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作者：Fujiwara-Greve, Takako; Greve, Henrich R.; Jonsson, Stefan
作者单位：Keio University; INSEAD Business School; Uppsala University
摘要：This article is inspired by real-world phenomena that firms lose customers based on imprecise information and take a long time to recover. If consumers are playing an ordinary repeated game with fixed partners, there is no clear reason why recovery happens slowly. However, if consumers are playing an endogenously repeated game, a class of simple efficient equilibria exhibits the asymmetry of fast loss and slow recovery of customers after a bad signal. Exit is systematic, but formation of a new...
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作者：Clausen, Andrew; Strub, Carlo
作者单位：University of Edinburgh; University of St Gallen
摘要：Operating overheads are widespread and lead to concentrated bursts of activity. To transfer resources between active and idle spells, agents demand financial assets. Futures contracts and lotteries are unsuitable, as they have substantial overheads of their own. We show that moneyunder efficient monetary policyis a liquid asset that leads to efficient allocations. Under all other policies, agents follow inefficient money cycle patterns of saving, activity, and inactivity. Agents spend their mo...
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作者：Kydland, Finn E.; Rupert, Peter; Sustek, Roman
作者单位：University of California System; University of California Santa Barbara; National Bureau of Economic Research; University of London; Queen Mary University London
摘要：Housing construction, measured by housing starts, leads GDP in a number of countries. Measured as residential investment, the lead is observed only in the United States and Canada; elsewhere, residential investment is coincident. Variants of existing theory, however, predict housing construction lagging GDP. In all countries in the sample, nominal interest rates are low ahead of GDP peaks. Introducing long-term nominal mortgages, and an estimated process for nominal interest rates, into a stan...
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作者：Bianchi, Francesco; Melosi, Leonardo
作者单位：Cornell University; Duke University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：We develop methods to solve general equilibrium models in which forward-looking agents are subject to waves of pessimism, optimism, and uncertainty that turn out to critically affect macroeconomic outcomes. Agents in the model are fully rational and conduct Bayesian learning, and they know that they do not know. Therefore, agents take into account that their beliefs will evolve according to what they will observe. This framework accommodates both gradual and abrupt changes in beliefs and allow...
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作者：Burdett, Kenneth; Dong, Mei; Sun, Ling; Wright, Randall
作者单位：University of Pennsylvania; University of Melbourne; Brock University; University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA; Federal Reserve Bank - Chicago; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research
摘要：This article integrates search-based models of marriage and money. We think about households as organizations, the way Coase thinks about firms, as alternatives to markets that become more attractive when transactions costs increase. In the model, individuals consume market- and home-produced goods, and home production is facilitated by marriage. Market frictions, including taxes, search, and bargaining problems, increase the marriage propensity. The inflation tax encourages marriage because b...
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作者：Miessi Sanches, Fabio A.; Junior Silva, Daniel; Srisuma, Sorawoot
作者单位：Universidade de Sao Paulo; University of Warwick; University of Surrey
摘要：Estimation of dynamic games is known to be a numerically challenging task. A common form of the payoff functions employed in practice takes the linear-in-parameter specification. We show a least squares estimator taking a familiar OLS/GLS expression is available in such a case. Our proposed estimator has a closed form. It can be computed without any numerical optimization and always minimizes the least squares objective function. We specify the optimally weighted GLS estimator that is efficien...
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作者：Imrohoroglu, Selahattin; Kitao, Sagiri; Yamada, Tomoaki
作者单位：University of Southern California; Keio University; Meiji University
摘要：Japan is aging and has the highest government debt-to-output ratio among advanced economies. In this article, we build a micro data-based, large-scale overlapping generations model for Japan in which individuals differ in age, gender, employment type, income, and asset holdings, and incorporate the Japanese pension rules. Using existing pension law, current fiscal policy, and medium variants of demographic projections, we produce future paths for government expenditures and tax revenues, with ...
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作者：Anenberg, Elliot
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I examine the effects of seller uncertainty over their home value on the housing market. Using evidence from home listings and transactions data, I first show that sellers do not have full information about current period demand conditions for their homes. I incorporate this type of uncertainty into a dynamic microsearch model of the home selling problem with Bayesian learning. The estimated model highlights how information frictions help to explain the microdecisions of sellers and how these ...
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作者：Li, Wenli; Liu, Haiyong; Yang, Fang; Yao, Rui
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of North Carolina; East Carolina University; Louisiana State University System; Louisiana State University; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We construct a model of optimal life-cycle housing and nonhousing consumption and estimate the elasticity between the two goods to be 0.487. The estimate is robust to different assumptions of housing adjustment cost, but sensitive to the choice of sample period and the degree of aggregation of data moments. We then conduct experiments in which house prices and household income fluctuate. Compared with the benchmark, the impact of the shocks on homeownership rates is reduced, but the impact on ...
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作者：Morris, Stephen; Shin, Hyun Song
作者单位：Princeton University; Bank for International Settlements (BIS)
摘要：We provide a theoretical decomposition of bank credit risk into insolvency risk and illiquidity risk, defining illiquidity risk to be the counterfactual probability of failure due to a run when the bank would have survived in the absence of a run. We show that illiquidity risk is (i) decreasing in the liquidity ratiothe ratio of realizable cash on the balance sheet to short-term liabilities; (ii) decreasing in the excess return of debt; and (iii) increasing in the solvency uncertaintya measure...
