-
作者：Faia, Ester
作者单位：Pompeu Fabra University
摘要：Business cycles are more correlated among countries that have similar financial structures. We first document this empirical regularity using OECD data, and then build a two-country DSGE model with financial ftictions that replicates it. Alternative monetary policy regimes and parameter values are explored. Output co-movements increase when the countries involved are linked by a credible exchange rate peg and when they open up to trade; they decrease when their financial openness increases. Th...
-
作者：Jermann, Urban J.; Quadrini, Vincenzo
作者单位：University of Southern California; University of Pennsylvania; National Bureau of Economic Research; University of Southern California
摘要：Together with a sense of entering a New Economy, the U.S. experienced in the second half of the 1990s an economic expansion, a stock market boom, a financing boom for new firms and productivity gains. This article proposes an interpretation of these events within a general equilibrium model with financial frictions and decreasing returns to scale in production. We show that the mere prospect of high future productivity growth can generate sizable gains in current productivity, as well as the o...
-
作者：Bakhshi, Hasan; Khan, Hashmat; Rudolf, Barbara
作者单位：Swiss National Bank (SNB); Carleton University
摘要：We derive a Phillips curve equation from the dynamic stochastic general equilibrium (DSGE) model with state-dependent pricing developed by Dotsey et al. [1999. State-dependent pricing and the general equilibrium dynamics of money and output. Quarterly Journal of Economics 114, 655-690]. This state-dependent Phillips curve encompasses the new Keynesian Phillips curve (NKPC) based on Calvo-type price setting as a special case. We analyze the effect of the state-dependent terms (that is, the vari...
-
作者：Ljungqvist, Lars; Sargent, Thomas J.
作者单位：Stockholm School of Economics; New York University
摘要：A representative family model with indivisible labor and employment lotteries has no labor market frictions and complete markets. Nevertheless, its aggregate responses to an increase in government supplied unemployment insurance (UI) and to an increase in microeconomic turbulence are qualitatively similar to those in two macromodels with labor market frictions and incomplete markets, namely, the matching and search-island models in Ljungqvist and Sargent [2007a. Understanding European unemploy...
-
作者：Aliprantis, C. D.; Camera, G.; Puzzello, D.
作者单位：Purdue University System; Purdue University; University of Kentucky; University of Kentucky
摘要：We study infinite-horizon monetary economies characterized by trading frictions that originate from random pairwise meetings, and commitment and enforcement limitations. We prove that introducing occasional trade in 'centralized markets' opens the door to an informal enforcement scheme that sustains a non-monetary efficient allocation. All is required is that trading partners be patient and their actions be observable. We then present a matching environment in which trade may occur in large ma...
-
作者：Caggese, Andrea
作者单位：Pompeu Fabra University
摘要：We develop a model of an industry with many heterogeneous firms that face both financing constraints and irreversibility constraints. We use this model to examine the cyclical behavior of aggregate fixed investment, variable capital in vestment, and output in the presence of persistent idiosyncratic and aggregate shocks. Our model yields three main results. First, the effect of the irreversibility constraint on fixed capital investment is reinforced by the financing constraint. Second, the eff...
-
作者：Attanasio, Orazio; Kitao, Sagiri; Violante, Giovanni L.
作者单位：University of London; University College London; Centre for Economic Policy Research - UK; New York University
摘要：How sustainable are the current social security systems in the developed economies, given the projected demographic trends? The most recent literature has answered this question through dynamic general-equilibrium models in a closed-economy framework. This paper provides a new quantitative benchmark of analysis for this question represented by a two-region model (South and North) of the world economy where capital flows across regions. The timing and the extent of the demographic transition-an...
-
作者：Wang, Pengfei; Wen, Yi
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Cornell University
摘要：We document that persistent and lagged inflation (with respect to output) is a world-wide phenomenon in that these short-run inflation dynamics are highly synchronized across countries. In particular, the average cross-country correlation of inflation is significantly and systematically stronger than that of output, while the cross-country correlation of money growth is essentially zero. We investigate whether standard monetary models driven by monetary shocks are consistent with the empirical...
-
作者：Ascari, Guido; Ropele, Tiziano
作者单位：University of Pavia; University of Milano-Bicocca; European Central Bank; Bank of Italy
摘要：In the monetary policy literature it is common to assume that trend inflation is zero, despite overwhelming evidence that zero inflation is neither empirically relevant nor a practical objective for central bank policy. We therefore extend the standard New Keynesian model to allow for positive trend inflation, showing that even low trend inflation has strong effects on optimal monetary policy and the dynamics of inflation, output and interest rates. Under discretion, the efficient policy deter...
-
作者：Del Negro, Marco; Otrok, Christopher
作者单位：University of Virginia; Federal Reserve System - USA
摘要：We use a dynamic factor model estimated on quarterly state-level data from 1986 to 2005 via Bayesian methods to disentangle the relative importance of the common component in OFHEO house price movements from local (state- or region-specific) shocks. We find that historically movements in house prices were mainly driven by the local component. The recent period (2001-2005) has been different: the increase in house prices is a national phenomenon. We use a VAR to investigate the extent to which ...
