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wyszukanych pozycji: 100
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Effects of Monetary Policy Shocks across Time and across Sectors
ISBN: 9781503231245 / Angielski / Miękka / 2014 / 32 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. Recent empirical research by Olivei and Tenreyro (2007) demonstrates that the effect of monetary policy shocks on output and prices depends on the shock's timing: In the United States, a monetary policy shock that takes place in the first half of the year has a larger effect on output than on prices, while the opposite is true in the second half of the year. Olivei and Tenreyro argue that this finding reflects the fact that a greater fraction of wage rates are re-contracted in the second half of the year, implying that wages (and prices) are less flexible in the first half. In this paper, I...
Recent empirical research by Olivei and Tenreyro (2007) demonstrates that the effect of monetary policy shocks on output and prices depends on the sho...
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cena:
60,82 |
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Aggregate Supply in the United States: Recent Developments and Implications for the Conduct of Monetary Policy
ISBN: 9781503222908 / Angielski / Miękka / 2014 / 62 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. The recent financial crisis and ensuing recession appear to have put the productive capacity of the economy on a lower and shallower trajectory than the one that seemed to be in place prior to 2007. Using a version of an unobserved components model introduced by Fleischman and Roberts (2011), we estimate that potential GDP is currently about 7 percent below the trajectory it appeared to be on prior to 2007. We also examine the recent performance of the labor market. While the available evidence is still inconclusive, some indicators suggest that hysteresis should be a more present concern now...
The recent financial crisis and ensuing recession appear to have put the productive capacity of the economy on a lower and shallower trajectory than t...
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cena:
52,68 |
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Downside Variance Risk Premium
ISBN: 9781511660457 / Angielski / Miękka / 2015 / 66 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. Our results are supported by a simple equilibrium consumption-based asset pricing model.
Our results are supported by a simple equilibrium consumption-based asset pricing model.
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cena:
52,68 |
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Labor Force Participation: Recent Developments and Future Prospects
ISBN: 9781506127545 / Angielski / Miękka / 2015 / 70 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. More than five years after the Great Recession ended, the labor market has, by many metrics, finally shown substantial improvement. The unemployment rate is now nearly 4 percentage points below the peak reached in late 2009, and the number of nonfarm payroll jobs has returned to pre-recession levels. However, one lingering concern is the ongoing decline in the labor force participation rate and the concomitant absence of a significant rise in the percentage of the working-age population who are employed. In particular, the labor force participation rate has fallen from about 66 percent of the...
More than five years after the Great Recession ended, the labor market has, by many metrics, finally shown substantial improvement. The unemployment r...
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cena:
52,68 |
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Sectoral Allocation, Risk Efficiency and the Great Moderation
ISBN: 9781503283473 / Angielski / Miękka / 2014 / 40 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. This paper argues that the decline in U.S. real GDP growth volatility after the mid 1980s was an outcome of more risk efficient and more diversified sectoral allocations. Using a portfolio approach, I distinguish between the two determinants of GDP growth volatility: sectoral covariances and sectoral allocations. I use the sectoral growth and covariances to com- pute the growth-volatility frontier of the economy. I define the efficiency of the actual sectoral allocation as the distance of the economy from the frontier, measured in the (volatility, growth) space. There are three main findings....
This paper argues that the decline in U.S. real GDP growth volatility after the mid 1980s was an outcome of more risk efficient and more diversified s...
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cena:
52,68 |
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Policy Uncertainty, Irreversibility, and Cross-Border Flows of Capital
ISBN: 9781503283503 / Angielski / Miękka / 2014 / 50 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. We examine the effects of government policy uncertainty on cross-border capital flows. FDI flows from US companies to foreign affiliates drop significantly during the period just before an election. The election effect for FDI is larger than election cycles in domestic investment. The electoral patterns in FDI flows are more pronounced in countries with higher propensities for policy reversals and when election outcomes are more uncertain. Our identification strategy compares variation in different types of capital flows into the same country around the timing of national elections. The...
We examine the effects of government policy uncertainty on cross-border capital flows. FDI flows from US companies to foreign affiliates drop signific...
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cena:
52,68 |
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Discovering the Universe: Measuring the Role of Finance Companies in the U.S. Economy
ISBN: 9781503223677 / Angielski / Miękka / 2014 / 38 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. Credit to consumers and business is critical to the efficient functioning of the U.S. economy, and finance companies are a key source of such credit. Every five years, the Federal Reserve conducts a two-part survey: the Census of Finance Companies (CFC) to identify the universe of such firms and the Survey of Finance Companies (SFC) to obtain balance-sheet data from firms identified in the CFC. In 2010, this survey underwent a major revision that addressed both the absence of a comprehensive list frame and low response rates. A follow-up study of nonrespondents to the CFC was conducted to...
