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作者：Levin, AT; Williams, JC
作者单位：Federal Reserve System - USA; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：The existing literature on robust monetary policy rules has largely focused on the case in which the policymaker has a single reference model while the true economy lies within a specified neighborhood of the reference model. In this paper, we show that such rules may perform very poorly in the more general case in which non-nested models represent competing perspectives about controversial issues such as expectations formation and inflation persistence. Using Bayesian and minimax strategies, ...
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作者：Ang, A; Piazzesi, M
作者单位：National Bureau of Economic Research; University of California System; University of California Los Angeles
摘要：We describe the joint dynamics of bond yields and macroeconomic variables in a Vector Autoregression, where identifying. restrictions are based on the absence of arbitrage. Using a term structure model with inflation and economic growth factors, together with latent variables, we investigate how macro variables affect bond prices and the dynamics of the yield curve. We find that the forecasting performance of a VAR improves when no-arbitrage restrictions are imposed and that models with macro ...
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作者：den Haan, WJ; Ramey, G; Watson, J
作者单位：University of California System; University of California San Diego; University of London; London Business School; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：This paper develops a macroeconomic model in which funds are channeled to entrepreneurs through long-term relationships between entrepreneurs and lenders. The flow of funds to a relationship may be low, causing it to break up due to insufficient liquidity. Multiple Pareto ranked steady states emerge from complementarity between financial intermediation, reflected by the number of relationships, and households' incentives to provide funds. This complementarity also serves as a mechanism for pro...
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作者：Christiano, LJ; Vigfusson, RJ
作者单位：Federal Reserve System - USA; Northwestern University
摘要：We illustrate the use of various frequency-domain tools for estimating and testing dynamic, stochastic general equilibrium models. We show how to exploit the well-known fact that the log, Gaussian density function has a linear decomposition in the frequency domain. We also propose a new resolution to the problem that the phase angle between two variables is not uniquely determined. These methods are applied to the analysis of business cycles. Our substantive findings confirm existing results i...
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作者：Ireland, PN
作者单位：Boston College; National Bureau of Economic Research
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作者：Miguel, E
作者单位：Princeton University; University of California System; University of California Berkeley
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作者：Routledge, BR; von Amsberg, J
作者单位：Carnegie Mellon University; The World Bank
摘要：We define and characterize social capital in a simple growth model. We capture social capital in a model where individuals in a community maximize their lifetime gains to trade. Each trade between two members of a community has the structure of the prisoners' dilemma. Trades are repeated indefinitely, but not necessarily each period. Social capital is defined as the social structure which facilitates cooperative trade as an equilibrium. The trading model is incorporated into a growth model to ...
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作者：Jones, JB
作者单位：State University of New York (SUNY) System; University at Albany, SUNY
摘要：In this paper, I consider whether postwar fiscal policy has helped stabilize the U.S. economy. I do this by adding to the stochastic growth model fiscal policy feedback rules estimated from postwar data. These rules allow fiscal policies to respond to current and lagged output and labor hours. I use the estimated policy rules to see if postwar fiscal policy reduces output volatility and/or lengthens expansions and shortens recessions. I find that fiscal policy in general provides little stabil...
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作者：Smets, F; Wouters, R
作者单位：European Central Bank; European Central Bank; National Bank of Belgium
摘要：This paper analyses the implications of imperfect exchange rate pass-through for optimal monetary policy in a linearised open-economy dynamic general equilibrium model calibrated to euro area data. Imperfect exchange rate pass through is modelled by assuming sticky import price behaviour. The degree of domestic and import price stickiness is estimated by reproducing the empirical identified impulse response of a monetary policy and exchange rate shock conditional on the response of output, net...
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作者：Kim, CJ; Piger, J
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Korea University
摘要：This paper investigates the nature of U.S. business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We identify a common stochastic trend and common transitory component by embedding the permanent income hypothesis within a simple growth model. Markov-switching in each component captures two types of asymmetry: Shifts in the growth rate of the common stochastic trend, having permanent effects, and plucking deviations from the common stochastic trend, having...
