-
作者：Foerster, Andrew T.
作者单位：Federal Reserve System - USA
摘要：A central bank may purchase assets during a financial crisis and then exit from those purchases. Agents have rational expectations about financial crises as rare events, the probability the central bank purchases assets, and the exit strategy. Selling off assets quickly produces a double-dip recession while slowly unwinding generates a smooth recovery. Expectations about the exit strategy influence the initial effectiveness of purchases. Increasing the probability of purchases during crises di...
-
作者：Aoki, Kosuke; Nikolov, Kalin
作者单位：University of Tokyo; European Central Bank
摘要：The macroeconomic impact of rational bubbles in a limited commitment economy crucially depends on whether banks or ordinary savers hold the bubble. Banks hold the bubble asset when their leverage is high, when long-term real interest rates are low or when lax supervision allows them to enjoy high deposit insurance subsidies. When banks are the bubble-holders, this amplifies the output boom by reducing loan-deposit rate spreads while the bubble survives but also deepens the recession when the b...
-
作者：Crucini, Mario J.; Shintani, Mototsugu; Tsuruga, Takayuki
作者单位：Vanderbilt University; University of Tokyo; Kyoto University; National Bureau of Economic Research
摘要：US micro price data at the city level suggests that both the volatility and the persistence of law of one price deviations are rising in the distance between US cities. A standard two-city equilibrium model with trade costs can predict the relationship between volatility and distance but not between persistence and distance. We show that if there is imperfect information about the state of nominal aggregate demand, with noisy signals that are asymmetric across cities, then distance and persist...
-
作者：Curdia, Vasco; Ferrero, Andrea; Ng, Ging Cee; Tambalotti, Andrea
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of Oxford; University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：Interest rate decisions by central banks are universally discussed in terms of Taylor rules, which describe policy rates as responding to inflation and some measure of the output gap. We show that an alternative specification of monetary policy, in which the interest rate tracks the Wicksellian efficient rate of return as the primary indicator of real activity, fits the U.S. data better than otherwise identical Taylor rules. This result holds for a variety of specifications of the other ingred...
-
作者：Gourio, Francois
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：Glover and Levine provide an elegant framework to quantify the investment distortions created by managerial compensation. My discussion focuses on how one should model managers, on the potential endogeneity of managerial compensation, and on the macroeconomic relevance of the mechanism. (C) 2014 Elsevier B.V. All rights reserved.
-
作者：Adam, Klaus; Beutel, Johannes; Marcet, Albert; Merkel, Sebastian
作者单位：University of Mannheim; Centre for Economic Policy Research - UK; Autonomous University of Barcelona; Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE); Barcelona School of Economics; ICREA
摘要：We present a stock market model that quantitatively replicates the joint behavior of stock prices, trading volume and investor expectations. Stock prices in the model occasionally display belief-driven boom and bust cycles that delink asset prices from fundamentals and redistribute considerable amounts of wealth from less to more experienced investors. Although gains from trade arise only from subjective belief differences, introducing financial transactions taxes (FTTs) remains undesirable. W...
-
作者：Jorda, Oscar; Schularick, Moritz; Taylor, Alan M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of California System; University of California Davis; University of Bonn; Centre for Economic Policy Research - UK; University of California System; University of California Davis; National Bureau of Economic Research
摘要：What risks do asset price bubbles pose for the economy? This paper studies bubbles in housing and equity markets in 17 countries over the past 140 years. History shows that not all bubbles are a like. Some have enormous costs for the economy, while others blow over. We demonstrate that what makes some bubbles more dangerous than others is credit. When fueled by credit booms, asset price bubbles increase financial crisis risks; upon collapse they tend to be followed by deeper recessions and slo...
-
作者：Fernandez, Andres; Rebucci, Alessandro; Uribe, Martin
作者单位：Johns Hopkins University; Columbia University; National Bureau of Economic Research
摘要：A growing theoretical literature advocates the use of countercyclical capital control policy, that is, the tightening of restrictions on net capital inflows during booms and the relaxation thereof during recessions. We examine the behavior of capital controls in 78 countries over the period 1995-2011. We find that capital controls are remarkably acyclical. Booms and busts in aggregate activity are associated with virtually no movements in capital controls. These results are robust to controlli...
-
作者：Gomme, Paul; Lkhagvasuren, Damba
作者单位：Concordia University - Canada; Universite de Montreal; National University of Mongolia
摘要：It is well known that the Diamond-Mortensen-Pissarides model exhibits a strong tradeoff between cyclical unemployment fluctuations and the size of rents to employment. Introducing endogenous job search effort reduces the strength of the trade-off while bringing the model closer to the data. Ignoring worker search effort leads to a large upward bias in the elasticity of matches with respect to vacancies. Merging the American Time Use Survey and the Current Population Survey, new evidence in sup...
-
作者：Halket, Jonathan; di Custoza, Matteo Pignatti Morano
作者单位：University of Essex; Luiss Guido Carli University
摘要：The provision of owner-occupied versus rental houses is modeled as a competitive search economy where households have private information over their expected duration. With public information, households with low vacancy hazard rates pay lower rents and search in thicker rental markets. With private information, rentals are under-provided to long-duration households to discourage short-duration households from searching there. Ownership is attractive in part because it cures the private inform...
