Showing papers in "Journal of Monetary Economics in 2012"

TL;DR: In this paper, a new empirical measure of uncertainty based on the Michigan survey and a VAR model is proposed, which is consistent with US data, and combining search frictions and nominal rigidities can match the qualitative VAR pattern and account for about 70 percent of the empirical increase in unemployment following an uncertainty shock.

TL;DR: In a non-linear VAR, confidence rises following an increase in spending during periods of economic slack and multipliers are much larger than normal times, but is critical during recessions as discussed by the authors.

TL;DR: In this article, a macroeconomic model with financial intermediation is developed in which the intermediaries (banks) can issue outside equity as well as short-term debt, making bank risk exposure an endogenous choice.

TL;DR: In this article, a financial stress index for the United States is introduced and its interaction with real activity, inflation and monetary policy is investigated using a Markov-switching VAR model, estimated with Bayesian methods.

TL;DR: In this paper, a deep-habit mechanism was proposed to explain the response of the real exchange rate to an estimated government spending shock, and an estimated two-country model with deephabits was shown to replicate the observed responses of output, consumption, and the trade balance.

TL;DR: This paper used rich establishment-level data to assess several theoretical models and to study the relationship between worker flows and jobs flows, finding that hiring, quits, and layoffs exhibit strong, highly nonlinear relationships to employer growth rates in the cross section.

TL;DR: This article used bank-level responses to the Federal Reserve's Loan Officer Opinion Survey to construct a new credit supply indicator: changes in lending standards, adjusted for the macroeconomic and bank-specific factors that also affect loan demand.

TL;DR: In this paper, the impact of capital market imperfections and costs of creating and operating formal sector firms on total factor productivity is studied, and the model predicts that countries with a low degree of debt enforcement and high costs of formality are characterized by low allocative efficiency and large output shares produced by low productivity, informal sector firms.

TL;DR: In this article, the authors estimate the reaction of bank stock prices to movements in interest rates prompted by FOMC announcements and examine how this reaction varies with key bank characteristics, consistent with banks' role in maturity transformation.

TL;DR: In this paper, a dynamic stochastic general equilibrium (DSGE) model with Epstein and Zin recursive preferences is proposed, and the parameters governing preferences and technology are estimated by maximum likelihood using macroeconomic data and the term structure of interest rates.

TL;DR: In this article, the authors present a model in which there is no representative agent and Ricardian equivalence does not hold because of uncertainty, imperfect credit markets, and nominal rigidities.

TL;DR: In this paper, the authors show that real wage rigidities cause jobless recoveries in a search model with rigid wages, and that a one-time shock reduces the capital stock below trend.

TL;DR: In this paper, a search and matching model with heterogeneous skills was developed to explore the role of structural and cyclical policies for the German labor market's performance in the Hartz IV reforms.

TL;DR: In this article, the authors studied the impact of cross-country variation in financial market development on firms' financing choices and growth and developed a quantitative model where financial frictions drive firm growth and debt financing through the availability of credit and default risk.

TL;DR: In this article, the authors assess the value of fiscal discipline by analyzing the role of fiscal policy as a transmission mechanism of oil price shocks in oil-exporting small open economies.

TL;DR: In this article, two business cycle models with endogenous firm and product entry are estimated by matching impulse responses to a monetary policy shock, and the authors find evidence of such an effect under translog preferences.

TL;DR: The authors show that the specification of investment adjustment costs proposed by Christiano et al. (2005) predicts the presence of a lagged-investment effect and that a generalized version of their model is consistent with the behavior of firm-level data from Compustat.

TL;DR: The authors examined a general class of interest rate pegs in a variety of Dynamic New Keynesian (DNK) models and found that the effect of the interest rate peg can switch from highly expansionary to highly contractionary.

TL;DR: In this article, the reservation wage strategies of a couple that perfectly pools income to understand the ramifications of joint search for individual labor market outcomes are analyzed, showing that when couples are risk averse and pool income, joint search yields new opportunities relative to single agent search.

TL;DR: This article showed that with higher commuting costs the effect of housing frictions plays a large role and can generate a substantial decline in mobility, and that such frictions can account for the differences in unemployment and mobility between the U.S. and Europe.

TL;DR: In this paper, the authors characterize the optimal monetary policy at the zero lower bound for the nominal interest rate if credibility is imperfect and show that the credibility of the U.S. Federal Reserve and the Swedish Riksbank is low in the aftermath of the 2008 economic crisis.

TL;DR: In the United States and other Organisation for Economic Co-operation and Development (OECD) countries, the expected returns on stocks, adjusted for volatility, are much higher in recessions than in expansions as discussed by the authors.

TL;DR: In this paper, the authors extend the class of models analyzed with robust control methods to include the sort of nonlinear production-based DSGE models that are popular in academic research and policy-making practice.

TL;DR: In this paper, a theory of labor supply and retirement decisions is developed to quantitatively assess the role of social security, disability insurance, and taxation for understanding differences in labor supply late in the life cycle across European countries and the United States.

TL;DR: In this paper, the authors integrate a microfounded model of money and finance into a model of endogenous growth to examine the effects of inflation on welfare, growth and the size of the financial sector.

TL;DR: In this paper, the authors compute a robust Ramsey plan and an associated worst-case probability model for each of the three types of ambiguity, including ambiguity of type I implies endogenously distorted homogeneous beliefs, while ambiguities of types II and III imply distorted heterogeneous beliefs.

TL;DR: In this article, a DSGE model was used to estimate changes in the degree of wage indexation over time, which was considerably higher during the “great inflation” than before and after.

TL;DR: In this paper, the authors derived measures of prior sensitivity and prior informativeness that account for the high dimensional interaction between prior and likelihood information, which is easily obtained from Markov Chain Monte Carlo output.

TL;DR: In this article, the authors measured the effect of these extensions on the unemployment rate using a calibrated structural model featuring job search and consumption-saving decisions, skill depreciation, and UI eligibility.

TL;DR: In this paper, the authors explore the long-run implications of public financing policies aimed at short-run stabilization when agents are sensitive to model uncertainty, and growth is endogenous, as in Romer (1990).