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作者：Egan, Mark; MacKay, Alexander; Yang, Hanbin
作者单位：Harvard University; National Bureau of Economic Research
摘要：We use a revealed-preference approach to estimate investor expectations of stock market returns. Using data on demand for index funds that followthe S&P 500, we develop and estimate a model of investor choice to flexibly recover the time-varying distribution of expected future returns across investors. Our analysis is facilitated by the prevalence of leveraged funds that track the same underlying asset: by choosing between higher and lower leverage, investors trade off higher return against le...
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作者：Bethune, Zachary; Sultanum, Bruno; Trachter, Nicholas
作者单位：University of Virginia; Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：We build a theory of financial intermediation based on the premise that some investors are better able to figure out the trade motives of their counterparties in bilateral meetings-screening experts. We solve for the equilibrium market structure and study how information asymmetries stemming from heterogeneity in screening expertise shape up the core-periphery trade structure. In particular, the core of the market is populated by screening experts: they have the largest share of trade volume, ...
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作者：Di Tella, Sebastian; Hall, Robert
作者单位：Stanford University; Stanford University; Stanford University
摘要：We develop a simple flexible-price model of business cycles driven by spikes in risk premiums. Aggregate shocks increase firms' uninsurable idiosyncratic risk and raise risk premiums. We show that risk shocks can create quantitatively plausible recessions, with contractions in employment, consumption, and investment. Business cycles are inefficient-output, employment, and consumption fall too much during recessions, compared to the constrained-efficient allocation. Optimal policy involves stim...
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作者：Halac, Marina; Yared, Pierre
作者单位：Yale University; Centre for Economic Policy Research - UK; Columbia University; National Bureau of Economic Research
摘要：We study rules based on instruments versus targets. Our application is a New Keynesian economy where the central bank has non-contractible information about aggregate demand shocks and cannot commit to policy. Incentives are provided to the central bank via punishment which is socially costly. Instrument-based rules condition incentives on the central bank's observable choice of policy, whereas target-based rules condition incentives on the outcomes of policy, such as inflation, which depend o...
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作者：Bethune, Zachary; Rocheteau, Guillaume; Wong, Tsz-Nga; Zhang, Cathy
作者单位：University of Virginia; University of California System; University of California Irvine; Universite Paris-Pantheon-Assas; Federal Reserve System - USA; Federal Reserve Bank - Richmond; Purdue University System; Purdue University
摘要：We construct and calibrate a monetary model of corporate finance with endogenous formation of lending relationships. The equilibrium features money demands by firms that depend on their access to credit and a pecking order of financing means. We describe the mechanism through which monetary policy affects the creation of relationships and firms' incentives to use internal or external finance. We study optimal monetary policy following an unanticipated destruction of relationships under differe...
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作者：Sugaya, Takuo
作者单位：Stanford University
摘要：We show that the folk theorem holds generically for the repeated two-player game with private monitoring if the support of each player's signal distribution is sufficiently large. Neither cheap talk communication nor public randomization is necessary.
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作者：Chari, Amalavoyal; Liu, Elaine M.; Wang, Shing-Yi; Wang, Yongxiang
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作者：Brunnermeier, Markus K.; Sockin, Michael; Xiong, Wei
作者单位：Princeton University; National Bureau of Economic Research; University of Texas System; University of Texas Austin
摘要：China's economic model involves regular and intensive government interventions in financial markets, while Western policymakers often refrain from substantial interventions outside crisis periods. We develop a theoretical framework to rationalize the approaches of both China and the West to managing the financial system as being optimal given the differences in their respective economies. In this framework, a government leans against trading of noise traders but at the expense of introducing p...
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作者：Shapiro, Adam Hale; Wilson, Daniel J.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We propose a new approach to estimating central bank preferences, including the implicit inflation target, that requires no priors on the underlying macroeconomic structure nor observation of monetary policy actions. Our approach entails directly estimating the central bank's objective function from the sentiment expressed by policymakers in their internal meetings. We apply the approach to the objective function of the U.S. Federal Open Market Committee (FOMC). The results challenge two key a...
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作者：Drenik, Andres; Kirpalani, Rishabh; Perez, Diego J.
作者单位：University of Texas System; University of Texas Austin; University of Wisconsin System; University of Wisconsin Madison; New York University; National Bureau of Economic Research
摘要：We study the interaction between the currency choice of private domestic contracts and optimal monetary policy. The optimal currency choice depends on the price risk of each currency, as well as on the covariance of its price and the relative consumption needs of the agents signing the contract. When a larger share of contracts is denominated in local currency, the government can use inflation more effectively to either redistribute resources or reduce default costs, which makes local currency...
