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作者：Martin, Alberto; Ventura, Jaume
作者单位：Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics
摘要：We live in a new world economy characterized by financial globalization, historically low interest rates, and frequent credit booms and busts. To study this world, we extend the rational-bubbles frame work of Martin and Ventura(2015) to include many countries and general preferences. We find that financial globalization and low interest rates create an environment that is conducive to credit bubbles. These bubbles raise world savings and generate capital flows that may not be efficient. A glob...
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作者：Chang, Chun; Liu, Zheng; Spiegel, Mark M.
作者单位：Shanghai Jiao Tong University; Federal Reserve System - USA
摘要：China's external policies, including capital controls, managed exchange rates, and sterilized interventions, constrain its monetary policy options for maintaining macroeconomic stability following external shocks. We study optimal monetary policy in a dynamic stochastic general equilibrium (DSGE) model that incorporates these Chinese characteristics. The model highlights a monetary policy tradeoff between domestic price stability and costly sterilization. The same DSGE framework allows us to e...
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作者：Elsby, Michael W. L.; Hobijn, Bart; Sahin, Ayseguel
作者单位：University of Edinburgh; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Conventional analyses of labor market fluctuations ascribe a minor role to labor force participation. We show, by contrast, that flows-based analyses imply that the participation margin accounts for around one-third of unemployment fluctuations. A novel stock-flow apparatus establishes these facts, delivering three further contributions. First, the role of the participation margin appears robust to adjustments for spurious transitions induced by reporting error. Second, conventional stocks-bas...
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作者：Eusepi, Stefano; Preston, Bruce
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Monash University
摘要：Real-business-cycle models rely on total factor productivity (TFP) shocks to explain the observed co-movement among consumption, investment and hours. However an emerging body of evidence identifies investment shocks as important drivers of business cycles. This paper shows that a neoclassical model consistent with observed heterogeneity in labor supply and consumption across employed and non-employed can generate co-movement in response non-TFP shocks. Estimation reveals fluctuations in the m...
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作者：Hatchondo, Juan Carlos; Martinez, Leonardo; Sanchez, Juan M.
作者单位：Indiana University System; Indiana University Bloomington; International Monetary Fund; Federal Reserve System - USA
摘要：A life-cycle model is developed in which households face income and house-price risk and buy houses with mortgages. This model, which accounts for key features in U.S. data, is used as a laboratory for prudential policy. Recourse mortgages increase the cost of default but also lower equity and increase payments. The effect on default is nonmonotonic. Loan-to-value (LTV) limits increase equity and lower the default rate, with negligible effects on housing demand. Combining recourse mortgages an...
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作者：Bruno, Valentina; Shin, Hyun Song
作者单位：American University; Bank for International Settlements (BIS)
摘要：Adjustments in bank leverage act as the linchpin in the monetary transmission mechanism that works through fluctuations in risk-taking. In the international context, we find evidence of monetary policy spillovers on cross-border bank capital flows and the US dollar exchange rate through the banking sector. A contractionary shock to US monetary policy leads to a decrease in cross-border banking capital flows and a decline in the leverage of international banks. Such a decrease in bank capital f...
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作者：Lewis, Karen K.; Liu, Edith X.
作者单位：University of Pennsylvania; National Bureau of Economic Research; Cornell University
摘要：International consumption risk sharing studies often generate counterfactual implications for asset return behavior with potentially misleading results. We address this contradiction using data moments of consumption and asset returns to fit a canonical international consumption risk sharing framework. Introducing persistent consumption risk, we find that its correlation across countries is more important for risk sharing than that of transitory risk. To identify these risk components, we join...
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作者：Carlstrom, Charles T.; Fuerst, Timothy S.; Paustian, Matthias
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University of Notre Dame
摘要：A familiar result in the canonical Dynamic New Keynesian (DNK) model is that policy-makers constrained by the zero bound can improve outcomes by promising to keep rates low after the zero bound is not binding. We examine a general class of interest rate pegs in a variety of DNK models. Standard versions of the model produce counterintuitive reversals where the effect of the interest rate peg can switch from highly expansionary to highly contractionary for modest changes in the length of the in...
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作者：Chava, Sudheer; Gallmeyer, Michael; Park, Heungju
作者单位：University System of Georgia; Georgia Institute of Technology; University of Virginia; Peking University Shenzhen Graduate School (PKU Shenzhen); Peking University
摘要：U.S. stock return predictability is analyzed using a measure of credit standards (Standards) derived from the Federal Reserve Board's Senior Loan Officer Opinion Survey on Bank Lending Practices. Standards is a strong predictor of stock returns at a business cycle frequency, especially in the post-1990 data period. Empirically, a tightening of Standards predicts lower future stock returns. Standards performs well both in-sample and out-of-sample and is robust to a host of consistency checks. S...
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作者：Guo, Jang-Ting; Sirbu, Anca-Ioana; Weder, Mark
作者单位：University of California System; University of California Riverside; Western Washington University; University of Adelaide
摘要：The plausibility of expectations-driven cyclical fluctuations in an otherwise standard one-sector real business cycle model with variable capital utilization and mild increasing returns-to-scale in production is examined. Due to a dominating wealth effect, our model is able to generate qualitatively as well as quantitatively realistic aggregate fluctuations driven by news impulses to future consumption demand or government spending on goods and services. When the economy is subject to anticipa...
