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作者：Kroencke, Tim A.; Schmeling, Maik; Schrimpf, Andreas
作者单位：University of Neuchatel; Goethe University Frankfurt
摘要：We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call risk shifts, are uncorrelated, and therefore complementary, to risk-free rate surprises. We show that (i) risk shifts capture the lion's share of stock price movements around FOMC announcements; (ii) that they are accompanied by significant investor fund flows, suggesting that investors react heterogeneously to monetary policy news; and (iii) that ...
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作者：Cui, Wei; Kaas, Leo
作者单位：University of London; University College London; Goethe University Frankfurt
摘要：Recessions are often accompanied by spikes of corporate default and credit spreads. This paper develops a tractable macroeconomic model in which the credit spread reflects the fundamental corporate default risk as well as an excess premium which responds to variation in self-fulfilling beliefs about credit conditions. The model is calibrated to evaluate the macroeconomic impact of belief shocks in comparison to standard fundamental shocks. Changes in credit market expectations generate sizable...
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作者：Demirel, Ufuk Devrim
作者单位：Congressional Budget Office
摘要：This study evaluates how the state of the economy, as measured by the rate of unemployment, influences the short-term effects of tax changes on output and employment. I examine the effects of narratively identified tax changes by adopting two alternative approaches to estimating state-dependent impulse response functions that have been widely used in the recent literature. Both approaches suggest that short-term effects of tax changes on output and employment are smaller during times of higher...
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作者：Garga, Vaishali; Singh, Sanjay R.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston; University of California System; University of California Davis
摘要：We derive a fully quadratic approximation to welfare under endogenous growth and study optimal monetary policy. Away from the ZLB, optimal commitment policy sets interest rates to eliminate output hysteresis. A strict inflation targeting rule implements the optimal policy. At the ZLB, strict inflation targeting is sub-optimal and admits output hysteresis, defined as a permanent loss in potential output. A new policy rule that targets output hysteresis returns the output to the pre-shock trend ...
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作者：Hennessy, Christopher A.; Livdan, Dmitry
作者单位：University of London; London Business School; University of California System; University of California Berkeley
摘要：This paper analyses extrapolation and inference using tax experiments in dynamic economies when shock processes are latent regime-shifting Markov chains. Belief revisions result in severe parameter drift: Response signs and magnitudes vary widely over time despite ideal exogeneity. Even with linear causal effects, shock responses are non-linear, preventing direct extrapolation. Analytical formulae are derived for extrapolating responses or inferring causal parameters. Extrapolation and inferen...
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作者：Fernandez-Villaverde, Jesus; Mandelman, Federico; Yu, Yang; Zanetti, Francesco
作者单位：University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Shanghai University of Finance & Economics; University of Oxford
摘要：This paper develops a dynamic general equilibrium model with heterogeneous firms that face search complementarities in the formation of vendor contracts. Search complementar-ities amplify small differences in productivity among firms. Market concentration fosters monopsony power in the labor market, magnifying profits and further enhancing high-productivity firms' output share. Firms want to get bigger and hire more workers, in stark contrast with the classic monopsony model, where a firm aims...
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作者：van den Heuvel, Skander J.
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
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作者：Ji, Yan
摘要：A dynamic equilibrium model of schooling, borrowing, and job search is developed to quantify the aggregate implications of student loans. In my model, risk-averse agents under debt tend to search less and end up with lower-paid jobs. Calibrating the model using micro data, I show that student loans have significant effects on borrowers' job search decisions under the fixed repayment plan. The income-based repayment plan (IBR) largely alleviates the burden of debt repayment by insuring labor ma...
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作者：Liu, Zheng; Spiegel, Mark M.; Zhang, Jingyi
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Shanghai University of Finance & Economics
摘要：China maintains tight controls over its capital account. Its current policy regime also features financial repression, under which banks are required to extend funds to state-owned enterprises (SOEs) at favorable terms, despite their lower average productivity than private firms. We incorporate these features into a general equilibrium model. Our model illustrates a tradeoff between aggregate productivity and inter-temporal allocative efficiency from capital account liberalization under financ...
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作者：Carvalho, Carlos; Kryvtsov, Oleksiy
作者单位：Bank of Canada
摘要：Price selection is a simple, model-free measure of selection in price setting. It exploits co movement between inflation and the level from which adjusting prices departed. Prices that increase from lower-than-usual levels tend to push inflation above average. Using micro data for the United Kingdom, the United States, and Canada, we find strong price selection at disaggregate levels. Price selection is stronger for goods with less frequent price changes or with larger average price changes. A...
