Journal of Monetary Economics

最新文章

• Estimating the expected marginal rate of substitution: A systematic exploitation of idiosyncratic risk AI翻译
  作者：Flood, RP; Rose, AK
  作者单位：University of California System; University of California Berkeley; International Monetary Fund
  摘要：We develop a methodology to estimate the shadow risk free rate or expected intertemporal marginal rate of substitution, EMRS. Our technique relies upon exploiting idiosyncratic risk, since theory dictates that idiosyncratic shocks earn the EMRS. We apply our methodology to recent monthly and daily data sets for the New York and Toronto Stock Exchanges. We estimate EMRS with precision and considerable time-series volatility, subject to an identification assumption. Both markets seem to be inter...
• Comment on: Implications of state-dependent pricing for dynamic macroeconomic modeling AI翻译
  作者：Basu, S
  作者单位：University of Michigan System; University of Michigan
• Comparing New Keynesian models of the business cycle: A Bayesian approach AI翻译
  作者：Rabanal, P; Rubio-Ramírez, JF
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; International Monetary Fund
  摘要：The baseline New Keynesian model cannot replicate the observed persistence in inflation, output, and real wages for sensible parameter values. As a result, several extensions have been suggested to improve its fit to the data. We use a Bayesian approach to estimate and compare the baseline sticky price model of Calvo's [1983. Staggered prices in a utility maximizing framework. Journal of Monetary Economics 12, 383-398.] and three extensions. Our empirical results are as follows. First, we find...
• Morale hazard AI翻译
  作者：Fang, HM; Moscarini, G
  作者单位：Yale University
  摘要：We interpret workers' confidence in their own skills as their morale, and investigate the implication of worker overconfidence on the firm's optimal wage-setting policies. In our model, wage contracts both provide incentives and affect worker morale, by revealing private information of the firm about worker skills. We provide conditions for the non-differentiation wage policy to be profit-maximizing. In numerical examples, worker overconfidence is a necessary condition for the firm to prefer n...
• Customer anger at price increases, changes in the frequency of price adjustment and monetary policy AI翻译
  作者：Rotemberg, JJ
  作者单位：Harvard University
  摘要：While firms claim to be concerned with consumer reactions to price increases, these often do not cause large reductions in purchases. The model developed here fits this by letting consumers react negatively only when they become convinced that prices are unfair. This can explain price rigidity, though its implications are not identical to those of existing models of costly price adjustment. In particular, the frequency of price adjustment can depend on economy-wide variables observed by consum...
• What do you expect? Imperfect policy credibility and tests of the expectations hypothesis AI翻译
  作者：Kozicki, S; Tinsley, PA
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Kansas City; George Washington University
  摘要：The expectations hypothesis of the term structure of interest rates describes a conventional view of the transmission mechanism of monetary policy where bond rates reflect current and expected movements in the policy-controlled rate. However, empirical rejections of the expectations hypothesis are commonplace and lead many to question this description of policy transmission. This paper argues that failure to account for imperfect policy credibility may explain empirical rejections. Empirical r...
• Carnegie-Rochester Conference Series on Public Policy, April 23-24, 2004 in honor of Alan C. Stockman - Introduction AI翻译
  作者：[Anonymous]
• Comment on: Macroeconomic consequences of terror: theory and the case of Israel AI翻译
  作者：Cukierman, A
  作者单位：Tel Aviv University
  摘要：This paper is a pioneering attempt to take a systematic look at the effects of terror in Israel. It presents a theoretical analysis of the macroeconomic consequences of terror followed by empirical evidence for Israel. The theory part utilizes a steady state version of Blanchard (1985) finite lives model in which each individual faces a constant probability of death at every moment. The empirical part is, for the most part, based on level and first difference VAR's between GNP, non durable con...
• Endogenous pricing to market and financing costs AI翻译
  作者：Aizenman, J
  作者单位：University of California System; University of California Santa Cruz; National Bureau of Economic Research
  摘要：This paper explains why relative PPP should hold more tightly in emerging markets, and why pricing to market would be observed more frequently in the OECD countries. It studies the endogenous determination of pricing to market, in a real option model with time-dependent transportation costs, where the Future terms of trade are random. Allowing time-dependent transportation costs adds a dimension of investment to the pre-buying of imports, implying that financial considerations determine the fr...
• Financial market participation and the apparent instability of money demand AI翻译
  作者：Reynard, S
  作者单位：Swiss National Bank (SNB)
  摘要：This paper uses multi-period cross-sectional data on financial assets holdings to shed light on the postwar stability of money demand in the United States. I first present a new measure of the evolution of financial market participation, by relating participation to the extensive margins of money demand, and quantify the influence of wealth on participation decisions. I then relate the increase in participation to the period of missing money and to the subsequent higher interest rate elasticit...