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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...
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作者：Chabakauri, Georgy; Yuan, Kathy; Zachariadis, Konstantinos E.
作者单位：University of London; London School Economics & Political Science; University of London; Queen Mary University London
摘要：We study a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors and noise traders. The assets can include state contingent claims such as Arrow-Debreu securities, assets with only positive payoffs, options or other derivative securities. The probabilities of states depend on an aggregate shock, which is observed only by the informed investor. We derive a three-factor CAPM with asymmetric information, establish conditions under which as...
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作者：Choudhary, M. Ali; Limodio, Nicola
作者单位：Bocconi University; Bocconi University
摘要：Banks in low-income countries face severe liquidity risk due to volatile deposits, which destabilize their funding, and dysfunctional liquidity markets, which induce expensive interbank and central bank lending. Such liquidity risk dissuades the transformation of short-term deposits into long-term loans and deters long-term investment. To validate this mechanism, we exploit a Sharia-compliant levy in Pakistan, which generates unintended and quasi-experimental variation in liquidity risk, with ...
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作者：Dugast, Jerome; Uslu, Semih; Weill, Pierre-Olivier
作者单位：Centre National de la Recherche Scientifique (CNRS); Universite PSL; Universite Paris-Dauphine; Johns Hopkins University; University of California System; University of California Los Angeles; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：Should regulators encourage the migration of trade from over-the-counter (OTC) to centralized markets? To address this question, we study a model in which banks make costly decisions to participate in an OTC market, a centralized market, or both markets at the same time. Banks differ in their ability to take large positions, what we call their trading capacity. In equilibrium, intermediate-capacity banks find it optimal to participate in the centralized market. In contrast, low- and high-capac...
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作者：Battaglini, Marco; Patacchini, Eleonora; Rainone, Edoardo
作者单位：Cornell University; European Central Bank; Bank of Italy
摘要：We present a model of endogenous network formation to recover unobserved social networks using only observable outcomes. We propose a novel equilibrium concept that allows for a sharp characterization of equilibrium behaviour and that yields a unique prediction under testable conditions. While the equilibrium is characterized by a large number of non-linear equations, we show that it can be efficiently employed to recover the networks by an appropriately designed approximate Bayesian computati...
