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作者：Guerrieri, Luca; Iacoviello, Matteo
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：Full information methods are used to estimate a nonlinear general equilibrium model where occasionally binding collateral constraints on housing wealth drive an asymmetry in the link between housing prices and economic activity. The estimated model shows that, as collateral constraints became slack during the housing boom of 2001-2006, expanding housing wealth made a small contribution to consumption growth. By contrast, the housing collapse that followed tightened the constraints and sharply ...
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作者：Chen, Xiaoshan; Kirsanova, Tatiana; Leith, Campbell
作者单位：Durham University; University of Glasgow
摘要：Using a small-scale microfounded DSGE model with Markov switching in shock variances and policy parameters, we show that the data-preferred description of US monetary policy is a time-consistent targeting rule with a marked increase in conservatism after the 1970s. However, the Fed lost its conservatism temporarily in the aftermath of the 1987 stock market crash, and again following the 2000 dot-corn crash and has not subsequently regained it. The high inflation of the 1970s would have been av...
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作者：Adrian, Tobias; Boyarchenko, Nina; Shachar, Or
作者单位：International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Do regulations decrease dealer ability to intermediate trades? Using a unique dataset of dealer-bond-level transactions, we link changes in liquidity of individual U.S. corporate bonds to dealers' transaction activity and balance sheet constraints. We show that, prior to the financial crisis, bonds traded by more levered institutions and institutions with investment bank like characteristics were more liquid but this relationship reverses after the financial crisis. In addition, institutions t...
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作者：Zakrajsek, Egon
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
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作者：Fuhrer, Jeff
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Boston
摘要：Embedding survey expectations in a standard DSGE model helps to identify key slope parameters in standard relationships; dramatically reduces the need for lagged dependent variables, often motivated by price-indexation and habit formation; and obviates the need for autocorrelated structural shocks in the key equations. Formal statistical tests demonstrate that much of the persistence in aggregate data is better accounted for by slow-moving expectations, rather than by habits, indexation and au...
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作者：Anderson, Eric; Malin, Benjamin A.; Nakamura, Emi; Simester, Duncan; Steinsson, Jon
作者单位：Northwestern University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Columbia University; Massachusetts Institute of Technology (MIT)
摘要：How do retailers react to cost changes? While temporary sales account for 95% of price change in our data, retail prices respond to a wholesale cost increase entirely through the regular price. Sales actually respond temporarily in the opposite direction from regular prices, as though to conceal the price hike. Additional evidence from responses to commodity cost and local unemployment shocks, as well as broader evidence from BLS data, reinforces these findings. Institutional evidence indicate...
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作者：Ruhl, Kim J.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
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作者：Cochrane, John H.
作者单位：Stanford University; National Bureau of Economic Research
摘要：Many new-Keynesian models produce a deep recession with deflation at the zero bound. These models also make unusual policy predictions: Useless government spending, technical regress, capital destruction, and forward guidance can raise output. Moreover, these predictions are larger as prices become less sticky and as changes are expected further in the future. I show that these predictions are strongly affected by equilibrium selection. For the same interest-rate path, equilibria that bound in...
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作者：Zetlin-Jones, Ariel; Shourideh, Ali
作者单位：Carnegie Mellon University
摘要：Empirically, there is substantial cross-sectional variation in firms' use of external funds: roughly 80% of investment by privately held firms is financed externally, compared to 20% for publicly traded firms. In a model consistent with privately held and publicly traded firms' use of external funds, financial shocks generate only a modest response of output. This exercise casts doubt on the ability of financial shocks to generate significant economic fluctuations and emphasizes the role of no...
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作者：Kulish, Mariano; Morley, James; Robinson, Tim
作者单位：University of New South Wales Sydney; University of Melbourne
摘要：We propose estimating DSGE models in which the central bank fixes the policy rate for an extended period of time and apply our approach to estimate expected durations of the Federal Reserve's zero interest rate policy since 2009. We find a large increase in expected duration in 2011 with the move to calendar-based guidance and a decrease in 2013 with the 'Taper tantrum'. These changes are identified by the influence of expected duration on output, inflation and interest rates at longer maturit...
