Всего публикаций в данном разделе: 1306
Опубликовано на портале: 16-11-2007Bruce Preston Journal of Monetary Economics. 2006. Vol. 53. No. 3. P. 507-535.
This paper argues that recently popular forecast-based instrument rules for monetary policy may fail to stabilize economic fluctuations. In a New Keynesian model of output gap and inflation determination in which private agents face multi-period decision problems, but have non-rational expectations and learn over time, if the monetary authority adopts a forecast-based instrument rule and responds to observed private forecasts then this class of policies frequently induce divergent learning dynamics. A central bank that correctly understands private behavior can mitigate such instability by responding to the determinants of private forecasts. This suggests gathering information on the determinants of expectations to be useful
Опубликовано на портале: 16-11-2007Gianluca Benigno Journal of Monetary Economics. 2004. Vol. 51. No. 3. P. 473-502.
The objective of this paper is to analyze the effects of alternative monetary rules on real exchange rate persistence. Using a two-country stochastic dynamic general equilibrium with nominal price stickiness and local currency pricing, we will show how the persistence of purchasing power parity deviations can be related to a monetary theory of these deviations. When monetary policy lean against the wind, there is no relationship of proportionality between the time during which prices remain sticky and the persistence of the response of the real exchange rate: in this case high nominal price rigidity is not sufficient, per se, in generating any persistence following a monetary shock. Moreover, we emphasize the role of interest rates smoothing policies and relative price stickiness within countries in understanding the relationship between the real exchange rate and monetary shocks. With reasonable parameters values, a wide range of monetary policy rules can generate real exchange rate autocorrelations around the ones observed in the data.
Опубликовано на портале: 15-11-2007Pierpaolo Benigno, Gianluca Benigno Journal of Monetary Economics. 2006. Vol. 53. No. 3. P. 473-506.
This study analyzes a two-country dynamic general equilibrium model with nominal rigidities, monopolistic competition and producer currency pricing. A quadratic approximation to the utility of the consumers is derived and assumed as the policy objective function of the policymakers. It is shown that only under special conditions there are no gains from cooperation and moreover that the paths of the exchange rate and prices in the constrained-efficient solution depend on the kind of disturbance that affects the economy. Despite this result, simple targeting rules that involve only targets for the growth of output and for both domestic GDP and CPI inflation rates can replicate the cooperative allocation.
Central Bank Learning, Terms of Trade Shocks and Currency Risk: Should Only Inflation Matter for Monetary Policy? [статья]
Опубликовано на портале: 15-11-2007G.C. Lim, Paul D. McNelis Journal of Intrernational Money and Finance. 2007. Vol. 26. No. 6. P. 865-886.
This paper examines the role of interest rate policy in a small open economy, subject to terms of trade shocks and time-varying currency risks. The private sector makes optimal decisions in an intertemporal, non-linear setting with rational, forward-looking expectations. In contrast, the monetary authority chooses an optimal interest rate reaction function, given a loss function that is conditional on the state of the economy and given its “least squares learning” about the evolution of inflation and exchange-rate depreciation. The simulation results of the effects of different policy scenarios on welfare show that, on balance, the preferred stance should be strict inflation targeting.
Опубликовано на портале: 15-11-2007Niklas J. Westelius Journal of Monetary Economics. 2005. Vol. 52. No. 2. P. 477-496.
Rational expectations models of staggered price/wage contracts have failed to replicate the observed persistence in inflation and unemployment during disinflationary periods. The current literature on this persistency puzzle has focused on augmenting the nominal contract model with imperfect credibility and learning. In this paper, I re-examine the persistency puzzle by focusing on the discretionary nature of monetary policy. I show that when the central bank is allowed to re-optimize a quadratic loss function each period, imperfect credibility and learning, even in the absence of staggered contracts, can generate a significant amount of inflation persistence and employment losses during a disinflationary period.
Опубликовано на портале: 15-11-2007Adam B. Ashcraft, Murillo Campello Journal of Monetary Economics. 2007. Vol. 54. No. 6. P. 1515-1528.
