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作者：Peek, J; Rosengren, ES; Tootell, GMB
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; Federal Reserve System - USA; Federal Reserve Bank - Boston; University of Kentucky
摘要：This paper provides evidence that the Federal Reserve has an informational advantage over the public that can, be exploited to improve activist monetary policy. The informational superiority does not result from the Fed having earlier access to publicly released financial data. Instead, this advantage is generated by confidential supervisory knowledge about troubled, non-publicly traded institutions. As a result, this information can remain confidential for an extended period, since these bank...
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作者：Bullard, J; Smith, BD
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis
摘要：We study dynamic economies in which agents may have incentives to hold both privately-issued (a.k.a. inside) and publicly-issued (a.k.a. outside) circulating liabilities as part of an equilibrium. Our analysis emphasizes spatial separation and limited communication as frictions that motivate monetary exchange. We isolate conditions under which a combination of inside and outside money does and does not allow the economy to achieve a first-best allocation of resources. We also study the extent ...
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作者：Prescott, ES; Weinberg, JA
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：Alternative payment instruments are studied in an economy with private information, delayed communication, and limited commitment. Attention is restricted to checks and bank drafts, which differ in resource cost and communication characteristics. Checks are less costly but settlement delays create a limited commitment constraint. We find that drafts dominate at low wealths and checks at higher wealths. Applications to 19th century and modern payment systems are discussed. (C) 2003 Elsevier Sci...
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作者：Bernanke, BS; Boivin, J
作者单位：Princeton University; Columbia University
摘要：Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the feasibility of incorporating richer information sets into the analysis, both positive and normative, of Fed policymaking. We employ a factor-model approach, developed by Stock, J.H., Watson, M.W., Diffus...
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作者：Heller, D; Lengwiler, Y
作者单位：Swiss National Bank (SNB); University of Basel
摘要：We develop a model in which a bank's demand for reserves depends on the joint distribution of transactions, reserve requirements, and the interest rate. By devoting resources to its liquidity management, a bank can save on costly reserves required to settle its payments on time. We test the model with data from the largest banks in the Swiss Interbank Clearing system. We find that the turnover ratio (the speed with which a bank turns over its reserves in the payment system) depends largely on ...
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作者：Chang, Y; Schorfheide, F
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; University of Pennsylvania
摘要：We propose a new VAR identification scheme that distinguishes shifts of and movements along the labor demand schedule to identify labor-supply shocks. According to our VAR analysis of post-war US data, labor-supply shifts account for about 30 percent of the variation in hours and about 15 percent of the output fluctuations at business cycle frequencies. To assess the role of labor-supply shifts in a more structural framework, estimates from a dynamic general equilibrium model with stochastic v...
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作者：Brandt, MW; Wang, KQ
作者单位：Duke University; National Bureau of Economic Research; University of Toronto
摘要：We formulate a consumption-based asset pricing model in which aggregate risk aversion is time-varying in response to both news about consumption growth (as in a habit formation model) and news about inflation. We estimate our model and explore its pricing implications for the term structure of interest rates and the cross-section of stock returns. Our empirical results support the hypothesis that aggregate risk aversion varies in response to news about inflation. The induced time-variation in ...
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作者：Levy, D; Dezhbakhsh, H
作者单位：Emory University; Bar Ilan University
摘要：We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To study the sources of this diversity, we estimate the short-run, business cycle, and long-run frequency components of the sampled series. For most OECD countries the bulk of the spectral mass is in the business cycle frequency band, and the magnitude of this cyclical component increases with income. For the developing countries, however, the spectral mass is not concentrated in the business cycle fre...
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作者：Orphanides, A
作者单位：Federal Reserve System - USA
摘要：This study examines the usefulness of the Taylor-rule framework as an organizing device for describing the policy debate and evolution of monetary policy in the United States. Monetary policy during the 1920s and since the 1951 Treasury-Federal Reserve Accord can be broadly interpreted in terms of this framework with rather surprising consistency. In broad terms, during these periods policy has been generally formulated in a forward-looking manner with price stability and economic stability se...
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作者：Steinsson, J
作者单位：Harvard University
摘要：This paper studies optimal monetary policy in a model where inflation is persistent. Two types of price setters are assumed to exist. One acts rationally given Calvo-type constraints on price setting. The other type sets prices according to a rule-of-thumb. This results in a Phillips curve with both a forward-looking term and a backward-looking term. The Phillips curve nests a standard purely forward-looking Phillips curve as well as a standard purely backward-loo king Phillips curve as specia...
