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作者：Agarwal, Sumit; Hauswald, Robert
作者单位：National University of Singapore; American University
摘要：To study the consequences of information disclosure on economic exchange, we compare the differential information content of in-person (inside) and online (arm's-length) loans. Confidential disclosures crucially shape the strategic dynamics of bank-borrower interaction and lead to trade-offs between the availability and pricing of credit. Inside debt carries higher interest but is more readily available whereas the opposite holds true for arm'slength loans. Anticipating the bank's use of insid...
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作者：Assenza, T.; Heemeijer, P.; Hommes, C. H.; Massaro, D.
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; University of Amsterdam; Tinbergen Institute; Bank of Canada; Catholic University of the Sacred Heart
摘要：The New Keynesian theory of inflation determination is tested in this paper by means of laboratory experiments. We find that the Taylor principle is a necessary condition to ensure convergence to the inflation target, but it is not sufficient. Using a behavioral model of expectation formation, we show how heterogeneous expectations tend to self-organize on different forecasting strategies depending on monetary policy. Finally, we link the central bank's ability to control inflation to the impa...
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作者：Dabla-Norris, Era; Ji, Yan; Townsend, Robert M.; Unsal, D. Filiz
作者单位：International Monetary Fund; Hong Kong University of Science & Technology; Massachusetts Institute of Technology (MIT)
摘要：A general equilibrium model featuring multiple realistic sources of financial frictions is developed to study how different constraints interact in equilibrium. We highlight, distinguish, and evaluate their differential impacts and rich interactions. The economic impact of financial inclusion policies in an economy depends not only on which constraint is alleviated, but also on the tightness of other constraints. Policy instruments should target the most binding constraint, which likely varies...
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作者：Merrill, Craig B.; Nadauld, Taylor D.; Stulz, Rene M.; Sherlun, Shane M.
作者单位：Brigham Young University; Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Ohio; Ohio State University; National Bureau of Economic Research; University of Pennsylvania; European Corporate Governance Institute
摘要：Many observers have argued that the fall in RMBS prices during the crisis was partly caused by fire sales. Using a unique dataset of RMBS transactions for insurance compa-nies, we show evidence supportive of a role, at the transaction level, of forced sales that occurred at discounted prices relative to fundamentals, and find that the RMBS market behaved as a whole as would be expected in the presence of fire sales. We show that risk -sensitive capital requirements and mark-to-market accountin...
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作者：Figueroa, Nicolas; Leukhina, Oksana; Ramirez, Carlos
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Our goal is to elucidate the interaction of banks' screening effort and strategic information production in loan-backed asset markets using a general equilibrium framework. Asset quality is unobserved by investors, but banks may purchase error-prone ratings. The premium paid on highly rated assets emerges as the main determinant of banks' screening effort. The fact that rating strategies reflect banks' private information about asset quality helps keep this premium high. Conventional regulator...
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作者：Gechert, Sebastian; Paetz, Christoph; Villanueva, Paloma
作者单位：Otto Friedrich University Bamberg
摘要：A narrative dataset of legislative social security shocks is constructed for Germany. The dataset covers major legal changes in benefits and contributions from 1970 to 2018. We estimate their macroeconomic effects in a proxy SVAR. The GDP response to a cut in contributions yields a fiscal multiplier of about 0.4 on impact that fades relatively quickly. For benefit increases the impact multiplier is 1.1 and more persistent. The response of other macro variables suggests that benefits work throu...
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作者：Falck, E.; Hoffmann, M.; Huertgen, P.
作者单位：Goethe University Frankfurt; Deutsche Bundesbank
摘要：Time-variation in disagreement about future inflation is a stylized fact in survey data, but little is known on how disagreement interacts with the efficacy of monetary policy. We show that a contractionary 100 bps U.S. monetary policy shock leads to a statistically significant increase in inflation and inflation expectations of up to 0.7 percentage points in times of high disagreement, whereas in times of low disagreement it leads to a significant decline in these variables of around 0.8 perc...
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作者：Lansing, Kevin J.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：A representative agent contemplates the possibility of an occasionally binding zero lower bound (ZLB) on the nominal interest rate that is driven by switching between two local equilibria, labeled the targeted and deflation solutions, respectively. This view turns out to be true in simulations, thus validating the agent's beliefs. I solve for the time series of stochastic shocks and endogenous forecast weights that allow the model to exactly replicate the observed time paths of U.S. data since...
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作者：Peters, Michael
作者单位：Yale University; National Bureau of Economic Research
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作者：Grundl, Serafin; Kim, You Suk
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：The U.S. government guarantees a majority of residential mortgages to promote homeownership. This paper uses property-level data to estimate the effect of government guarantees on homeownership and other housing market outcomes, by exploiting variation of the conforming loan limits (CLLs) along county borders. We find that CLL changes had effects on government guarantees, house prices, house sales and construction activity, but find no robust effect on homeownership. The confidence intervals o...
