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作者：Jeske, Karsten; Krueger, Dirk; Mitman, Kurt
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：What are the macroeconomic and distributional effects of government bailout guarantees for Government Sponsored Enterprises (e.g., Fannie Mae)? A model with heterogeneous, infinitely lived households and competitive housing and mortgage markets is constructed to evaluate this question. Households can default on their mortgages via foreclosure. The bailout guarantee is a tax-financed mortgage interest rate subsidy. Eliminating this subsidy leads to a large decline in mortgage origination and in...
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作者：Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco
作者单位：Columbia University; National Bureau of Economic Research; European Central Bank
摘要：The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (uncertainty), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being stronger. The result holds in a structural vector autoregressive framework, controlling for business cycle movements and using a variety of id...
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作者：Kumar, Praveen; Langberg, Nisan
作者单位：University of Houston System; University of Houston
摘要：A model of endogenous investment booms and busts with rational agents is presented where outside investors are uncertain about both industry (aggregate) and firm-specific capital productivity, and insiders manipulate information through strategic productivity disclosures. For intermediate and high levels of agency conflict, there are aggregate investment distortions along the equilibrium path, investment dynamics are history-dependent, and depict patterns of persistent investment booms or inve...
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作者：Benhabib, Jess; Wang, Pengfei
作者单位：New York University; Hong Kong University of Science & Technology
摘要：Self-fulfilling equilibria and indeterminacy can easily arise in a simple financial accelerator model with reasonable parameter calibrations and without increasing returns in production. A key feature for generating indeterminacy in our model is the countercyclical markup due to the procyclical loan-to-output ratio. We illustrate, via simulations, that our financial accelerator model can generate rich business cycle dynamics, including hump-shaped output in response to demand shocks as well as...
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作者：Ang, Andrew; Longstaff, Francis A.
作者单位：Columbia University; University of California System; University of California Los Angeles
摘要：We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major Eurozone countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is much less systemic risk among U.S. sovereigns than among Eurozone sovereigns. We find that both U.S. and Eurozone systemic sovereign risk are strongly related to financial market variables. These results provide strong sup...
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作者：Andolfatto, David
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Simon Fraser University
摘要：For competitive economies in which the real rate of return on money is too low, the standard prescription is to engineer a deflation that is, to operate monetary policy according to the Friedman rule. Implicit in this recommendation is the availability of a lump-sum tax instrument. In this paper, I view lump-sum tax obligations as a form of debt subject to default. While individuals may want to honor such obligations ex ante, a lack of commitment (the sine qua non of modern monetary theory) ma...
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作者：Rocheteau, Guillaume; Wright, Randall
作者单位：University of California System; University of California Irvine; University of Wisconsin System; University of Wisconsin Madison
摘要：This study analyzes economies with an essential role for liquid assets in the exchange process. The model can generate multiple stationary equilibria, across which asset prices, market participation, capitalization, output and welfare are positively related. It can also generate a variety of nonstationary equilibria, even when fundamentals are deterministic and time invariant, including periodic, chaotic and stochastic (sunspot) equilibria with recurrent market crashes. Some equilibria have as...
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作者：Alvarez-Parra, Fernando; Brandao-Marques, Luis; Toledo, Manuel
作者单位：University of Central Venezuela; International Monetary Fund; Instituto Tecnologico Autonomo de Mexico
摘要：Business cycles in emerging economies display very volatile consumption and strongly countercyclical trade balance. We show that aggregate consumption in these economies is not more volatile than output once durables are accounted for. Then, we present and estimate a real business cycles model for a small open economy that accounts for this empirical observation. Our results show that the role of permanent shocks to aggregate productivity in explaining cyclical fluctuations in emerging economi...
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作者：Favilukis, Jack; Lin, Xiaoji
作者单位：University of London; London School Economics & Political Science; University of London; London School Economics & Political Science; University System of Ohio; Ohio State University
摘要：Long-run productivity risk - shocks to the growth rate of productivity - offers an alternative to microfrictions explanations of aggregate investment non-linearities, in particular the heteroscedasticity of investment rate. Additionally, consistent with the data, these shocks imply that investment rate is history dependent (rising through expansions), its growth is positively autocorrelated, and it is positively correlated with output growth at various leads and lags. A standard model with sho...
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作者：Yang, Dennis Tao; Zhu, Xiaodong
作者单位：University of Virginia; University of Toronto
摘要：This paper develops a two-sector model that illuminates the role played by agricultural modernization in the transition from stagnation to growth. When agriculture relies on traditional technology, industrial development reduces the relative price of industrial products, but has a limited effect on per capita income because most labor has to remain in farming. Growth is not sustainable until this relative price drops below a certain threshold, thus inducing farmers to adopt modern technology t...
