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作者：Engel, C; West, KD
作者单位：University of Wisconsin System; University of Wisconsin Madison; National Bureau of Economic Research
摘要：We show analytically that in a rational expectations present-value model, an asset price manifests near - random walk behavior if fundamentals are I( 1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well-known puzzle that fundamental variables such as relative money supplies, outputs, inflation, and interest rates provide little help in predicting changes in floating exchange rates. As well, we show that the data do exhibit a relate...
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作者：Piazzesi, M
作者单位：University of Chicago; National Bureau of Economic Research
摘要：Bond yields respond to policy decisions by the Federal Reserve and vice versa. To learn about these responses, I model a high-frequency policy rule based on yield curve information and an arbitrage-free bond market. In continuous time, the Fed's target is a pure jump process. Jump intensities depend on the state of the economy and the meeting calendar of the Federal Open Market Committee. The model has closed-form solutions for yields as functions of a few state variables. Introducing monetary...
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作者：Wennerlind, C
作者单位：Columbia University
摘要：David Hume's monetary theory has been controversial since its formulation. Lately, the focus has been on Hume's alleged misapplication of the quantity theory of money. While he appears to subscribe to a simple quantity theory with money neutrality, in a famously contested passage in the essay Of Money, he violates the neutrality condition by claiming that an increase in the money stock has favorable output effects. While most commentators argue about the persistence of the output effect, this ...
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作者：Nishiyama, S; Smetters, K
作者单位：University System of Georgia; Georgia State University; University of Pennsylvania; National Bureau of Economic Research
摘要：Fundamental tax reform is examined in an overlapping-generations model in which heterogeneous agents face idiosyncratic wage shocks and longevity uncertainty. A progressive income tax is replaced with a flat consumption tax. If idiosyncratic wage shocks are insurable ( i. e., no risk), this reform improves ( interim) efficiency, a result consistent with the previous literature. But if, more realistically, wage shocks are uninsurable, this reform reduces efficiency, even though national wealth ...
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作者：Persico, N; Postlewaite, A; Silverman, D
作者单位：University of Pennsylvania; University of Michigan System; University of Michigan
摘要：Taller workers receive a wage premium. Net of differences in family background, the disparity is similar in magnitude to the race and gender gaps. We exploit variation in an individual's height over time to explore how height affects wages. Controlling for teen height essentially eliminates the effect of adult height on wages for white men. The teen height premium is not explained by differences in resources or endowments. The teen height premium is partially mediated through participation in ...
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作者：Gomes, J; Kogan, L; Zhang, L
作者单位：University of Pennsylvania; Massachusetts Institute of Technology (MIT); University of Rochester
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作者：Menzly, L; Santos, T; Veronesi, P
作者单位：University of Southern California; Columbia University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); University of Chicago
摘要：We propose a general equilibrium model with multiple securities in which investors' risk preferences and expectations of dividend growth are time-varying. While time-varying risk preferences induce the standard positive relation between the dividend yield and expected returns, time-varying expected dividend growth induces a negative relation between them. These offsetting effects reduce the ability of the dividend yield to forecast returns and eliminate its ability to forecast dividend growth,...
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作者：Gelbach, JB
作者单位：University System of Maryland; University of Maryland College Park
摘要：I show that among women likely to use welfare, movers move to higher-benefit states. I also find that the probability likely welfare users will move at all is lower in higher-benefit states. This effect is concentrated early in the life cycle, as theory predicts. I construct a theoretical framework to measure the impact of welfare migration on optimal state benefits. Simulation results suggest little impact in higher-benefit states, but possibly a more substantial impact in other states. Final...
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作者：MacDonald, G; Weisbach, MS
作者单位：Washington University (WUSTL); University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; National Bureau of Economic Research
摘要：The evolution of technology causes human capital to become obsolete. We study this phenomenon in an overlapping generations setting, assuming that technology evolves stochastically and that older workers find updating uneconomic. Experience and learning by doing may offer the old some income protection, but technology advance always turns them into has-beens to some degree. We focus on the determinants (demand elasticities, persistence of technology change, etc.) of the severity of the has-bee...
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作者：Welch, I
作者单位：Yale University; National Bureau of Economic Research
摘要：U.S. corporations do not issue and repurchase debt and equity to counteract the mechanistic effects of stock returns on their debt-equity ratios. Thus over one-to five-year horizons, stock returns can explain about 40 percent of debt ratio dynamics. Although corporate net issuing activity is lively and although it can explain 60 percent of debt ratio dynamics ( long-term debt issuing activity being most capital structure-relevant), corporate issuing motives remain largely a mystery. When stock...
