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作者：Schwert, GW
作者单位：University of Rochester; National Bureau of Economic Research
摘要：The recent volatility of stock prices has caused many people to conclude that investors have become irrational in valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be smaller companies with more growth options, in relation to the more seasoned issues reflected in the Standard & Poor's 500 portfolio. It also analyzes the relation of the unusual Nasdaq volatility to the hot IPO market in 1998 and 1999. The factor that seem...
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作者：Clarida, R; Galí, J; Gertler, M
作者单位：New York University; Columbia University; Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University
摘要：We study the international monetary policy design problem within an optimizing two-country sticky price model, where each country faces a short run tradeoff between output and inflation. The model is sufficiently tractable to solve analytically, We find that in the Nash equilibrium, the policy problem for each central bank is isomorphic to the one it would face if it were a closed economy. Gains from cooperation arise, however, that stem from the impact of foreign economic activity on the dome...
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作者：Cole, HL; Ohanian, LE
作者单位：University of California System; University of California Los Angeles; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：We evaluate the macroeconomic implications of post-World War 11 money demand changes in two business cycle models: the limited participation model and the sticky price model. The sticky price model is invariant to changes in money demands. However, the limited participation model predicts the effect of a money shock on output rose by 100 percent between 1952 and 1980, and subsequently fell 65 percent. This prediction is hard to reconcile with evidence that suggests the effects of monetary shoc...
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作者：Cukierman, A; Miller, GP; Neyapti, B
作者单位：Tel Aviv University; Tilburg University; New York University; Ihsan Dogramaci Bilkent University
摘要：This paper develops extensive new indices of legal independence (central bank independence (CBI)) for new central banks (CBs) in 26 former socialist economies. The indices reveal that CB reform in the FSE during the 1990s has been quite ambitious. In spite of large price shocks, reformers in those countries chose to create CBs with levels of legal independence that are substantially higher, on average, than those of developed economies during the 1980s. The evidence in the paper shows that CBI...
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作者：Zin, SE
作者单位：Carnegie Mellon University; National Bureau of Economic Research
摘要：The recent increase in interest in so-called behavioral models of asset-pricing is motivated partly by the desire to have models that appear realistic in light of experimental evidence, and partly by their success in moment-matching exercises. This paper argues that the attention given to these two criteria misses perhaps the most important aspect of the modeling exercises. That is, the search for parameters that are invariant to changes in the economic environment. It is precisely this invari...
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作者：Erosa, A; Ventura, G
作者单位：Autonomous University of Barcelona; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Evidence on the portfolio holdings and transaction patterns of households suggests that the burden of inflation is not evenly distributed. We build a monetary growth model consistent with key features of cross-sectional household data and use this framework to study the distributional impact of inflation. At the aggregate level, our model economy behaves similar to standard monetary growth models within the representative agent abstraction. Inflation has, however, important distributional effe...
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作者：Lane, PR
作者单位：Trinity College Dublin; Centre for Economic Policy Research - UK
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作者：Henderson, DW
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
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作者：Borensztein, E; Lee, JW
作者单位：Korea University; International Monetary Fund
摘要：This paper analyzes the credit crunch following the recent financial crisis in Korea. Using enterprise-level data, we find that there were big differences in the magnitude of the credit contraction across different types of firms. In particular, chaebol (conglomerate)-affiliated firms appeared to have lost the preferential access to credit that they had enjoyed in the precrisis period, and credit appears to have been reallocated in favor of more efficient firms. This suggests that the credit c...
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作者：Akhand, H; Liu, HM
作者单位：University of Alberta; University of Regina; National University of Singapore
摘要：The objective of this paper is to estimate both the U.S. federal marginal income tax rate and the state and local marginal income tax rates. We use the non-parametric regression method and data on income and tax extracted from U.S. Individual Tax Model Files for the period 1985-1995. The flexibility of the non-parametric approach and the information at the individual level enable us to construct a more reliable time series of the average federal marginal income tax rates and that of the averag...
