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作者：Soderlind, P; Svensson, L
作者单位：Stockholm University; Stockholm School of Economics
摘要：This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates and inflation. More recently, these methods have been refined to rely on implied-forward interest rates, so as to extract expected future time-paths. Very recently, methods have been designed to extract n...
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作者：Demirguc-Kunt, A; Diwan, I; Spiegel, MM
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; The World Bank
摘要：Using data on bank choices in the 1988 Brazilian debt-reduction deal, we confirm predictable heterogeneity in bank valuation of Brazilian claims. In the presence of a functioning secondary market for LDC debt, the source of this heterogeneity is unclear. We introduce a model in which regulatory concerns influence bank choice, Bank choices in debt reduction programs are aimed at maximizing the magnitude of their transfer from regulatory agencies. As a result, bank choices reflect their characte...
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作者：Hornstein, A; Praschnik, J
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond; Western University (University of Western Ontario)
摘要：The post-war US business cycle is characterized by positive comovement of employment and output across sectors. It has been argued that multi-sector growth models are inconsistent with this observation when changes in relative productivities are the main source of fluctuations. We suggest that the input-output structure of an economy, in particular the pervasive use of intermediate inputs, can induce positive comovement in sectoral employment and output following changes in relative productivi...
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作者：Edwards, S; Vegh, CA
作者单位：University of California System; University of California Los Angeles; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：As the recent Mexican crisis vividly illustrates, Latin American countries often go through boom-bust cycles caused by both domestic policies and external shocks. Such cycles are typically magnified by weak banking systems which intermediate large capital inflows. This paper develops a simple optimizing model to analyze how the banking sector affects the propagation of shocks. In particular, we show how the world business cycle and shocks to the banking system affect output and employment thro...
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作者：DeBroeck, M
摘要：This paper analyzes the financial structure of government debt in the OECD countries from the perspective of time-consistency problems with a focus on debt held by financial institutions. Testable implications from a theoretical time-consistency model are derived and incorporated into the framework of a cost-minimizing model for public debt service. The approach is tested for a sample of 15 OECD countries over the period 1974-1989. The theoretical analysis and the empirical results show how, i...
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作者：Romer, CD; Romer, DH
作者单位：University of California System; University of California Berkeley
摘要：Contrary to the arguments of Leeper (1997), the problems that arise in VAR investigations of monetary policy do not arise with our use of the narrative approach. The apparent high predictability of our monetary-policy variable that Leeper finds is due to overfitting. And the estimated effects of our measure when variables other than output are considered are unsurprising given Leeper's specifications. (C) 1997 Elsevier Science B.V. All rights reserved.
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作者：Hentschel, L; Smith, CW
作者单位：University of Rochester
摘要：We review aspects of derivatives markets that affect central bank operations. We focus on how derivatives affect monetary policy and bank supervision, and argue that derivatives have no material adverse impact on the conduct of monetary policy. Our analysis suggests that both derivatives users and dealers face relatively small default risks from derivatives. Systemic risk, the risk of widespread default, has been largely exaggerated. Policy debates have neglected incentives of employees; the n...
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作者：Chapman, DA
摘要：Expected real yields on nominally risk-free bonds and expected consumption growth at horizons from one-quarter to two years are identified using time series models, and their basic propel-ties are examined. The principal results are: (1) real yields and consumption growth are (weakly) negatively correlated over the full sample period of 1953-1991; (2) excluding the 1979-1985 sub-period, real yields and consumption growth are (strongly) positively correlated; (3) the cyclical properties of real...
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作者：Fisher, JDM
作者单位：Western University (University of Western Ontario)
摘要：Recent work suggests that the standard real business cycle framework has difficulty accounting for co-movement among aggregate expenditure components when they are disaggregated even slightly to include business and household investment. In addition, relative prices of these goods have displayed substantial variation over the post-war period. This paper reports that incorporating a source of empirically plausible relative price variability makes the framework's implications for comovement even...
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作者：[Anonymous]
