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作者：Christelis, Dimitris; Georgarakos, Dimitris; Jappelli, Tullio
作者单位：University of Naples Federico II; Goethe University Frankfurt; University of Leicester
摘要：Data from the 2009 Internet Survey of the Health and Retirement Study show that many US households experienced large capital losses in housing and financial wealth, and that 5% of respondents lost their job during the Great Recession. For every loss of 10% in housing and financial wealth, the estimated drop in household expenditure was about 0.56% and 0.9%, respectively. Those who became unemployed reduced spending by 10%. In line with predictions of standard inter-temporal choice models, hous...
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作者：Chabakauri, Georgy
作者单位：University of London; London School Economics & Political Science
摘要：Portfolio constraints are widespread and have significant effects on asset prices. This paper studies the effects of constraints in a dynamic economy populated by investors with different risk aversions and beliefs about the rate of economic growth. The paper provides a comparison of various constraints and conditions under which these constraints help match certain empirical facts about asset prices. Under these conditions, borrowing and short-sale constraints decrease stock return volatiliti...
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作者：Neumuller, Seth
作者单位：Wellesley College
摘要：Analysis of data from the PSID reveals that idiosyncratic wage volatility varies inversely with inter-industry wage differentials and is positively correlated with both returns to industry tenure and rates of inter-industry mobility. An incomplete markets life cycle model in which inter-industry mobility decisions and wage differentials are endogenously determined in equilibrium is then developed and shown to be capable of rationalizing these features of the data. In the model, the ability of ...
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作者：Sarte, Pierre-Daniel; Schwartzman, Felipe; Lubik, Thomas A.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Richmond
摘要：Beginning in the mid-1980s, U.S. business cycles changed in important ways, notably via distinctive shifts in the comovement and relative volatilities of labor productivity, hours, output, and inventories. Inventories provide additional information relative to aggregate investment regarding firms' intertemporal decisions, and thus additional insight in explaining business cycles. We show that variations in the discount factor estimated using inventories, which may be interpreted as fluctuation...
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作者：Bassetto, Marco; Phelan, Christopher
作者单位：University of London; University College London; Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of London; London School Economics & Political Science; University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research
摘要：We analyze a new class of equilibria that emerges when a central bank conducts monetary policy by setting an interest rate (as an arbitrary function of its available information) and letting the private sector set the quantity traded. These equilibria involve a run on the central bank's interest target, whereby money grows fast, private agents borrow as much as possible against the central bank, and the shadow interest rate is different from the policy target. We argue that these equilibria re...
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作者：Campanale, Claudio; Fugazza, Carolina; Gomes, Francisco
作者单位：Universitat d'Alacant; University of Turin; University of London; London Business School
摘要：Traditionally, quantitative models that have studied households' portfolio choices have focused exclusively on the different risk properties of alternative financial assets. We introduce differences in liquidity across assets in the standard life-cycle model of portfolio choice. More precisely, in our model, stocks are subject to transaction costs, as considered in recent macroliterature. We show that when these costs are calibrated to match the observed infrequency of households' trading, the...
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作者：Uhlig, Harald
作者单位：University of Chicago; National Bureau of Economic Research; Centre for Economic Policy Research - UK
摘要：This is a comment on Hansen and Sargent (2015). Using a generalized one-period setup, I provide some intuition and perspective. (C) 2014 Elsevier B.V. All rights reserved.
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作者：Brumm, Johannes; Grill, Michael; Kubler, Felix; Schmedders, Karl
作者单位：University of Zurich; University of Zurich
摘要：An infinite-horizon asset-pricing model with heterogeneous agents and collateral constraints can explain why adjustments in stock market margins under US Regulation T had an economically insignificant impact on market volatility. In the model, raising the margin requirement for one asset class may barely affect its volatility if investors have access to another, unregulated class of collateralizable assets. Through spillovers, however, the volatility of the other asset class may substantially ...
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作者：Mitman, Kurt; Rabinovich, Stanislav
作者单位：Stockholm University; Amherst College
摘要：The optimal cyclical behavior of unemployment insurance is characterized in an equilibrium search model with risk-averse workers. Contrary to the current US policy, the path of optimal unemployment benefits is pro-cyclical - positively correlated with productivity and employment. Furthermore, optimal unemployment benefits react non-monotonically to a productivity shock: in response to a fall in productivity, they rise on impact but then fall significantly below their pre-recession level during...
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作者：Hubrich, Kirstin; Tetlow, Robert J.
作者单位：European Central Bank; Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：A financial stress index for the United States is introduced-one used by the staff of the Federal Reserve Board during the financial crisis of 2008-2009-and its' interaction with real activity, inflation and monetary policy is investigated using a Markov-switching VAR model, estimated with Bayesian methods. A stress event is defined as a period of adverse latent Markov states. Results show that time variation is statistically important, that stress events line up well with historical events, a...
