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作者：Li, Jun; Wang, Huijun; Yu, Jianfeng
作者单位：University of Texas System; University of Texas Dallas; Auburn University System; Auburn University; Tsinghua University; University of Melbourne
摘要：A bottom-up measure of aggregate investment plans, namely, aggregate expected investment growth (AEIG) can negatively predict market returns. At the one-year horizon, the adjusted in-sample R-2 is 18.2% and the out-of-sample R-2 is 14.4%. The return predictive power is robust after controlling for standard macroeconomic return predictors and proxies for investor sentiment. Further analyses suggest that the predictive ability of AEIG is at least partially driven by the time-varying risk premium...
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作者：De Loecker, Jan
作者单位：KU Leuven; National Bureau of Economic Research
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作者：Gorodnichenko, Yuriy; Jermann, Urban
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作者：Ascari, Guido; Magnusson, Leandro M.; Mavroeidis, Sophocles
作者单位：University of Oxford; University of Pavia; University of Western Australia
摘要：Recently developed econometric methods, that are robust to weak instruments and exploit information in possible structural changes, are applied to study the Euler equation for consumption using aggregate US post-war data. Several extensions to the baseline Euler equation model are investigated. The results are insensitive to using linear versus nonlinear specifications, different instruments or different consumption data, but they are very sensitive to asset returns. With risk-free returns, th...
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作者：Peretto, Pietro F.
作者单位：Duke University
摘要：To make progress toward a comprehensive theory of sustainable growth, this paper integrates fertility choice and exhaustible resource dynamics in a tractable model of endogenous technological change. The model identifies conditions under which the interdependence of population, resources and technology produces a transition that consists of three phases: (1) an initial phase where agents exploit exhaustible natural resources to support population growth; (2) an intermediate phase where agents ...
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作者：Kurlat, Pablo
作者单位：University of Southern California
摘要：Two alternative models of fire sales that yield the same aggregate predictions have different normative implications. If fire sales result from marginal misallocation, a pecuniary externality leads to ex-ante overinvestment. If they result from asymmetric information, the overinvestment result is reversed. However, there may be a tradeoff between present and future underinvestment. Ex-ante macroprudential policy may need to treat different types of investment differently, but ex-post intervent...
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作者：Oberfield, Ezra
作者单位：Princeton University
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作者：Diba, Behzad; Loisel, Olivier
作者单位：Georgetown University; Institut Polytechnique de Paris; ENSAE Paris; Ecole Polytechnique
摘要：Introducing bank reserves (or money) into the basic New Keynesian (NK) model offers a resolution of NK puzzles and paradoxes. The resulting models deliver local-equilibrium determinacy under an exogenous interest rate on reserves and an exogenous nominal stock of reserves, even for an arbitrarily small monetary friction. This leads to a resolution of the forward-guidance puzzle, the fiscal-multiplier puzzle, and the paradox of flexibility. As the monetary friction becomes vanishingly small, th...
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作者：Swanson, Eric T.
作者单位：University of California System; University of California Irvine
摘要：The methods of G?rkaynak et al. (2005a) are extended to separately identify surprise changes in the federal funds rate, forward guidance, and large-scale asset purchases (LSAPs) for each FOMC announcement from July 1991 to June 2019. Forward guidance and LSAPs had substantial and highly statistically significant effects on Treasury yields, corporate bond yields, stock prices, and exchange rates, comparable in magnitude to the effects of the federal funds rate in normal times. These effects wer...
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作者：Cai, Zhifeng
作者单位：Rutgers University System; Rutgers University New Brunswick
摘要：We explore a model in which large transitory financial shocks can generate persistent slumps in output, land prices, and interest rate. The propagation channel works through a high sensitivity of land prices with respect to fundamental, achieved by a high complementarity between land services and consumption in households' preference. When this complementarity is disciplined by micro-level evidence, the equilibrium features nonlinear dynamics between two steady states. Large transitory financi...
