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作者：Lin, Xiaoji; Palazzo, Berardino; Yang, Fan
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Connecticut
摘要：A dynamic model featuring a stochastic technology frontier shows significant impact of technology adoption for asset prices. In equilibrium, firms operating with old capital are riskier because costly technology adoption restricts their flexibility in upgrading to the latest technology, making them more exposed to technology frontier shocks. Consistent with the model predictions, a long-short portfolio sorted on firm-level capital age earns an average value-weighted return of 9% per year among...
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作者：Chemla, Gilles; Hennessy, Christopher A.
作者单位：Imperial College London; Imperial College London; Centre for Economic Policy Research - UK; Centre for Economic Policy Research - UK; University of London; London Business School; University of London; London Business School
摘要：Policy experiments using large microeconomic datasets have recently gained ground in macroeconomics. Imposing rational expectations, we examine robustness of evidence derived from ideal natural experiments applied to atomistic agents in dynamic settings. Paradoxically, once experimental evidence is viewed as sufficiently clean to use, it then becomes contaminated by ex post endogeneity: Measured responses depend upon priors and the objective function into which evidence is fed. Moreover, agent...
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作者：Heise, Sebastian; Porzio, Tommaso
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Columbia University; Center for Economic & Policy Research (CEPR)
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作者：Gancia, Gino; Ponzetto, Giacomo A. M.; Ventura, Jaume
作者单位：University of London; Queen Mary University London; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI)
摘要：After decades of successful growth, economic unions have recently become the focus of heightened political controversy. To understand why, we develop a theoretical model of the effects on trade, income distribution and welfare of economic unions that differ in size and scope. Our model shows that political support for international unions can grow with their breadth and depth provided member countries are sufficiently similar. However, differences in economic size and factor endowments can tri...
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作者：Wolf, Martin
作者单位：University of Vienna
摘要：A pecuniary externality in economies with downward nominal wage rigidity leads firms to hire too many workers in expansions, which leads to too much unemployment in recessions. When firms hire more workers, firms fail to internalize that competition for workers between firms pushes up the aggregate wage, which imposes a negative externality over other firms. The externality can be resolved by a macroprudential tax on labor in expansions. In the calibrated model, the tax reduces the welfare cos...
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作者：Goldfayn-Frank, Olga; Wohlfart, Johannes
作者单位：Goethe University Frankfurt; Deutsche Bundesbank; University of Copenhagen
摘要：Exploiting the German reunification, we study how households adapt to a new environment in their macroeconomic forecasting. East Germans expect higher inflation than West Germans decades after reunification. These differences are likely driven by the persistent effect of the inflation shock after reunification, which contrasted strongly with experiences of zero inflation in the GDR. East Germans' higher inflation expectations are reflected in higher consumer debt and lower bond holdings. Our f...
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作者：Bianchi, Francesco
作者单位：Duke University; National Bureau of Economic Research; Duke University; Center for Economic & Policy Research (CEPR)
摘要：Similarities between the Great Depression and the Great Recession are documented with respect to the behavior of financial markets. A Great Depression regime is identified by using a Markov-switching VAR. The probability of this regime has remained close to zero for many decades, but spiked for a short period during the most recent financial crisis, the Great Recession. The Great Depression regime implies a collapse of the stock market, with small-growth stocks outperforming small-value stocks...
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作者：Bahaj, Saleem
作者单位：Bank of England
摘要：Large movements in sovereign spreads were at the heart of the euro crisis. This paper builds a new high-frequency narrative dataset of country specific events in the crisis period to identify shocks to sovereign spreads that are orthogonal to the economy. It finds that an increase in sovereign spreads has a contractionary macroeconomic impact with transmission running through a deterioration in private financial conditions. Moreover, the market reactions to foreign events explains a meaningful...
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作者：Gali, Jordi
作者单位：Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI)
摘要：I analyze the effects of a money-financed fiscal stimulus and compare them with those resulting from a conventional debt-financed stimulus. I study the effects of both a tax cut and an increase in government purchases, with and without a binding zero lower bound (ZLB) on the nominal interest rate. When the ZLB is not binding, a money-financed fiscal stimulus is shown to have much larger multipliers than a debt-financed fiscal stimulus. That difference in effectiveness persists, but is much sma...
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作者：Husted, Lucas; Rogers, John; Sun, Bo
作者单位：Columbia University; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：We construct a new measure of uncertainty about Federal Reserve policy actions and their consequences, a monetary policy uncertainty (MPU) index. We evaluate the information content of our index and document the usefulness of our index in bridging periods of conventional and unconventional policy making. We also estimate the aggregate effects of shocks to MPU on output, credit spreads, and other variables. Finally, we investigate the transmission channels of MPU, finding that heightened MPU le...
