Review of Economic Dynamics
Опубликовано на портале: 22-10-2007Lars Peter Hansen, Thomas J. Sargent Review of Economic Dynamics. 2001. Vol. 4. No. 3. P. 519-535.
We explore methods for confronting model misspecification in macroeconomics. We construct dynamic equilibria in which private agents and policy makers recognize that models are approximations. We explore two generalizations of reational expectations equilibria. In one of these equilibria, decision-makers use dynamic evolution equations that are imperfect statistical approximations, and in the other misspecification is impossible to detect even from infinite samples of time series data. In the first of these equilibria, decision rules are tailored to be robust to the allowable statistical discrepancies. Using frequency domain methods, we show that robust decision-makers treat model misspecification like time series econometricians
Опубликовано на портале: 04-11-2004Michael Woodford Review of Economic Dynamics. 1998. Vol. 1. No. 1. P. 173-219 .
This paper shows that it is possible to analyze equilibrium inflation determination without any reference to either money supply or demand, as long as one specifies policy in terms of a "Wicksellian" interest-rate feedback rule. The paper's central result is an approximation theorem, showing the existence, for a simple monetary model, of a well-behaved "cashless limit" in which the money balances held to facilitate transactions become negligible. Inflation in the cashless limit is shown to be a function of the gap between the "natural rate" of interest, determined by the supply of goods and opportunities for intertemporal substitution, and a time-varying parameter of the interest-rate rule indicating the tightness of monetary policy. Inflation can be completely stabilized, in principle, by adjusting the policy parameter to track variation in the natural rate. Under such a regime, instability of money demand has little effect upon equilibrium inflation and need not be monitored by the central bank.
Опубликовано на портале: 11-01-2003Andres Erosa, Luisa Fuster, Diego Restuccia Review of Economic Dynamics. 2002. Vol. 5. No. 4. P. 856-891.
A striking observation of the U.S. and other labor markets is the weak position of women in terms of job attachment, employment, and earnings relative to men. We develop a model of fertility and labor market decisions to study the impact of fertility on gender differences in labor turnover, employment, and wages. In our framework, individuals search for jobs and accumulate general (experience) and specific (tenure) human capital when they work. They can also increase their wage by moving to a job of higher quality. Labor market decisions (e.g., job acceptance and job mobility) may differ across genders: females that give birth may decide to interrupt their labor market attachment in order to enjoy the value of staying at home with their children. The model economy is successfully calibrated to match aggregate statistics in terms of fertility, employment, and wages. We find that fertility decisions generate important gender differences in turnover rates, with long lasting effects in employment and wages. These differences in labor turnover account for almost all the U.S. gender wage gap that is attributed to labor market experience by Blau and Kahn (2000, Journal of Labor Economics 15(1), 142). The model also implies a very small role of tenure capital in accounting for wage differences between males and females (gender gap), and between females with and without children (family gap).
Monetary Policy and Asset Prices [статья]
Опубликовано на портале: 17-11-2007Athanasios Geromichalos, Juan Manuel Licari, José Suárez-Lledó Review of Economic Dynamics. 2007. Vol. 10. No. 4. P. 761-779.
The purpose of this paper is study the effect of monetary policy on asset prices. We study the properties of a monetary model in which a real asset is valued for its rate of return and for its liquidity. We show that money is essential if and only if real assets are scarce, in the precise sense that their supply is not sufficient to satisfy the demand for liquidity. Our model generates a clear connection between asset prices and monetary policy. When money grows at a higher rate, inflation is higher and the return on money decreases. In equilibrium, no arbitrage amounts to equating the real return of both objects. Therefore, the price of the asset increases in order to lower its real return. This negative relationship between inflation and asset returns is in the spirit of research in finance initiated in the early 1980s.
Опубликовано на портале: 17-11-2007Sylvain Leduc, Keith Sill Review of Economic Dynamics. 2007. Vol. 10. No. 4. P. 595-614.
An equilibrium model is used to assess the quantitative importance of monetary policy for the post-1984 decline in US inflation and output volatility. The principal finding is that monetary policy played a substantial role in reducing inflation volatility, but a small role in reducing real output volatility. The model attributes much of the decline in real output volatility to smaller TFP shocks. We also investigate the pattern of output and inflation volatility under an optimal monetary policy counterfactual. We find that real output volatility would have been somewhat lower, and inflation volatility substantially lower, had monetary policy been set optimally.
The Optimal Inflation Tax [статья]
Опубликовано на портале: 27-04-2004Isabel Correia, Pedro Teles Review of Economic Dynamics. 1999. Vol. 2 . No. 2. P. 325-346 .
We determine the second best rule for the inflation tax in monetary general equilibrium models where money is dominated in rate of return. The results in the literature are ambiguous and inconsistent across different monetary environments. We derive and compare the optimal inflation tax solutions across the different environments and find that Friedman's policy recommendation of a zero nominal interest rate is the right one.