The functioning of internal capital markets in financial conglomerates facilitates a novel identification strategy of the balance sheet channel of monetary policy. We look at small subsidiary banks that are affiliated with the same holding company but operate in different geographical areas. These banks face the same marginal cost of funds due to internal capital markets, but face different borrowers as they concentrate their lending with small local businesses. Exploring cross-sectional variation in local economic conditions across these subsidiaries, we investigate whether borrower creditworthiness influences the response of bank lending to monetary policy. Our results are consistent with a demand-driven transmission mechanism that works through firm balance sheets and is independent from the bank lending channel.
Опубликовано на портале: 15-11-2007Athanasios Orphanides Journal of Monetary Economics. 2003. Vol. 50. No. 5. P. 983-1022.
This study examines the usefulness of the Taylor-rule framework as an organizing device for describing the policy debate and evolution of monetary policy in the United States. Monetary policy during the 1920s and since the 1951 Treasury-Federal Reserve Accord can be broadly interpreted in terms of this framework with rather surprising consistency. In broad terms, during these periods policy has been generally formulated in a forward-looking manner with price stability and economic stability serving as implicit or explicit guides. As early as the 1920s, measures of real economic activity relative to “normal” or “potential” supply appear to have influenced policy analysis and deliberations. Confidence in such measures as guides for activist monetary policy proved counterproductive at times, resulting in excessive activism, such as during the Great Inflation and at the brink of the Great Depression. Policy during the past two decades is broadly consistent with natural growth targeting variants of the Taylor rule that exhibit less activism.
Опубликовано на портале: 15-11-2007Thomas J. Sargent Journal of Banking & Finance. 1999. Vol. 23. No. 10. P. 1463-1482.
Monetary policy can be constrained by fiscal policy if fiscal deficits grow large enough to require monetization of government debt. That fact implies that the administrative independence of central banks does not by itself imply that monetary policy is independent of the fiscal decisions of governments. This essay describes limitations, possibilities, and suitable goals for monetary policy within the existing pattern of institutional responsibilities. The economic limitations of what can be achieved by monetary policy are summarized in six propositions developed in the paper.
Lectures on Economic Growth [книги]
Опубликовано на портале: 15-11-2007Robert E. Lucas
Chicago: Harvard University Press, 2002
In this book the Nobel Prize-winning economist Robert Lucas collects his writings on economic growth, from his seminal "On the Mechanics of Economic Development" to his previously unpublished 1997 Kuznets Lectures. The chapters progress from a general theory of how growth could be sustained and why growth rates might differ in different countries, to a model of exceptional growth in certain countries in the twentieth century, to an account of the take-off of growth in the Industrial Revolution, and finally to a prediction about patterns of growth in this new century. The framework in all the chapters is a model with accumulation of both physical and human capital, with emphasis on the external benefits of human capital through diffusion of new knowledge or on-the-job learning, often stimulated by trade. The Kuznets Lectures consider the interaction of human capital growth and the demographic transition in the early stages of industrialization. In the final chapter, Lucas uses a diffusion model to illustrate the possibility that the vast intersociety income inequality created in the course of the Industrial Revolution may have already reached its peak, and that income differences will decline in this century.
Опубликовано на портале: 03-11-2007Marjorie Flavin Journal of Political Economy. 1981. Vol. 89. No. 5. P. 974-1009.
The paper analyzes the role of current income in providing new information about future income and thus signaling changes in permanent income. Using time-series analysis to quantify the revision in permanent income induced by an innovation in the current income process, a structural econometric model of consumption is developed. The rejection of the joint rational expectations permanent income hypothesis is both statistically and quantitatively significant. The paper also shows that the test of the rational expectations-permanent income hypothesis proposed by Hall is based on the reduced form of this structural model and reconciles Sargent's consumption paper with Hall's
Опубликовано на портале: 02-11-2007Alon Brav, George M. Constantinides, Christopher C. Geczy Journal of Political Economy. 2002. Vol. 110. No. 4. P. 793-824.
