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作者：Angeletos, George-Marios; La'O, Jennifer
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：The question that motivates this paper is how incomplete information impacts the response of prices to nominal shocks. Our baseline model is a variant of the Calvo model in which firms observe the underlying nominal shocks with noise. In this model, the response of prices is pinned down by three parameters: the precision of available information about the nominal shock, the frequency of price adjustment, and the degree of strategic complementarity, in pricing decisions. This result synthesizes...
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作者：Kozicki, Sharon; Tinsley, P. A.
作者单位：Bank of Canada; University of London; Birkbeck University London
摘要：Briefing forecasts prepared for the Federal Open Market Committee (FOMC) are used to estimate changes in the design of US monetary policy and in the implied policy target for inflation from 1970 through 1997. Both estimated policy rate responses and FOMC transcripts are consistent with intermediate targeting of monetary aggregates throughout the Great Inflation of the 1970s. The unpublished FOMC targets for M1 growth are tabulated. Empirical results support an effective inflation target of rou...
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作者：Brenner, Menachem; Galai, Dan; Sade, Orly
作者单位：New York University; Hebrew University of Jerusalem
摘要：Many financial assets, especially government bonds, are issued by an auction. All important feature of the design is the auction pricing mechanism: uniform versus discriminatory. Theoretical papers do not provide a definite answer regarding the dominance of one type of auction over the other. We investigate the revealed preferences of the issuers by surveying the sovereign issuers that conduct auctions. We find that the majority of the issuers/countries in our sample use a discriminatory aucti...
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作者：Jaffee, Dwight M.
作者单位：University of California System; University of California Berkeley
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作者：Gilchrist, Simon; Yankov, Vladimir; Zakrajsek, Egon
作者单位：Boston University; National Bureau of Economic Research
摘要：To identify disruptions in credit markets, research on the role of asset prices in economic fluctuations has focused on the information content of various corporate credit spreads. We re-examine this evidence using a broad array of credit spreads constructed directly from the secondary bond prices on outstanding senior unsecured debt issued by a large panel of nonfinancial firms. An advantage of our ground-up approach is that we are able to construct matched portfolios of equity returns, which...
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作者：Chirinko, Robert S.; Schaller, Huntley
作者单位：Carleton University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：When investment is irreversible, theory suggests that firms will be reluctant to invest. This reluctance creates a wedge between the discount rate guiding investment decisions and the standard Jorgensonian user cost (adjusted for risk). We use the intertemporal tradeoff between benefits and costs of changing the capital stock to estimate this wedge, which we label the irreversibility premium. Estimates are based on panel data for the period 1980-2001. The large dataset allows us to estimate th...
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作者：Kim, Jinill; Ruge-Murcia, Francisco J.
作者单位：Universite de Montreal; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Tobin's proposition that inflation greases the wheels of the labor market is studied using a simple dynamic stochastic general equilibrium model with asymmetric wage adjustment costs. The simulated method of moments is used to estimate the nonlinear model based on its second-order approximation. Optimal inflation is determined by a benevolent government that maximizes the households' welfare. Econometric results indicate that nominal wages are downwardly rigid and that the optimal level of gre...
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作者：Cochrane, John H.
作者单位：University of Chicago; National Bureau of Economic Research
摘要：McCallum (2009) argues that learnability can save new-Keynesian models from indeterminacies. He claims the unique bounded equilibrium is learnable, and the explosive equilibria are not. However, he assumes that agents can directly observe the monetary policy shock. Reversing this assumption, I find the opposite: the bounded equilibrium is not learnable and the unbounded equilibria are learnable. More generally, I argue that a threat by the Fed to move to an unlearnable equilibrium for all but ...
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作者：Favara, Giovanni; Giordani, Paolo
作者单位：University of Lausanne
摘要：New Keynesian models of monetary policy downplay the role of monetary aggregates, in the sense that the level of output, prices, and interest rates can be determined without knowledge of the quantity of money. This paper evaluates the empirical validity of this prediction by studying the effects of shocks to monetary aggregates using a vector autoregression (VAR). Shocks to monetary aggregates are identified by the restrictions suggested by New Keynesian monetary models. Contrary to the theore...
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作者：Kleshchelski, Isaac; Vincent, Nicolas
作者单位：Universite de Montreal; HEC Montreal; Washington University (WUSTL)
摘要：Survey evidence shows that the main reason why firms keep prices stable is that they are concerned about losing customers or market share. We construct a general equilibrium model in which firms care about the size of their customer base. Firms and customers form long-term relationships because consumers incur costs to switch sellers. In an environment with sectoral productivity shocks, we show that cost pass-through is a non-monotonic function of the size of switching costs. Specifically, pri...
