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作者：Elwood, SK
作者单位：James Madison University
摘要：This paper provides evidence that the persistence of positive shocks to output is not significantly different from the persistence of negative shocks. This contrasts the results of Beaudry and Koop (1993) Journal of Monetary Economics 31, 149-163 showing asymmetry in the effects of innovations to GNP. An unobserved components model modified to incorporate a threshold process is used to examine GNP as well as industrial production data. Its ability to discriminate between positive and negative ...
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作者：Engineer, M; Shi, SY
作者单位：University of Victoria; Queens University - Canada
摘要：We modify the Kiyotaki and Wright (1991, J. Economic Theory 53, 215-235; 1993, Amer. Econom. Rev. 83, 63-77) framework so that there is a universal double coincidence of wants in all barter matches. We also introduce divisible service sidepayments into the model and allow agents to bargain over bundles of goods, services and money in bilateral matches. In asymmetric matches, the agent that values the other's good more dearly will typically have to make a substantial service sidepayment to comp...
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作者：Kocherlakota, NR
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：This paper discusses the implications for prices and quantities of an alternative trading arrangement in Kahn's (1990) economic environment with moral hazard. Unlike Kahn's model of asset trade, my model does not impose any unmotivated restrictions on short sales. Instead, it features complete markets and publicly observable asset transactions. Like Kahn's model, my model implies that allocations are (constrained) Pareto optimal. However, the implications of my model for asset prices are consi...
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作者：Barnett, SA; Sakellaris, P
作者单位：International Monetary Fund; University System of Maryland; University of Maryland College Park
摘要：Abel and Eberly (1994) study optimal investment behavior in the presence of flow fixed costs, proportional costs and convex costs. A clear prediction is that investment will alternate between regimes of insensitivity and responsiveness to q separated by unknown threshold levels of q. At the firm level, we find evidence for different regimes of sensitivity to q but not for a regime of zero sensitivity. Our finding that investment has a nonlinear relationship to q is important because it implies...
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作者：Smith, BD; Villamil, AP
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Texas System; University of Texas Austin; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：We study the problem of a government that wishes to share optimally the burden of deficit finance among agents with differential access to investment opportunities. In the presence of private information, it is Pareto efficient for the government to borrow in a way that amounts to non-linear taxation, and it must treat agents with access to the best investment opportunities preferentially to keep them in the bond market. In addition, with private information about access to assets, it is often...
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作者：Castaneda, A; Diaz-Gimenez, J; Rios-Rull, JV
作者单位：University of Pennsylvania; Pompeu Fabra University; Universidad Carlos III de Madrid
摘要：We document the business cycle behavior of the US income distribution and explore the extent to which unemployment spells and cyclically-moving factor shares account for this behavior by analyzing four heterogeneous household extensions of the neoclassical growth model. We conclude (i) that partitioning the population into five types subject to type-specific employment processes seems to be enough to account for most aspects of the US income distribution business cycle dynamics, (ii) that the ...
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作者：Swanson, NR
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：We examine the extent to which fluctuations in the money stock anticipate (or Granger cause) fluctuations in real output using a variety of rolling window and increasing window estimation techniques. Various models are considered using simple sum as well as Divisia measures of M1 and M2, income, prices, and both the T-bill rate and the commercial paper rate. Findings indicate that the relation between income, money, prices, and interest rates is stable, as long as sufficient data are used, and...
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作者：Otto, GD; Voss, GM
作者单位：University of New South Wales Sydney
摘要：We examine whether public investment undertaken in Australia over the last three decades satisfies conditions for intertemporal efficiency. We find that the conditions are satisfied over the sample period but only after allowance for changes in the relative price of public and private capital. In contrast to previous research, we do not find any evidence of excessive returns to public investment; rather, the average real investment return for both private and public capital is estimated at abo...
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作者：Burnside, C
作者单位：The World Bank
摘要：There is nothing misleading in the fact that different filtering techniques lead to different facts about macroeconomic time series. The fact that economists use a large number of filters to extract the 'cyclical' and 'trend' components of time series simply means that these concepts do not have unique meaning among them. Alternative filters provide different windows through which economists can examine their models and data. It is an open question as to whether some of these windows are more ...
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作者：Fung, BSC; Kasumovich, M
作者单位：Bank of Canada
摘要：In this paper, a simple identification technique is used to study the effects of monetary shocks in VAR models for the G-6 countries. Monetary shocks are identified by long-run cointegration restrictions and the assumption of long-run money neutrality. The short-run dynamics corresponding to a monetary shock are consistent with the predictions of monetary theory and can be interpreted as a monetary policy shock. The results suggest that the stock of money has an active role in the transmission...
