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作者：Akinci, Ozge; Queralto, Albert
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Credit spreads display occasional spikes and are more strongly countercyclical in times of elevated financial stress. Financial crises are extreme cases of this nonlinear behavior, featuring skyrocketing credit spreads, sharp losses in bank equity, and deep recessions. We develop and estimate a macroeconomic model with a banking sector in which banks' leverage constraints are occasionally binding and equity issuance is endogenous. The model captures the nonlinearities in the data and produces ...
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作者：Roi
作者单位：University of Chicago
摘要：I study efficiency and optimal monetary policy in a two-country monetary union with frictional labor markets. With heterogeneity in labor market frictions, the constrained efficient allocation generically cannot be achieved even if productivity shocks affecting each country are the same. The second-best optimal policy targets smaller inflation and output gaps in the more sclerotic labor market. A quantitative calibration to the eurozone implies welfare gains from redefining the union's inflati...
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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：Bergin, Paul R.; Corsetti, Giancarlo
作者单位：University of California System; University of California Davis; University of Cambridge
摘要：Motivated by the long-standing debate on competitive devaluation, we propose a new perspective on how monetary and exchange rate policies can contribute to a country's international competitiveness. We refocus the analysis on the implications of monetary stabilization for a country's comparative advantage. We develop a two-country New Keynesian model with two tradable sectors in each country: one perfectly competitive, the other producing differentiated goods under monopolistic competition sub...
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作者：Ellison, Martin; Scott, Andrew
作者单位：University of Oxford; Centre for Economic Policy Research - UK; University of London; London Business School
摘要：We examine UK debt management using a new monthly dataset on the quantity and market price of every individual bond issued by the government since 1694. Our bond-by-bond dataset identifies variations in the market value of debt and so captures investors' one-period holding returns, which is the cost of debt management in the government's intertemporal budget constraint. We find a substantial cost advantage in favor of issuing short bonds, even when considering some of the operational risks imp...
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作者：Bilbiie, Florin O.; Ghironi, Fabio; Melitz, Marc J.
作者单位：University of Lausanne; University of Washington; University of Washington Seattle; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Harvard University; National Bureau of Economic Research
摘要：The inefficiencies related to endogenous product creation and variety under monopolistic competition are-two-fold: one static-the misalignment between consumers and producers regarding the value of a new variety; and one dynamic-time variation in markups. When production factors (labor and physical capital) are elastic and traded in competitive markets, further distortions appear. Appropriate taxation schemes can restore optimality if they preserve entry incentives. Quantitatively, the welfare...
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作者：Cavallino, Paolo
作者单位：Bank for International Settlements (BIS)
摘要：I consider a small open economy model where international financial markets are imperfect and the exchange rate is determined by capital flows. I use this framework to study the effects of portfolio flow shocks, derive the optimal foreign exchange intervention policy, and characterize its interaction with monetary policy. I derive the optimal intervention rule in closed form as a function of three implicit targets. Finally, using Swiss data, I estimate the model to quantify the inefficiencies ...
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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：Hnatkovska, Viktoria; Lahiri, Amartya; Vegh, Carlos A.
作者单位：University of British Columbia; Johns Hopkins University
摘要：We present a new data fact: in response to a monetary tightening, the domestic currency tends to appreciate in developed countries but depreciate in developing countries. A model is developed to rationalize this contrasting pattern. It has three key channels of monetary transmission: a liquidity demand channel, a fiscal channel, and an output channel. The paper shows that a calibrated version of the model can explain the contrast between developed and developing countries. Using counterfactual...
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作者：Knittel, Christopher R.; Pindyck, Robert S.
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
摘要：The price of crude oil never exceeded $40 per barrel until mid-2004. By July 2008 it peaked at $145 and by late 2008 it fell to $30 before increasing to $110 in 2011. Are speculators partly to blame for these price changes? Using a simple model of supply and demand in the cash and storage markets, we determine whether speculation is consistent with data on production, inventory changes, and convenience yields. We focus on crude oil, but our approach can be applied to other commodities. We show...
