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作者：Ashcraft, Adam B.
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作者：Dupor, Bill; Han, Jing; Tsai, Yi-Chan
作者单位：University System of Ohio; Ohio State University
摘要：Researchers have used unanticipated changes to monetary policy to identify preference and technology parameters of macroeconomic models. This paper uses changes in technology to identify the same set of parameters. Estimates based on technology shocks differ substantially from those based on monetary policy shocks. In the post-World War II United States, a positive technology shock reduces inflation and increases hours worked, significantly and rapidly in both cases. Relative to policy shock i...
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作者：Bjornland, Hilde C.; Leitemo, Kai
作者单位：BI Norwegian Business School; Norges Bank; Bank of Finland
摘要：We estimate the interdependence between US monetary policy and the S&P 500 using structural vector autoregressive (VAR) methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature [Christiano, L.J., Eichenbaum, M., Evans, C.L., 1999. Monetary policy shocks: what have we learned a...
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作者：Aguiar, Mark
作者单位：University of Rochester
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作者：Pistaferri, Luigi
作者单位：Stanford University
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作者：Comin, Diego; Mulani, Sunil
作者单位：Harvard University; National Bureau of Economic Research
摘要：We present an endogerrous growth model that explains the evolution of the first and second moments of productivity growth at the aggregate and firm level during the postwar period. Growth is driven by the development of both (i) idiosyncratic R&D innovations and (ii) general innovations that can be freely adopted by many firms. Firm-level volatility is affected primarily by the Schumpeterian dynamics associated with the development of R&D innovations. The variance of aggregate productivity gro...
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作者：Lu, Biao; Wu, Liuren
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We extract two systematic economic factors from a wide array of noisy and sparsely observed macroeconomic releases, and link the dynamics and market prices of the two factors to the interest rate term structure. The two factors predict 77.9-82.1% of the daily variation in LIBOR and swap rates from one month to 10 years. Shocks on inflation-related releases have large, positive impacts on interest rates of all maturities, leading to parallel shifts of the yield curve, but shocks on output-relat...
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作者：Aghion, Philippe; Bacchetta, Philippe; Ranciere, Romain; Rogoff, Kenneth
作者单位：Swiss Finance Institute (SFI); University of Lausanne; Harvard University; National Bureau of Economic Research
摘要：The vast empirical exchange rate literature finds the effect of exchange rate volatility on real activity to be small or insignificant. In contrast, this paper offers empirical evidence that real exchange rate volatility can have a significant impact on productivity growth. However, the effect depends critically on a country's level of financial development. The results appear robust to time window, alternative measures of financial development and exchange rate volatility, and outliers. We al...
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作者：Amano, Robert; Moran, Kevin; Murchison, Stephen; Rennison, Andrew
作者单位：Bank of Canada; Laval University
摘要：What are the steady-state implications of inflation in a general-equilibrium model with real per capita output growth and staggered nominal price and wage contracts? Surprisingly, a benchmark calibration implies an optimal inflation rate of -1.9 percent. The analysis also shows that trend inflation has important effects on the economy when combined with nominal contracts and real output growth. Steady-state output and welfare losses are quantitatively important even for low values of trend inf...
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作者：Andolfatto, David; Nosal, Ed
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; Simon Fraser University
摘要：The business of money creation is conceptually distinct from that of intermediation. Yet, these two activities are frequently-but not always-combined together in the form of a banking system. We develop a simple model to examine the question: When is banking essential? There is a role for money due to a lack of record-keeping and a role for intermediation due to the existence of private information: both money and intermediation are essential. When monitoring costs associated with intermediati...
