Risultati della ricerca
Creator: Croushore, Dean Darrell, 1956- and Evans, Charles, 1958- Series: Joint committee on business and financial analysis Abstract:
Monetary policy research using time series methods has been criticized for using more information than the Federal Reserve had available in setting policy. To quantify the role of this criticism, we propose a method to estimate a VAR with real-time data while accounting for the latent nature of many economic variables, such as output. Our estimated monetary policy shocks are closely correlated with a typically estimated measure. The impulse response functions are broadly similar across the methods. Our evidence suggests that the use of revised data in VAR analyses of monetary policy shocks may not be a serious limitation.
Parola chiave: Monetary policy, Identification, VARs, Data revisions, Real-time data, and Shocks Soggetto: C82 - Data collection and data estimation methodology ; Computer programs - Methodology for collecting, estimating, and organizing macroeconomic data, C32 - Multiple or simultaneous equation models - Time-series models ; Dynamic quantile regressions, and E52 - Monetary policy, central banking, and the supply of money and credit - Monetary policy
Creator: Hansen, Gary D. (Gary Duane) and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 507 Descrizione:
Presented at the ASSA meetings in Anaheim, CA.
Parola chiave: 1991, Recession, Technology shock, Labor, 1990, Productivity, Knowledge, and Technological shocks Soggetto: G14 - Information and Market Efficiency; Event Studies; Insider Trading and O33 - Technological Change: Choices and Consequences; Diffusion Processes
Creator: Mulligan, Casey B. Series: Great depressions of the twentieth century Abstract:
I prove some theorems for competitive equilibria in the presence of distortionary taxes and other restraints of trade, and use those theorems to motivate an algorithm for (exactly) computing and empirically evaluating competitive equilibria in dynamic economies. Although its economics is relatively sophisticated, the algorithm is so computationally economical that it can be implemented with a few lines in a spreadsheet. Although a competitive equilibrium models interactions between all sectors, all consumer types, and all time periods, I show how my algorithm permits separate empirical evaluation of these pieces of the model and hence is practical even when very little data is available. For similar reasons, these evaluations are not particularly sensitive to how data is partitioned into "trends" and "cycles." I then compute a real business cycle model with distortionary taxes that fits aggregate U.S. time series for the period 1929-50 and conclude that, if it is to explain aggregate behavior during the period, government policy must have heavily taxed labor income during the Great Depression and lightly taxed it during the war. In other words, the challenge for the competitive equilibrium approach is not so much why output might change over time, but why the marginal product of labor and the marginal value of leisure diverged so much and why that wedge persisted so long. In this sense, explaining aggregate behavior during the period has been reduced to a public finance question - were actual government policies distorting behavior in the same direction and magnitude as government policies in the model?
Parola chiave: Depressions, Taxes, World War 2, and Competitive equilibrium models Soggetto: H30 - Fiscal Policies and Behavior of Economic Agents: General, E32 - Business Fluctuations; Cycles, and C68 - Computable General Equilibrium Models
Creator: Auerbach, Kay J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 062 Parola chiave: Electronic funds transfer system, Government policy, and Financial services Soggetto: G28 - Financial Institutions and Services: Government Policy and Regulation
Creator: Cooley, Thomas F., Hansen, Gary D. (Gary Duane), and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 535 Parola chiave: Equilibrium and Business cycle Soggetto: E13 - General Aggregative Models: Neoclassical and E32 - Business Fluctuations; Cycles
Creator: Townsend, Robert M., 1948- Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 077 Abstract:
This thesis consists of a series of essays on the theory of exchange under uncertainty. The first essay examines the welfare implications of futures markets in the context of complete markets for contingent claims. It is shown that in a C-good, S-state world the equilibrium allocations resulting from the operation of pre-state noncontingent futures markets and post-state spot markets may be Pareto optimal. This proposition turns on the fact that a futures contract can be interpreted as a security whose state-specific return is the post-state spot price. If the matrix of spot prices has rank S, then, with futures and spot markets, agents can achieve the same allocations over states as with complete markets for contingent claims.
Parola chiave: Uncertainty and Markets Soggetto: D80 - Information, Knowledge, and Uncertainty: General, Y40 - Dissertations (unclassified), and G10 - General Financial Markets: General (includes Measurement and Data)
Creator: Boyd, John H. and Prescott, Edward C. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 250 Descrizione:
"Financial intermediary-coalitions" (WP 272) replaces "Financial intermediaries" (WP 231) and "Father of financial intermediary-coalitions" (WP 250).
Parola chiave: Asset transformers, Core equilibrium, Loan companies, Private information, Consumer finance companies, Commercial banks, Thrift institutions, and Financial intermediation Soggetto: D82 - Asymmetric and Private Information; Mechanism Design, G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages, and D50 - General Equilibrium and Disequilibrium: General
Creator: Persson, Torsten. and Tabellini, Guido Enrico, 1956- Series: Conference on economics and politics Abstract:
Inspired by the current European developments, we study equilibrium fiscal policy under alternative constitutional arrangements in a "federation" of countries. There are two levels of government: local and federal. Local policy redistributes across individuals and affects the probability of aggregate shocks, while federal policy shares international risk. Policies are chosen under majority rule. There is a moral hazard problem: federal risk-sharing can induce the local governments to enact policies that increase local risk. We investigate this incentive problem under alternative fiscal constitutions. In particular, we contrast a vertically ordered system like the EC with a horizontally ordered federal system like the US. These alternative arrangements are not neutral, in the sense that they create different incentives for policymakers and voters, and give rise to different political equilibria. A general conclusion is that, centralization of functions and power can be welfare improving under appropriate institutions. However, this conclusion only applies to the moral hazard problem and a federation where the countries are not too dissimilar.
Parola chiave: Fiscal federalism, Politics, Risk sharing, and Principal—agent models Soggetto: D70 - Analysis of Collective Decision-Making: General, E60 - Macroeconomic policy, macroeconomic aspects of public finance, and general outlook - General, and H10 - Structure and Scope of Government: General