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作者：Alexander, Gordon J.; Baptista, Alexandre M.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; George Washington University
摘要：We examine the economic implications arising from a bank using a VaR-constrained mean-variance model for the selection of its trading portfolio as a consequence of the Basle Capital Accord. Surprisingly, we show that when a VaR constraint is imposed, it is plausible that certain banks will end up selecting 'riskier' portfolios than they would have chosen in the absence of the constraint. Accordingly, regulators such as the Basle Committee on Banking Supervision should be aware that allowing a ...
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作者：Burstein, Ariel T.
作者单位：University of California System; University of California Los Angeles
摘要：This paper studies a state-dependent pricing model in which firms face a fixed cost of changing their pricing plans. A pricing plan specifies an entire sequence of time-varying future prices. Allowing firms to choose a pricing plan rather than a single price generates inflation inertia in the response of the economy to small changes in the growth rate of money. Allowing firms to choose when to change their pricing plan generates a non-linear response of inflation and output to small and large ...
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作者：Erceg, Christopher; Levin, Andrew
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We document that the durable goods sector is much more interest-sensitive than the nondurables sector, and then investigate the implications of these sectoral differences for monetary policy. We formulate a two-sector general equilibrium model that is calibrated both to match the sectoral responses to a monetary shock derived from our empirical VAR and to imply an empirically realistic degree of sectoral output volatility and comovement. While the social welfare function involves sector-specif...
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作者：Chakraborty, S; Ray, T
作者单位：University of Oregon; Hong Kong University of Science & Technology; Indian Statistical Institute; Indian Statistical Institute Delhi
摘要：We study bank-based and market-based financial systems in an endogenous growth model. Lending to firms is fraught with moral hazard as owner-managers may reduce investment profitability to enjoy private benefits. Bank monitoring partially resolves the agency problem, while market-finance is more 'hands-off'. A bank-based or market-based system emerges from firm-financing choices. Neither system is unequivocally better for growth, which crucially depends on the efficiency of financial and legal...
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作者：Croushore, Dean; Evans, Charles L.
作者单位：University of Richmond; Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：Monetary policy research using time-series methods has been criticized for using more information than the Federal Reserve had available. To quantify the role of this criticism, we estimate VARs with real-time data while accounting for the latent nature of many economic variables, such as output. Our estimated monetary policy shocks are closely correlated with typically estimated measures. The impulse response functions are broadly similar across estimation methods. Our evidence suggests that ...
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作者：Deardorff, Alan V.
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan
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作者：Musto, DK; Souleles, NS
作者单位：National Bureau of Economic Research; University of Pennsylvania
摘要：To compute risk-adjusted returns and gauge the volatility of their portfolios, lenders need to know the covariances of their loans' returns with aggregate returns. We use unique credit bureau data to measure individuals' 'covariance risk', i.e., the covariance of their default risk with aggregate consumer default rates, and more generally to analyze the distribution of credit, including the effects of credit scores. We find significant heterogeneity in covariance risk across consumers. Also, t...
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作者：Bergin, Paul R.; Glick, Reuven; Taylor, Alan M.
作者单位：University of California System; University of California Davis; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Long-run cross-country price data exhibit a puzzle. Today, richer countries exhibit higher price levels than poorer countries, a stylized fact usually attributed to the Balassa-Samuelson (BS) effect. But looking back 50 years, this effect virtually disappears from the data. What is often assumed to be a universal property is actually quite specific to recent times, emerging a half century ago and growing steadily over time. What might potentially explain this historical pattern? We develop an ...
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作者：Wachter, JA
作者单位：University of Pennsylvania; National Bureau of Economic Research
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作者：Ruge-Murcia, Francisco J.
作者单位：Universite de Montreal; Universite de Montreal
摘要：In an economy where cash can be stored costlessly in nominal terms, the nominal interest rate is bounded below by zero. This paper derives the implications of this non-negativity constraint for the term structure and shows that it induces a nonlinear and convex relation between short- and long-term interest rates. The long-term rate responds asymmetrically to changes in the short-term rate, and by less than that is predicted by the benchmark linear model. In particular, a decrease in the short...
