-
作者：Storesletten, Kjetil
作者单位：University of Oslo
-
作者：Edge, Rochelle M.; Laubach, Thomas; Williams, John C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：An extensive literature has analyzed the macroeconomic effects of shocks to the level of aggregate productivity; however, there has been little corresponding research on sustained shifts in the growth rate of productivity. In this paper, we examine the effects of shocks to productivity growth in a dynamic general equilibrium model where agents do not directly observe whether shocks are transitory or persistent. We show that an estimated Kalman filter model using real-time data describes econom...
-
作者：Fernald, John G.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Structural vector autoregressions with long-run restrictions are extraordinarily sensitive to low-frequency correlations. Recent literature finds that the estimated effects of technology shocks are sensitive to how one treats hours per capita. However, after allowing for (statistically and economically significant) trend breaks in productivity, results are much less sensitive: hours fall when technology improves. The issue is that the common high-low-high pattern of productivity growth and hou...
-
作者：Milani, Fabio
作者单位：University of California System; University of California Irvine
摘要：Monetary DGSE models under rational expectations typically require large degrees of features as habit formation in consumption and inflation indexation to match the inertia of macroeconomic variables. This paper presents an estimated model that departs from rational expectations and nests learning by economic agents, habits, and indexation. Bayesian methods facilitate the joint estimation of the learning gain coefficient together with the 'deep' parameters of the economy. The empirical results...
-
作者：Saltari, Enrico; Ticchi, Davide
作者单位：University of Urbino; Sapienza University Rome
摘要：We analyze the role of risk aversion and intertemporal substitution in a simple dynamic general equilibrium model of investment and savings. Our main finding is that risk aversion cannot by itself explain a negative relationship between aggregate investment and aggregate uncertainty, as the effect of increased uncertainty on investment also depends on the intertemporal elasticity of substitution. In particular, the relationship between aggregate investment and aggregate uncertainty is positive...
-
作者：Dedola, Luca; Neri, Stefano
作者单位：European Central Bank; Centre for Economic Policy Research - UK; European Central Bank; Bank of Italy
摘要：This paper estimates the effects of technology shocks in VAR models of the U.S., identified by imposing restrictions on the sign of impulse responses. These restrictions are consistent with the implications of a popular class of DSGE models, with both real and nominal frictions, and with sufficiently wide ranges for their parameters. This identification strategy thus substitutes theoretically motivated restrictions for the atheoretical assumptions on the time-series properties of the data that...
-
作者：Lusardi, Annamaria; Mitchell, Olivia S.
作者单位：Dartmouth College; University of Pennsylvania; National Bureau of Economic Research
摘要：We compare wealth holdings across two cohorts of the Health and Retirement Study: the early Baby Boomers in 2004, and individuals in the same age group in 1992. Levels and patterns of total net worth have changed relatively little over time, though Boomers rely more on housing equity than their predecessors. Most important, planners in both cohorts arrive close to retirement with much higher wealth levels and display higher financial literacy than non-planners. Instrumental variables estimates...
-
作者：Bohn, Henning
作者单位：University of California System; University of California Santa Barbara
摘要：Time series related to fiscal and external deficits are commonly subjected to stationarity and cointegration tests to assess if the deficits are sustainable. Such tests are incapable of rejecting sustainability. The intertemporal budget constraint proves to be satisfied if either the debt series or the revenue and with-interest spending series are integrated of arbitrarily high order, i.e., stationary after differencing arbitrarily often. Revenues and spending do not have to be cointegrated. R...
-
作者：Imbs, Jean
作者单位：Swiss Finance Institute (SFI)
摘要：Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories implying a positive growth-volatility coefficient, which appear to hold in sectoral data. In particular, volatile sectors command high investment ra...
-
作者：Gourio, Francois; Kashyap, Anil K.
作者单位：Boston University; University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research
摘要：Using plant-level data from Chile and the U.S., we show that investment spikes are highly pro-cyclical, so much so that changes in the number of establishments undergoing investment spikes (the extensive margin) account for the bulk of variation in aggregate investment. The number of establishments undergoing investment spikes also has independent predictive power for aggregate investment, even controlling for past investment and sales. We re-calibrate the Thomas [2002. Is lumpy investment rel...
