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Persistence in Monetary Policy Models: Indexation, Habits and Learning with Long-Horizon Expectations
Milani, Fabio - Econometric Society - 2004
What brings persistence into the macroeconomy? This is one of the big unresolved issues in current macroeconomic theory …
Persistent link: https://www.econbiz.de/10005342244
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Agency costs and asymmetric information in a small open economy: a dynamic general equilibrium model
Kim, Kunhong; Claus, Iris - Econometric Society - 2004
This paper assesses the effects of agency costs and asymmetric information in credit markets. Asymmetric information and agency costs occur whenever lenders delegate control over resources to borrowers, leading to adverse selection, moral hazard and monitoring costs because of the inability to...
Persistent link: https://www.econbiz.de/10005342290
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Dollarization Traps
Duffy, John; Nikitin, Maxim - Econometric Society - 2004
We study unofficial dollarization, i.e., the use of foreign money alongside the domestic currency, in an environment where spatial separation and limited communication create a role for currency and banks arise endogenously to provide insurance against liquidity preference shocks. Unofficial...
Persistent link: https://www.econbiz.de/10005129775
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Dollarization Traps
Duffy, John; Nikitin, Maxim - Econometric Society - 2004
We study unofficial dollarization, i.e., the use of foreign money alongside the domestic currency, in an environment where spatial separation and limited communication create a role for currency and banks arise endogenously to provide insurance against liquidity preference shocks. Unofficial...
Persistent link: https://www.econbiz.de/10005130227
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On the Friedman Rule with Heterogeneous Agents
Berentsen, A.; Strub, C. - Econometric Society - 2004
We consider a general equilibrium model where monetary policy has redistributive effects. Agents have stochastic preferences and face random buying and selling opportunities. We show that the Friedman rule is just the second best policy. However, the Friedman rule is Pareto optimal. It requires...
Persistent link: https://www.econbiz.de/10005130236
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The Equity Premium and the Baby Boom
Brooks, Robin - Econometric Society - 2004
This paper explores the quantitative impact of the Baby Boom on stock and bond returns. It constructs a neoclassical growth model with overlapping generations, in which agents make a portfolio decision over risky capital and safe bonds in zero net supply. The model has exogenous technology and...
Persistent link: https://www.econbiz.de/10005328938
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Market Price of Risk Specifications for Affine Models: Theory and Evidence
Cheridito, Patrick; Filipovic, Damir - Econometric Society - 2004
We extend the standard specification of the market price of risk for affine yield models of the term structure of interest rates, and estimate several models using the extended specification. For most models, the extended specification fits US data better than standard specifications, often with...
Persistent link: https://www.econbiz.de/10005328948
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Liquidity Premia in Dynamic Bargaining Markets
duffie - Econometric Society - 2004
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns. It abstracts from risk premia and focuses exclusively on liquidity. A float-adjusted return model (FARM) is derived, explaining the pricing of liquidity with a simple linear formula: In...
Persistent link: https://www.econbiz.de/10005328954
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Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership
Ehling, Paul - Econometric Society - 2004
In this article we construct a model in which agents exhibit preference for ownership with respect to a durable (house). Ownership is modeled as a continuous function of debt service normalized by the price of the house. We study the utility optimization problem of an investor not endowed with...
Persistent link: https://www.econbiz.de/10005328956
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Are the directions of stock price changes predictable? A generalized cross-spectral approach
Chung, Jaehun; Hong, Yongmiao - Econometric Society - 2004
direction of future changes is predictable using the direction, level, volatility, skewness, and kurtosis of past changes. An … excess stock returns with any threshold, and the volatility, skewness and kurtosis of past excess stock returns can be used …-known strong volatility clustering together with weak serial dependence in mean cannot completely explain all documented …
Persistent link: https://www.econbiz.de/10005328959