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Crash Risk in Currency Markets
Farhi, Emmanuel - 2009
expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is … priced in currency markets. To study the price of disaster risk, we propose a simple structural model that includes both … Gaussian and disaster risk and can be estimated even in samples that do not contain disasters. Estimating the model over the …
Persistent link: https://www.econbiz.de/10012463588
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Rational Inattention when Decisions Take Time
Hébert, Benjamin M. - 2019
Decisions take time, and the time taken to reach a decision is likely to be informative about the cost of more precise judgments. We formalize this insight in the context of a dynamic rational inattention (RI) model. Under standard conditions on the flow cost of information in our discrete-time...
Persistent link: https://www.econbiz.de/10012480359
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Speculative growth : hints from the US economy
Caballero, Ricardo J. (contributor);  … - 2004 - [Elektronische Ressource]. - Rev
Persistent link: https://www.econbiz.de/10002111075
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Optimal Monetary Policy Inertia
Woodford, Michael - 1999
This paper considers the desirability of the observed tendency of central banks to adjust interest rates only gradually in response to changes in economic conditions. It shows, in the context of a simple model of optimizing private-sector behavior, that such inertial policy can be optimal. The...
Persistent link: https://www.econbiz.de/10012471529
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Robustly Optimal Monetary Policy in a New Keynesian Model with Housing
Adam, Klaus - 2020
empirically realistic cases, robustness requires the central bank to "lean against" housing prices, i.e., to adopt a stance that …
Persistent link: https://www.econbiz.de/10012479356
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Noisy Memory and Over-Reaction to News
da Silveira, Rava Azeredo - 2019
complexity of memory measured using Shannon's mutual information, as in models of rational inattention; but our theory differs …
Persistent link: https://www.econbiz.de/10012479434
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A Short Note on Aggregating Productivity
Baqaee, David - 2019
This paper discusses two simple decompositions for aggregate productivity analysis in the presence of distortions and in general equilibrium. The first is a generalization of Baqaee and Farhi (2017) and the second is due to Petrin and Levinsohn (2012). In the process, we propose a new...
Persistent link: https://www.econbiz.de/10012479640
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Information Costs and Sequential Information Sampling
Hébert, Benjamin - 2018
We propose a new approach to modeling the cost of information structures in rational inattention problems, the "neighborhood-based" cost functions. These cost functions have two properties that we view as desirable: they summarize the results of a sequential evidence accumulation problem, and...
Persistent link: https://www.econbiz.de/10012480967
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Fiscal and Monetary Stabilization Policy at the Zero Lower Bound : Consequences of Limited Foresight
Woodford, Michael - 2020
This paper reconsiders the degree to which macroeconomic stabilization is possible when the zero lower bound is a relevant constraint on the effectiveness of conventional monetary policy, under an assumption of bounded rationality. In particular, we reconsider the potential role of...
Persistent link: https://www.econbiz.de/10012481376
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The Darwinian Returns to Scale
Baqaee, David - 2020
How does an increase in the size of the market due to fertility, immigration, or trade integration, affect welfare and real GDP? We study this question using a model with heterogeneous firms, fixed costs, and monopolistic competition. We decompose the change in welfare into changes in technical...
Persistent link: https://www.econbiz.de/10012481722