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Forward Guidance under Imperfect Information: Instrument Based or State Contingent? 不完全信息下的前瞻指导:基于工具还是国家偶然?
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2019-11-05 DOI: 10.2139/ssrn.3485748
Chengcheng Jia
{"title":"Forward Guidance under Imperfect Information: Instrument Based or State Contingent?","authors":"Chengcheng Jia","doi":"10.2139/ssrn.3485748","DOIUrl":"https://doi.org/10.2139/ssrn.3485748","url":null,"abstract":"I study the optimal type of forward guidance in a flexible-price economy in which both the private sector and the central bank are subject to imperfect information about the aggregate state of the economy. In this case, forward guidance changes the private sector’s expectations about both future monetary policy and the state of the economy. I study two types of forward guidance. The first type is instrument based, in which case the central bank commits to a value of the policy instrument. The second type is state contingent, in which case the central bank reveals its imperfect information and commits to a policy response rule. The key message is that forward guidance allows the central bank to reduce ex-ante price fluctuations by making the optimal trade-off between price deviations after the actual shock and after the noise shock. However, this benefit comes with a cost under the instrument-based forward guidance; that is, since firms perfectly know the change in monetary policy and prices are fully flexible, the real output level becomes independent of monetary policy. Consequently, while state-contingent forward guidance guarantees ex-ante welfare improvement, instrument-based forward guidance improves ex-ante welfare only if the central bank’s information is sufficiently precise.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121080839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
What Explains Neighborhood Sorting by Income and Race? 如何解释按收入和种族排序的社区?
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2019-10-08 DOI: 10.2139/ssrn.3195529
Dionissi Aliprantis, Daniel R. Carroll, Eric R. Young
{"title":"What Explains Neighborhood Sorting by Income and Race?","authors":"Dionissi Aliprantis, Daniel R. Carroll, Eric R. Young","doi":"10.2139/ssrn.3195529","DOIUrl":"https://doi.org/10.2139/ssrn.3195529","url":null,"abstract":"Why do high-income black households live in neighborhoods with characteristics similar to those of low-income white households? We find that neighborhood sorting by income and race cannot be explained by financial constraints: High-income, high-wealth black households live in similar-quality neighborhoods as low-income, low-wealth white households. We provide evidence that black households sort across neighborhoods according to some non-pecuniary factor(s) correlated with the racial composition of neighborhoods. Black households sorting into black neighborhoods can explain the racial gap in neighborhood quality at all income levels. The supply of high-quality black neighborhoods drives the neighborhood quality of black households.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129237797","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 27
On the Optimality of Differential Asset Taxation 论资产差别化征税的最优性
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2019-08-29 DOI: 10.26509/frbc-wp-201917
Thomas M. Phelan
{"title":"On the Optimality of Differential Asset Taxation","authors":"Thomas M. Phelan","doi":"10.26509/frbc-wp-201917","DOIUrl":"https://doi.org/10.26509/frbc-wp-201917","url":null,"abstract":"How should a utilitarian government balance redistributive concerns with the need to provide incentives for business creation and investment? Should they tax business profits, the (risk-free) savings of owners, or some combination of both? To address this question, this paper presents a model in which the desirability of differential asset taxation emerges endogenously from the presence of agency frictions. I consider an environment in which entrepreneurs hire workers and rent capital to produce output subject to privately observed shocks and have the ability to both divert capital to private consumption and abscond with a fraction of assets. To provide incentives to invest, the wealth of an agent must depend on the performance of his/her firm, leading to ex-post inequality in all efficient allocations. I show that the efficient stationary distribution of wealth exhibits a thick right (Pareto) tail, with the degree of inequality monotonically increasing in the number of workers per entrepreneur. The efficient allocation is then implemented in a general equilibrium model using history-independent linear taxes on risk-free savings and (reported) business profits. The tax on entrepreneurs? savings may be positive or negative, while the tax on business profits depends solely upon the degree of private information and is independent of all technological and preference parameters.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"215 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132424370","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
