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作者：Valchev, Rosen
作者单位：Boston College
摘要：This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that rationalizes both the classic UIP puzzle and the evidence that the puzzle reverses direction at longer horizons. In the model, excess currency returns arise as compensation for endogenous fluctuations in bond convenience yield differentials. Due to the interaction of monetary and fiscal policy, the impulse response of the equilibrium convenience yield is nonmonotonic, which generates the reversal of t...
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作者：Trew, Alex
作者单位：University of Glasgow
摘要：This paper develops a model in which the evolution of the transport sector occurs alongside the growth in trade and output of agricultural and manufacturing firms. Simulation output captures aspects of the historical record of England and Wales over 1710-1881. A number of counterfactuals demonstrate the role that the timing and spatial distribution of infrastructure development play in determining the timing of takeoff. There can be a role for policy in accelerating takeoff through improving i...
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作者：L'Huillier, Jean-Paul
作者单位：Brandeis University
摘要：This paper studies the propagation of monetary shocks in an economy featuring a strategic microfoundation for price rigidities. Following an aggregate shock to money, most consumers are initially uninformed. The market for goods is decentralized. Firms are better off delaying the adjustment of prices until enough consumers learn. At the same time, consumers learn from firms that have adjusted prices. The implied endogenous information diffusion follows a Bernoulli differential equation, implyi...
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作者：Swanson, Eric T.
作者单位：University of California System; University of California Irvine
摘要：A flexible labor margin allows households to absorb asset value shocks with changes in hours worked, altering the households' attitudes toward risk (Swanson 2012). This paper analyzes how frictional labor markets affect that analysis. Risk aversion is higher (i) in countries with more frictional labor markets, (ii) in recessions, and (iii) for households that have more difficulty finding a job. Labor market frictions in Europe are large enough to raise risk aversion in those countries. Neverth...
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作者：Challe, Edouard
作者单位：Institut Polytechnique de Paris; Ecole Polytechnique; Institut Polytechnique de Paris; ENSAE Paris; Ecole Polytechnique
摘要：I study optimal monetary policy in a sticky-price economy wherein households precautionary-save against uninsured, endogenous unemployment risk. In this economy greater unemployment risk raises desired savings, causing aggregate demand to fall and feed back to greater unemployment risk. This deflationary spiral is constrained inefficient and calls for an accommodative monetary policy response: after a contractionary aggregate shock the policy rate should be kept significantly lower and for lon...
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作者：Jarocinski, Marek; Karadi, Peter
作者单位：European Central Bank; Center for Economic & Policy Research (CEPR)
摘要：Central bank announcements simultaneously convey information about monetary policy and the central bank's assessment of the economic outlook. This paper disentangles these two components and studies their effect on the economy using a structural vector autoregression. It relies on the information inherent in high-frequency co-movement of interest rates and stock prices around policy announcements: a surprise policy tightening raises interest rates and reduces stock prices, while the complement...
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作者：Ferraro, Domenico; Fiori, Giuseppe
作者单位：Arizona State University; Arizona State University-Tempe; North Carolina State University
摘要：We study how the changing demographic composition of the US labor force has affected the response of the unemployment rate to marginal tax rate shocks. Using narratively identified tax changes as proxies for structural shocks, we establish that the responsiveness of the unemployment rates to tax changes varies significantly across age groups: the unemployment rate response of the young is nearly twice as large as that of the old. This heterogeneity is the channel through which shifts in the ag...
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作者：Gross, Tal; Notowidigdo, Matthew J.; Wang, Jialan
作者单位：Boston University; National Bureau of Economic Research; Northwestern University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We estimate how the marginal propensity to consume (MPC) out of liquidity varies over the business cycle. Ten years after a Chapter 7 bankruptcy, the bankruptcy flag is removed from the filer's credit report, generating an increase in credit score. In the year following flag removal, credit card limits increase by $778 and credit card balances increase by $290, implying an MPC of 0.37. Using cohorts of flag removals, we find that the MPC was 20 to 30 percent higher during the Great Recession, ...
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作者：Benigno, Pierpaolo; Eggertsson, Gauti B.; Romei, Federica
作者单位：Luiss Guido Carli University; Brown University; Stockholm School of Economics
摘要：This paper proposes a postcrisis New Keynesian model that incorporates agent heterogeneity in borrowing and lending with a minimum set of assumptions. Unlike the standard framework, this model makes the natural rate of interest endogenous and dependent on macroeconomic policy. The main application is to study optimal monetary policy at the zero lower bound (ZLB). Such policy succeeds in raising the natural rate of interest by creating an environment that speeds up deleveraging and thus endogen...
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作者：Tong, Hui; Wei, Shang-Jin
作者单位：International Monetary Fund; Columbia University; Australian National University; National Bureau of Economic Research
摘要：This paper investigates whether and how unconventional interventions in 2008-2010 unfroze the credit market. We construct a dataset of 198 interventions for 16 countries during 2008-2010 and examine heterogeneous responses in stock prices to the interventions across 7,873 nonfinancial firms in those countries. Stock prices increase when the interventions are announced, particularly for firms with greater intrinsic need for external capital. This pattern is corroborated by subsequent expansions...
