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作者：Imrohoroglu, Selahattin; Kitao, Sagiri
作者单位：University of Southern California; City University of New York (CUNY) System; Hunter College (CUNY)
摘要：This paper develops a general equilibrium life-cycle model with endogenous labor supply in both intensive and extensive margins, consumption, saving, and benefit claiming to measure the long-run effects of a proposed Social Security reform. Agents in the model face medical expenditure, wage, health, and survival shocks. Raising the normal retirement age by two years increases labor supply by 2.8 percent and the capital stock by 12.6 percent, showing that both margins of adjustment are critical...
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作者：Wang, Pengfei; Wen, Yi
作者单位：Hong Kong University of Science & Technology; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：Are asset prices unduly volatile and often detached from their fundamentals? Does the bursting of financial bubbles depress the real economy? This paper addresses these issues by constructing a DSGE model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic values, can carry bubbles, and agents are willing to invest in such bubbles despite their positive probability of bursting. The results show that systemic risk, commonly perceived ch...
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作者：Gourinchas, Pierre-Olivier; Obstfeld, Maurice
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research
摘要：A key precursor of twentieth-century financial crises in emerging and advanced economies alike was the rapid buildup of leverage. Those emerging economies that avoided leverage booms during the 2000s also were most likely to avoid the worst effects of the twenty-first century's first global crisis. A discrete-choice panel analysis using 1973-2010 data suggests that domestic credit expansion and real currency appreciation have been the most robust and significant predictors of financial crises,...
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作者：Abdallah, Chadi S.; Lastrapes, William D.
作者单位：University System of Ohio; Miami University; University System of Georgia; University of Georgia
摘要：We estimate how spending in Texas responded to a 1997 constitutional amendment that relaxed severe restrictions on home equity lending. We use this event as a natural experiment to estimate the importance of credit constraints. If households are credit-constrained, such an increase in credit availability will increase their spending. We find that Texas retail sales at the county and state levels increased significantly after the amendment, lending support to the credit-constraint hypothesis. W...
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作者：Benigno, Pierpaolo; Nistico, Salvatore
作者单位：Luiss Guido Carli University; Sapienza University Rome
摘要：This paper revisits an old argument, hedging real exchange rate risk, as an explanation of the international home bias in equity. In a dynamic model, the relevant risk to be hedged is the long-run risk as opposed to the short-run risk. Domestic equity is indeed a good hedge with respect to long-run real-exchange-rate risk. Two new frameworks are able to explain a large share of the observed US home bias: a model with Hansen-Sargent preferences in which agents fear model misspecification and a ...
