Статьи
Всего статей в данном разделе : 112
A Debt Puzzle [статья]
Опубликовано на портале: 25-08-2003
David Laibson, Jeremy Tobacman, Andrea Repetto
Over 60% of US households with credit cards are currently borrowing -- i.e., paying
interest -- on those cards. We attempt to reconcile the high rate of credit card
borrowing with observed levels of life cycle wealth accumulation. We simulate a lifecycle
model with five properties that create demand for credit card borrowing. First, the
calibrated labor income path slopes upward early in life. Second, income has transitory
shocks. Third, consumers invest actively in an illiquid asset, which is sufficiently
illiquid that it can not be used to smooth transitory income shocks. Fourth, consumers
may declare bankruptcy, reducing the effective cost of credit card borrowing. Fifth,
households have relatively more dependents early in the life-cycle. Our calibrated
model predicts that 20% of the population will borrow on their credit card at any
point in time, far less than the observed rate of over 60%. We identify a resolution
to this puzzle: hyperbolic time preferences. Simulated hyperbolic consumers borrow
actively in the revolving credit card market and accumulate relatively large stocks
of illiquid wealth, matching observed data.
Are Output Fluctuations Transitory? [статья]
Опубликовано на портале: 05-10-2004
John Y. Campbell, Gregory N. Mankiw
Quarterly Journal of Economics.
1987.
Vol. 102.
No. 4.
P. 857-880.
According to the conventional view of the business cycle, fluctuations in output
represent temporary deviations from trend. The purpose of this paper is to question
this conventional view. If fluctuations in output are dominated by temporary deviations
from the natural rate of output, then an unexpected change in output today should
not substantially change one's forecast of output in, say, five or ten years. Our
examination of quarterly postwar United States data leads us to be skeptical about
this implication. The data suggest that an unexpected change in real GNP of 1 percent
should change one's forecast by over 1 percent over a long horizon.
Опубликовано на портале: 02-09-2003
Andrew B. Abel, Gregory N. Mankiw, Lawrence H. Summers, Richard J. Zeckhauser
Review of Economic Studies.
1989.
No. 56.
P. 1-20.
The issue of dynamic efficiency is central to analyses of capital accumulation and
economic growth. Yet the question of what characteristics should be examined to determine
whether actual economies are dynamically efficient is unresolved. This paper develops
a criterion for determining whether an economy is dynamically efficient. The criterion,
which holds for economies in which technological progress and population growth are
stochastic, involves a comparison of the cash flows generated by capital with the
level of investment. Its application to the United States economy and the economies
of other major OECD nations suggests that they are dynamically efficient.
Опубликовано на портале: 02-11-2007
Andrew B. Abel
American Economic Review.
1990.
Vol. 80.
No. 2.
P. 38-42.
This paper introduces a utility function that nests three classes of utility functions: (1) time-separable utility functions; (2) "catching up with the Joneses" utility functions that depend on the consumer's level of consumption relative to the lagged cross-sectional average level of consumption; and (3) utility functions that display habit formation. Closed-form solutions for equilibrium asset prices are derived under the assumption that consumption growth is i.i.d. The equity premia under catching up with the Joneses and under habit formation are, for some parameter values, as large as the historically observed equity premium in the United States
Опубликовано на портале: 08-12-2002
Andrew B. Abel, Janice C. Eberly
American Economic Review.
1994.
Vol. 84 .
No. 1.
P. 1369-1384.
This paper extends the theory of investment under uncertainty to incorporate fixed
costs of investment, a wedge between the purchase price and sale price of capital,
and potential irreversibility of investment. In this extended framework, investment
is a non-decreasing function of q, the shadow price of installed capital. There are
potentially three investment regimes, which depend on the value of q relative to
two critical values. For values of q above the upper critical value, investment is
positive and is an increasing function of q, as is standard in the theory branch
of the adjustment cost literature. For intermediate values of q, between two critical
values, investment is zero. Although this regime features prominently in the irreversibility
literature, it is largely ignored in the adjustment cost literature. Finally, if
q is below the lower critical value, gross investment is negative, a possibility
that is ruled out by assumption in the irreversibility of literature. In general,
however, the shadow price q is not directly observable, so we present two examples
relating q to observable varieties.
