Showing papers in "Journal of Monetary Economics in 2006"

TL;DR: The authors examined the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time-series ARIMA models, regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures.

TL;DR: This paper examined the response of U.S. manufacturing industries and plants to changes in trade costs using a unique new dataset on industry-level tariff and transportation rates, and found that low-productivity plants in industries with falling trade costs are more likely to die and relatively high-productive non-exporters are more willing to start exporting in response to falling costs.

TL;DR: In this paper, the authors provide a long history of high-frequency yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present, which can be used to compute yields or forward rates for any horizon.

TL;DR: In this paper, a cost channel for monetary policy is introduced into the standard new Keynesian framework, and the authors explore its implications for optimal monetary policy and show that its presence alters the optimal policy problem in important ways.

TL;DR: In this article, a large fraction of U.S. households do not participate in stock markets, and a variety of microeconomic studies using individual-level data conclude that an individual's EIS increases with his wealth.

TL;DR: In this paper, the authors provided the first empirical assessment of the impact of different bank supervisory policies on firms' financing obstacles and found that regulations that empower private monitoring exert a particularly beneficial effect on the integrity of bank lending in countries with sound legal institutions.

TL;DR: The authors calculate an index of international risk sharing that formalizes the intuition that marginal utility growth must be highly correlated across countries, and contrast their estimates with the poor risk sharing suggested by consumption data and home-bias portfolio calculations.

TL;DR: In this article, the authors describe a model where, in equilibrium, the characteristics of formal and informal workers differ systematically, even though labor markets are perfectly competitive in developing nations, where formal workers tend to be more experienced, more educated, and earn more than informal workers.

TL;DR: In this paper, the authors analyzed a two-country dynamic general equilibrium model with nominal rigidities, monopolistic competition and producer currency pricing and derived a quadratic approximation to the utility of the consumers.

TL;DR: In this paper, the authors study the cyclical properties of capital reallocation and the frictions which inhibit such reallocations and show that the amount of reallocating and the benefits to re-allocation vary at the business cycle frequency.

TL;DR: In this paper, the authors show that credit risk transfer can be beneficial when banks face uniform demand for liquidity, but when they face idiosyncratic liquidity risk and hedge this risk in an interbank market, it can lead to contagion between the two sectors and increase the risk of crises.

TL;DR: In this paper, an alternative government insurance system that mitigates distortions to risk-taking yet preserves liquidity hedging and information synergies is proposed. But the model is based on the assumption that insurance premiums are set to be "actuarially fair" and the incentives for banks to take excessive systematic risks remain.

TL;DR: This article showed that the excess returns on federal funds futures have been positive on average and strongly countercyclical, and that risk premia significantly biases forecasts of the future path of monetary policy.

TL;DR: In this paper, the authors argue that when agents believe productivity is high, they work, invest, and produce more, and when the boom ends, precise estimates of the slowdown prompt decisive reactions: investment and labor fall sharply.

TL;DR: In this article, a two-sector general equilibrium model is proposed to match the sectoral responses to a monetary shock derived from empirical VAR and to imply an empirically realistic degree of sectoral output volatility and comovement.

TL;DR: In this article, the authors discuss the implications of India's future growth, and discuss the potential for India to follow an idiosyncratic pattern of development, which is similar to other fast-growing Asian economies.

TL;DR: The authors developed an open economy DGE model featuring demand curves with variable elasticities so that a firm's pricing decision depends on its competitors' prices and found that exporters became more responsive to the prices of their competitors, explaining a sizeable portion of the observed decline in the sensitivity of U.S import prices to the exchange rate.

TL;DR: The authors showed that price-level targeting outperforms inflation targeting in the standard New-Keynesian model, under the assumption that the central bank is forced to operate in an environment characterized by discretion.

TL;DR: In this article, the optimal progressivity of the income tax code in a dynamic general equilibrium model with household heterogeneity is investigated. But the authors focus on the US income tax and do not consider the effects of tax reform on the overall economy.

TL;DR: The authors analyzes the trade-off between official liquidity provision and debtor moral hazard in international financial crises, and identifies circumstances in which official lending actually strengthens a government's incentive to implement desirable but costly policies.

TL;DR: The authors showed that differences in learning ability are essential to produce an increase in earnings dispersion over the life cycle and differences in the learning ability account for the bulk of the variation in the present value of earnings across agents.

TL;DR: This paper reviewed the political uproar over offshore outsourcing connected with the release of the Economic Report of the President (ERP) in February 2004, examines the differing ways in which economists and non-economists talk about offshore outsourcing, and assesses the empirical evidence on the importance of offshore outsourcing in accounting for the weak labor market from 2001 to 2004.

TL;DR: This article showed that lenders increasingly used risk-based pricing of interest rates in consumer loan markets during the mid-1990s, and that the premium paid per unit of risk increased over this period.

TL;DR: In this paper, the authors study a set of aggregate risk management policies to alleviate the bubble risk and show that prudential banking regulation, sterilization of capital inflows and structural policies aimed at developing public debt markets and property rights, all have a high payoff in this environment.

TL;DR: The authors investigated the possibility that the large current account deficits of the U.S. are the outcome of optimizing behavior and developed a simple long-run world equilibrium model in which the current account is determined by the expected discounted present value of its future share of world GDP relative to its current share of the world GDP.

TL;DR: In this article, the authors compare cyclical movements in levels, deviations from trend, and smoothed growth rates for both the quarterly real GDP and the monthly U.S. Coincident Index using the phase average trend.

TL;DR: In this paper, the authors consider estimation of a time-varying parameter model for a forward-looking monetary policy rule, by employing ex post data, and show that the history of the Fed's conduct of monetary policy since the early 1970s can be divided into three sub-periods: the 1970s, the 1980s, and the 1990s.

TL;DR: In this article, the authors study the implications of U.S. personal bankruptcy rules for resource allocation and welfare and find that bankruptcy provisions cause significant declines in output and welfare by reducing capital formation and labor input.

TL;DR: In this article, the authors evaluate reserve regimes versus interest rate corridors, which have become competing frameworks for monetary policy implementation, and show that a system of voluntary, period-average reserve commitments could offer equivalent rate-smoothing advantages.

TL;DR: In this paper, the authors examine the international transmission of business cycles in a two-country model where credit contracts are imperfectly enforceable and show that such a model can explain the comovement of output across countries.