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作者：Armenter, Roc; Mertens, Thomas M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; New York University
摘要：Insurance schemes rely on legal consequences to deter fraud and tax evasion. This observation guides us to introduce random state verification in a dynamic economy with private information. With some probability, an agent's skill becomes known to the planner who prescribes punishments to misreporting agents. Deferring consumption can ease the provision of incentives creating a motive for subsidizing savings. In an infinite horizon economy, the constrained-efficient allocation converges to high...
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作者：Champagne, Julien; Kurmann, Andre
作者单位：University of Quebec; University of Quebec Montreal; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Over the past 25 years, real average hourly wages in the United States have become substantially more volatile relative to output. Microdata from the Current Population Survey (CPS) is used to show that this increase in relative volatility is predominantly due to increases in the relative volatility of hourly wages across different groups of workers. Compositional changes of the workforce, by contrast, account for only a small fraction of the increase in relative wage volatility. Simulations w...
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作者：Alessandria, George; Kaboski, Joseph; Midrigan, Virgiliu
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; University of Notre Dame; National Bureau of Economic Research; New York University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：The large, persistent fluctuations in international trade that cannot be explained in standard models by changes in expenditures and relative prices are often attributed to trade wedges. We show that these trade wedges can reflect the decisions of importers to change their inventory holdings. We find that a two-country model of international business cycles with an inventory management decision can generate trade flows and wedges consistent with the data. Moreover, matching trade flows alters ...
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作者：Dedola, Luca; Karadi, Peter; Lombardo, Giovanni
作者单位：European Central Bank
摘要：Financial integration in the markets for banks' assets and liabilities makes balance sheet constraints highly correlated across countries, resulting in a high degree of financial and macroeconomic interdependence. Likewise, under financial integration unconventional policies aimed at stabilizing domestic financial and credit conditions could entail large international spillovers. Therefore, stabilization by one country will also benefit other countries, reducing incentives to implement credit ...
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作者：Ellison, Martin; Scott, Andrew
作者单位：University of Oxford; Bank of Finland; University of London; London Business School; Centre for Economic Policy Research - UK
摘要：The combination of learning and depletion in non-renewable resource markets adds significant volatility to commodity prices. The market consists of a small number of suppliers who make depletion plans based on their perceptions of how sensitive price is to supply. Learning leads to changes in these perceptions and hence the revision of depletion plans, which can have a dramatic effect on market supply and price. Firstly, price trends upwards faster than the rate of time preference as the non-r...
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作者：Bachmann, Rudiger; Bayer, Christian
作者单位：RWTH Aachen University; University of Bonn
摘要：Are shocks to firms' profitability risk, propagated by physical capital adjustment costs, a major source of business cycle fluctuations? This paper studies this question using a heterogeneous-firm dynamic stochastic general equilibrium model, where firms face fixed capital adjustment costs. Surprise increases in idiosyncratic risk lead firms to adopt a 'wait-and-see' policy for investment. The model is calibrated using a German firm-level data set with broader coverage than comparable U.S. dat...
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作者：Bengui, Julien; Mendoza, Enrique G.; Quadrini, Vincenzo
作者单位：Universite de Montreal; University of Pennsylvania; National Bureau of Economic Research; University of Southern California
摘要：This paper investigates whether the international globalization of financial markets allows for significant cross-country risk-sharing at the business cycle frequency. We find that cross-country risk-sharing is still limited and this is unlikely to be the result of financial frictions that limit state-contingent contracts. Part of the limited international risk sharing could be the consequence of frictions that de-facto reduce the short-term mobility of financial capital. But even with these f...
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作者：Abbritti, Mirko; Fahr, Stephan
作者单位：University of Navarra; European Central Bank
摘要：The growth rates of wages, unemployment and output of a number of OECD countries have a strongly skewed distribution. In this paper we analyze to what extent downward wage rigidities can explain these empirical business cycle asymmetries. To this aim, we introduce asymmetric wage adjustment costs in a New-Keynesian DSGE model with search and matching frictions in the labor market. Increasing wages is less costly than cutting them. It follows that wages increase relatively fast and thus limit v...
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作者：Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral
作者单位：McGill University; Carleton University; University of Ottawa; University of Ottawa; Bank of Canada
摘要：Full- and limited-information identification-robust methods are proposed for structural systems, notably DSGE models, which are valid whether identification is weak or strong, theory-intrinsic or data-specific. The proposed methods are applied to a standard New Keynesian system for the U.S. Single- and multi-equation estimation and fit are also compared. When a unique rational-expectation stable equilibrium is imposed, the model is rejected. In contrast, limited-information inference produces ...
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作者：Corradi, Valentina; Distaso, Walter; Mele, Antonio
作者单位：University of Warwick; Imperial College London; Swiss Finance Institute (SFI); Universita della Svizzera Italiana
摘要：How does stock market volatility relate to the business cycle? We develop, and estimate, a no-arbitrage model, and find that (i) the level and fluctuations of stock volatility are largely explained by business cycle factors and (ii) some unobserved factor contributes to nearly 20% to the overall variation in volatility, although not to its ups and downs. Instead, this volatility of volatility relates to the business cycle. Finally, volatility risk-premiums are strongly countercyclical, even mo...
