Risultati della ricerca
Creator: Chari, V. V., Christiano, Lawrence J., and Eichenbaum, Martin S. Series: Finance, fluctuations, and development Abstract:
Different monetary aggregates covary very differently with short term nominal interest rates. Broad monetary aggregates like Ml and the monetary base covary positively with current and future values of short term interest rates. In contrast, the nonborrowed reserves of banks covary negatively with current and future interest rates. Observations like this 'sign switch' lie at the core of recent debates about the effects of monetary policy actions on short term interest rates. This paper develops a general equilibrium monetary business cycle model which is consistent with these facts. Our basic explanation of the 'sign switch' is that movements in nonborrowed reserves are dominated by exogenous shocks to monetary policy, while movements in the base and Ml are dominated by endogenous responses to non-policy shocks.
Parola chiave: Monetary policy, Interest, Money, Shocks, Inside money, and Interest rates Soggetto: E43 - Money and interest rates - Determination of interest rates ; Term structure of interest rates and E51 - Monetary policy, central banking, and the supply of money and credit - Money supply ; Credit ; Money multipliers
Creator: Wallace, Neil Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 347 Descrizione:
The Harry G. Johnson Lecture, presented at the 1987 A.U.T.E. and the Royal Economic Society Conference, Aberyswyth, April 1-4.
Parola chiave: Monetary theory, Equilibrium model, Outside money, Currency, Assets, and Inside money Soggetto: G12 - Asset Pricing; Trading Volume; Bond Interest Rates and E40 - Money and Interest Rates: General
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.
Parola chiave: General equilibrium models, Interest rates, and Debts, Public Soggetto: D51 - General equilibrium and disequilibrium - Exchange and production economies and E40 - Money and interest rates - General
Creator: Auerbach, Kay J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 62 Parola chiave: Electronic funds transfer system, Financial services, and Government policy Soggetto: G28 - Financial institutions and services - Government policy and regulation
Creator: Saracoglu, Rusdu. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 56 Parola chiave: Econometric models Soggetto: C13 - Econometric and statistical methods : General - Estimation
Creator: Sargent, Thomas J. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 66 Parola chiave: Difference equations, Random variables, and Business cycles Soggetto: E37 - Prices, business fluctuations, and cycles - Forecasting and simulation
Creator: Townsend, Robert M., 1948- Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 77 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: Y40 - Dissertations (unclassified), G10 - General financial markets - General, and D80 - Information, knowledge, and uncertainty - General
Creator: Anderson, Paul A. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 61 Abstract:
This paper puts forward a method for simulating an existing macroeconometric model while maintaining the additional assumption that individuals form their expectations rationally. This simulation technique is a first response to Lucas' criticism that standard econometric policy evaluation allows policy rules to change but doesn't allow expectations rules to change as economic theory predicts they will. The technique is applied to a version of the St. Louis Federal Reserve Model with interesting results. The rational expectations version of the St. Louis Model exhibits the same neutrality with respect to certain policy rules as small, analytic rational expectations models considered by Lucas, Sargent, and Wallace.
Parola chiave: Rational expectations theory, Forecasting, and Simulation Soggetto: C53 - Econometric modeling - Forecasting and other model applications