Showing papers in "Journal of Monetary Economics in 1988"

TL;DR: In this article, the authors consider the prospects for constructing a neoclassical theory of growth and international trade that is consistent with some of the main features of economic development, and compare three models and compared to evidence.

TL;DR: In this paper, the authors present the neoclassical model of capital accumulation augmented by choice of labor supply as the basic framework of modern real business cycle analysis and explore the implications of the basic model for perfect foresight capital accumulation and for economic fluctuations initiated by impulses to technology.

TL;DR: The authors re-specify Mehra and Prescott's Arrow-Debreu asset pricing model to capture the effects of possible, though unlikely, market crashes, which allows it to explain high equity risk premia and low risk-free returns with reasonable degrees of time preference and risk aversion.

TL;DR: In this article, the authors consider an economy where labor is indivisible and agents are identical and show that the discontinuity in labor supply at the individual level disappears as a result of aggregation.

TL;DR: In this article, the authors outline new directions for investigations of real business cycle models: consideration of stochastic growth of exogenous and endogenous forms, analysis of suboptimal outcomes arising due to externalities of distorting taxes, and implications of labor market heterogeneity.

TL;DR: In this paper, a closed-form approximation of life cycle consumption subject to uncertain interest rates and earnings is derived by taking a second-order expansion of the Euler equation, and it is shown that precautionary savings against uncertain income can comprise a large fraction of aggregate savings.

TL;DR: In this article, the authors conducted tests on U.S. macroeconomic data for the presence of low-dimensional deterministic chaos, where "deterministic chaos" is defined as in Grandmont's (1985) Walras-Bowley lecture or in Brock (1986).

TL;DR: In this article, the role of inventories in buffering unexpected shocks to fundamentals can account for the substantial volatility observed in inventory investment in a particular real business cycle model, and the Hansen-Sargent approach is applied to estimate the parameters of a linear quadratic optimization problem in a non-linear quadrastic environment.

TL;DR: In this paper, the authors decompose the industrial production in seven European countries and the United States into components that are specific to industries but common to nations, and idiosyncratic componets, and show that both industry-specific and nation-specific shocks are empirically important.

TL;DR: This article study the choice between nominal and indexed debt in a stochastic macroeconomic model with discretionary monetary and fiscal policy and show that a welfare-maximizing government always issues some nominal debt even though nominal debt increases inflation along the time-consistent path of the economy.

TL;DR: In this paper, a bivariate Granger-causality test on money and output finds statistically significant causality when data are measured in log levels, but not when they were measured in first differences of the logs.

TL;DR: In this paper, the authors examine the incentives banks have to engage in off-balance-sheet activities such as commercial loan sales and the issuance of standby letters of credit (SLCs).

TL;DR: The authors discusses the nature and sources of cyclical, cyclical and seasonal fluctuations and the econometric implications of prefiltering to remove some of these components from aggregate time series, and methods for solving nonlinear, dynamic stochastic business cycle models.

TL;DR: In this article, the authors modified the Kydland and Prescott "Time to Build" model to permit the capital utilization rate to vary, and the effect of this modification is to increase the amplitude of the aggregate fluctuations predicted by theory as the equilibrium response to technological shocks.

TL;DR: In this paper, the effects on asset prices of changes in risk are studied in a general equilibrium model in which the conditional risk evolves stochastically over time, and the saving decisions of consumers take account of the fact that conditional risk is a serially correlated random variable.

TL;DR: The authors analyzes ex ante returns to forward speculation and asks if these returns can be explained by models of a foreign exchange risk premium, showing that both nominal and real expected speculative profits are nonzero.

TL;DR: In this article, the authors show how two apparently difficult information structures -a costly state verification environment and a multi-period multilateral private information environment - can be handled theoretically, by revelation principle methods.

TL;DR: The authors formulate an equilibrium model of straight time and overtime wages by imposing restrictions on agents' consumption sets and using a commodity space that includes employment lotteries, and extract some time series implications from a linear-quadratic approximation to their model evaluated at particular parameter values.

TL;DR: In this paper, the authors considered an economy which is populated by a continuum of identical families consisting of two members and showed that cross-sectional heterogeneity results in interesting forms of aggregation bias.

TL;DR: In this article, an empirical assessment of a linear-stochastic perspective for Canadian macroeconomic time series is presented based on the mathematics of "chaos" and present evidence suggests that low-order deterministic chaos does not provide a satisfactory characterization of the data.

TL;DR: The authors examines the official Commerce Department estimates of gross national product for 1909-1928 and suggests that they are far inferior to the less commonly used Kendrick GNP estimates and derives a revised version of the Kendrick series that alters significantly the representation of annual movements in GNP before 1919, which suggests that aggregate demand movements had much less effect on real output during World War I and the Depression of 1921 than is commonly believed.

TL;DR: In this paper, the authors investigated equilibrium asset prices in a Lucas-type exchange model where preferences of the representative agent are represented by a Kreps-Porteus utility functional, rather than by an expected utility functional.

TL;DR: In this article, the authors study an economic model where "employment lotteries" determine random layoffs and incomes for employed and unemployed agents allocate risk efficiently, and they show that the unemployed are worse off if an exogenous increase in wealth decreases aggregate unemployment.

TL;DR: This paper used a variance bounds test to see whether consumption is too sensitive to news about income to be consistent with a standard permanent income model, under the maintained hypothesis that income has a unit root.

TL;DR: In this paper, it was shown that if a rational inflationary bubble exists, then it must have started on the date of initial issuance of the fiat money, and that agents who anticipated the initial issue of the money expected a rational bubble to occur.

TL;DR: The authors decompose the sources of fluctuations in quarterly employment by industry and region into: (1) an aggregate (national) shock, (2) region-specific shocks, (3) industry specific shocks, and (4) idiosyncratic factors.

TL;DR: In this paper, a simple and an economical computational procedure for generating the permanent/cyclical decomposition of economic time series proposed by Beveridge and Nelson (1981) was described. But this procedure is a more complete alternative than the method suggested by Cuddington and Winters (1987).

TL;DR: In this paper, the relative efficiency of the implicit taxation of money and the explicit taxation of real commodities to finance a given amount of government expenditures is compared, and a sufficient condition for a tax on money to be welfare-dominated by a linear tax on consumption expenditures is characterized in terms of a few parameters.

TL;DR: The authors analyzed the impact of FDIC deposit insurance practices on banks' pricing of risk and showed that FDIC insurance tends to subsidize risky loans, and that the subsidy increases with risk.