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作者：Aruoba, S. Boragan
作者单位：University System of Maryland; University of Maryland College Park
摘要：The mix of inflation and income taxation that governments adopt vary considerably across countries. We take a Ramsey optimal-policy approach to explain these differences, focusing on the institutions of the country, modeled as the difficulty of tax evasion, as the key variation across countries. In the model households optimally choose the extent of informal activity and a benevolent government optimally chooses policies, both taking as given the institutions of the economy. The model matches ...
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作者：Antolin-Diaz, Juan; Petrella, Ivan; Rubio-Ramirez, Juan F.
作者单位：University of London; London Business School; University of Warwick; University of Warwick; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University
摘要：Macroeconomists constructing conditional forecasts often face a choice between taking a stand on the details of a fully-specified structural model or relying on correlations from VARs and remaining silent about underlying causal mechanisms. This paper develops tools for constructing economically meaningful scenarios with structural VARs, and proposes a metric to assess and compare their plausibility. We provide a unified treatment of conditional forecasting and structural scenario analysis, re...
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作者：Gomez, Matthieu; Landier, Augustin; Sraer, David; Thesmar, David
作者单位：Columbia University; Hautes Etudes Commerciales (HEC) Paris; National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
摘要：The cash-flow exposure of banks to interest rate risk, or income gap, is a significant determinant of the transmission of monetary policy to bank lending and real activity. When the Fed Funds rate rises, banks with a larger income gap generate stronger earnings and contract their lending by less than other banks. This finding is robust to controlling for factors known to affect the transmission of monetary policy to bank lending. It also holds on loan-level data, even when we control for firm-...
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作者：Levine, Oliver; Warusawitharana, Missaka
作者单位：University of Wisconsin System; University of Wisconsin Madison; Federal Reserve System - USA
摘要：The effect of financing frictions on firm productivity growth is not well understood. Using a model we show that a rise in financial frictions leads to increased sensitivity of productivity growth to the use of external finance. We test this prediction using a large dataset of mostly private European firms and find strong evidence supporting the prediction. Our findings demonstrate an important link between financial markets and the real economy, and help to explain why economic activity remai...
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作者：Bretscher, Lorenzo; Malkhozov, Aytek; Tamoni, Andrea
作者单位：University of Lausanne; Swiss Finance Institute (SFI); Swiss Finance Institute (SFI); University of Lausanne; Federal Reserve System - USA; Federal Reserve System Board of Governors; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：We estimate agents' expectations about future fundamentals using a dynamic stochastic general equilibrium model augmented with anticipated shocks. Accounting for agents' expectations at the business cycle horizon results in aggregate risk factor innovations that have significant explanatory power for the cross section of stock and bond returns. Further, risk arising from macroeconomic fluctuations driven by expectation shocks is important to explain the value premium. Overall, expectations eme...
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作者：Falato, Antonio; Goldstein, Itay; Hortacsu, Ali
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Pennsylvania; University of Chicago
摘要：Using daily microdata, we document major outflows in corporate-bond funds during the COVID-19 crisis. Large outflows were sustained over weeks and most severe for funds with illiquid assets, vulnerable to fire sales, and exposed to sectors hurt by the crisis. By provid-ing a liquidity backstop for their bond holdings, the Federal Reserve bond purchase pro-gram helped to reverse outflows especially for the most fragile funds. In turn, the program had spillover effects on primary market issuance...
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作者：Cavenaile, Laurent; Celik, Murat Alp; Tian, Xu
作者单位：University of Toronto; University Toronto Scarborough; University of Toronto; University of Toronto; University System of Georgia; University of Georgia
摘要：To study the dynamic effects of antitrust policy on growth and welfare, we develop and estimate the first general equilibrium model with Schumpeterian innovation, oligopolistic product market competition, and endogenous M&A decisions. The estimated model reveals that: (1) Existing policies generate gains in growth and welfare. (2) Strengthening antitrust enforcement could deliver substantially higher gains. (3) The dynamic long-run effects of antitrust policy on social welfare are an order of ...
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作者：Whited, Toni M.; Wu, Yufeng; Xiao, Kairong
作者单位：University of Michigan System; University of Michigan; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign; Columbia University
摘要：The interaction between interest rates and banks' market power generates a motive for bank risk-taking. Low interest rates depress bank profits from the deposit market as competition from cash intensifies. Limited liability and the consequent low bank market value move banks closer to the convex region of their payoff function and thus lead to more risk-taking. We estimate a model that embodies this intuition. We find that when interest rates are low, over 10% of new loans exceed the number th...
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作者：Fabo, Brian; Jancokova, Martina; Kempf, Elisabeth; Pastor, Lubos
作者单位：National Bank of Slovakia; Comenius University Bratislava; Goethe University Frankfurt; University of Chicago; Centre for Economic Policy Research - UK; National Bureau of Economic Research; European Central Bank
摘要：We compare the findings of central bank researchers and academic economists regarding the macroeconomic effects of quantitative easing (QE). We find that central bank papers find QE to be more effective than academic papers do. Central bank papers report larger effects of QE on output and inflation. They also report QE effects on output that are more significant, both statistically and economically, and they use more positive language in the abstract. Central bank researchers who report larger...
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作者：Cao, Shutao; Meh, Cesaire A.; Rios-Rull, Jose-Victor; Terajima, Yaz
作者单位：Trent University; Bank of Canada; University of Pennsylvania; University of London; University College London
摘要：The money-consumption ratio increases with age and decreases with consumption, and the recent era of low interest rates has seen a large increase in the aggregate money consumption ratio. We estimate an overlapping generations model with money for transaction purposes for the age effects and the extent of financial innovation using aggregate and household-level money holdings. We then assess the welfare cost of a 3 percentage point increase in inflation, incorporating the cost from the redistr...
