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作者：Kozlowski, Julian
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：Trading frictions in financial markets affect more long-term than short-term bonds, generating an upward-sloping yield curve. Long-term financing is more expensive in economies with higher trading frictions so firms choose to borrow and invest in shorter horizons and lower productivity projects. The theory guides a new identification of the slope of liquidity spread in the data. We measure and calibrate the model for the United States, and counterfactual exercises suggest that variations in tr...
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作者：Jensen, Henrik; Petrella, Ivan; Ravn, Soren Hove; Santoro, Emiliano
作者单位：University of Copenhagen; Center for Economic & Policy Research (CEPR); University of Warwick
摘要：We document that the United States and other G7 economies have been characterized by an increasingly negative business-cycle asymmetry over the last three decades. This finding can be explained by the concurrent increase in the financial leverage of households and firms. To support this view, we devise and estimate a dynamic general equilibrium model with collateralized borrowing and occasionally binding credit constraints. Improved access to credit increases the likelihood that financial cons...
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作者：Gillitzer, Christian; Prasad, Nalini
作者单位：University of Sydney; University of New South Wales Sydney
摘要：We seek to identify the causal effect of sentiment innovations on consumption. Using unique Australian consumer sentiment survey data, we show that, immediately after elections with a change of government, supporters of the winning party report substantially more optimistic beliefs about economic conditions than supporters of the losing party. We argue that this variation in beliefs is orthogonal to changes in fundamentals and find robust evidence that the shifts in sentiment affect spending i...
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作者：Forinirni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca
作者单位：Autonomous University of Barcelona; Universita di Modena e Reggio Emilia; Universita di Modena e Reggio Emilia; Bocconi University; Bocconi University
摘要：We investigate the role of noise shocks as a source of business cycle fluctuations. To do so we set up a simple model of imperfect information and derive restrictions for identifying the noise shock in a VAR model. The novelty of our approach is that identification is reached by means of dynamic rotations of the reduced-form residuals. We find that noise shocks generate hump-shaped responses of GDP, consumption and investment, and account for a sizable fraction of their prediction error varian...
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作者：Fernandez, Raquel; Wong, Joyce Cheng
作者单位：New York University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); International Monetary Fund
摘要：During the 1970s, the United States switched from mutual consent to a unilateral divorce regime. Who benefited/lost from this change? We develop a dynamic life cycle model in which agents make consumption, saving, work, and marital-status decisions under a given divorce regime. Calibrating the model to match key moments for the 1940 cohort and conditioning solely on gender, our ex ante welfare analysis finds that women fare better under mutual consent whereas men prefer a unilateral system. Co...
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作者：Benigno, Pierpaolo; Nistico, Salvatore
作者单位：Luiss Guido Carli University; Sapienza University Rome
摘要：This paper studies monetary policy in models where multiple assets have different liquidity properties: safe and pseudo-safe assets coexist. A shock worsening the liquidity properties of the pseudo-safe assets raises interest rate spreads and can cause a deep recession-cum-deflation. Expanding the central bank's balance sheet fills the shortage of safe assets and counteracts the recession. Lowering the interest rate on reserves insulates market interest rates from the liquidity shock and impro...
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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...
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作者：Imbs, Jean; Mejean, Isabelle
作者单位：Paris School of Economics; Centre National de la Recherche Scientifique (CNRS); Centre for Economic Policy Research - UK; Institut Polytechnique de Paris; Ecole Polytechnique
摘要：On average, estimates of trade elasticities are smaller in aggregate data than at sector level. This is an artifact of aggregation. Estimations performed on aggregate data constrain sector elasticities to homogeneity, which creates a heterogeneity bias. The paper shows such a bias exists in two prominent approaches used to estimate elasticities, which has meaningful consequences for the calibration of the trade elasticity in one-sector, aggregative models. With elasticities calibrated to aggre...
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作者：Cruces, Juan J.; Trebesch, Christoph
作者单位：Universidad Torcuato Di Tella; University of Munich
摘要：A main puzzle in the sovereign debt literature is that defaults have only minor effects on subsequent borrowing costs and access to credit. This paper comes to a different conclusion. We construct the first complete database of investor losses (haircuts) in all restructurings with foreign banks and bondholders from 1970 until 2010, covering 180 cases in 68 countries. We then show that restructurings involving higher haircuts are associated with significantly higher subsequent bond yield spread...
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作者：Justiniano, Alejandro; Primiceri, Giorgio E.; Tambalotti, Andrea
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Northwestern University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：We find that the answer is no in an estimated DSGE model of the US economy in which exogenous movements in workers' market power are not a major driver of observed economic fluctuations. If they are, the tension between the conflicting stabilization objectives of monetary policy increases, but with negligible effects on the equilibrium behavior of the economy under optimal policy. (JEL E12, E23, E24, E31, E32, E52)
