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作者：Broner, Fernando A.
作者单位：Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University
摘要：The first generation models of currency crises have often been criticized because they predict that, in the absence of very large triggering shocks, currency attacks should be predictable and lead to small devaluations. This paper shows that these features of first generation models are not robust to the inclusion of private information. In particular, this paper analyzes a generalization of the Krugman-Flood-Garber (KFG) model, which relaxes the assumption that all consumers are perfectly inf...
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作者：Andolfatto, David; Hendry, Scott; Moran, Kevin
作者单位：Laval University; Simon Fraser University; Bank of Canada
摘要：Several recent papers report evidence of an apparent statistical bias in inflation expectations and interpret these findings as overturning the rational expectations hypothesis. In this paper, we investigate the validity of such an interpretation. We present a computational dynamic general equilibrium model capable of generating aggregate behavior similar to the data alone several dimensions. By construction, model agents form rational expectations. We run a standard regression on equilibrium ...
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作者：Cordoba, Juan-Carlos
作者单位：Rice University
摘要：To examine the role of debt constraints and incomplete asset markets (lack of insurance markets) in explaining U.S. inequality. we run horse races between competing models. For a widely used model, we decompose inequality into its fundamental driving forces. The underlying source of inequality in all models is uninsurable idiosyncratic risk. Both debt constraints and incomplete asset markets are needed to account for inequality, but asset market incompleteness is the key friction. It better ac...
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作者：Moore, Michael J.; Roche, Maurice J.
作者单位：Queens University Belfast; Maynooth University; Queens University - Canada
摘要：The flexible-price two-country monetary model is extended to include a consumption externality with habit persistence. Two methodologies are employed to explore this model's ability to generate volatile and persistent exchange rates. In the first, actual data is used for the exogenous driving processes. In the second, the model is simulated using estimated forcing processes. The theory, in both cases, is capable of explaining the high volatility and persistence of real and nominal exchange rat...
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作者：Hamilton, James D.
作者单位：University of California System; University of California San Diego
摘要：The conventional notion of a monetary policy shock as a surprise change in the fed funds rate is misspecified. The primary news for market participants is not what the Fed just did, but is instead new information about the Fed's future intentions. Revisions in these anticipations show tip instantaneously in long-term mortgage rates. Home sales do not respond until much later. This paper attributes this delay-and hence Much of the hump-shaped response of economic activity to monetary policy-to ...
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作者：Giannone, Domenico; Reichlin, Lucrezia; Small, David
作者单位：European Central Bank
摘要：A tormal method is developed for evaluating the marginal impact that intra-monthly data releases have on current-quarter forecasts (nowcasts) of real gross domestic product (GDP) growth. The method can track the real-time flow of the type of information monitored by central banks because it can handle large data sets with staggered data-release dates. Each time new data are released, the nowcasts are updated on the basis of progressively larger data sets that, reflecting the unsynchronized dat...
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作者：Kurozumi, Takushi
作者单位：Bank of Japan
摘要：In recent monetary policy literature, optimal commitment policy and its variant from a timeless perspective have been studied with emphasis on welfare gains from policy commitment. These policies, however, involve a time-consistency problem called a stabilization bias in forward-looking models. We analyze Chad and Kehoe's [1990. Sustainable plans. journal of Political Economy 98, 783-802] Sustainable equilibrium and examine optimal sustainable policy, i.e. a policymaker's strategy in the best ...
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作者：Levin, Andrew T.; Lopez-Salido, J. David; Nelson, Edward; Yun, Tack
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Macroeconometric equivalence means that estimates of DSGE models using first-order approximations to equilibrium conditions fail to distinguish between alternative preference/technology configurations. Microeconomic dissonance means that the underlying microeconomic differences between ostensibly equivalent models become important when optimal monetary policy is derived. The relevance of these concepts is established by analysis of optimal monetary policy using a small-scale New Keynesian mode...
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作者：Fuhrer, Jeff; Tootell, Geoff
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：Since the stock market boom of the 1990s, many have suggested the Federal Open Market Committee (FOMC) has adopted an unannounced policy goal of supporting equity values. This paper offers a new approach to disentangle the relationship between changes in equity values and monetary policy. Specifically, the paper distinguishes the FOMC's reaction to forecasts of traditional goal variables, which may depend on equity prices, from the FOMC's independent reaction to changes in equity prices. By us...
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作者：Crucini, Mario J.; Shintani, Mototsugu
作者单位：Vanderbilt University; Bank of Japan
摘要：Using an extensive micro-price panel, we find a positive cross-sectional relationship between LOP persistence and the distribution margin, which we measure using sectoral U.S. data, as suggested by the classical dichotomy. The median level of persistence (across goods) is low, and there is no evidence of a border effect: the half-life of a deviation is about 19 months across OECD cities and just I month lower across cities in the U.S. Aggregating our micro-data using a variety of weighting met...
