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作者：Purnanandam, Amiyatosh
作者单位：University of Michigan System; University of Michigan
摘要：I analyze the effects of bank characteristics and macroeconomic shocks on interest rate riskmanagement behavior of commercial banks. My findings are consistent with hedging theories based on cost of financial distress and costly external financing. Banks with higher probability of financial distress manage their interest rate risk more aggressively, both by means of on-balance sheet and off-balance sheet instruments. As compared to the derivative users, the derivative non-user banks adopt cons...
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作者：Kahn, Charles M.; Roberds, William
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：Payment, fundamental to exchange in a decentralized economy, often takes the form of transfers of inside money, i.e., specialized forms of debt. Associated with each type of inside money is a set of rules that governs both the legitimacy of such transfers as means of extinguishing other debts, and the allocation of the ensuing risks. In this paper we develop a model of debt as inside money. In a simple mechanism design framework we show that transferable debt that can be used to settle other d...
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作者：Scott, Andrew
作者单位：University of London; London Business School
摘要：We derive simple expressions for optimal labor taxes under different assumptions about government bond markets. We use these to examine OECD labor taxes, estimate the excess burden of taxation and assess the ability of optimal tax models to match the data. Optimal labor taxes are driven by: (i) a term reflecting Ramsey considerations which makes labor taxes vary positively with employment and (ii) a martingale component, reflecting the excess burden of tax, which shows persistent responses to ...
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作者：Leduc, Sylvain; Sill, Keith; Stark, Tom
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Using survey data on expectations, we examine whether the response of monetary policy to sudden movements in expected inflation contributed to the persistent high inflation of the 1970s. The evidence suggests that, prior to 1979, the Fed accommodated temporary shocks to expected inflation, which then led to persistent increases in actual inflation. We do not find this behavior in the post 1979 data. Among commonly cited factors, oil and fiscal shocks do not appear to have triggered an increase...
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作者：Ljungqvist, Lars; Sargent, Thomas J.
作者单位：Stockholm School of Economics; New York University
摘要：To understand European and American unemployment during the last 60 years, we use a search-island model and four matching models with workers who have heterogeneous skills and entitlements to government benefits. When there is higher turbulence, in the sense of worse skill transition probabilities for workers who suffer involuntary layoffs, high government mandated unemployment insurance (UI) and employment protection (EP) in Europe increase unemployment rates and durations. But when there is ...
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作者：Orphanides, Athanasios; Williams, John C.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We examine the performance and robustness properties of monetary policy rules in an estimated macroeconomic model in which the economy undergoes structural change and where private agents and the central bank possess imperfect knowledge about the true structure of the economy. Policyrnakers follow an interest rate rule aiming to maintain price stability and to minimize fluctuations of unemployment around its natural rate but are uncertain about the economy's natural rates of interest and unemp...
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作者：Dominguez, Begona
作者单位：University of Auckland
摘要：This paper studies the time-inconsistency problem of optimal capital taxes. In the absence of full-commitment, it is well known that debt restructuring cannot solve the time-inconsistency problem for economies with a private stock of capital. We re-examine this result by exploring the role of institutional delays in government policies. We show that, when the implementation of government policy requires time, debt restructuring can enforce commitment to the optimal capital taxes. We conclude t...
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作者：Burstein, Ariel; Eichenbaum, Martin; Rebelo, Sergio
作者单位：National Bureau of Economic Research
摘要：Large devaluations are generally associated with large declines in real exchange rates. We develop a model which embodies two complementary forces that account for the large declines in the real exchange rate that occur in the aftermath of large devaluations. The first force is sticky nontradable-goods prices. The second force is the impact of real shocks that often accompany large devaluations. We argue that sticky nontradable goods prices generally play an important role in explaining post-d...
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作者：Wallace, Neil; Zhu, Tao
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Cornell University
摘要：From 1863-1914, banks in the U.S. could issue notes subject to full collateral, a tax on outstanding notes, redemption of notes on demand, and a clearing fee per issued note cleared through the Treasury. The system failed to satisfy a purported arbitrage condition: the yield on collateral exceeded the tax rate plus the product of the clearing fee and the average clearing rate of notes. The failure is explained by a model in which note issuers choose to issue notes only in trades that produce a...
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作者：Gavin, William T.; Kydland, Finn E.; Pakko, Michael R.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of California System; University of California Santa Barbara
摘要：This paper analyzes the interaction of inflation with the tax code and its contribution to aggregate fluctuations. We find significant effects operating through the tax on realized nominal capital gains. A tax on nominal bond income magnifies these effects. Our innovation is to combine monetary policy shocks with non-indexed taxes in a model where the central bank implements policy using an interest rate rule. Monetary policy had important effects on the behavior of the business cycle before 1...