A New Look at Historical Monetary Policy and the Great Inflation through the Lens of a Persistence-Dependent Policy Rule 从持续依赖政策规则的视角看历史货币政策和大通胀
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2019-07-18 DOI: 10.2139/ssrn.3265391
Richard Ashley, K. Tsang, Randal J. Verbrugge
{"title":"A New Look at Historical Monetary Policy and the Great Inflation through the Lens of a Persistence-Dependent Policy Rule","authors":"Richard Ashley, K. Tsang, Randal J. Verbrugge","doi":"10.2139/ssrn.3265391","DOIUrl":"https://doi.org/10.2139/ssrn.3265391","url":null,"abstract":"The origins of the Great Inflation, a central 20th-century U.S. macroeconomic event, remain contested. Prominent explanations are poor inflation forecasts or inaccurate output gap measurement. An alternative view is that the Federal Open Market Committee (FOMC) was unwilling to fight inflation, perhaps due to political pressures. Here, we sort this out via a novel econometric approach, disaggregating the real-time unemployment and inflation time series entering the FOMC historical policy reaction-function into persistence components, using one-sided Fourier filtering; this implicitly estimates the unemployment gap in actual use. We find compelling evidence for (economically interpretable) persistence-dependence in both variables. Furthermore, our results support the “unwilling to fight†view: the FOMC’s unemployment gap responses were essentially unchanged pre- and post-Volcker, while its inflation responses sharpened markedly starting with Volcker.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"223 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132469950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Convergence of Cultural Traits with Time-Varying Self-Confidence in the Panebianco (2014) Model -- A Corrigendum Panebianco(2014)模型中文化特质与时变自信的趋同——更正
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2017-11-13 DOI: 10.2139/ssrn.3081159
Fabrizio Panebianco, Anja Prummer, Jan-Peter Siedlarek
{"title":"Convergence of Cultural Traits with Time-Varying Self-Confidence in the Panebianco (2014) Model -- A Corrigendum","authors":"Fabrizio Panebianco, Anja Prummer, Jan-Peter Siedlarek","doi":"10.2139/ssrn.3081159","DOIUrl":"https://doi.org/10.2139/ssrn.3081159","url":null,"abstract":"We highlight that convergence in repeated averaging models commonly used to study cultural traits or opinion dynamics is not equivalent to convergence in Markov chain settings if transition matrices are time-varying. We then establish a new proof for the convergence of cultural traits in the model of Panebianco (2014) correcting the existing proof. The new proof provides novel insights on the long-run outcomes for inessential individuals. We close with a discussion of conditions for convergence in repeated averaging models with time-varying transition matrices.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114303431","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fiscal Dominance and US Monetary: 1940–1975 财政主导与美国货币:1940-1975
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2016-12-21 DOI: 10.26509/FRBC-WP-201632
Owen F. Humpage
{"title":"Fiscal Dominance and US Monetary: 1940–1975","authors":"Owen F. Humpage","doi":"10.26509/FRBC-WP-201632","DOIUrl":"https://doi.org/10.26509/FRBC-WP-201632","url":null,"abstract":"This narrative investigates the frictions that existed between the Federal Reserve’s monetary policies and the US Treasury’s debt-management operations from the onset of the Second World War through the end of the Federal Reserve’s even-keel actions in mid-1975. The analysis suggests that three factors can help explain why the Federal Reserve compromised the attainment of its statutorily mandated monetary-policy objectives for debt-management reasons: 1) the existence of an existential threat, 2) the fear that to do otherwise would create instability in the banking sector, and 3) the vulnerability of Treasury financing operations to monetary-policy actions that existed when the Treasury did not auction its debts.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122263434","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Large Vector Autoregressions with Stochastic Volatility and Flexible Priors 具有随机波动和柔性先验的大向量自回归
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2016-06-30 DOI: 10.26509/FRBC-WP-201617
Andrea Carriero, Todd E. Clark, Massimiliano Marcellino
{"title":"Large Vector Autoregressions with Stochastic Volatility and Flexible Priors","authors":"Andrea Carriero, Todd E. Clark, Massimiliano Marcellino","doi":"10.26509/FRBC-WP-201617","DOIUrl":"https://doi.org/10.26509/FRBC-WP-201617","url":null,"abstract":"Recent research has shown that a reliable vector autoregressive model (VAR) for forecasting and structural analysis of macroeconomic data requires a large set of variables and modeling time variation in their volatilities. Yet, there are no papers jointly allowing for stochastic volatilities and large datasets, due to computational complexity. Moreover, homoskedastic VAR models for large datasets so far restrict substantially the allowed prior distributions on the parameters. In this paper we propose a new Bayesian estimation procedure for (possibly very large) VARs featuring time varying volatilities and general priors. This is important both for reduced form applications, such as forecasting, and for more structural applications, such as computing response functions to structural shocks. We show that indeed empirically the new estimation procedure performs very well for both tasks.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124607837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 38
