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Creator: Altug, Sumru Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 343 Descripción:
"These notes were... initially circulated as Federal Reserve Bank of Minneapolis Working Paper 343, 1987."
Palabra clave: Money stock, Real cash balances, Hyperinflation, Bubble, Price fluctuations, Currency reform, Phillip Cagan, and Price bubbles Tema: E51 - Money Supply; Credit; Money Multipliers and E31 - Price Level; Inflation; Deflation
Creator: Prescott, Edward C. and Ríos-Rull, José-Víctor Series: Advances in dynamic economics Abstract:
A necessary feature for equilibrium is that beliefs about the behavior of other agents are rational. We argue that in stationary OLG environments this implies that any future generation in the same situation as the initial generation must do as well as the initial generation did in that situation. We conclude that the existing equilibrium concepts in the literature do not satisfy this condition. We then propose an alternative equilibrium concept, organizational equilibrium, that satisfies this condition. We show that equilibrium exists, it is unique, and it improves over autarky without achieving optimality. Moreover, the equilibrium can be readily found by solving a maximization program.
Palabra clave: Rational behavior, Equilibrium, and Overlapping generations Tema: D51 - Exchange and Production Economies and E13 - General Aggregative Models: Neoclassical
Creator: Weber, Warren E. Descripción:
This spreadsheet contains data for Argentina, Brazil, Canada, Chile, France, Germany, Italy, Japan, Netherlands, Norway, Portugal, Spain, Sweden, UK, and US for the period 1810 – 1995. The data reported are for specie, M0, M2, prices, and output. The results in Rolnick-Weber, Journal of Political Economy (1997) are based on the data in this spreadsheet. For a description of how the data are constructed, see Rolnick and Weber, Staff Report 175 (1995) : https://www.minneapolisfed.org/research/staff-reports/inflation-money-and-output-under-alternative-monetary-standards.
Creator: Aiyagari, S. Rao, Wallace, Neil, and Wright, Randall Series: Lucas expectations anniversary conference Abstract:
A pairwise random meeting model with money is used to study the nominal yield on pure-discount, default-free securities that are issued by the government. There is one steady state with matured securities at par and, for some parameters, another with them at a discount. In the former, exogenous rejection of unmatured securities by the government is necessary and sufficient for such a steady state to display a positive nominal yield on unmatured securities. In the latter, the post-maturity discount on securities induces a deeper pre-maturity discount even if there is no exogenous rejection of unmatured securities.
Palabra clave: Maturity, Government securities, and Interest rates Tema: E02 - Institutions and the Macroeconomy and E43 - Interest Rates: Determination, Term Structure, and Effects
Creator: Bullard, James. and Russell, Steven. Series: Finance, fluctuations, and development Abstract:
We examine the conditions under which steady states with low real interest rates—real rates substantially below the output growth rate—exist in an overlapping generations model with production, capital accumulation, a labor-leisure trade-off, technological progress, and agents who live for many periods. The number of periods in an agent's life (n) is left open for much of the analysis and determines the temporal interpretation of a time period. The qualitative properties of the model are largely invariant to different values of n. We find that two low real interest rate steady states exist for empirically plausible values of the parameters of the model. Outside liabilities such as fiat currency or unbacked government debt are valued in one of these steady states.
Palabra clave: General equilibrium models, Interest rates, and Debts, Public Tema: D51 - General equilibrium and disequilibrium - Exchange and production economies and E40 - Money and interest rates - General
Creator: Azariadis, Costas. and Smith, Bruce D. (Bruce David), 1954-2002 Series: Finance, fluctuations, and development Abstract:
We study a variant of the one-sector neoclassical growth model of Diamond in which capital investment must be credit financed, and an adverse selection problem appears in loan markets. The result is that the unfettered operation of credit markets leads to a one-dimensional indeterminacy of equilibrium. Many equilibria display economic fluctuations which do not vanish asymptotically; such equilibria are characterized by transitions between a Walrasian regime in which the adverse selection problem does not matter, and a regime of credit rationing in which it does. Moreover, for some configurations of parameters, all equilibria display such transitions for two reasons. One, the banking system imposes ceilings on credit when the economy expands and floors when it contracts because the quality of public information about the applicant pool of potential borrowers is negatively correlated with the demand for credit. Two, depositors believe that returns on bank deposits will be low (or high): these beliefs lead them to transfer savings out of (into) the banking system and into less (more) productive uses. The associated disintermediation (or its opposite) causes banks to contract (expand) credit. The result is a set of equilibrium interest rates on loans that validate depositors' original beliefs. We investigate the existence of perfect foresight equilibria displaying periodic (possibly asymmetric) cycles that consist of m periods of expansion followed by n periods of contraction, and propose an algorithm that detects all such cycles.
Palabra clave: Interest rates, Equilibrium, Credit markets, and Business cycles Tema: E51 - Monetary policy, central banking, and the supply of money and credit - Money supply ; Credit ; Money multipliers, E44 - Money and interest rates - Financial markets and the macroeconomy, O41 - One, Two, and Multisector Growth Models, and E32 - Prices, business fluctuations, and cycles - Business fluctuations ; Cycles
Creator: Goenka, Aditya. and Spear, Stephen E. Series: Finance, fluctuations, and development Abstract:
This paper develops a dynamic model of general imperfect competition by embedding the Shapley-Shubik model of market games into an overlapping generations framework. Existence of an open market equilibrium where there is trading at each post is demonstrated when there are an arbitrary (finite) number of commodities in each period and an arbitrary (finite) number of consumers in each generation. The open market equilibria are fully characterized when there is a single consumption good in each period and it is shown that stationary open market equilibria exist if endowments are not Pareto optimal. Two examples are also given. The first calculates the stationary equilibrium in an economy, and the second shows that the on replicating the economy the stationary equilibria converge to the unique non-autarky stationary equilibrium in the corresponding Walrasian overlapping generations economy. Preliminary on-going work indicates the possibility of cycles and other fluctuations even in the log-linear economy.
Palabra clave: Overlapping generations model, General equilibirum theory, and Game theory Tema: D91 - Intertemporal choice and growth - Intertemporal consumer choice ; Life cycle models and saving, C72 - Game theory and bargaining theory - Noncooperative games, and D50 - General equilibrium and disequilibrium - General