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作者：Bruche, Max; Suarez, Javier
摘要：in the presence of deposit insurance, a rise in counterparty risk may cause a freeze in interbank money markets. We show this in a general equilibrium model with regionally segmented bank-based retail financial markets, in which money markets facilitate the reallocation of funds across banks from different regions. Counterparty risk creates an asymmetry between banks in savings-rich regions, which remain marginally financed by the abundant regional insured deposits, and in savings-poor regions...
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作者：Sheedy, Kevin D.
作者单位：University of London; London School Economics & Political Science
摘要：Empirical evidence suggests that inflation determination is not purely forward-looking but models of price setting have struggled to rationalize this finding without directly assuming backward-looking pricing rules for firms This paper shows that intrinsic inflation persistence can be explained with no deviation from optimizing forward-looking behaviour if prices that have remained fixed for longer are more likely to be changed than those set recently A relationship between the probability of ...
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作者：Chakraborty, Shankha; Papageorgiou, Chris; Perez Sebastian, Fidel
作者单位：Universitat d'Alacant; University of Oregon; International Monetary Fund
摘要：The relationship between health and development is a subject of ongoing debate. This paper contributes to the debate by proposing a general equilibrium theory of infectious disease transmission, prevention investment, and rational behavior. Diseases cause premature death, labor productivity loss and lower quality of life. Higher disease prevalence lowers the average saving-investment propensity. The model offers two insights. First, infectious disease can plausibly generate an unconventional g...
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作者：Bali, Turan G.; Engle, Robert F.
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University
摘要：The intertemporal capital asset pricing model of Merton (1973) is examined using the dynamic conditional correlation (DCC) model of Engle (2002). The mean-reverting DCC model is used to estimate a stock's (portfolio's) conditional covariance with the market and test whether the conditional covariance predicts time-variation in the stock's (portfolio's) expected return. The risk-aversion coefficient, restricted to be the same across assets in panel regression, is estimated to be between two and...
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作者：Olovsson, Conny
作者单位：Stockholm University
摘要：The welfare effects of intergenerational risk sharing through a pay-as-you-go social security system that is efficiently indexed to wages or interest rates are quantified. Comparing steady states, there are large welfare gains of being born into an economy with efficient risk sharing as compared to the current U.S. system. Efficient policy involves an increasingly risky net of tax income over the life cycle. When adjustment to steady state is taken into account, the welfare gains largely turn ...
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作者：Lagos, Ricardo
作者单位：New York University
摘要：An asset-pricing model is developed in which financial assets are valued for their liquidity-the extent to which they are useful in facilitating exchange as well as for being claims to streams of consumption goods The theory is used to study the implications of this liquidity channel for average asset returns the equity-premium puzzle and the risk-free rate puzzle (C) 2010 Elsevier B V All rights reserved
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作者：Zhylyevskyy, Oleksandr
作者单位：Iowa State University
摘要：The two leading explanations for the counterintuitive behavior of Interest rates during the Greenback Era (1862-1878) - the resumption expectations model of Calomiris (1988) and the capital flow argument of Friedman and Schwartz (1963) - are inconsistent with each other in terms of their treatment of financial arbitrage A methodology to identify unexploited arbitrage opportunities in financial data is proposed Observable returns strongly suggest that the money market of the Greenback Era did n...
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作者：Abe, Naohito; Tonogi, Akiyuki
作者单位：Hitotsubashi University; Mitsubishi International Corporation (MIC)
摘要：Using Japanese daily scanner data with three billion observations of prices and quantities from 1988 to 2005, this paper investigates micro and macro price dynamics. These data reveal that the frequency of price changes is much larger than that found in standard monthly datasets. The price change frequency exhibits a clear trend and strong across-store heterogeneity, which casts doubts on standard New Keynesian assumptions. The Consumer Price Index (CPI) based on scanner data appears to track ...
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作者：Baeriswyl, Romain; Cornand, Camille
作者单位：Swiss National Bank (SNB); Centre National de la Recherche Scientifique (CNRS); Universites de Strasbourg Etablissements Associes; Universite de Strasbourg
摘要：In an economy affected by shocks that are imperfectly known, the monetary instrument takes on a dual stabilizing role: as a policy response that directly influences the economy and as a vehicle for information that reveals the central bank's assessment to firms. Because mark-up shocks cannot be neutralized by monetary policy, providing firms with more information about these shocks exacerbates their reaction and creates a larger distortion. Recognizing the signaling role of its instrument, the...
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作者：Hryshko, Dmytro; Luengo-Prado, Maria Jose; Sorensen, Bent E.
作者单位：University of Alberta; Northeastern University; University of Houston System; University of Houston
摘要：Homeowners in the Panel Study of Income Dynamics are able to maintain a high level of consumption following job loss (or disability) in periods of rising local house prices while the consumption drop for homeowners who lose their job in times of lower house prices is substantial These results are consistent with homeowners being able to access wealth gains when housing appreciates as witnessed by their ability to smooth consumption more than renters A calibrated model of endogenous homeownersh...
