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作者：Edge, Rochelle M.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The inability of sticky-price monetary business cycle models to generate liquidity effects has been extensively documented by a number of authors. This paper develops a sticky-price monetary business cycle model with investment gestation lags and habit-persistence in consumption that is capable of generating an empirically plausible liquidity effect. Published by Elsevier B.V.
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作者：Goldberg, Dror
作者单位：Texas A&M University System; Texas A&M University College Station
摘要：Partially directed search replaces the total randomness of monetary search models. Agents choose whether to stay in their production location or visit other locations. Each visiting agent randomly chooses one shop among many in each location. As in random matching models, a commodity or fiat object can endogenously become money, but the details are richer and conform better with evidence: any commodity can be money; the best commodity is the most likely money; fiat money can totally crowd out ...
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作者：Letterie, Wilko A.; Pfann, Gerard A.
作者单位：Maastricht University
摘要：We propose a structural model to investigate the existence and possible differences between low and high regimes of investment expenditures in equipment at the firm level. The existence of such differences is predicted by recent theoretical studies of investment behavior stressing the role of asymmetries and non-convexities in the adjustment cost technology. The structural spike model is estimated for a balanced panel of Dutch firms operating in 13 different industrial sectors. The flexibility...
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作者：Balduzzi, Pierluigi; Yao, Tong
作者单位：Boston College; University of Arizona
摘要：Starting from the cross-sectional aggregation of marginal utilities, rather than intertemporal marginal rates of substitution, this paper develops a new heterogeneous-agent pricing kernel. A closed-form version of the new kernel depends on changes in the cross-sectional variance of log consumption, rather than the variance of changes in log consumption, as in Constantinides and Duffie [1996. Asset pricing with heterogeneous consumers. Journal of Political Economy 104, 219-237]. We implement th...
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作者：Laing, Derek; Li, Victor E.; Wang, Ping
作者单位：Villanova University; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Washington University (WUSTL); National Bureau of Economic Research
摘要：This paper investigates the relationship between money growth, inflation, and productive activity in a dynamic general-equilibrium, multiple-matching framework where trade frictions are manifested by limited consumption variety. Productive activity and matching in the goods market are endogenized by a time allocation decision of work and search effort. We find that a high degree of complementarity between participation in the labor and goods markets creates a channel by which inflation can pos...
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作者：Ravenna, Federico
作者单位：University of California System; University of California Santa Cruz; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：The performance of dynamic stochastic general equilibrium models is often tested against estimated VARs. This requires that the data-generating process consistent with the DSGE theoretical model has a finite order VAR representation. This paper discusses the assumptions needed for a finite order VAR(p) representation of a DSGE model to exist. When a VAR(P) is only an approximation to the exact infinite order VAR, the truncated VAR(p) may return largely incorrect estimates of the impulse respon...
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作者：Schmitt-Grohe, Stephanie; Uribe, Martin
作者单位：National Bureau of Economic Research; Duke University
摘要：Welfare-maximizing monetary- and fiscal-policy rules are studied in a model with sticky prices, money, and distortionary taxation. The Ramsey-optimal policy is used as a point of comparison. The main findings are: the size of the inflation coefficient in the interest-rate rule plays a minor role for welfare. It matters only insofar as it affects the determinacy of equilibrium. Optimal monetary policy features a muted response to output. Interest-rate rules that feature a positive response to o...
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作者：Sbordone, Argia M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：In this paper, I consider the policy implications of two alternative structural interpretations of observed inflation persistence, which correspond to two alternative specifications of the new Keynesian Phillips curve (NKPC). The first specification allows for some degree of intrinsic persistence by way of a lagged inflation term in the NKPC. The second is a purely forward-looking model, in which expectations farther into the future matter and coefficients are time-varying. In this specificati...
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作者：DeJong, David N.; Ripoll, Marla
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：In the context of a simple asset-pricing environment, we study the ability of self-control preferences to account for the stock-price volatility, risk-free-rate and equity-premium puzzles. Using a full-information estimation procedure, we estimate the presence of a quantitatively small self-control effect in the data. Moreover, with results obtained using CRRA preferences serving as a benchmark, we find that the adoption of self-control preferences makes only a marginal contribution towards a ...
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作者：Ahlin, Christian; Shintani, Mototsugu
作者单位：Vanderbilt University
摘要：We revisit a foundational theoretical paper in the menu-cost literature, Sheshinski and Weiss [1983. Optimum pricing policy under stochastic inflation. Review of Economic Studies 50(3), 513-529], one of the few to treat stochastic inflation with persistent deviations from trend. In contrast to the original finding, we show that optimal pricing in this environment entails using different (s, S) bands in high-inflation and low-inflation states of the world. The low-inflation band is strictly con...