Credit to consumers and business is critical to the efficient functioning of the U.S. economy, and finance companies are a key source of such credit. ...
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cena:
52,68 |
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Banking Panics and Deflation in Dynamic General Equilibrium
ISBN: 9781511660488 / Angielski / Miękka / 2015 / 42 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. This paper develops a framework to study the interaction between banking, price dynamics, and monetary policy. Deposit contracts are written in nominal terms: if prices unexpectedly fall, the real value of banks existing obligations increases. Banks default, panics precipitate, economic activity declines. If banks default, aggregate demand for cash increases because financial intermediation provided by banks disappears. When money supply is unchanged, the price level drops, thereby providing incentives for banks to default. Active monetary policy prevents banks from failing and output from...
This paper develops a framework to study the interaction between banking, price dynamics, and monetary policy. Deposit contracts are written in nomina...
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cena:
52,68 |
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Labor Force Participation: Recent Developments and Future Prospects
ISBN: 9781507564905 / Angielski / Miękka / 2015 / 70 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. More than five years after the Great Recession ended, the labor market has, by many metrics, finally shown substantial improvement. The unemployment rate is now nearly 4 percentage points below the peak reached in late 2009, and the number of nonfarm payroll jobs has returned to pre-recession levels. However, one lingering concern is the ongoing decline in the labor force participation rate and the concomitant absence of a significant rise in the percentage of the working-age population who are employed. In particular, the labor force participation rate has fallen from about 66 percent of the...
More than five years after the Great Recession ended, the labor market has, by many metrics, finally shown substantial improvement. The unemployment r...
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cena:
52,68 |
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Why Do We Need Both Liquidity Regulations and a Lender of Last Resort? A Perspective from Federal Reserve Lending during the 2007-09 U.S. Financial Cr
ISBN: 9781511467216 / Angielski / Miękka / 2015 / 38 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. |
cena:
52,68 |
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Yield Curve Impacts of Forward Guidance and Maturity Extension Programs
ISBN: 9781503287105 / Angielski / Miękka / 2014 / 32 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. In 2011 and 2012, the Federal Reserve sold Treasury securities from the short end of the yield curve at the same time it was providing market participants with date-specific assurances that overnight interest rates would not rise. We investigate how these two policies, which had conflicting pricing pressures, were absorbed by the market. We analyze the impacts of sales on the volume and composition of inventories of the Federal Reserve's counterparties, and examine how announcements of accommodative monetary policy affected spreads and prices across maturities. Our results suggest that these...
In 2011 and 2012, the Federal Reserve sold Treasury securities from the short end of the yield curve at the same time it was providing market particip...
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cena:
52,68 |
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Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
ISBN: 9781503223738 / Angielski / Miękka / 2014 / 36 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a shadow-rate model as proposed by Black, 1995). The censoring ensures that model-implied yields are constrained to be positive, but it also introduces non-linearity that renders standard bond pricing formulas inapplicable. In particular, yields are not linear functions of the underlying state vector as they are in a ne term structure models (see Piazzesi, 2010). Existing approaches towards computing yields in shadow-rate...
This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian proces...
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cena:
52,68 |
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Sectoral Allocation, Risk Efficiency and the Great Moderation
ISBN: 9781499136708 / Angielski / Miękka / 2014 / 40 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. The decline in U.S. real GDP growth volatility after the mid 1980s was an outcome of more risk efficient and more diversified sectoral allocations. Using a portfolio approach, I distinguish between the two determinants of GDP growth volatility: sectoral covariances and sectoral allocations. I use the sectoral growth and covariances to compute the growth-volatility frontier of the economy. I define the efficiency of the actual sectoral allocation as the distance of the economy from the frontier, measured in the (volatility, growth) space. There are three main findings. 1) The frontier has...
The decline in U.S. real GDP growth volatility after the mid 1980s was an outcome of more risk efficient and more diversified sectoral allocations. Us...
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cena:
60,82 |
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Unemployment Insurance Experience Rating and Labor Market Dynamics
ISBN: 9781503287136 / Angielski / Miękka / 2014 / 68 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. Unemployment insurance experience rating imposes higher payroll tax rates on firms that have laid off more workers in the past. To analyze the effects of UI tax policy on labor market dynamics, this paper develops a search model of unemployment with heterogeneous firms and realistic UI financing. The model predicts that higher experience rating reduces both job creation and job destruction. Using firm- level data from the Quarterly Census of Employment and Wages, the model is tested by comparing job creation and job destruction across states and industries with different UI tax schedules. The...
