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作者：Abel, AB
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：The equity premium consists of a term premium reflecting the longer maturity of equity relative to short-term bills, and a risk premium reflecting the stochastic nature of equity payoffs and the deterministic nature of payoffs on riskless bills. This paper analyzes term premia and risk premia in a general equilibrium model with catching up with the Joneses preferences and a novel formulation of leverage. Closed-form solutions for moments of asset returns are derived. First-order approximations...
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作者：Gorton, G
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：During the pre-Civil War period, US banks issued distinct private monies, called bank notes. A bank note is a perpetual, risky, non-interest-bearing, debt claim with the right to redeem on demand at par in specie. This paper investigates the pricing of this private money taking into account the enormous changes in technology during the period, namely, the introduction and rapid diffusion of the railroad. A contingent claims pricing model for bank notes is proposed and tested using monthly bank...
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作者：Tommasi, M
作者单位：Universidad de San Andres Argentina; University of California System; University of California Los Angeles
摘要：This paper formalizes some of the disruptive effects of inflation on the organization of markets. Rapid inflation induces buyers to speed up purchases, which thus inhibits the selection of more adequate trading partners through search. This blurs distinctions across firms of different productivities and leads to resource misallocations. As inflation causes efficient and inefficient firms to be less distinguishable, the incentives to engage in cost reduction are dampened and lower growth result...
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作者：Merz, M
作者单位：Rice University
摘要：Worker flows to and from unemployment simultaneously occur over the US business cycle, and the size of the flows is positively linked to the unemployment rate. Unemployment flows and the unemployment rate are highly volatile, persistent and countercyclical. Inflows lead the unemployment rate, and the unemployment rate leads outflows over the business cycle. The one-sector stochastic growth model is augmented by matching frictions in the labor market and match-specific productivity shocks that ...
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作者：Shi, S
作者单位：Queens University - Canada
摘要：This paper constructs a model to integrate the search monetary theory into a neoclassical growth model. With divisible goods and money, the model is used to examine the relationship between money growth and capital accumulation. The framework uncovers a distinct extensive effect that an increase in the money growth rate increases the frequency of successful trades by increasing the number of agents in the market. This positive extensive effect on the number of trades can dominate the conventio...
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作者：English, WB
作者单位：Federal Reserve System - USA
摘要：Traditionally the cost of expected inflation has been seen as the 'shoeleather cost' of going to the bank more often. This paper focuses on the other side of these transactions - i.e., on the increased production of financial services. I construct a model in which households must make purchases either with money or with costly transactions services produced by firms in the financial services sector. In the model, a higher inflation rate leads households to substitute purchased transactions ser...
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作者：Roberds, W; Whiteman, CH
作者单位：Federal Reserve System - USA; University of Iowa
摘要：Numerous studies have documented a 'predictability smile' in the post-war term structure of interest rates: spreads between long rates and short rates predict subsequent movements in short rates provided the long horizon is less than three months or greater than two years, but not for intermediate maturities. Proposed explanations of the smile involve interest rate smoothing by the Fed, time-varying risk premia,'Peso problems', and measurement error. We show that despite their highly restricti...
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作者：Gruen, D; Pagan, A; Thompson, C
作者单位：Australian National University; Reserve Bank of Australia
摘要：In this paper we discuss the development of Phillips curves in Australia over the forty years since Phillips first estimated one using Australian data. We examine the central issues faced by researchers estimating Australian Phillips curves. These include the distinction between the short- and long-run trade-offs between inflation and unemployment, and the changing level of the non-accelerating inflation rate of unemployment (NAIRU), particularly in the 1970s. We estimate Phillips curves for p...
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作者：Cook, D
作者单位：Hong Kong University of Science & Technology
摘要：I suggest a 'liquidity effect' model in which financial intermediation costs are determined by aggregate economic activity. An expansionary monetary shock leads to a persistent contraction in the loan-deposit rate spread, a persistent liquidity effect, and a persistent real expansion. A feature of this expansion is that nominal prices respond sluggishly to monetary shocks as an equilibrium outcome. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: E32; E4; E51.
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作者：Galí, J; Gertler, M
作者单位：New York University; Pompeu Fabra University
摘要：We develop and estimate a structural model of inflation that allows for a fraction of firms that use a backward-looking rule to set prices. The model nests the purely forward-looking New Keynesian Phillips curve as a particular case. We use measures of marginal cost as the relevant determinant of inflation, as the theory suggests, instead of an ad hoc output gap. Real marginal costs are a significant and quantitatively important determinant of inflation. Backward-looking price setting, while s...
