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作者：Iachan, Felipe S.; Nenov, Plamen T.; Simsek, Alp
作者单位：Getulio Vargas Foundation; BI Norwegian Business School; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Financial innovation in recent decades has expanded portfolio choice. We investigate how greater choice affects investors' savings and asset returns. We establish a choice channel by which greater portfolio choice increases investors' savings-by enabling them to earn the aggregate risk premium or take speculative positions. In equilibrium, portfolio customization (access to risky assets beyond the market portfolio) reduces the risk-free rate. Participation (access to the market portfolio) redu...
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作者：Datta, Deepa D.; Johannsen, Benjamin K.; Kwon, Hannah; Vigfusson, Robert J.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：From late 2008 to 2014, oil and equity returns were more positively correlated than in other periods. In addition, we show that both oil and equity returns became more responsive to macroeconomic news. We provide empirical evidence that these changes resulted from the zero lower bound (ZLB) on nominal interest rates, consistent with the theoretical predictions of a model that includes the ZLB. Although the ZLB alters the economic environment in theory, supportive empirical evidence has been la...
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作者：Dvorkin, Maximiliano A.; Yurdagul, Emircan; Sanchez, Juan M.; Sapriza, Horacio
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Federal Reserve System - USA; Federal Reserve System Board of Governors; Universidad Carlos III de Madrid
摘要：Sovereign debt crises involve debt restructurings characterized by a mix of face value haircuts and maturity extensions. The prevalence of maturity extensions has been hard to reconcile with economic theory. We develop a model of endogenous debt restructuring that captures key facts of sovereign debt and restructuring episodes. While debt dilution pushes for negative maturity extensions, three factors are important in overcoming the effects of dilution and generating maturity extensions upon r...
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作者：Bracke, Philippe; Tenreyro, Silvana
作者单位：University of London; London School Economics & Political Science
摘要：Using data on the universe of housing transactions in England and Wales over a 20-year period, we document that sale prices and selling propensities are affected by house prices prevailing in the period in which properties were previously bought. Using administrative data on mortgages, we show that cognitive frictions explain most of the history dependence in sale prices, whereas credit frictions are more relevant for selling propensities. We corroborate our analysis with data on online house ...
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作者：Athreya, Kartik; Eberly, Janice
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; Northwestern University; National Bureau of Economic Research
摘要：Despite increases in the college earnings premium to persistently high levels, investment in college education remains low. We can understand this apparent puzzle by considering the risk of attending college and, in particular, the possibility of failing to graduate. Students with a reasonable probability of completing college already enroll, and for those who do not enroll, the low chance of completion blunts the impact of the rising college premium. In the absence of improved college readine...
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作者：Gali, Jordi
作者单位：Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics
摘要：I analyze an extension of the New Keynesian model that features overlapping generations of finitely lived agents and (stochastic) transitions to inactivity. In contrast with the standard model, the proposed framework allows for the existence of rational expectations equilibria with asset price bubbles. I study the conditions under which bubble-driven fluctuations may emerge and the type of monetary policy rules that may prevent them. I conclude by discussing some of the model's welfare implica...
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作者：Abel, Joshua; Fuster, Andreas
作者单位：Analysis Group Inc.; Swiss National Bank (SNB)
摘要：We use quasi-random access to the Home Affordable Refinance Program (HARP) to identify the causal effect of refinancing into a lower-rate mortgage on borrower balance sheet outcomes. Refinancing substantially reduces borrower default rates on mortgages and other debt. Refinancing also causes borrowers to expand their use of debt instruments, such as auto loans, home equity lines, and other consumer debts that are proxies for spending. Borrowers that appear more constrained ex ante grow these d...
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作者：Drozd, Lukasz A.; Kolbin, Sergey; Nosal, Jaromir B.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Amazon.com; Boston College
摘要：Standard international transmission mechanism of productivity shocks predicts a weak endogenous linkage between trade and business cycle synchronization: a problem known as the trade-comovement puzzle. We provide the foundational analysis of the puzzle, pointing to three natural candidate resolutions: (i) financial market frictions, (ii) Greenwood-Hercowitz-Huffman preferences, and (iii) dynamic trade elasticity that is low in the short run but high in the long run. We show the effects of each...
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作者：Luetticke, Ralph
作者单位：University of London; University College London
摘要：This paper assesses the importance of heterogeneity in household portfolios for the transmission of monetary policy in a New Keynesian business cycle model with uninsurable income risk and assets with different liquidity. In this environment, monetary transmission works through investment, but redistribution lowers the elasticity of investment via two channels: (i) heterogeneity in marginal propensities to invest, and (ii) time variation in the liquidity premium. Monetary contractions redistri...
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作者：Desmet, Klaus; Kopp, Robert E.; Kulp, Scott A.; Nagy, David Krisztian; Oppenheimer, Michael; Rossi-Hansberg, Esteban; Strauss, Benjamin H.
作者单位：Southern Methodist University; Southern Methodist University; Rutgers University System; Rutgers University New Brunswick; Centre de Recerca en Economia Internacional (CREI); Princeton University; Princeton University; Princeton University
摘要：Sea level rise will cause spatial shifts in economic activity over the next 200 years. Using a spatially disaggregated, dynamic model of the world economy, this paper estimates the consequences of probabilistic projections of local sea level changes. Under an intermediate scenario of greenhouse gas emissions, permanent flooding is projected to reduce global real GDP by 0.19 percent in present value terms. By the year 2200, a projected 1.46 percent of the population will be displaced. Losses in...