Unemployment insurance experience rating imposes higher payroll tax rates on firms that have laid off more workers in the past. To analyze the effects...
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cena:
52,68 |
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Learning, Rare Disasters, and Asset Prices
ISBN: 9781503231191 / Angielski / Miękka / 2014 / 34 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. In this study, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the literature on rare disasters by allowing for two sources of uncertainty: (1) the lack of historical data results in unknown parameters for the disaster process, and (2) the disaster takes time to unfold and is not directly observable. The model generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity of disaster realization. The model accounts for the level and volatility of U.S. equity returns and...
In this study, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the literature on rare disasters b...
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cena:
60,82 |
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Policy Uncertainty, Irreversibility, and Cross-Border Flows of Capital
ISBN: 9781499136906 / Angielski / Miękka / 2014 / 50 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. We examine the effects of government policy uncertainty on cross-border capital flows. FDI flows from US companies to foreign affiliates drop significantly during the period just before an election. The election effect for FDI is larger than election cycles in domestic investment. The electoral patterns in FDI flows are more pronounced in countries with higher propensities for policy reversals and when election outcomes are more uncertain. Our identification strategy compares variation in different types of capital flows into the same country around the timing of national elections. The...
We examine the effects of government policy uncertainty on cross-border capital flows. FDI flows from US companies to foreign affiliates drop signific...
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cena:
40,48 |
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Liquidity Windfalls: The Consequences of Repo Rehypothecation
ISBN: 9781511660419 / Angielski / Miękka / 2015 / 34 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. This paper presents a model of repo rehypothecation in which dealers intermediate funds and collateral between cash lenders (e.g., money market funds) and prime brokerage clients (e.g., hedge funds). Dealers take advantage of their position as intermediaries, setting different repo terms with each counterparty. In particular, the difference in haircuts represents a positive cash balance for the dealer that can be an important source of liquidity. The model shows that dealers with higher default risk are more exposed to runs by collateral providers than to runs by cash lenders, who are...
This paper presents a model of repo rehypothecation in which dealers intermediate funds and collateral between cash lenders (e.g., money market funds)...
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cena:
52,68 |
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Inequality and Poverty in the United States: the Aftermath of the Great Recessio
ISBN: 9781505296969 / Angielski / Miękka / 2014 / 50 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. This book explores trends in inequality and poverty using both market and after-tax and transfer income in the period during and after the Great Recession (through 2011). Using market income (or wages), inequality and poverty rose sharply between 2008 and 2010. The primary exception is measures for the top of the distribution; annual wage and income shares of the top one percent dipped in 2008 and 2009. Including taxes and transfers, broad-based inequality measures also fell, and the poverty increase was muted. Tax and transfer policies lowered inequality and poverty, but those policies were...
This book explores trends in inequality and poverty using both market and after-tax and transfer income in the period during and after the Great Reces...
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cena:
60,82 |
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Equity Market Misvaluation, Financing, and Investment
ISBN: 9781503231238 / Angielski / Miękka / 2014 / 52 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. We quantify how much nonfundamental movements in stock prices affect firm decisions. We estimate a dynamic investment model in which firms can finance with equity or cash (net of debt). Misvaluation affects equity values, and firms optimally issue and repurchase overvalued and undervalued shares. The funds flowing to and from these activities come from either investment, dividends, or net cash. The model fits a broad set of data moments in large heterogeneous samples and across industries. Firms respond to misvaluation by adjusting financing more than by adjusting investment. Managers'...
We quantify how much nonfundamental movements in stock prices affect firm decisions. We estimate a dynamic investment model in which firms can finance...
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cena:
60,82 |
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Testing Conflicts of Interest at Bond Ratings Agencies with Market Anticipation: Evidence the Reputation Incentives Dominate
ISBN: 9781500949433 / Angielski / Miękka / 2014 / 38 str. Termin realizacji zamówienia: ok. 16-18 dni roboczych. This book presents the first comprehensive test of whether well-known conflicts of interest at bond rating agencies importantly influence their actions. This hypothesis is tested against the alternative that rating agency actions are primarily influenced by a countervailing incentive to protect their reputations as delegated monitors. These two hypotheses generate a number of testable predictions regarding the anticipation of credit-rating downgrades by the bond market, which we investigate using a new data set of about 2,000 credit rating migrations from Moody's and Standard & Poor's, and...
This book presents the first comprehensive test of whether well-known conflicts of interest at bond rating agencies importantly influence their action...
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cena:
60,82 |
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