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作者：Winkler, Fabian
作者单位：Federal Reserve System - USA
摘要：The implications of learning-based asset pricing are examined in a business cycle model with financial frictions. Agents learn about stock prices while firms face credit constraints that depend partly on their market value. Expectations are constrained to remain modelconsistent conditional on a subjective belief for stock prices. The combination of financial frictions and learning amplifies shocks through a two-sided feedback mechanism between asset prices and real activity. The model matches ...
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作者：Ehrmann, Michael; Talmi, Jonathan
作者单位：European Central Bank
摘要：Central banks often draft press releases announcing monetary policy decisions starting from the previous release. This makes it straightforward to see how the content has evolved, but may make substantial updates harder to interpret, as markets learn to expect only minor updates. Using variation in the drafting process at the Bank of Canada, this paper finds that similar press releases reduce market volatility, whereas volatility rises when substantial changes occur after sequences of similar ...
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作者：Steinberg, Joseph B.
作者单位：University of Toronto
摘要：The paper by Caldara et al. develops new measures of trade policy uncertainty (TPU) that are associated with reduced economic activity at the micro and macro levels, and uses a DSGE model with sticky prices and sunk exporting costs to illustrate the economic forces driving these results. This discussion provides two forms of additional context for the authors' findings. First, I shed light on the reasons that firms care about TPU by linking the authors' dataset to the U.S. input-output account...
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作者：Fujiwara, Ippei; Waki, Yuichiro
作者单位：Keio University; Australian National University; University of Queensland; Aoyama Gakuin University
摘要：Should the fiscal authority use forward guidance to reduce future policy uncertainty perceived by private agents? Using dynamic general equilibrium models, we examine the welfare effects of announcing future fiscal policy shocks and show that selective transparency is desirable - announcing distortionary future policy shocks can be detrimental to ex ante social welfare, whereas announcing non-distortionary shocks generally improves welfare. Sizable welfare gains are found with constructive amb...
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作者：Jiang, Hao; Sun, Zheng
作者单位：Michigan State University; Michigan State University's Broad College of Business; University of California System; University of California Irvine
摘要：Interest rates dived into uncharted territories for an extended period after the financial crisis. What is the impact on investor behavior and asset prices? We find that when interest rates fall, flows into income-oriented equity funds increase, with higher dividend-yielding funds attracting more inflows after controlling for fund returns. Responding to their incentives, income fund managers tend to aggressively over-weight high dividend stocks in a low-rate environment. This behavior of reach...
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作者：Arce, Oscar; Nuno, Galo; Thaler, Dominik; Thomas, Carlos
作者单位：Banco de Espana
摘要：The quantitative easing (QE) policies implemented in recent years by central banks have had a profound impact on the working of money markets, giving rise to large excess reserves and pushing down key interbank rates against their floor - the interest rate on reserves. With macroeconomic fundamentals improving, central banks now face the dilemma as to whether to maintain this large balance sheet/floor system, or else to reduce their balance sheet size towards pre-crisis trends and operate trad...
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作者：Bouakez, Hafedh; Guillard, Michel; Roulleau-Pasdeloup, Jordan
作者单位：Universite de Montreal; HEC Montreal; Universite de Montreal; HEC Montreal; Universite Paris Saclay; National University of Singapore
摘要：We study optimal fiscal policy in an economy plunged into a deep recession characterized by a liquidity trap, and in which the government can allocate spending both to consumption and investment goods. Public investment increases the stock of public capital subject to a time-to-build constraint. The zero lower bound on the nominal interest rate binds as a result of a large shock that increases households' desire to save in the risk-free asset, pushing the natural rate of interest below zero. U...
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作者：Alessandria, George; Bai, Yan; Deng, Minjie
作者单位：University of Rochester; National Bureau of Economic Research
摘要：During sovereign debt crises, countries experience persistent economic declines, spiking spreads, and outflows of capital and workers. To account for these salient features, we develop a sovereign default model with migration and capital accumulation. The model has a two-way feedback. Default risk lowers workers' welfare and induces emigration, which in turn intensifies default risk by lowering tax base and investment. Compared with a nomigration model, our model produces higher default risk, ...
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作者：Alquist, Ron; Bhattarai, Saroj; Coibion, Olivier
作者单位：University of Texas System; University of Texas Austin; National Bureau of Economic Research
摘要：Guided by a macroeconomic model with endogenous commodity prices, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions that provide an economic interpretation: one factor captures the combined contribution of shocks that affect commodity markets only through general-equilibrium forces. Applied to a cross-section o...
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作者：Schoellman, Todd
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
