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作者：Gopinath, Gita
作者单位：Harvard University; National Bureau of Economic Research
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作者：Barakchian, S. Mandi; Crowe, Christopher
作者单位：Sharif University of Technology
摘要：The evidence suggests that monetary policy post 1988 became more forward-looking, invalidating the identifying assumptions in conventional methods of measuring monetary policy's effects, leading to spurious and unlikely results for this period. We propose a new identification scheme that uses factors extracted from Fed Funds futures to measure exogenous changes in policy. Using this shock series in a VAR, we recover the contractionary effect of monetary tightening on output. Moreover, we find ...
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作者：Yu, Jianfeng
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：A sentiment-based model of the exchange rate is proposed to understand the forward premium puzzle. Agents over- or under-estimate the growth rate of the economy. All else equal, when perceived domestic growth is higher than perceived foreign growth, the domestic interest rate is higher than the foreign interest rate. At the same time, an econometrician would expect an increase in the home currency value. Together, the model with investor misperception can account for the forward premium puzzle...
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作者：Tsyrennikov, Viktor
作者单位：Cornell University
摘要：I analyze a model with moral hazard and limited enforcement in a small open economy. I find that when state contingent contracting is allowed adding the moral hazard friction improves the model's predictions along several dimensions. First, it justifies why non-contingent debt is an optimal way to finance an emerging economy. Second, it explains the limited consumption risk-sharing and high, volatile and counter-cyclical interest rates. Third, it generates realistic crisis-like dynamics in whi...
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作者：Choi, Woon Gyu; Cook, David
作者单位：Hong Kong University of Science & Technology; International Monetary Fund
摘要：During financial turmoil, increases in risk lead to higher default, foreclosure, and fire sales. This paper introduces a costly liquidation process for foreclosed collateral and pro-cyclical recovery rates in a dynamic stochastic general equilibrium model of the financial accelerator. Links between endogenous recovery rates, risk premia, and default risk generate a liquidity spiral, magnifying financial accelerator effects. We illustrate how collateral liquidation and monetary policy alter the...
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作者：van Rens, Thijs
作者单位：Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University
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作者：Gertler, Mark; Kiyotaki, Nobuhiro; Queralto, Albert
作者单位：New York University; Princeton University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：A macroeconomic model with financial intermediation is developed in which the intermediaries (banks) can issue outside equity as well as short term debt. This makes bank risk exposure an endogenous choice. The goal is to have a model that can not only capture a crisis when banks are highly vulnerable to risk, but can also account for why banks adopt such a risky balance sheet in the first place. We use the model to assess quantitatively how perceptions of fundamental risk and of government cre...
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作者：Ball, Laurence
作者单位：Johns Hopkins University
摘要：The conventional wisdom holds that the short-run demand for money is unstable. This paper challenges the conventional view by finding a stable demand for M1 in U.S. data from 1959 through 1993. The approach follows previous work in interpreting long-run money demand as a cointegrating relation, and it uses Goldfeld's partial-adjustment model to interpret short-run dynamics. The key innovation is the choice of the interest rate in the money demand function. Most previous work uses a short-term ...
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作者：Boyarchenko, Nina
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Faced with doubts about the quality of information and the quality of modeling techniques, ambiguity-averse agents assign higher probabilities to lower utility states, leading to higher CDS premia and lower equity prices. Using data on financial institutions. I find that the sudden increases in credit spreads during the recent crisis can be explained by changes in the amount of ambiguity faced by market participants and changes in how the total amount of ambiguity was distributed between ambig...
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作者：Williams, Noah
