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作者：Ulrich, Maxim
作者单位：Columbia University
摘要：Variations in trend inflation are the main driver for variations in the nominal yield curve. According to empirical data, investors observe a set of empirical models that could all have generated the time-series for trend inflation. This set has been large and volatile during the 1970s and early 1980s and small during the 1990s. I show that log utility together with Knightian uncertainty about trend inflation can explain the term premium in U.S. Treasury bonds. The equilibrium has two inflatio...
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作者：Reiter, Michael; Sveen, Tommy; Weinke, Lutz
作者单位：BI Norwegian Business School; Humboldt University of Berlin
摘要：The lumpy nature of plant-level investment is generally not taken into account in the context of New Keynesian monetary theory (see, e.g., Christiano et al., 2005; Woodford, 2005). Our main result shows that if this theory is augmented by a standard model of lumpy investment, monetary policy shocks lead to large but very short-lived impacts on output and inflation, in a way that goes against empirical evidence and the consensus view in the literature. (C) 2013 Elsevier B.V. All rights reserved.
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作者：Iacoviello, Matteo; Pavan, Marina
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Universitat Jaume I; Universitat Jaume I
摘要：Housing and mortgage debt are studied in a quantitative general equilibrium model. The model matches wealth distribution, age profiles of homeownership and debt, and frequency of housing adjustment. Over the cycle, the model matches the cyclicality and volatility of housing investment, and the procyclicality of debt. Higher individual income risk and lower downpayments can explain the reduced volatility of housing investment, the reduced procyclicality of debt, and part of the reduced volatili...
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作者：Fujiwara, Ippei; Nakajima, Tomoyuki; Sudo, Nao; Teranishi, Yuki
作者单位：Australian National University; Kyoto University; Keio University
摘要：How should monetary policy respond to a global liquidity trap, where the two countries may fall into a liquidity trap simultaneously? Using a two-country New Open Economy Macroeconomics model, we first characterize optimal monetary policy, and show that the optimal rate of inflation in one country is affected by whether or not the other country is in a liquidity trap. We next examine how well the optimal monetary policy is approximated by relatively simple monetary policy rules. The interest-r...
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作者：Coen-Pirani, Daniele
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
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作者：Aguiar, Mark
作者单位：Princeton University
摘要：This is a comment on Capital mobility and international sharing of cyclical risk. The comment focuses on the authors' choice of portfolio adjustment costs in explaining limited international risk sharing. The comment raises two main issues. One is that investors hold large gross positions that vary significantly in value over the business cycle. The second is that it is difficult to identify portfolio adjustment costs from trade costs within the authors' environment. (c) 2012 Elsevier B.V. All...
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作者：Ortigueira, Salvador; Siassi, Nawid
作者单位：Universidad Carlos III de Madrid
摘要：While it is recognized that the family is a risk-sharing institution, little is known about the quantitative effects of this source of insurance on savings and labor supply. In this paper, we present a model where workers (females and males) are subject to idiosyncratic employment risk and where capital markets are incomplete. A household is formed by a female and a male, who decide on consumption, savings and labor supplies. In a calibrated version of our model we find that intra-household ri...
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作者：Lin, Xiaoji; Zhang, Lu
作者单位：University System of Ohio; Ohio State University; National Bureau of Economic Research
摘要：A deep-ingrained doctrine in asset pricing says that if an empirical characteristic-return relation is consistent with investor rationality, the relation must be explained by a risk (factor) model. The investment approach questions the doctrine. Factors formed on characteristics are not necessarily risk factors; characteristics-based factor models are linear approximations of firm-level investment returns. The evidence that characteristics dominate covariances in horse races does not necessari...
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作者：Ilzetzki, Ethan; Mendoza, Enrique G.; Vegh, Carlos A.
作者单位：University of London; London School Economics & Political Science; University of Pennsylvania; National Bureau of Economic Research; University System of Maryland; University of Maryland College Park
摘要：Contributing to the debate on the macroeconomic effects of fiscal stimuli, we show that the impact of government expenditure shocks depends crucially on key country characteristics, such as the level of development, exchange rate regime, openness to trade, and public indebtedness. Based on a novel quarterly dataset of government expenditure in 44 countries, we find that (i) the output effect of an increase in government consumption is larger in industrial than in developing countries; (ii) the...
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作者：Conesa, Juan C.; Dominguez, Begona
作者单位：State University of New York (SUNY) System; Stony Brook University; University of Queensland
摘要：The standard analysis of optimal fiscal policy aggregates different types of assets into a unique capital good and all types of capital taxes into a unique capital tax. This paper considers a disaggregated framework: an economy with corporate and dividend taxes, where firms invest in both tangible and intangible assets (which can be expensed or sweat). In our setup, firms can always respond to changes in the timing of taxation. We find that the optimal long-run policy features zero corporate t...
