-
作者：Alquist, Ron; Chabot, Benjamin
作者单位：Bank of Canada; Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research
摘要：A commonly cited benefit of the classical gold standard is that it reduced borrowing costs by signaling a country's commitment to financial probity. Using a new dataset, this paper tests whether gold-standard adherence was negatively correlated with the cost of capital. Conditional on UK risk factors, there is no evidence that the bonds issued by countries off gold earned systematically higher excess returns than the bonds issued by countries on gold. This conclusion is robust to allowing beta...
-
作者：Cole, Harold
作者单位：University of Pennsylvania
-
作者：Lagakos, David; Ordonez, Guillermo L.
作者单位：Arizona State University; Arizona State University-Tempe; Yale University
摘要：Industry-level time series data suggest that low-skilled workers get less insurance within the firm than high-skilled workers. In particular, wages respond relatively more to productivity shocks in low-skilled industries than high-skilled industries. Our theory is that low-skilled workers get relatively less insurance from their firms because they have relatively lower displacement costs. Under limited commitment, lower displacement costs make the workers' outside options more attractive, and ...
-
作者：Costain, James; Nakov, Anton
作者单位：Banco de Espana; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Starting from the assumption that firms are more likely to adjust their prices when doing so is more valuable, this paper analyzes monetary policy shocks in a DSGE model with firm-level heterogeneity. The model is calibrated to retail price microdata, and inflation responses are decomposed into intensive, extensive, and selection margins. Money growth and Taylor rule shocks both have nontrivial real effects, because the low state dependence implied by the data rules out the strong selection ef...
-
作者：Pratap, Sangeeta; Quintin, Erwan
作者单位：City University of New York (CUNY) System; Hunter College (CUNY); City University of New York (CUNY) System
摘要：Financial crises in emerging markets trigger a significant reallocation of labor as exchange rate depreciations and interest rate increases cause relative prices to change drastically. Household survey data for Mexico reveal that individuals who switched industry or occupation during the 1994-1995 crisis lost about 10% of their hourly earnings on average compared to similar workers who did not move. This suggests that many workers became less productive in the process of migrating to different...
-
作者：Curdia, Vasco; Woodford, Michael
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Columbia University
摘要：We extend a standard New Keynesian model to allow an analysis of unconventional dimensions of policy alongside traditional interest-rate policy. We find that quantitative easing in the strict sense is likely to be ineffective, but that targeted asset purchases by a central bank can instead be effective when financial markets are sufficiently disrupted, and we discuss the conditions under which such interventions increase welfare. We also discuss optimal policy with regard to the payment of int...
-
作者：Hachem, Kinda
作者单位：University of Chicago
摘要：Repeated interactions allow lenders to uncover private information about their clients, decreasing the informational asymmetry between a borrower and his lender but introducing one between the lender and competing financiers. This paper constructs a credit-based model of production to analyze how learning through lending relationships affects monetary transmission. I examine how monetary policy changes the incentives of borrowers and lenders to engage in relationship lending and how these chan...
-
作者：Canova, Fabio; Paustian, Matthias
作者单位：University System of Ohio; Bowling Green State University
摘要：A method to evaluate cyclical models not requiring knowledge of the DGP and the exact specification of the aggregate decision rules is proposed. We derive robust restrictions in a class of models; use some to identify structural shocks in the data and others to evaluate the class or contrast sub-models. The approach has good properties, even in small samples, and when the class of models is misspecified. The method is used to sort out the relevance of a certain friction (the presence of rule-o...
-
作者：Gourio, Francois
作者单位：Boston University; National Bureau of Economic Research
摘要：Firms' first-order conditions imply that stock returns equal investment returns from the production technology. Much applied work uses the adjustment cost technology, which implies that the realized return is high when the investment-capital ratio is high. This paper derives, for an arbitrary stochastic discount factor, the investment return implied by the putty-clay technology. The combination of capital heterogeneity and irreversibility creates a novel channel for return volatility. The inve...
-
作者：Acharya, Viral V.; Skeie, David
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research
摘要：Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank loans, reflected in one-month and three-month LIBOR. We explain such stress by modeling leveraged banks' precautionary demand for liquidity. Asset shocks impair a bank's ability to roll over debt because of agency problems associated with high leverage. In turn, banks hoard liquidity and decrease term lending as their rollover risk increases over the term of the loan. High levels of short-term ...
