Creator: Altug, Sumru. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 366 Description:
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Keyword: Idiosyncratic risk, Assymetric information , Transaction cost, Private information, Borrowing constraint, Lending, and Market friction Subject (JEL): D82 - Information, knowledge, and uncertainty - Asymmetric and private information and D52 - General equilibrium and disequilibrium - Incomplete markets
Creator: Bryant, John B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 168 Abstract:
A simple model of backed money without a store of value function is presented, discussed, and defended. The function of money in the model is to replace complex contingent contracts traded on a centralized exchange with simple trades in decentralized markets.
Keyword: Contracts, Commodity money, and Fiat money Subject (JEL): C10 - Econometric and statistical methods : General - General and E40 - Money and interest rates - General
Creator: Aiyagari, S. Rao. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 376 Abstract:
We describe a simple environment in which assets of varying qualities may be used for transactions and consumption. The quality of an asset is known to the seller but not the buyer. We show that this feature can generate a negative relationship between the transactions velocities of assets and their rates of return. We also discuss several versions of Gresham's Law which hold in this environment.
Keyword: Gresham's Law, Asset quality, Consumption, and Transactions Subject (JEL): E42 - Money and interest rates - Monetary systems ; Standards ; Regimes ; Government and the monetary system ; Payment systems
Creator: Williamson, Stephen D. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 405 Abstract:
A model is constructed where banks provide access to a communication technology which facilitates trade. Bank liabilities may coexist with alternative means of payment in equilibrium, and there exist regions of the parameter space where banking dominates the payments system and where physical exchange media dominate. The model is consistent with some observations concerning the role of the banking system in economic development, and with characteristics of banking crises. In particular, in early stages of economic development: 1) rapid output growth is accompanied by an increasing share of banking in transactions activity and 2) there are recurrent banking "panics" where reductions in measured aggregate output coincide with increases in the use of alternative means of payment relative to bank liabilities. In later stages of development, growth slackens off, the share of banking in the payments system stabilizes and the economy is less likely to be subject to banking panics.
Prepared for a conference on "Models of Money and Intermediation," University of Western Ontario, October 1988. A preliminary version was presented at the NBER Summer Institute, July 1988.
Keyword: Communication cost, Financial panic, Banks, Communication technology, and Banking panics Subject (JEL): O33 - Technological change ; Research and development - Technological change : Choices and consequences ; Diffusion processes and G21 - Financial institutions and services - Banks ; Other depository institutions ; Micro finance institutions ; Mortgages
Creator: Backus, David. and Kehoe, Patrick J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 359 Abstract:
We show that some classes of sterilized interventions have no effect on equilibrium prices or quantities. The proof does not depend on complete markets, infinitely-lived agents, Ricardian equivalence, monetary neutrality, or the law of one price. Moreover, regressions of exchange rates or interest differentials on variables measuring the currency composition of the debt may contain no information, in our theoretical economy, about the effectiveness of such interventions. Another class of interventions requires simultaneous changes in monetary and fiscal policy; their effects depend, generally, on the influence of tax distortions, government spending, and money supplies on economic behavior. We suggest that in applying the portfolio balance approach to the study of intervention, lack 01 explicit modeling of these features is a serious flaw.
Keyword: Foreign exchange law and legislation and Debts, external Subject (JEL): H30 - Fiscal policies and behavior of economic agents - General, F31 - International finance - Foreign exchange, and F41 - Macroeconomic aspects of international trade and finance - Open economy macroeconomics
Creator: Hopenhayn, Hugo Andres. and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 374 Abstract:
The existence of fixed points for monotone maps on spaces of measures is established. The case of monotone Markov processes is analyzed and a uniqueness and global stability condition is developed. A comparative statics result is presented and the problem of approximation to the invariant distribution is discussed. The conditions of the theorems are verified for the cases of Optimal Stochastic Growth and Industry Equilibrium.
Keyword: Stochastic optimization, Monotone Markov process, and Invariant Markov process Subject (JEL): C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis
Creator: Litterman, Robert B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 274 Keyword: Bayesian analysis, BVAR, and Vector autoregression Subject (JEL): C11 - Econometric and statistical methods : General - Bayesian analysis and C53 - Econometric modeling - Forecasting and other model applications
Creator: Litterman, Robert B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 259 Keyword: Bayesian analysis, BVAR, and Vector autoregression Subject (JEL): C11 - Econometric and statistical methods : General - Bayesian analysis and C53 - Econometric modeling - Forecasting and other model applications