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作者：Angeletos, George-Marios; Calvet, Laurent-Emmanuel
作者单位：Massachusetts Institute of Technology (MIT); Harvard University; Hautes Etudes Commerciales (HEC) Paris; National Bureau of Economic Research
摘要：We introduce a neoclassical growth economy with idiosyncratic production risk and incomplete markets. Each agent is an entrepreneur operating her own technology with her own capital stock. The general equilibrium is characterized by a closed-form recursion in the CARA-normal case. Incomplete markets introduce a risk premium on private equity, which reduces the demand for investment. As compared to complete markets, the steady state can thus have both a lower capital stock due to investment ris...
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作者：House, Christopher L.
作者单位：University of Michigan System; University of Michigan
摘要：Many economists believe that credit market distortions create a financial accelerator which destabilizes the economy. This paper shows that when credit market distortions arise from adverse selection they sometimes stabilize the economy rather than destabilize it. The stabilizing forces are closely related to forces that cause overinvestment in static models. When investment projects are equity financed, or when contracts are written optimally, the distortions always stabilize the economy. Thu...
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作者：Schaller, Huntley
作者单位：Carleton University
摘要：The user cost elasticity is a parameter of central importance in economics. If the supply curve for capital is upward sloping (as is more likely in a large economy like the U.S.) and shocks to demand are important (as they are likely to be over the business cycle), estimates of the user cost elasticity that rely on high-frequency movements in the variables will tend to be biased. Applying cointegration techniques to a small, open economy yields an estimate of the long-run user cost elasticity ...
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作者：Ennis, HM; Keister, T
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; Instituto Tecnologico Autonomo de Mexico
摘要：We examine how the possibility of a bank run affects the investment decisions made by a competitive bank. Cooper and Ross [1998. Bank runs: liquidity costs and investment distortions. Journal of Monetary Economics 41, 27-38] have shown that when the probability of a run is small, the bank will offer a contract that admits a bank-run equilibrium. We show that, in this case, the bank will chose to hold an amount of liquid reserves exactly equal to what withdrawal demand will be if a run does not...
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作者：Ravenna, F; Walsh, CE
作者单位：University of California System; University of California Santa Cruz; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：In the standard new Keynesian framework, an optimizing policy maker does not face a trade-off between stabilizing the inflation rate and stabilizing the gap between actual output and output under flexible prices. An ad hoc, exogenous cost-push shock is typically added to the inflation equation to generate a meaningful policy problem. In this paper, we show that a cost-push shock arises endogenously when a cost channel for monetary policy is introduced into the new Keynesian model. A cost chann...
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作者：Kim, Chang-Jin; Nelson, Charles R.
作者单位：University of Washington; University of Washington Seattle; Korea University
摘要：In this paper, we consider estimation of a time-varying parameter model for a forward-looking monetary policy rule, by employing ex post data. A Heckman-type (1976. The common structure of statistical models of truncation, sample selection, and limited dependent variables and a simple estimator for such models. Annals of Economic and Social Measurement 5, 475-492) two-step procedure is employed in order to deal with endogeneity in the regressors. This allows us to econometrically take into acc...
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作者：Araujo, Luis; Camargo, Braz
作者单位：Michigan State University; FUCAPE Business School; Western University (University of Western Ontario)
摘要：We analyze the stability of monetary regimes in an economy where fiat money is endogenously created by the government, information about its value is imperfect, and learning is decentralized. We show that monetary stability depends crucially on the speed of information transmission in the economy. Our model generates a dynamic on the acceptability of flat money that resembles historical accounts of the rise and eventual collapse of overissued paper money. It also provides an explanation of the...
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作者：Betts, Caroline M.; Kehoe, Timothy J.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of Southern California
摘要：Traditional theory attributes fluctuations in real exchange rates to changes in the relative price of nontraded goods. This paper studies the relation between the United States' bilateral real exchange rate and the associated bilateral relative price of nontraded goods for five of its most important trade relationships. We find that this relation depends crucially on the choice of price series used to measure relative prices and on the choice of trade partner. The relation is stronger when we ...
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作者：Favero, Carlo A.
作者单位：Bocconi University; Centre for Economic Policy Research - UK
摘要：The expectations model of the term structure has been subjected to numerous empirical tests and almost invariably rejected, with the failure generally attributed to systematic expectations errors or to shifts in risk premia. Rules for monetary policy designed along the lines of Taylor [1993. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy 39, 195-214] specify that the central bank adjusts short-term yields in response to deviations of inflation...
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作者：[Anonymous]
