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作者：Padrini, F
作者单位：Organisation for Economic Co-operation & Development (OECD)
摘要：Empirical and theoretical evidence is presented showing that monetary policy and velocity of money innovations might lead to opposite effects in the financial markets. First, it is shown for the US economy that monetary policy and velocity shocks cause a reduction and an increase in the interest rates, respectively. Then, a stochastic general equilibrium model is illustrated in which monetary policy innovations produce excess loan supply and velocity innovations produce excess loan demand. The...
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作者：Rudebusch, GD
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：Numerous studies have used quarterly data to estimate monetary policy rules or reaction functions that appear to exhibit a very slow partial adjustment of the policy interest rate. The conventional wisdom asserts that this gradual adjustment reflects a policy inertia or interest rate smoothing behavior by central banks. However, such quarterly monetary policy inertia would imply a large amount of forecastable variation in interest rates at horizons of more than 3 months, which is contradicted ...
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作者：Cavallo, M; Ghironi, F
作者单位：Boston College; New York University
摘要：We revisit Obstfeld and Rogoff's (1995) results on exchange rate dynamics in a two-country, monetary model with incomplete asset markets, stationary net foreign assets, and endogenous monetary policy. The nominal exchange rate exhibits a unit root. Under flexible prices, it also depends on the stock of real net foreign assets. With sticky prices, the exchange rate depends on the past GDP differential, along with net foreign assets. Endogenous monetary policy and asset dynamics have consequence...
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作者：Devereux, MB; Engel, C
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of British Columbia; Centre for Economic Policy Research - UK; National Bureau of Economic Research
摘要：This paper explores the hypothesis that high volatility of real and nominal exchange rates may be due to the fact that local currency pricing eliminates the pass-through from changes in exchange rates to consumer prices. Exchange rates may be highly volatile because in a sense they have little effect on macroeconomic variables. The paper shows the ingredients necessary to construct such an explanation for exchange rate volatility. In addition to the presence of local currency pricing, we need ...
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作者：Hodrick, RJ
作者单位：Columbia University; National Bureau of Economic Research
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作者：Wachter, JA
作者单位：New York University
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作者：Cogley, T
作者单位：Arizona State University; Arizona State University-Tempe
摘要：This paper investigates whether uninsured idiosyncratic risk accounts for the equity premium. Following Mankiw (J. Financial Econ. 17 (1986) 211), the paper develops an equilibrium factor model in which risk premia depend on the covariance between an asset's return and certain moments of the cross-sectional distribution for consumption growth. Cross-sectional consumption factors are constructed using data from the Consumer Expenditure Survey, but they do not appear to be promising candidates f...
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作者：Gollier, C; Schlesinger, H
作者单位：University of Alabama System; University of Alabama Tuscaloosa; Universite de Toulouse; Universite Toulouse 1 Capitole; Universite de Toulouse; Universite Toulouse 1 Capitole
摘要：We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall, We show that these conditions neither imply, nor are implied by the conditions for second-degree stochastic dominance. For example, if the payoff on an asset becomes riskier in the sense of second-degree stochastic dominance, the equilibrium price o...
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作者：Evans, MDD; Lyons, RK
作者单位：University of California System; University of California Berkeley; Georgetown University; National Bureau of Economic Research
摘要：This paper addresses whether currency trades have greater price impact when public information is flowing rapidly. We develop an optimizing model to account for why public news should increase the price impact of trades. Using transaction data made available by electronic trading, we test whether trades following macroeconomic news have higher price impact. They do: price impact per dollar traded is about 10 percent higher per news announcement in the previous hour. After controlling for publi...
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作者：Nelson, E
作者单位：Bank of England
摘要：Meltzer (The transmission process. In Deutsche Bundesbank (ed.), The Monetary Transmission Process, 2001) shows that real monetary base growth is a significant determinant of consumption growth in the US, controlling for the short-term real interest rate. In this paper, I show that the same property of base money holds for total output (relative to trend or potential) in both the US and the UK. The standard optimizing IS-LM model cannot account for this result, but I show that it can once the ...
