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作者：Carlstrom, Charles T.; Fuerst, Timothy S.; Paustian, Matthias
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University of Notre Dame
摘要：This paper develops a model of segmented financial markets in which the net worth of financial institutions limits the degree of arbitrage across the term structure. The model is embedded into the canonical Dynamic New Keynesian (DNK) framework. We estimate the model using data on the term premium. Our principal results include the following. First, the estimated segmentation coefficient implies a nontrivial effect of central bank asset purchases on yields and real activity. Second, there are ...
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作者：Baydur, Ismail
作者单位：Singapore Management University
摘要：This paper incorporates worker selection into a random matching model with multi-worker firms. Unlike the standard Diamond-Mortensen-Pissarides (DMP) model, the extended model is compatible with cross-sectional behavior of vacancy yields, which rise with employment growth and worker turnover, but fall with establishment size. Using calibrated versions of the standard and worker selection models, I show that accounting for these patterns has quantitatively important policy implications. I also ...
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作者：Schmitt-Grohe, Stephanie; Uribe, Martin
作者单位：Columbia University; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：This paper proposes a model that explains the joint occurrence of liquidity traps and jobless growth recoveries. Its key elements are downward nominal wage rigidity, a Taylor-type interest rate feedback rule, the zero lower bound on nominal interest rates, and a confidence shock. Absent a change in policy, the model predicts that low inflation and high unemployment become chronic. With capital accumulation, the model predicts, in addition, an investment slump. The paper identifies a New Fisher...
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作者：Collard, Fabrice; Dellas, Harris; Diba, Behzad; Loisel, Olivier
作者单位：University of Bern; Georgetown University; Institut Polytechnique de Paris; ENSAE Paris
摘要：The recent financial crisis has highlighted the interconnectedness between macroeconomic and financial stability, raising questions about how to combine monetary and prudential policies. This paper characterizes the jointly optimal monetary and prudential policies, setting the interest rate and bank-capital requirements. The source of financial fragility is the socially excessive risk taking by banks due to limited liability and deposit insurance. We provide conditions under which locally (Ram...
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作者：Inklaar, Robert; Rao, D. S. Prasada
作者单位：University of Groningen; University of Queensland
摘要：The latest global survey on relative prices and income levels, for the year 2011, showed changes to relative income levels that were larger in lower income countries, thereby narrowing the world income distribution compared to estimates based on the previous, 2005 survey. This paper examines whether changes in measurement methodology between the 2005 and 2011 survey can explain these large differences. We construct a counterfactual set of relative prices for 2005 that harmonizes measurement, a...
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作者：Deaton, Angus; Aten, Bettina
作者单位：Princeton University
摘要：Purchasing power parity exchange rates, or PPPs, are price indexes that summarize prices in each country relative to a numeraire country, typically the United States. These numbers are used to compare living standards across countries, by academics in studies of economic growth, particularly through. the Penn World Table, by the World Bank to construct measures of global poverty, by the European Union to redistribute resources, and by the international development community to draw attention t...
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作者：Adam, Klaus; Grill, Michael
作者单位：University of Mannheim; University of Vienna
摘要：When is it optimal fora fully committed government to default on its legal repayment obligations? Considering a small open economy with domestic production risk and noncontingent government debt, we show that it is ex ante optimal to occasionally deviate from the legal repayment obligation and to repay debt only partially. This holds true even if default generates significant deadweight costs ex post. A quantitative analysis reveals that default is optimal only in response to persistent disast...
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作者：Nakamura, Emi; Sergeyev, Dmitriy; Steinsson, Jon
作者单位：Columbia University; Bocconi University; Columbia University
摘要：We provide new estimates of the importance of growth-rate shocks and uncertainty shocks for developed countries. The shocks we estimate are large and correspond to well-known macroeconomic episodes such as the Great Moderation and the productivity slowdown. We compare our results to earlier estimates of long-run risks and assess the implications for asset pricing. Our estimates yield greater return predictability and a more volatile price-dividend ratio. In addition, we can explain a substanti...
