Journal of Monetary Economics

最新文章

• THE ROLE OF ENERGY IN REAL BUSINESS-CYCLE MODELS AI翻译
  作者：KIM, IM; LOUNGANI, P
  作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago
  摘要：This paper modifies Hansen's (1985) analysis of a real business cycle model with indivisible labor by explicitly including energy as a productive input and modelling the relative price of energy as an exogenous random process. One goal is to determine the extent to which the introduction of energy price shocks reduces the reliance of the real business cycle model on unobserved technology shocks. The other goal, following Christiano and Eichenbaum (1991), is to compare the correlation between r...
• ON PERSISTENCE OF SHOCKS TO ECONOMIC VARIABLES - A COMMON MISCONCEPTION AI翻译
  作者：LIPPI, M; REICHLIN, L
  摘要：Empirical results on U.S. GNP have provided estimates of the Beveridge and Nelson's persistence measure (almost) always greater than unity when using ARIMA models and always smaller than unity when using UCARIMA models. This paper shows that a measure of persistence less than unity is a mathematical consequence of the definition of UCARIMA models and not an independent estimation result. Therefore, ARIMA and UCARIMA estimates of persistence cannot be compared on the same ground.
• MODELING LONG-RUN BEHAVIOR WITH THE FRACTIONAL ARIMA MODEL AI翻译
  作者：SOWELL, F
  摘要：When modeling long-run behavior, fractional ARIMA models can give insights unobtainable with the nonfractional ARIMA models. As an application, the deterministic trend and unit root with drift models are nested in the fractional ARIMA model. This allows testing between the two models based on estimated parameter values. This test is applied to postwar US quarterly real GNP. The test concludes that GNP is consistent with both models. The estimated fractional parameter is significantly smaller t...
• LIQUIDITY, LOANABLE FUNDS, AND REAL ACTIVITY AI翻译
  作者：FUERST, TS
  摘要：This paper develops a general equilibrium model of two traditional explanations of the monetary 'black box' linking money and real activity: the liquidity effect and the loanable funds effect. These effects are modeled with a monetary production economy in which central bank injections of cash are funnelled into the economy through the credit market. Since only borrowers have direct access to the newly injected cash, monetary injections cause nominal interest rates to fall. If firms are borrow...
• CORRECTION AI翻译
  作者：WEST, KD
• STOCK-PRICES AND BOND YIELDS - CAN THEIR COMOVEMENTS BE EXPLAINED IN TERMS OF PRESENT VALUE MODELS AI翻译
  作者：SHILLER, RJ; BELTRATTI, AE
  作者单位：University of Turin
  摘要：Real stock prices do not show the relation to long-term interest rates that a simple rational expectations present value model would imply. Real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by this vector autoregression model. In contrast, over the last century changes in real stock prices have shown little correlation with changes in inflation rates, and according to the present value model they should show little correlation. These...
• WHY DOES HIGH INFLATION RAISE INFLATION UNCERTAINTY AI翻译
  作者：BALL, L
  摘要：This paper presents a model of monetary policy in which a rise in inflation raises uncertainty about future inflation. When actual and expected inflation are low, there is a consensus that the monetary authority will try to keep them low. When inflation is high, policymakers face a dilemma: they would like to disinflate, but fear the recession that would result. The public does not know the tastes of future policymakers, and thus does not know whether disinflation will occur.
• THE DEMISE OF THE PUBLIC-INTEREST MODEL OF THE FEDERAL-RESERVE SYSTEM AI翻译
  作者：TOMA, M
• THE CYCLICAL BEHAVIOR OF PRICES AI翻译
  作者：COOLEY, TF; OHANIAN, LE
• RESEARCH AND IMITATION IN LONG-RUN GROWTH AI翻译
  作者：RUSTICHINI, A; SCHMITZ, JA
  作者单位：State University of New York (SUNY) System; Stony Brook University