Showing papers in "Journal of Monetary Economics in 2011"

TL;DR: The authors developed a quantitative monetary DSGE model with financial intermediaries that face endogenously determined balance sheet constraints and used the model to evaluate the effects of the central bank using unconventional monetary policy to combat a simulated financial crisis.

TL;DR: In this paper, the authors develop a network model of interbank lending in which unsecured claims, repo activity and shocks to the haircuts applied to collateral assume centre stage, and show how systemic liquidity crises of the kind associated with the interbank market collapse of 2007-2008 can arise within such a framework, with funding contagion spreading widely through the web of interlinkages.

TL;DR: In this article, the authors compared the Laffer curve for the US, the EU-14 and individual European countries using a neoclassical growth model featuring constant Frisch elasticity (CFE) preferences.

TL;DR: In this paper, a structural VAR approach is proposed to identify news shocks about future technology, and the news shock is identified as the shock orthogonal to the innovation in current utilization-adjusted TFP that best explains variation in future TFP.

TL;DR: In this article, the authors extend a standard New Keynesian model to allow a role for the central bank's balance sheet in equilibrium determination, and consider the connections between these alternative dimensions of policy and traditional interest-rate policy.

TL;DR: This paper analyzed the joint behavior of international capital flows by foreign and domestic agents over the business cycle and during financial crises and found that gross capital flows are very large and volatile, especially relative to net capital flows.

TL;DR: In this paper, the authors proposed the "Accord" principles to clarify Fed credit policy powers and secure its independence on monetary and interest rate policy. But they did not address the role of monetary, credit, and interest on reserve policies.

TL;DR: The authors found that hours are as volatile as output and that a large fraction of labor adjustment takes place along the intensive margin, and that the volatility of hours relative to output has increased over time.

TL;DR: In this paper, a method to evaluate cyclical models without knowledge of the DGP and the exact specification of the aggregate decision rules is proposed, where robust restrictions are derived in a class of models; use some to identify structural shocks in the data and others to evaluate the class or contrast sub-models.

TL;DR: In this paper, a quantitative general equilibrium model was used to study the relationship between the cyclicality and volatility of housing investment, and the procyclicality of debt in the US economy.

TL;DR: In this paper, a two-sector structure with centralized and decentralized markets, stochastic trading opportunities, and bargaining is proposed to analyze the effects of money on capital formation. But the results differ from those in the reduced-form literature.

TL;DR: In this paper, the authors model leveraged banks' precautionary demand for liquidity and show that high levels of short-term leverage and illiquidity of assets lead to low volumes and high rates for term borrowing.

TL;DR: In this paper, an equilibrium business cycle model in which agents learn to distinguish between the permanent and transitory components of total factor productivity shocks using the Kalman filter accounts for these features. And the model accounts for the behavior of consumption and the trade balance for a wide range of variability and persistence of permanent shocks relative to transitory shocks.

TL;DR: In this paper, the authors propose a time-inconsistency problem, where firms have an incentive to promise low prices in the future, but price gouge when the future arrives.

TL;DR: In this article, a random-matching economy composed of two assets: a risk-free bond and a Lucas tree whose terminal value is privately known to its holder is constructed.

TL;DR: The authors established three new facts about price setting by multi-product firms: firms selling more goods adjust prices more frequently but on average by smaller amounts, their fraction of positive price changes is lower and the dispersion of price changes are higher.

TL;DR: In response to the near collapse of US securitization markets in 2008, the Federal Reserve created the Term Asset-Backed Securities Loan Facility, which offered non-recourse loans to finance investors' purchases of certain highly rated asset-backed securities as mentioned in this paper.

TL;DR: In this paper, the authors provide evidence that TFP processes for the U.S. and the rest of the world are characterized by a vector error correction model (VECM) and that adding cointegrated technology shocks to the standard IRBC model helps to explain the observed high real exchange rate volatility.

TL;DR: For example, without bankruptcy protection, creditors can collect on defaulted debt to the extent permitted by wage garnishment laws as discussed by the authors, leading to a large increase in consumer debt financed by super-wealthy individuals, a modest drop in capital per worker, and a higher frequency of consumer default.

TL;DR: Meltzer, Cukierman, and Richard as mentioned in this paper argue that in a democratic government, and perhaps elsewhere, policy choices emerge from a political process, and that the appropriate model for policy analysis is a political economy model.

TL;DR: The authors analyzes monetary policy shocks in a DSGE model with firm-level heterogeneity and finds that the response to sector-specific shocks is gradual, but inappropriate econometrics might make it appear immediate.

TL;DR: In this paper, the authors build a general equilibrium economy with deadweight bankruptcy costs that demonstrates how nominal rigidities in corporate debt create an important role for monetary policy even in the absence of standard nominal frictions such as staggered price setting.

TL;DR: In this article, the authors compare the policy trade-offs implied by a Phillips curve based on macroeconomic estimates vs. one based on a model with heterogeneous sectors, showing that the difference is sizeable.

TL;DR: In this paper, a sentiment-based model of the exchange rate is proposed to understand the forward premium puzzle, where agents over- or under-estimate the growth rate of the economy.

TL;DR: In this article, the implications of monetary conservatism and fiscal impatience in a setting with nominal government debt were examined and it was shown that monetary conservatism induces accumulation of a higher stock of liabilities (assets) and has adverse welfare implications.

TL;DR: In this paper, the relative performance of open economies is analyzed in an endogenous growth model with asymmetric trade, where a resource rich country trades resource-based intermediates for final goods produced by a resource-poor economy.

TL;DR: The conduct of fiscal and monetary policy absent commitment depends on the interaction between the objective of smoothing distortions intertemporally and a time-consistency problem as mentioned in this paper, and the choice of debt depends on how the anticipated response in future monetary policy affects the current demand for money and bonds.

TL;DR: The authors examined how monetary policy changes the incentives of borrowers and lenders to engage in relationship lending and how these changes then shape the response of aggregate output, showing that relationship lending prevails in equilibrium, smoothes the steady state output profile, and induces less volatile responses to certain monetary shocks.

TL;DR: This article showed that there is no evidence that the bonds issued by countries off the gold standard have systematically higher excess returns than those issued in countries on gold, and this conclusion is robust to allowing betas to differ across exchange-rate regimes, including other determinants of the country risk premium.

TL;DR: The authors examined the capacity of price and information frictions to explain real responses to nominal price shocks, and found that both prices and information delays impede the response to a nominal price shock, as predicted by the standard dynamic adjustment models.