Showing papers in "Journal of Monetary Economics in 1994"

TL;DR: This article used cross-country estimates of physical and human capital stocks to run the growth accounting regressions implied by a CobbPDouglas aggregate production function and found that human capital enters insignificantly in explaining per capita growth rates.

TL;DR: In this article, the authors proposed a method for computing tax rates using national accounts and revenue statistics. And they constructed time series of tax rates for large industrial countries, identifying the revenue raised by different taxes at the general government level and defining aggregate measures of the corresponding tax bases.

TL;DR: This article found that a significant fraction of the variance of aggregate consumption, investment, output, capital stock, and hours of work can be explained by disturbances in labor and capital tax rates and government consumption.

TL;DR: This paper argued that the uncovered interest parity (UIP) relationship is distinct from, and more important than, the unbiasedness of forward exchange rates as predictors of future spot rates.

TL;DR: The authors found that an increase in the output of one manufacturing sector has little or no significant effect on the productivity of other sectors, and provided an explanation for these differences, showing why, with imperfect competition, the use of value-added data leads to a spurious finding of large apparent external effects.

TL;DR: This paper found evidence that the long end of the term structure has information about future growth of industrial production beyond expectations about future monetary policy, and that foreign term structures can forecast domestic low frequency movements in economic activity especially in countries that experience high and variable rates of inflation.

TL;DR: In contrast to the US, where long rates appear to overreact to expected future developments, the anomalous short-run movement of long rates in these other G7 countries is caused by an additive white noise error on long rates that does not materially affect the information in their term structure.

TL;DR: This article investigated the link between real exchange rates and real interest differentials over the recent floating-rate period and found evidence of a relationship, with the strongest link at trend and business-cycle frequencies.

TL;DR: In this paper, asset prices and consumption patterns in an infinite horizon model with borrowing constraints and uninsurable idiosyncratic shocks to labor income are studied. But the authors do not consider the effect of such shocks on the stock market, and their results suggest that the equity premium puzzle is robust to several important sources of market incompleteness.

TL;DR: This article examined empirically the relationship between the relative price of capital and the rate of economic growth and showed that the tax treatment of machinery is an important policy instrument with respect to long-term growth and welfare.

TL;DR: In this paper, the authors investigate the macroeconomic effects of cyclical fluctuations in marginal tax rates and find that systematically including tax variables in a standard real business cycle model substantially improves the model's ability to reproduce basic facts about postwar U.S. business cycle fluctuations.

TL;DR: In this paper, the authors introduce procyclical labor and capital utilization, as well as costs of rapidly increasing employment, into a business-cycle model to explain observed variability of real GNP with considerably smaller economy-wide disturbances.

TL;DR: In this paper, it is shown that it is impossible to distinguish monetary shocks from oil shocks as causes of recessions, and that a world in which the Fed only announces intentions to act cannot be distinguished from one in which it in fact acts.

TL;DR: In this paper, the authors use consumption data to compute unexploited welfare gains that can be achieved through risksharing among twenty OECD countries, including the US, Australia, Canada, and New Zealand.

TL;DR: In this article, the authors examined the transmission of monetary policy in Canada and emphasized the transmission through interest rates and the exchange rate rather than through changes in monetary aggregates and provided empirical evidence on the strength of these channels using a highly aggregated structural model.

TL;DR: This paper showed that the impact of monetary policy shifts remains large and ranges from marginally to strongly significant when oil shocks are controlled for, and they also extended their previous work by expanding the sample period and identifying an additional policy shift in December 1988.

TL;DR: This article developed procedures for using dynamic general equilibrium models to aid in analyzing the observed time series relationships among macroeconomic variables, based on that developed by Doan, Litterman and Sims (1984), who constructed a procedure for improving time series forecasts by shrinking vector autoregression coefficient estimates toward a prior view that vector time series are well-described as collections of independent random walks.

TL;DR: The authors used time series analysis to test whether stationary risk premia alone explain the behavior of excess returns to long bonds relative to rolling over short rates, and showed that permanent shocks to the risk premias and/or rationally anticipated shifts in the interest rate process could produce anomalous results.

TL;DR: This paper examined the empirical implications of models that display perpetual growth through human capital accumulation in a case study of Taiwan and found that incorporating a labor quality index into the labor input improved the performance of the growth model in Taiwan over the 1965-1989 period.

TL;DR: In this paper, the authors argue that a clear understanding of the stochastic growth model can best be achieved by working out an approximate analytical solution, which replaces the true budget constraints and Euler equations of economic agents with loglinear approximations.

TL;DR: Aiyagari and Prescott as discussed by the authors argue that the importance of a productivity shock in explaining the variance of output is fundamentally indeterminate, and they illustrate this argument using a multiple-shock version of the King-Plosser-Rebelo (1988) benchmark real business cycle model.

TL;DR: In a simple convex model of endogenous growth, the expansionary effects of a deficit-financed tax cut are often strong enough to allow the government debt to be paid off in the long run without the need for subsequent tax increases as mentioned in this paper.

TL;DR: The authors proposed a model of growth with diversifiable microeconomic uncertainty and used it to study the efficiency costs and distributional effects of obstacles to labor mobility, which can reduce private and social returns to irreversible investment decisions, decrease the speed of capital accumulation, and lower a representative agent's welfare.

TL;DR: The authors developed a simple model that sheds light on the experience of decade-long growth rates in all countries and found that episodes of rapid growth are limited largely to a middle range of initial income; neither very poor nor very rich countries experienced rapid growth.

TL;DR: This paper conducted a modern variant of the test proposed and carried out by Adelman and Adelman (1959) using the methods developed by Burns and Mitchell (1946), and found that there is a fairly high degree of coincidence in key economic aggregates between the business cycle characteristics identified in actual data and those found in simulated economy.

TL;DR: In this article, the authors argue that the reason real world fixed exchange rate regimes usually have finite bands, instead of completely fixed exchange rates between realignments, is that exchange rate bands, counter to the textbook result, give central banks some monetary independence, even with free international capital mobility.

TL;DR: In this article, the authors quantitatively compare allocations in calibrated large overlapping generations growth models that only differ in their market structures for insuring against aggregate risk, and conclude that we can for the most part abstract from the issue of whether there exist markets for aggregate risk.

TL;DR: In this article, the authors examine the empirical relationship between banking conditions and economic performance at the state level and find evidence that local banking-sector conditions explain more of real personal income growth in states where bank loan quality has been poor than in those where banking conditions are relatively healthy.

TL;DR: This paper showed that when current government deficits are financed by future distortionary taxation, lower tax rates and higher deficits lead to reductions in investment and output, and that higher deficits can lead to higher investment and lower output.

TL;DR: In this paper, the authors considered the multivariate generalization of the BN decomposition when the information set includes other I(1) and/or stationary variables, and they showed that the relative importance of the cyclical component depends on the size of information set, and is necessarily higher with multivariate BNs decompositions.