Опубликовано на портале: 02-11-2007
John Y. Campbell, John H. Cochrane
Journal of Political Economy.
1999.
Vol. 107.
No. 2.
P. 205-251.
We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets Our model also predicts many of the difficulties that beset the standard power utility model, including Euler equation rejections, no correlation between mean consumption growth and interest rates, very high estimates of risk aversion, and pricing errors that are larger than those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our model captures the equity premium, it implies that fluctuations have important welfare costs. Unlike many habit-persistence models, our model does not necessarily produce cyclical variation in the risk free interest rate, nor does it produce an extremely skewed distribution or negative realizations of the marginal rate of substitution
Consumer Response to Tax Rebates [статья]
Опубликовано на портале: 18-09-2003
Matthew D. Shapiro, Joel Slemrod
Many households received income tax rebates in 2001 of $300 or $600. These rebates
represented advance payments of the tax cut from the new 10 percent tax bracket.
Based on a survey of a representative sample of households, this paper finds that
only 22 percent of households receiving the rebate would spent it. Instead, they
would either save it or use it to pay off debt. This very low rate of spending represents
a striking break with past behavior, which would have suggested a much higher rate
of spending. The low spending rate implies that the tax rebate provided a very limited
stimulus to aggregate demand.
Опубликовано на портале: 25-08-2003
Nicholas S. Souleles
This paper provides one of the first comprehensive analyses of the household data
underlying the Michigan Index of Consumer Sentiment. This data is used to test the
rationality of consumer expectations and to assess their usefulness in forecasting
expenditure. The results can also be interpreted as characterizing the shocks that
have hit different types of households over time. Expectations are found to be biased,
at least ex post, in that forecast errors do not average out even over a sample period
lasting almost 20 years. People underestimated the disinflation of the early 1980's
and in the 1990's, and generally appear to underestimate the amplitude of business
cycles. Forecasts are also inefficient, in that people's forecast errors are correlated
with their demographic characteristics and/or aggregate shocks did not hit all people
uniformly. Further, sentiment is found to be useful in forecasting future consumption,
even controlling for lagged consumption and macro variables like stock prices. This
excess sensitivity is counter to the permanent income hypothesis [PIH]. Higher confidence
is correlated with less saving, consistent with precautionary motives and increases
in expected future resources. Some of the rejection of the PIH is found to be due
to the systematic demographic components in forecast errors. But even after controlling
for these components, some excess sensitivity persists. More broadly, these results
suggest that empirical implementations of forward-looking models need to better account
for systematic heterogeneity in forecast errors.
Опубликовано на портале: 11-10-2004
John Y. Campbell
NBER Working Paper Series.
1996.
No. 5610.
This paper reviews the behavior of stock prices in relation to consumption. The paper
lists some important stylized facts that characterize US data, and relates them to
recent developments in equilibrium asset pricing theory. Data from other countries
are examined to see which features of the US experience apply more generally. The
paper argues that to make sense of stock market behavior one needs a model in which
investors' risk aversion is both high and varying, such as the external habit-formation
model of Campbell and Cochrane (1995).
Опубликовано на портале: 02-11-2007
John Y. Campbell, Gregory N. Mankiw
NBER Macroeconomics Annual.
1989.
P. 185-216.
This paper proposes that the time-series data on consumption, income, and interest
rates are best viewed as generated not by a single representative consumer but by
two groups of consumers. Half the consumers are forward-looking and consume their
permanent income, but are extremely reluctant to substitute consumption temporarily.