We present evidence that the equity premium and the premium of value stocks over growth stocks are consistent in the 1982-96 period with a stochastic discount factor calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible values of the relative risk aversion coefficient. Since these premia are not explained with an SDF calculated as the per capita marginal rate of substitution with a low value of the RRA coefficient, the evidence supports the hypothesis of incomplete consumption insurance. We also present evidence that an SDF calculated as the per capita marginal rate of substitution is better able to explain the equity premium and does so with a lower value of the RRA coefficient, as the definition of asset holders is tightened to recognize the limited participation of households in the capital market
Is Consumption Too Smooth? [статья]
Опубликовано на портале: 02-11-2007John Y. Campbell, Angus S. Deaton Review of Economic Studies. 1989. Vol. 56. No. 3. P. 357-373.
For thirty years it has been accepted that consumption is smooth because permanent income is smoother than measured income. This paper considers the evidence for the contrary position that permanent income is in fact less smooth than measured income, so that the smoothness of consumption cannot be straightforwardly explained by permanent income theory. The paper argues that in postwar U.S. quarterly data, consumption is smooth because it responds with a lag to changes in income
Опубликовано на портале: 02-11-2007Gregory N. Mankiw, Stephen P. Zeldes Journal of Financial Economics. 1991. Vol. 29. No. 1. P. 97-112.
Only one-fourth of U.S. families own stock. This paper examines whether the consumption of stockholders differs from the consumption of non-stockholders and whether these differences help explain the empirical failures of the consumption-based CAPM. Household panel data are used to construct time series on the consumption of each group. The results indicate that the consumption of stockholders is more volatile than that of non-stockholders and is more highly correlated with the excess return on the stock market. These differences help explain the size of the equity premium, although they do not fully resolve the equity premium puzzle
Опубликовано на портале: 02-11-2007John 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
Опубликовано на портале: 02-11-2007Andrew 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: 02-11-2007John 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
Опубликовано на портале: 02-11-2007Chris I. Telmer Journal of Finance. 1993. Vol. 48. No. 5. P. 1803-32.
The representative agent theory of asset pricing is modified to incorporate heterogeneous agents and incomplete markets. The model features two types of agents who differ up to a nontradable, idiosyncratic component in their endowment processes. Numerical solutions indicate that individuals are able to diversify a substantial portion of their idiosyncratic income risk through riskless borrowing and lending alone. Restrictions on the variability of intertemporal marginal rates of substitution are used to argue that incomplete markets, as modeled here, cannot account for the properties of asset returns that are anomalous from the perspective of representative agent theory
Опубликовано на портале: 02-11-2007Christopher D. Carroll, Jody Overkand, David N. Weil American Economic Review. 2000. Vol. 90. No. 3. P. 341-55.
Saving and growth are strongly positively correlated across countries. Recent empirical evidence suggests that this correlation holds largely because high growth leads to high saving, not the other way around. This evidence is difficult to reconcile with standard growth models, since forward-looking consumers with standard utility should save less in a fast-growing economy because they know they will be richer in the future than they are today. We show that if utility depends partly on how consumption compares to a ‘habit stock’ determined by past consumption, an otherwise-standard growth model can imply that increases in growth can cause increased saving
Опубликовано на портале: 02-11-2007Allan Drazen
New Jersey: Princeton University Press, 2000
This major text will have an enormous impact on students and professionals in political science as well as economics, redefining how decision makers on several continents think about the full range of macroeconomic issues and informing the approaches of the next generation of economists.
Open-Economy Inflation Targeting [статья]
Опубликовано на портале: 01-11-2007Lars E.O. Svensson Journal of International Economics. 2000. Vol. 50. No. 1. P. 155–183 .
The paper examines inflation targeting in a small open economy with forward-looking aggregate supply and demand with microfoundations, and with stylized realistic lags in the different monetary-policy transmission channels. The paper compares strict and flexible targeting of CPI and domestic inflation, and inflation-targeting reaction functions and the Taylor rule. Flexible CPI-inflation targeting does not limit the variability of CPI inflation but also the variability of the output gap and the real exchange rate. Negative productivity supply shocks and positive demand shocks have similar effects on inflation and the output gap, and induce similar monetary policy responses.