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作者：Williamson, SD
摘要：A cash-in-advance model with sequential markets is constructed, where unanticipated monetary injections are nonneutral and can potentially produce large liquidity effects. However, if the monetary authority adheres to an optimal money rule, money should not respond to unanticipated shocks, so that a Friedman rule is suboptimal and the monetary authority does not exploit the liquidity effect. Quantitatively, the model can generate variability in money and nominal interest rates close to what is...
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作者：Sutherland, A
作者单位：Centre for Economic Policy Research - UK
摘要：'Intrinsic bubbles' (i.e., bubbles which are related only to fundamentals) are considered in a simple asset pricing model where fundamentals follow an Ornstein-Uhlenbeck process. It is shown that such bubbles imply an explosive path for the expectation of the asset price. It is also shown that the conditional variance of the asset price diverges in finite time. Intrinsic bubbles therefore imply highly nonstationary behaviour for the asset price even when the underlying fundamental to which the...
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作者：Sargent, TJ
作者单位：University of Chicago
摘要：This paper was written to kick off the conference celebrating the anniversary of Lucas's 'Expectations and the Neutrality of Money'. It recalls the state of macroeconomics in the late 1960's, cites some technical and substantive precursors of Lucas's idea, and explores the legacies of the equilibrium concept, monetarism, fiscalism, and standards proposed in Lucas's paper.
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作者：Fair, RC; Howrey, EP
作者单位：University of Michigan System; University of Michigan
摘要：This paper examines monetary policy from an optimal control perspective. Five loss functions are minimized for each of five models, and the results are compared. The basic ('true') loss function targets inflation and unemployment. The other loss functions target, respectively, inflation alone, unemployment alone, nominal growth alone, and real growth alone. The five models are two small structural models, two VAR models, and a large structural model. A numerical procedure is presented that can...
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作者：Sbordone, AM
摘要：This pager develops a dynamic model of labor hoarding to explain two empirical facts, the cyclical behavior of total factor productivity and the dynamic correlations of sectoral productivity with aggregate variables. The model features convex costs of adjusting the labor force, which induce firms to vary the intensity of labor utilization over the cycle. In particular, cyclical variations in labor 'effort' take place as a response to expected future changes in industry conditions. I test the r...
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作者：Bayoumi, T; Gagnon, J
作者单位：Federal Reserve System - USA
摘要：In a world of mobile capital, the current system of taxation implies that the after-tax cost of capital and return to saving in each country are negatively correlated with the rate of inflation. Thus a country's net foreign asset position ought to be negatively correlated with its long-run inflation rate. The magnitude of these effects is shown to be potentially large. For OECD countries, cross-section and time-series regressions confirm that inflation rates are good predictors of net foreign ...
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作者：Dueker, M; Fischer, AM
作者单位：Swiss National Bank (SNB)
摘要：This paper extends McCallum's (1987) nominal targeting rule to a small open economy by allowing for feedback from the exchange rate. Instead of setting parameters in a McCallum-type targeting rule and simulating, the parameters are estimated using a Markov switching model. We argue that a model of discrete parameter changes should be adept at capturing sudden changes in policy regime, such as changes in the degree to which monetary policy admits feedback from the exchange rate. We examine the ...
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作者：Galetovic, A
摘要：In market economies financial intermediaries develop during the early stages of industrialization. This paper argues that it occurs because as firms specialize the number of transactions involving credit increases. The main conclusions of the paper are: (a) when increased specialization is a necessary condition for growth, sustained growth may not start if financial intermediaries do not emerge. In this sense, intermediaries are a necessary condition for growth to start and persist; (b) when f...
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作者：Evans, P; Karras, G
作者单位：University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：The conventional approach to testing whether economies converge examines the cross-sectional relationship between the growth rate of per capita output over some time period and the initial level of per capita output. This paper shows that this approach is valid only if economies have identical first-order autoregressive dynamic structures and all permanent cross-economy differences are completely controlled for, conditions that are grossly violated for the data sets considered here. The paper ...
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作者：Kamihigashi, T
摘要：This paper points out that real business cycle models are observationally equivalent to externality models, which we define as models with externalities and sunspots but without productivity shocks. As far as standard first-order systems are concerned, however, externality models turn out to be more flexible than RBC models. This explains, at least partly, why previous studies have found that externality models perform better than standard RBC models at generating realistic business cycle beha...
