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作者：Petrosky-Nadeau, Nicolas; Wasmer, Etienne
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Carnegie Mellon University; Institut d'Etudes Politiques Paris (Sciences Po)
摘要：Goods market frictions drastically change the dynamics of the labor market, both in terms of persistence and volatility. In a model with three imperfect markets - goods, labor, and credit - we find that credit and goods market imperfections are substitutable in raising volatility. Goods market frictions are unique in generating persistence. Two key mechanisms in the goods market generate large hump-shaped responses to productivity shocks: countercyclical goods market tightness and prices alter...
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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：The toolkit adapts a first-order perturbation approach and applies it in a piecewise fashion to solve dynamic models with occasionally binding constraints. Our examples include a real business cycle model with a constraint on the level of investment and a New Keynesian model subject to the zero lower bound on nominal interest rates. Compared with a high-quality numerical solution, the piecewise linear perturbation method can adequately capture key properties of the models we consider. A key ad...
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作者：Glover, Brent; Levine, Oliver
作者单位：Carnegie Mellon University; University of Wisconsin System; University of Wisconsin Madison
摘要：This study provides evidence that managerial incentives, shaped by compensation contracts, help to explain the empirical relationship between uncertainty and investment. We develop a model in which the manager, compensated with an equity-based contract, makes investment decisions for a firm that faces time-varying volatility. The contract creates incentives that affect both the sign and magnitude of a manager's optimal response to volatility shocks. The model is calibrated using compensation d...
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作者：Hansen, Lars Peter; Sargent, Thomas J.
作者单位：New York University
摘要：This paper studies alternative ways of representing uncertainty about a law of motion in a version of a classic macroeconomic targetting problem of Milton Friedman (1953). We study both unstructured uncertainty - ignorance of the conditional distribution of the target next period as a function of states and controls - and more structured uncertainty - ignorance of the probability distribution of a response coefficient in an otherwise fully trusted specification of the conditional distribution ...
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作者：Catao, Luis A. V.; Chang, Roberto
作者单位：International Monetary Fund; Rutgers University System; Rutgers University New Brunswick; National Bureau of Economic Research
摘要：How should monetary policy respond to large fluctuations in world food prices? We study this question in an open economy model in which imported food has a larger weight in domestic consumption than abroad and international risk sharing can be imperfect. A key novelty is that the real exchange rate and the terms of trade can move in opposite directions in response to world food price shocks. This exacerbates the policy trade-off between stabilizing output prices vis a vis the real exchange rat...
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作者：Hirshleifer, David; Li, Jun; Yu, Jianfeng
作者单位：University of California System; University of California Irvine; University of Texas System; University of Texas Dallas; University of Minnesota System; University of Minnesota Twin Cities; The Chinese University of Hong Kong, Shenzhen
摘要：Introducing extrapolative bias into a standard production-based model with recursive preferences reconciles salient stylized facts about business cycles (low consumption volatility, high investment volatility relative to output) and financial markets (high equity premium, volatile stock returns, low and smooth risk-free rate) with plausible levels of risk aversion and intertemporal elasticity of substitution. Furthermore, the model captures return predictability based upon dividend yield, Q, a...
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作者：Andolfatto, David; Williamson, Stephen
作者单位：Federal Reserve System - USA; Simon Fraser University; Washington University (WUSTL)
摘要：A goal of this paper is to make sense of the seemingly puzzling behavior of interest rates and inflation - and the role of central banks in that behavior - during and after the Great Recession, particularly in the United States. To this end, we construct a model in which government debt plays a key role in exchange, and can bear a liquidity premium. If asset market constraints bind, then there need not be deflation under an indefinite zero interest rate policy (ZIRP). Further, ZIRP may not be ...
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作者：Olovsson, Conny
作者单位：Sveriges Riksbank
摘要：Optimal taxes for Europe and the U.S. are derived in a realistically calibrated model in which agents buy consumption goods and services and use home capital and labor to produce household services. The optimal tax rate on services is substantially lower than the tax rate on goods. Specifically, the planner cannot tax home production directly and instead lowers the tax rate on market services to increase the relative price of home production. The optimal tax rate on the return to home capital ...
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作者：Archer, David
作者单位：Bank for International Settlements (BIS)
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作者：Berndt, Antje; Yeltekin, Sevin
作者单位：North Carolina State University; Australian National University; Carnegie Mellon University
摘要：Using the government's intertemporal budget constraint, we quantify the contribution of returns paid on the U.S. government's debt portfolio to the evolution of the debt-to-GDP ratio. We show that announcements of unconventional monetary policy measures by the Federal Reserve between 2008.IV and 2012, as a part of macro-economic stabilization, were associated with a sizable increase in returns and debt-to-GDP ratios and contributed to fiscal imbalances. We use the Federal Reserve's portfolio c...
