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Do expectations matter? The Great Moderation revisited

Canova, Fabio; Gambetti, Luca - Department of Economics and Business, Universitat … - 2007

We examine the role of expectations in the Great Moderation episode. We derive theoretical restrictions in a New …-Keynesian model and test them using measures of expectations obtained from survey data, the Greenbook and bond markets. Expectations … without expectations display similar reduced form characteristics. Including or excluding expectations hardly changes the …

Persistent link: https://www.econbiz.de/10005827517

Supply side interventions and redistribution

Garcia-Milà, Teresa; Marcet, Albert; Ventura, Eva - Department of Economics and Business, Universitat … - 1995

In this paper we study the welfare impact of alternative tax schemes on labor and capital. We evaluate the e_ect of lowering capital income taxes on the distribution of wealth in a model with heterogeneous agents, restricting our attention to policies with constant tax rates. We calibrate and...

Persistent link: https://www.econbiz.de/10005772553

Stable sunspot equilibria in a cash-in-advance economy

Evans, George W.; Honkapohja, Seppo; Marimon, Ramon - Department of Economics and Business, Universitat … - 2004

We analyze a monetary model with flexible labor supply, cash-inadvance constraints and seigniorage-financed government deficits. If the intertemporal elasticity of substitution of labor is greater than one, there are two steady states, one determinate and the other indeterminate. If the...

Persistent link: https://www.econbiz.de/10005827487

Measuring strategic uncertainty in coordination games

Heinemann, Frank; Nagel, Rosemarie; Ockenfels, Peter - Department of Economics and Business, Universitat … - 2004

This paper explores three aspects of strategic uncertainty: its relation to risk, predictability of behavior and subjective beliefs of players. In a laboratory experiment we measure subjects’ certainty equivalents for three coordination games and one lottery. Behavior in coordination games is...

Persistent link: https://www.econbiz.de/10005827518

Cognitive bubbles

Bosch-Rosa, Ciril; Meissner, Thomas; Bosch-Domènech, Antoni - Department of Economics and Business, Universitat … - 2015

Smith et al. (1988) reported large bubbles and crashes in experimental asset markets, a result that has been replicated by a large literature. Here we test whether the occurrence of bubbles depends on the experimental subjects' cognitive sophistication. In a two-part experiment, we first run a...

Persistent link: https://www.econbiz.de/10011127588

Pre-play communication and credibility: A test of Aumann's conjecture

Charness, Gary - Department of Economics and Business, Universitat … - 1998

The effectiveness of pre-play communication in achieving efficient outcomes has long been a subject of controversy. In some environments, cheap talk may help to achieve coordination. However, Aumann conjectures that, in a variant of the Stag Hunt game, a signal for efficient play is not...

Persistent link: https://www.econbiz.de/10005772240

On the timing of balance of payments crises: Disaggregated information and interest rate policy

Broner, Fernando - Department of Economics and Business, Universitat … - 1999

This paper proposes a dynamic framework to study the timing of balance of payments crises. The model incorporates two main ingredients: (i) investors have private information; (ii)investors interact in a dynamic setting, weighing the high returns on domestic assets against the incentives to pull...

Persistent link: https://www.econbiz.de/10005827472

Bank liquidity, interbank markets and monetary policy

Freixas, Xavier; Martin, Antoine; Skeie, David - Department of Economics and Business, Universitat … - 2010

A major lesson of the recent financial crisis is that the interbank lending market is crucial for banks facing large uncertainty regarding their liquidity needs. This paper studies the efficiency of the interbank lending market in allocating funds. We consider two different types of liquidity...

Persistent link: https://www.econbiz.de/10008529183

Monetary policy with signal extraction from the bond market

Nimark, Kristoffer - Department of Economics and Business, Universitat … - 2008

Monetary policy is conducted in an environment of uncertainty. This paper sets up a model where the central bank uses real-time data from the bond market together with standard macroeconomic indicators to estimate the current state of the economy more efficiently, while taking into account that...

Persistent link: https://www.econbiz.de/10008540956

A note on the Malliavin differentiability of the Heston volatility

Alòs, Elisa; Ewald, Christian-Olivier - Department of Economics and Business, Universitat … - 2005

We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative. This result assures the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model and the...

Persistent link: https://www.econbiz.de/10005772060