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作者：Bodenstein, Martin; Zhao, Junzhu
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Central University of Finance & Economics
摘要：We study optimal monetary policy when the policymaker is uncertain whether the cyclical properties of employment and wages are determined by sticky nominal wages or by search and matching frictions in the labor market. Unless the policymaker is almost certain about the search and matching model being the true data-generating process, the policymaker chooses to stabilize wage inflation at the expense of price inflation, the policy resembling the optimal policy in the sticky wage model, regardle...
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作者：Coeurdacier, Nicolas; Rey, Helene; Winant, Pablo
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; Bank of England
摘要：We revisit the debate on the benefits of financial integration in a two-country neoclassical growth model with aggregate uncertainty. The framework accounts simultaneously for gains from a more efficient capital allocation and gains from risk sharing-together with their interaction. Global numerical methods allow for meaningful welfare comparisons. Gains from integration are quantitatively small, even for riskier and capital scarce emerging economies. These countries import capital for efficie...
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作者：Caldara, Dario; Iacoviello, Matteo; Molligo, Patrick; Prestipino, Andrea; Raffo, Andrea
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：This paper studies the effects of unexpected changes in trade policy uncertainty (TPU) on the U.S. economy. Three measures of TPU are constructed using newspaper coverage, firms' earnings calls, and tariff rates. Firm-level and aggregate macroeconomic data reveal that increases in TPU reduce business investment. The empirical results are interpreted through the lens of a two-country general equilibrium model with nominal rigidities and firms' export participation decisions. News and increased ...
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作者：Blanco, Andres; Cravino, Javier
作者单位：University of Michigan System; University of Michigan; University of Michigan System; University of Michigan; National Bureau of Economic Research
摘要：We measure the proportion of real exchange rate movements accounted for by crosscountry movements in relative reset prices (prices that changed since the previous period) using CPI microdata for five countries. Relative reset prices account for almost all of the real exchange rate movements. This is a challenge for most workhorse sticky price models used to generate volatile and persistent real exchange rates, in which relative reset prices are sluggish. Models where movements in relative wage...
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作者：Jimenez, Gabriel; Mian, Atif; Peydro, Jose-Luis; Saurina, Jesus
作者单位：Pompeu Fabra University; Banco de Espana; Princeton University; National Bureau of Economic Research; ICREA; Pompeu Fabra University; Barcelona School of Economics; Centre de Recerca en Economia Internacional (CREI); Imperial College London; Centre for Economic Policy Research - UK
摘要：This paper studies credit booms exploiting the Spanish matched credit register over 2001-2009. We extend Khwaja and Mian's (2008) loan-level estimator by incorporating firm-level general equilibrium adjustments. Higher ex-ante bank real-estate exposure increases credit supply to non-real-estate firms, but effects are neutralized by firm-level adjustments for firms with existing banking relationships. However, higher bank real-estate exposure increases risk-taking, by relaxing standards of exis...
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作者：Mele, Antonio; Molnar, Krisztina; Santoro, Sergio
作者单位：University of Surrey; Norwegian School of Economics (NHH); European Central Bank; Bank of Italy
摘要：The main advantage of price level stabilization compared with inflation stabilization rests on the central bank's ability to shape expectations. We show that stabilizing prices is no longer optimal when the central bank can shape expectations of agents with incomplete knowledge, who have to learn about the policy implemented. Disinflating in the short run more than agents expect generates short-term gains without triggering an abrupt loss of confidence, because agents update expectations slugg...
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作者：Atkinson, Tyler; Richter, Alexander W.; Throckmorton, Nathaniel A.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Dallas
摘要：During the Great Recession, central banks lowered their policy rate to the zero lower bound (ZLB), calling into question linear estimation methods. There are two alternatives: estimate a nonlinear model that accounts for precautionary savings effects of the ZLB or a piecewise linear model that is faster but ignores the precautionary savings effects. This paper compares their accuracy using artificial datasets. The predictions of the nonlinear model are typically more accurate than the piecewis...
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作者：Mumtaz, Haroon; Theodoridis, Konstantinos
作者单位：University of London; Queen Mary University London; Cardiff University
摘要：We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and matching labour frictions and Epstein-Zin preferences we show that these volatility effects are driven by the coexistence of agents' fears of unemployment and concerns about the (in) ability of the mone...
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作者：Crosignani, Matteo; Faria-e-Castro, Miguel; Fonseca, Luis
作者单位：Federal Reserve System - USA; Federal Reserve Bank - St. Louis; University of London; London Business School
摘要：The design of lender-of-last-resort interventions can exacerbate the bank-sovereign nexus. During sovereign crises, central bank provision of long-term liquidity incentivizes banks to purchase high-yield eligible collateral securities matching the maturity of the central bank loans. Using unique security-level data, we find that the European Central Bank's 3-year Long-Term Refinancing Operation caused Portuguese banks to purchase short-term domestic government bonds, equivalent to 10.6% of amo...
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作者：Gropp, Reint; Guettler, Andre; Saadi, Vahid
作者单位：Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Otto von Guericke University; Centre for Economic Policy Research - UK; Ulm University; IE University
摘要：A natural experiment and matched bank/firm data are used to identify the effects of bank guarantees on allocative efficiency. We find that with guarantees in place unproductive firms receive larger loans, invest more, and maintain higher rates of sales and wage growth. Moreover, firms produce less productively. Firms also survive longer in banks' portfolios and those that enter guaranteed banks' portfolios are less profitable and productive. Finally, we observe fewer economy-wide firm exits an...
