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作者：Wallace, N
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Although the notion of a liquidity structure of asset yields is widely accepted, there do not seem to be models of such a structure. Here, the liquidity of an asset is taken to be its transaction velocity, the amount traded per unit time divided by the stock. Assets are assumed to be indivisible and to differ in size. Trade using such assets is implied by pairwise matching and absence-of-double-coincidence in produced goods. It is shown that a sufficiently large asset has a lower velocity and ...
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作者：Furfine, CH
作者单位：Bank for International Settlements (BIS)
摘要：Predictable patterns in the level and volatility of interbank payments match those found in the daily federal funds rate. This paper develops a structural model of bank reserve management that rationalizes this finding. Implications of the model are then estimated using a panel of large banking institutions. Simulations based upon these empirical estimates suggest that patterns in payment activity can explain much of the observed intra-maintenance period movement in the federal funds rate arou...
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作者：Chang, Y
作者单位：University of Pennsylvania
摘要：The standard equilibrium models of business cycles face a puzzling fact that to tal hours vary greatly over the business cycle without much variation in aggregate wages. The model augments the standard RBC model to include Lucas span of control. Distinction between market and non-market and managerial and non-managerial work makes aggregate wages far less cyclical than individual wages. Cross-sectional comparative advantage between market and non-market sector in the workforce substantially in...
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作者：Bergin, PR; Feenstra, RC
作者单位：University of California System; University of California Davis; National Bureau of Economic Research
摘要：This paper generates persistent real effects of a monetary disturbance in the context of staggered price setters. The model combines two related and reinforcing features: a translog demand structure and a particular input-output production structure, These features offer a rationale why a firm, when computing its own optimal contract price, is influenced by the prices set in other overlapping contracts. Practically, the two features interact in a positive manner and provide a way to generate s...
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作者：Hallwood, CP; MacDonald, R; Marsh, IW
作者单位：University of Connecticut; University of Strathclyde; City St Georges, University of London; Centre for Economic Policy Research - UK
摘要：We investigate dollar-sterling exchange rate expectations during the period 1890-1908. We show that the dollar faced a 'Peso problem' in that for much of the period financial markets expected it to depreciate against sterling, but this never in fact happened - i.e. expectations were persistently biased. Drawing on the economic history of the period we identify 11 'events' which probably gave rise to realignment expectations. Once the dollar's adherence to the gold standard was settled as a pol...
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作者：Caplin, A; Leahy, J
作者单位：Boston University; New York University
摘要：Mass layoffs give rise to groups of unemployed workers who possess similar characteristics and, therefore, may learn from one another's experience searching for a new job. Two factors lead them to exert too little effort in equilibrium. The first is an information externality: searchers fail to take into account the value of their experience to others. The second is an incentive to free ride: each worker would like others to experiment and reveal information concerning the location of producti...
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作者：Tallarini, TD
作者单位：Carnegie Mellon University
摘要：This paper considers the business cycle, asset pricing, and welfare effects of increased risk aversion, while holding intertemporal substitution preferences constant. I show that increasing risk aversion does not significantly affect the relative variabilities and co-movements of aggregate quantity variables. At the same time, it dramatically improves the model's asset market predictions. The welfare costs of business cycles increase when preference parameters are chosen to match financial dat...
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作者：Chalk, NA
作者单位：International Monetary Fund
摘要：The last decade has witnessed a dramatic and fundamental shift in the expenditure and taxation policies of many western democracies, a shift unprecedented in peacetime history. Balanced budgets have virtually disappeared from the scene. In their place, deficit financing has arisen as an alternative for many countries, becoming a focus of both professional interest and public debate. The current literature has examined this issue by assessing the likelihood that governments violate their intert...
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作者：Kim, J
作者单位：University of Virginia
摘要：A dynamic stochastic general-equilibrium (DSGE) model with real and nominal, both price and wage, rigidities succeeds in capturing some key nominal features of U.S. business cycles. Additive technology shocks, as well as multiplicative shocks, are introduced and shown to be crucial. Monetary policy is specified as an interest rate targeting rule following developments in the structural vector autoregression (VAR) literature. The interaction between real and nominal rigidities is essential to r...
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作者：den Haan, WJ
作者单位：University of California System; University of California San Diego; National Bureau of Economic Research
摘要：In this paper, I analyze the comovement of US prices and output in the postwar period. I use a new set of statistics to characterize the comovement between variables. The statistics capture important information about the dynamics in the system. The estimation procedure does not require assumptions about the order of integration or the types of assumptions needed for VAR decompositions, I find that the comovement between output and prices is positive in the 'short run' and negative in the 'lon...