Half the consumers follow the "rule of thumb" of consuming their current incomeThe
paper documents three empirical regularities that, it argues, are best explained
by this medal. First, expected changes in income are associated with expected changes
in consumption. Second, expected real interest rates are not associated with expected
changes in consumption. Third, periods in which consumption is high relative to income
are typically followed by high growth in income. The paper concludes by briefly discussing
the implications of these findings for economic policy and economic research
Corporate financing and investment decisions when firms have information that investors
do not have [статья]
Опубликовано на портале: 06-10-2004
Stewart C. Myers, Nicholas S. Majluf
Journal of Financial Economics.
1984.
Vol. 13.
No. 2.
P. 187-221.
This paper considers a firm that must issue common stock to raise cash to undertake
a valuable investment opportunity. Management is assumed to know more about the firm's
value than potential investors. Investors interpret the firm's actions rationally.
An equilibrium model of the issue-invest decision is developed under these assumptions.
The model shows that firms may refuse to issue stock, and therefore may pass up valuable
investment opportunities. The model suggests explanations for several aspects of
corporate financing behavior, including the tendency to rely on internal sources
of funds, and to prefer debt to equity if external financing is required. Extensions
and applications of the model are discussed.
Опубликовано на портале: 18-09-2003
Matthew D. Shapiro, Valerie A. Ramey
Changes in government spending often lead to significant shifts in demand across
sectors. This paper analyzes the effects of sector-specific changes in government
spending in a two-sector dynamic general equilibrium model in which the reallocation
of capital across sectors is costly. The two-sector model leads to a richer array
of possible responses of aggregate variables than the one-sector model. The empirical
part of the paper estimates the effects of military buildups on a variety of macroeconomic
variables using a new measure of military shocks. The behavior of macroeconomic aggregates
is consistent with the predictions of a multi-sector neoclassical model. In particular,
consumption, real product wages and manufacturing productivity fall in response to
exogenous military buildups in the post-World War II United States.
Опубликовано на портале: 15-07-2004
Lawrence J. Christiano, Martin Stewart Eichenbaum
American Economic Review.
1992.
No. 382.
P. 430-450.
Hours worked and the return to working are weakly correlated. Traditionally, the
ability to account for this fact has been a litmus test for macroeconomic models.
Existing real-business-cycle models fail this test dramatically. We modify prototypical
real-business-cycle models by allowing government consumption shocks to influence
labor-market dynamics. This modification can, in principle, bring the models into
closer conformity with the data. Our empirical results indicate that it does.
Опубликовано на портале: 26-11-2007
Diego Restuccia, Margarida Duarte, Andrea L. Waddle
Economic Quarterly.
2007.
Win.
P. 57-76.
The authors study the business cycle properties of exchange rates and other macro-economic
variables in a panel of developed and developing countries. They find substantial
variation in the degree of co-movement of exchange rates with other macroeconomic
variables across countries in our sample. Moreover, the volatility of exchange rates
is much larger in developing countries than in developed countries. This larger volatility
of exchange rates in developing countries is associated with the characteristics
of business cycles and the level of co-movement with other aggregates.
Опубликовано на портале: 16-03-2005
Craig A. Burnside, Martin Stewart Eichenbaum
NBER Working Paper Series.
1994.
No. 4675.
This paper analyzes the role of variable capital utilization rates in propagating
shocks over the business cycle. To this end we formulate and estimate an equilibrium
business cycle model in which cyclical capital utilization rates are viewed as a
form of factor hoarding. We find that variable capital utilization rates substantially
magnify and propagate the impact of shocks to agents' environments. The strength
of these propagation effects is evident in the dynamic response functions of various
economy wide aggregates to shocks in agents' environments, in the statistics that
we construct to summarize the strength of the propagation mechanisms in the model
and in the volatility of exogenous technology shocks needed to explain the observed
variability in aggregate U.S. output. Other authors have argued that standard Real
Business Cycle (RBC) models fail to account for certain features of the data because
they do not embody quantitatively important propagation mechanisms. These features
include the observed positive serial correlation in the growth rate of output, the
shape of the spectrum of the growth rate of real output and the correlation between
the forecastable component of real output and various other economic aggregates.
Allowing for variable capital utilization rates substantially improves the ability
of the model to account for these features of the data.
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