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作者：Otrok, Christopher; Ravikumar, B.; Whiteman, Charles H.
作者单位：University of Virginia; University of Iowa
摘要：We develop a generalization of the Hansen-Jagannathan (1991) volatility bound that (i) incorporates the serial correlation properties of return data and (ii) allows us to calculate a spectral version of the bound. This generalization enables us to judge whether models match important aspects of the data in the long run, at business cycle frequencies, seasonal frequencies, etc. Our bound permits evaluation of models without requiring their explicit solution in a way that respects the dynamic im...
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作者：Wang, Neng
作者单位：Columbia University
摘要：I present an explicitly solved equilibrium model for the distribution of wealth and income in an incomplete-markets economy. I first propose a self-insurance model with an inter-tempo rally dependent preference [Uzawa, H. 1968. Time preference, the consumption function, and optimal asset holdings. In: Wolfe, J.N. (Ed.), Value, Capital, and Growth: Papers in Honour of Sir John Hicks. Edinburgh University Press, Edinburgh, pp. 485-504]. Ithen derive an analytical consumption rule which captures ...
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作者：Nelson, Edward
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis
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作者：Lubik, Thomas A.; Schorfheide, Frank
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; University of Pennsylvania
摘要：We estimate a small-scale, structural general equilibrium model of a small open economy using Bayesian methods. Our main focus is the conduct of monetary policy in Australia, Canada, New Zealand and the UK. We consider generic Taylor-type rules, where the monetary authority reacts in response to output, inflation, and exchange-rate movements. We perform posterior odds tests to investigate the hypothesis whether central banks do target exchange rates. The main result of this paper is that the c...
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作者：Adam, Klaus; Billi, Roberto M.
作者单位：European Central Bank; Federal Reserve System - USA; Federal Reserve Bank - Kansas City
摘要：ignoring the existence of the zero lower bound on nominal interest rates one considerably understates the value of monetary commitment in New Keynesian models. A stochastic forward-looking model with an occasionally binding lower bound, calibrated to the U.S. economy, suggests that low values for the natural rate of interest lead to sizeable output losses and deflation under discretionary monetary policy. The fall in output and deflation are much larger than in the case with policy commitment ...
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作者：Leahy, John
作者单位：New York University
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作者：Johnson, Timothy C.
作者单位：University of London; London Business School
摘要：It is widely believed that there is a fundamental linkage between major technological innovations, speculative fever, and wasteful overinvestment. This paper presents an equilibrium model of investment in a new industry, whose return-to-scale is not known in advance. Overinvestment relative to the full-information case is then optimal as the most efficient way to learn about the new technology. Moreover, the initial overinvestment is accompanied by apparently inflated stock prices and apparent...
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作者：Shin, Yongseok
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：It is known that a government can implement the optimal complete-market Ramsey allocations by issuing non-contingent bonds of different maturities. The implied optimal maturity structure is time- and state-invariant- i.e. it is not actively managed. I construct a model where the Ramsey allocations can be implemented with active management of the maturity structure. In a numerical example that reflects the time-series properties of the British government's expenditure during the 18th century, i...
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作者：Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva
作者单位：European Central Bank; ICREA; Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Banco de Espana
摘要：This paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations, unit specific dynamics and cross-country interdependences. We demonstrate the presence of a significant world cycle and show that country specific indicators play a much smaller role. We detect differences across business cycle phases but, apart from an increase in synchronicity in the late 1990s, find little evidence of major structural changes. We also find no evidence of the ...
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作者：Lin, Shu; Ye, Haichun
作者单位：State University System of Florida; Florida Atlantic University
摘要：We evaluate the treatment effect of inflation targeting in seven industrial countries that adopted this policy in the 1990s. To address the self-selection problem of policy adoption, we make use of a variety of propensity score matching methods recently developed in the treatment effect literature. Our results show that inflation targeting has no significant effects on either inflation or inflation variability in these seven countries. Further evidence from long-term nominal interest rates and...
