Showing papers in "Journal of Monetary Economics in 2014"

TL;DR: This paper used an estimated New Keynesian model to analyze the role of policy risk in explaining business cycles and found a moderate amount of time-varying policy risk, but the effect of this policy risk is unlikely to play a major role in business cycle fluctuations.

TL;DR: In this article, the effects of uncertainty shocks on unemployment dynamics were investigated by estimating non-linear smooth transition models with post-WWII US data, and the relevance of such uncertainty shocks was found to be much larger than that predicted by standard linear VARs in terms of magnitude of the reaction of the unemployment rate to such shocks, and contribution to the variance of the prediction errors of unemployment at business cycle frequencies.

TL;DR: The toolkit as mentioned in this paper adapts a first-order perturbation approach and applies it in a piecewise fashion to solve dynamic models with occasionally binding constraints, such as a real business cycle model with a constraint on the level of investment and a New Keynesian model subject to the zero lower bound on nominal interest rates.

TL;DR: In this article, the authors quantify fluctuations in bank-loan supply in the time-series by studying firms' substitution between loans and bonds using firm-level data and find strong evidence of this substitution at times that are characterized by tight lending standards, depressed aggregate lending, poor bank performance and tight monetary policy.

TL;DR: In this paper, the authors proposed two simple tests to detect informational deficiency and a procedure to amend a deficient VAR, and a simulation based on a DSGE model with fiscal foresight suggests that their method correctly identifies and fixes the informational problem.

TL;DR: In this paper, the authors compare the performance of the V-Lab stress test with the performance measured by risk-weighted assets, and find that the ranking of financial institutions is not well correlated to the ranking in the V -Lab test, whereas rank correlations increase when required capitalization is a function of total assets.

TL;DR: In this paper, the authors examined the intertemporal distribution of US productivity risk and showed that the conditional mean of productivity growth is an important determinant of macro quantities and asset prices, and rationalized it in a production economy featuring long-run productivity risk, Epstein and Zin preferences, and investment frictions.

TL;DR: This paper showed that workers in small firms were more likely to become unemployed during the 2007-2009 recession than comparable workers in large firms, but only if they were employed in industries with high financing needs.

TL;DR: In this article, a simple model of sovereign risk in which debt can be traded in secondary markets is proposed, which has two key ingredients: creditor discrimination and private debt reallocation.

TL;DR: In this article, the authors show that an alternative specification of monetary policy, in which the interest rate tracks the Wicksellian efficient rate of return as the primary indicator of real activity, fits the U.S. data better than otherwise identical Taylor rules.

TL;DR: This article used narrative measures as proxies for structural shocks to total tax revenues in an SVAR, and estimated tax multipliers at the higher end of the range: around two on impact and up to three after 6 quarters.

TL;DR: In this paper, the authors analyze how lack of commitment affects the maturity structure of sovereign debt and predict an interior maturity structure with positive gross positions and a shortening of the mature structure when debt issuance is high, output low, or a cross default more likely.

TL;DR: In this article, the authors show that a model with a collateral constraint in which learning about the risk of a new financial environment interacts with Fisherian amplification produces a boom-bust cycle in debt, asset prices and consumption.

TL;DR: The authors proposed a New Keynesian model of a two-region monetary union that accounts for this "sovereign risk channel" and showed that a combination of sovereign risk in one region and strongly procyclical fiscal policy at the aggregate level exacerbates the risk of belief-driven deflationary downturns.

TL;DR: This article used a structural VAR approach to find that mortgage spread shocks impact real economy by both economically and statistically significant magnitudes: a 100 basis point decline in the spread causes a peak increase in consumption, residential investment and GDP by 1.6 percent, 6.2 percent and 1.9 percent, respectively.

TL;DR: This article investigated whether households are aware of the basic features of U.S. monetary policy and found evidence that some households form their expectations in a way that is consistent with a Taylor (1993) -type rule.

TL;DR: This article showed that a rise in financial frictions leads to increased sensitivity of productivity growth to the use of external finance, and used a large dataset of mostly private European firms and found strong evidence supporting the prediction.

TL;DR: The authors show that industries with a relatively heavier reliance on external finance or lower asset tangibility tend to grow faster (in terms of both value added and of labor productivity growth) in countries that implement fiscal policies that are more countercyclical.

TL;DR: In this article, a span-of-control model is extended into a multisector setting to quantify the aggregate productivity costs of the small-scale reservation laws (SSRL) in India.

TL;DR: In this article, the authors provide a novel explanation for the internal and sovereign debt crises that occur more frequently in economies with weak bankruptcy institutions, and they show that joint debt crises are an optimal response to informational problems in private-sector lending.

TL;DR: In this article, the authors estimate mortgage inflows and outflows that shed light on the sources of volatility in U.S. mortgage debt, and support the notion that the differential decline by credit score reflects markedly tightened credit supply.

TL;DR: The investment model fails to reproduce the procyclicality of momentum as well as its negative interaction with book-to-market equity as mentioned in this paper, and the investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons.

TL;DR: In this article, the authors show that some recent sovereign debt restructurings were characterized by (i) the absence of missed debt payments prior to the restructuring, (ii) reductions in the government's debt burden, and (iii) increases in the market value of debt claims for holders of the restructured debt.

TL;DR: It is shown by using computational experiments that the expansion of US Social Security can account for over a third of the dramatic rise in US health spending from 1950 to 2000.

TL;DR: In this paper, the authors trace career transitions of federal and state U.S. banking regulators from a large sample of publicly available curricula vitae, and provide basic facts on worker flows between the regulatory and private sector resulting from the revolving door.

TL;DR: In this article, a method to estimate DSGE models using the raw data is proposed, which links the observables to the model counterparts via a flexible specification which does not require the model-based component to be located solely at business cycle frequencies, allows the non-model-based components to take various time series patterns, and permits certain types of model misspecification.

TL;DR: In this article, the authors formalize this idea by adding an over-the-counter market with collateralized trades to the Mortensen-Pissarides model, and show that a liquidity crisis affecting the acceptability of private assets as collateral widens the rate-of-return difference between private and public liquidity, also increasing unemployment.

TL;DR: This paper used a simple search and matching model to estimate U.S. match efficiency as an exogenous residual in the matching function and found match efficiency to be pro-cyclical and to account for about 1/4 of unemployment increases during the most severe recessions.

TL;DR: In this paper, the authors analyzed the asset-return implications of nominal price and wage rigidities in general equilibrium and showed that price rigidity heterogeneity produces cross-sectoral differences in expected returns.