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作者：Seppälä, J
作者单位：University of Illinois System; University of Illinois Urbana-Champaign
摘要：This paper studies the behavior of the default-risk-free real term structure and term premia in two general equilibrium endowment economies with complete markets but without money. In the first economy there are no frictions as in Lucas (Econometrica 46 (1978) 1429) and in the second risk-sharing is limited by the risk of default as in Alvarez and Jermann (Econometrica 68 (2000) 775; Rev. Financial Studies 14 (2001) 1117). Both models are solved numerically, calibrated to UK aggregate and hous...
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作者：Hall, GJ
作者单位：Yale University; National Bureau of Economic Research
摘要：I estimate two factor models of Swiss exchange rates during the First World War. I have data for five of the primary belligerents: Britain, France. Italy. Germany. and AustriaHungary. At the outbreak of the war, these nations suspended convertibility of their currencies into gold with the promise that after the war each would restore convertibility at the old par. However, once convertibility was suspended. the value of each currency depended on the outcome Of the war. From these exchange rate...
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作者：Cook, D
作者单位：Hong Kong University of Science & Technology
摘要：In emerging markets, external debt is denominated almost entirely in large, developed country currencies such as the U.S. dollar. This liability dollarization offers a channel through which exchange rate variation can lead to business cycle instability. When firms' assets are denominated in domestic currency and liabilities are denominated in foreign currency, an exchange rate depreciation worsens firms' balance sheets, which leads to higher capital costs and contractions in capital spending. ...
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作者：Davig, T
作者单位：William & Mary
摘要：The effects of changes to the tax rate are Studied within a framework where an estimated regime-switching process for the debt-output ratio is embedded in a standard growth model. The regime is a hidden state variable, so agents face a signal extraction problem. Consequently, agents incorporate the possibility of switching to different fiscal regimes when forming expectations over future taxes. Decision rules have additional nonlinearity relative to fixed-regime models. Income allocation and t...
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作者：Mukerji, S; Tallon, JM
作者单位：University of Oxford; University of Oxford; Centre National de la Recherche Scientifique (CNRS)
摘要：This paper analyzes optimal wage contracting assuming agents are not subjective expected utility maximizers but are, instead, ambiguity (or uncertainty) averse decision makers who maximize Choquet expected utility. We show that such agents will choose not to include any indexation coverage in their wage contracts even when inflation is uncertain, unless the perceived inflation uncertainty is high enough. Significantly, the exercise does not presume any exogenous costs (e.g., transactions costs...
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作者：Hanson, MS
作者单位：Wesleyan University
摘要：A large literature has employed structural vector autoregressive (SVAR) models to investigate the empirical effects of U.S. monetary policy. Many of these models regularly produce a price puzzle-a rise in the aggregate price level in response to a contractionary innovation to monetary policy-unless commodity prices are included. Conventional wisdom maintains that commodity prices resolve the price puzzle because they contain information that helps the Federal Reserve forecast inflation. I exam...
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作者：Benhabib, J; Wen, Y
作者单位：New York University; Cornell University
摘要：We show that under indeterminacy aggregate demand shocks are able to explain not only aspects of actual fluctuations that standard RBC models predict fairly well, but also aspects of actual fluctuations that standard RBC models cannot explain, Such as the hump-shaped, trend reverting impulse responses to transitory shocks found in US output (Cogley and Nason, Am. Econom. Rev. 85 (1995) 492); the large forecastable movements and comovements of output, consumption and hours (Rotemberg and Woodfo...
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作者：Driscoll, JC
作者单位：Federal Reserve System - USA
摘要：This paper uses a panel of state-level data to test whether changes in bank loan Supply affect Output. Since the U.S. states are small open economics with fixed exchange rates, state-specific shocks to money demand are automatically accommodated, leading to changes in lending if banks rely on deposits as a source of funding. Using, these shocks as in instrumental variable, I find that shocks to money demand have large and statistically significant effects on the supply of bank loans, but loans...
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作者：Sakellaris, P
作者单位：University System of Maryland; University of Maryland College Park; Athens University of Economics & Business
摘要：This paper provides a description of the dynamic choices of manufacturing plants when they undertake rapid adjustment in output. The focus is on episodes that involve lumpy adjustment in capital or employment. There is evidence that these episodes involve also smooth changes in employment or capital. I examine the behavior of variables such as capital utilization, hours per worker, capacity utilization, materials and energy use. Plants use these margins of adjustment actively and in an economi...
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作者：Rousseau, PL
作者单位：Vanderbilt University