Information Production, Misconduct Effort, and the Duration of Corporate Fraud 信息生产、不当行为努力与企业欺诈的持续时间
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2016-06-01 DOI: 10.2139/ssrn.2795237
Jonathan Black, Mattias Nilsson, Roberto B. Pinheiro, M. Silva
{"title":"Information Production, Misconduct Effort, and the Duration of Corporate Fraud","authors":"Jonathan Black, Mattias Nilsson, Roberto B. Pinheiro, M. Silva","doi":"10.2139/ssrn.2795237","DOIUrl":"https://doi.org/10.2139/ssrn.2795237","url":null,"abstract":"We develop and test a model linking the duration of financial fraud to information produced by auditors and analysts and efforts by managers to conceal the fraud. Our empirical results suggest fraud termination is more likely in the quarter following the release of audited financial statements, especially when reports contain explanatory language, indicating auditors’ observable signals reduce fraud duration. Analyst attention increases the likelihood of fraud termination, but the marginal effect beyond the first analyst is negative, possibly due to free riding and herding behavior impairing analysts’ ability to illuminate misconduct. Finally, evidence suggests managerial concealment significantly increases fraud duration.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"247 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131358330","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Monetary Policy, Residential Investment, and Search Frictions: An Empirical and Theoretical Synthesis 货币政策、住宅投资与搜索摩擦:实证与理论的综合
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2016-02-12 DOI: 10.2139/ssrn.2737072
Kurt G. Lunsford
{"title":"Monetary Policy, Residential Investment, and Search Frictions: An Empirical and Theoretical Synthesis","authors":"Kurt G. Lunsford","doi":"10.2139/ssrn.2737072","DOIUrl":"https://doi.org/10.2139/ssrn.2737072","url":null,"abstract":"Using a factor-augmented vector autoregression (FAVAR), this paper shows that residential investment contributes substantially to GDP following monetary policy shocks. Further, it shows that the number of new housing units built, not changes in the sizes of existing or new housing units, drives residential investment fluctuations. Motivated by these results, this paper develops a dynamic stochastic general equilibrium (DSGE) model where houses are built in discrete units and traded through searching and matching. The search frictions transmit shocks to housing construction, making them central to producing fluctuations in residential investment. The interest rate spread between mortgages and risk-free bonds also transmits monetary policy to the housing market. Following monetary shocks, the DSGE model matches the FAVAR’s positive co-movement between nondurable consumption and residential construction spending. In addition, the FAVAR shows that the mortgage spread falls following an expansionary monetary shock, providing empirical support for the DSGE model’s monetary transmission mechanism.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"129 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134201878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Trade, Relative Prices, and the Canadian Great Depression 贸易、相对价格与加拿大大萧条
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2016-02-02 DOI: 10.26509/WP-201606
Pedro S. Amaral, James C. MacGee
{"title":"Trade, Relative Prices, and the Canadian Great Depression","authors":"Pedro S. Amaral, James C. MacGee","doi":"10.26509/WP-201606","DOIUrl":"https://doi.org/10.26509/WP-201606","url":null,"abstract":"Canadian GNP per capita fell by roughly a third between 1928 and 1933. Although the decline and the slow recovery of GNP resemble the American Great Depression, trade was more important in Canada, as exports and imports each accounted for roughly a quarter of Canadian GNP in 1928. The fall in the trade share of GNP of roughly 30 percent between 1928 and 1933 was accompanied by a decline of over 20 percent in the relative prices of exports and imports relative to nontraded goods. We develop a three-sector small open economy model, where wages in the nontraded and import competing sectors adjust slowly due to Taylor contracts. We feed the relative prices of imports and exports from the data into the model, and find that the fall in traded goods prices can account for roughly half of the fall in GNP during the Canadian Great Contraction.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128955227","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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