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作者：FUHRER, JC; MOORE, GR; SCHUH, SD
作者单位：Federal Reserve System - USA
摘要：We compare generalized method of moments (GMM) and maximum likelihood (ML) estimators of the parameters of a linear-quadratic inventory model using nondurable manufacturing data and Monte Carlo simulations. Data-based GMM estimates for five normalizations vary widely, generally rejecting the model. The ML estimate generally supports the model. Monte Carlo experiments reveal that the GMM estimates are often biased (apparently due to poor instruments), statistically insignificant, economically i...
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作者：GORTON, GB; PENNACCHI, GG
作者单位：National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Theories of financial intermediation predict that bank loans should not be marketable because of moral hazard problems; banks will not conduct credit risk analysis or monitor borrowers if they are not at risk for failing to perform these services. Throughout most of history, bank loans have not, in fact, been marketable. Yet, by the end of the 1980's the amount of commercial and industrial loan sales outstanding had grown to over $250 billion from trivial amounts at the beginning of the decade...
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作者：KING, I; WELLING, L
摘要：We develop a model to study the effects of changes in the size of technological innovations upon search and 'waiting-time' unemployment when search is costly and shocks are positively autocorrelated. We find that increases in the size of innovations increase steady state search, decrease steady-state waiting-time unemployment, and decrease total unemployment.
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作者：Bullard, J; Keating, JW
作者单位：Washington University (WUSTL)
摘要：We investigate the relationship between inflation and real output in a large sample of postwar economies. Our methodology is to use a structural vector autoregression to estimate the response of the level of real output to permanent inflation shocks separately for each country. We find that a permanent shock to inflation is not associated with a permanent movement in the level of real output for most countries in our sample. The main exceptions are certain low inflation countries, in which per...
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作者：RUDEBUSCH, GD
摘要：The amount of information in the yield curve for forecasting future changes in short rates varies with the maturity of the rates involved. Indeed, spreads between certain long and short rates appear unrelated to future changes in the short rate - contrary to the rational expectations hypothesis of the term structure. This paper estimates a daily model of Federal Reserve interest rate targeting behavior, which, accompanied by the maintained hypothesis of rational expectations, explains the vary...
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作者：ARIFOVIC, J
摘要：This paper studies overlapping generations economies in which agents use genetic algorithms to learn correct decision rules. The results of computer simulations show that a genetic algorithm converges to the unique monetary steady state in case of a constant money supply policy and to the low-inflation stationary equilibrium in case of a constant real deficit financed through seignorage. Features of the genetic algorithm adaptation are compared to the performance of other learning algorithms a...
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作者：STRAHAN, PE
摘要：This paper shows that depositors lost confidence in FSLIC during the two years prior to passage of FIRREA, legislation which recapitalized the deposit insurance fund in 1989. During this period, promised returns on retail CDs reflected the expected loss and return standard deviation on these securities in the absence of government insurance. Cross-sectional analysis is used to estimate both the probability and the conditional price of risk associated with FSLIC default. The results suggest tha...
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作者：HASLAG, JH; HEIN, SE
作者单位：Texas Tech University System; Texas Tech University
摘要：In the U.S., existing monetary base measures add an adjustment factor for changes in reserve requirement ratios to high powered money. Implicitly, the monetary base assumes that the economic effects of changes in reserve requirements are identical to those due to changes in high-powered money. Theory, however, does not generally support the prediction that the two policy tools will have the same economic effects. Structural VARs are estimated to compare the short-run paths of inflation and out...
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作者：MCLAUGHLIN, KJ
作者单位：University of Rochester
摘要：This paper characterizes intertemporal substitution along intertemporal consumption profiles. A precise definition of the intertemporal elasticity of substitution is presented and compared to intertemporal analogs of the Hicks-Alien and direct elasticities of substitution, and the marginal-utility-of-wealth (or lambda-) constant own-price elasticity of demand. In a model with perfect foresight, I establish that lambda-constant comparative statics accurately characterizes intertemporal substitu...
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作者：Pecorino, P
摘要：The relationship between tax rates and the present value of tax collections is analyzed in an endogenous growth setting in which growth is driven by the accumulation of human capital. In such a model, income taxation may reduce the size of the tax base in current and future periods through both labor supply and growth rate effects. Under the benchmark parameterization of the model, the growth-reducing effects of taxation are found to have a moderate, but significant effect in lowering the reve...
