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Obstfeld, Maurice - 1999

In this paper I focus on two specific hazard areas in the transition from Stage Two to Stage Three of European economic and monetary union (EMU), as well as on some key problems of Stage Three that EMU's monetary and fiscal structures appear ill-prepared to handle. The transitional hazards are...

Persistent link: https://www.econbiz.de/10012471509

Inflationary Consequences of Anticipated Macroeconomic Policies

Drazen, Allan - 1986

We consider a model in which the level of taxes and seignorage are too low to finance government expenditures and debt service. Government debt will therefore grow without bound, implying the eventual need to change policy. Starting with utility maximization, we analyze the effect of the...

Persistent link: https://www.econbiz.de/10012477065

Optimal Time-Consistent Fiscal Policy with Uncertain Lifetimes

Calvo, Guillermo A. - 1985

This paper studies optimal fiscal policy in an economy where heterogeneous agents with uncertain lifetimes coexist. We show that some plausible social welfare functions lead to time-inconsistent optimal plans, and we suggest restrictions on social preferences that avoid the problem. The...

Persistent link: https://www.econbiz.de/10012477491

Exchange Rate Management : Intertemporal Tradoffs

Helpman, Elhanan - 1985

The management of the exchange rate is possible only if the government pursues a monetary-fiscal policy mix which is consistent with its exchange rate targets. In this paper with uncertainty concerning the length of individual life the real consequences of exchange rate management depend on the...

Persistent link: https://www.econbiz.de/10012477494

Balance-of-Payments Crises and Devaluation

Obstfeld, Maurice - 1983

The collapse of a fixed exchange rate is typically marked by a sudden balance-of-payments crisis in which"speculators" fleeing from the domestic currency acquire a large portion of the central bank's foreign exchange holdings.Faced with such an attack, the central bank often withdraws...

Persistent link: https://www.econbiz.de/10012477999

Macroeconomic Policy, Exchange-Rate Dynamics, and Optimal Asset Accumulation

Obstfeld, Maurice - 1980

The paper develops a model of exchange-rate and current-account determination for a small economy peopled by infinitely lived, utility-maximizing households. In this setting, a central-bank purchase of foreign exchange has no real effects when central-bank foreign reserves earn interest at the...

Persistent link: https://www.econbiz.de/10012478526

The Capitalization of Income Streams and the Effects of Open Market Policy under Fixed Exchange Rates

Obstfeld, Maurice - 1980

This paper investigates the long- and short-run neutrality of open-market monetary policy in a world of fixed exchange rates and imperfect substitutability between bonds denominated in different currencies. Using an illustrative portfolio-balance model, it shows that when the public discounts...

Persistent link: https://www.econbiz.de/10012478607

The Cross-Section and Time-Series of Stock and Bond Returns

Koijen, Ralph S.J. - 2010

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium provided that good news about future output lowers the...

Persistent link: https://www.econbiz.de/10012462964

Rational Attention Allocation Over the Business Cycle

Kacperczyk, Marcin - 2009

largest literatures in finance. One candidate explanation is that funds process information about future asset values and use … that information to invest in high-valued assets. But formal theories are scarce because information choice models with … attention allocation model that uses the state of the business cycle to predict information choices, which in turn, predict …

Persistent link: https://www.econbiz.de/10012463199

Information Acquisition and Under-Diversification

Van Nieuwerburgh, Stijn - 2008

If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future … value of these assets before he invests, which assets should he learn about? The best assets to acquire information about … are ones the investor expects to hold. But the assets the investor holds depend on the information he observes. We build a …

Persistent link: https://www.econbiz.de/10012464743