Showing 1 - 10 of 63
This paper investigates a new mechanism through which "liquidity effects" (i.e. a negative response of the nominal interest rate to monetary injections) can be introduced into dynamic stochastic general equilibrium (DSGE) models. As it turns out, this liquidity effect has been found difficult to...
Persistent link: https://www.econbiz.de/10005027262
Persistent link: https://www.econbiz.de/10005027240
This paper develops and estimates a macro-finance model that combines a canonical affine no-arbitrage finance specification of the term structure with standard macroeconomic aggregate relationships for output and inflation. From this new empirical formulation, we obtain several important...
Persistent link: https://www.econbiz.de/10005090922
Persistent link: https://www.econbiz.de/10005051372
Persistent link: https://www.econbiz.de/10005051379
This paper studies optimal interest-rate policies when the central bank operates a channel system of interest-rate control. We conduct our analysis in a dynamic general equilibrium model with infinitely-lived agents who are subject to idiosyncratic trading shocks which generate random liquidity...
Persistent link: https://www.econbiz.de/10004970313
A segmented markets model is constructed in which transactions are conducted using credit and currency. Goods market segmentation plays an important role, in addition to the role played by conventional segmentation of asset markets. An important novelty of the paper is to show how the diffusion...
Persistent link: https://www.econbiz.de/10004977928
Persistent link: https://www.econbiz.de/10005090867
This article complements the structural New-Keynesian macro framework with a no-arbitrage term structure model. Whereas our methodology is general, we focus on an extended macro-model with an unobservable time-varying markup and stochastic risk aversion. Term structure information helps to...
Persistent link: https://www.econbiz.de/10005090884
In this preliminary version we consider different types of ex-ante heterogeneity (production cost, preferences, market access, etc.) in a Lagos-Wright (2003) framework. Such heterogeneity generates equilibrium inequality in nominal wealth, or money holdings. We have two basic objectives. First,...
Persistent link: https://www.econbiz.de/10005090919