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Theory, Measurement, and Calibration of Macroeconomic Models 宏观经济模型的理论、测量和校准
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2005-05-01 DOI: 10.2139/ssrn.1025536
Paul Gomme, Peter Rupert
{"title":"Theory, Measurement, and Calibration of Macroeconomic Models","authors":"Paul Gomme, Peter Rupert","doi":"10.2139/ssrn.1025536","DOIUrl":"https://doi.org/10.2139/ssrn.1025536","url":null,"abstract":"Calibration has become a standard tool of macroeconomics. This paper extends and refines the calibration methodology along several important dimensions. First, accounting for home production is important both in measuring calibration targets and in organizing the data in a model-consistent fashion. For this reason, thinking about home production is important even if the model under consideration does not include home production. Second, investment-specific technological change is included because of its strong balanced growth parameter restrictions. Third, the measurement strategy is laid out as transparently as possible so that others can easily replicate the underlying calculations. The data and calculations used in this paper are available on the web.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115319032","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: 270
Oil Prices, Monetary Policy, and the Macroeconomy 油价、货币政策和宏观经济
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2005-04-01 DOI: 10.2139/ssrn.1024841
Charles T. Carlstrom, Timothy S. Fuerst
{"title":"Oil Prices, Monetary Policy, and the Macroeconomy","authors":"Charles T. Carlstrom, Timothy S. Fuerst","doi":"10.2139/ssrn.1024841","DOIUrl":"https://doi.org/10.2139/ssrn.1024841","url":null,"abstract":"Recessions are associated with both rising oil prices and increases in the federal funds rate. Are recessions caused by the spikes in oil prices or by the sharp tightening of monetary policy? The authors discuss how to disentangle these two effects.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"100 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128180180","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: 16
Bargaining and the Value of Money 讨价还价和金钱的价值
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2005-03-01 DOI: 10.2139/ssrn.1025576
G. Rocheteau, Christopher J. Waller
{"title":"Bargaining and the Value of Money","authors":"G. Rocheteau, Christopher J. Waller","doi":"10.2139/ssrn.1025576","DOIUrl":"https://doi.org/10.2139/ssrn.1025576","url":null,"abstract":"Search models of monetary exchange have typically relied on Nash (1950) bargaining or strategic games that yield an equivalent outcome to determine the terms of trade. By considering alternative axiomatic bargaining solutions in a simple search model with divisible money, we show how this choice matters for important results such as the ability of the optimal monetary policy to generate an efficient allocation. We show that the quantities traded in bilateral matches are always inefficiently low under the Nash (1950) and Kalai-Smorodinsky (1975) solutions, whereas under strongly monotonic solutions such as the egalitarian solution (Luce and Raiffa, 1957; Kalai, 1977), the Friedman Rule achieves the first best allocation. We evaluate quantitatively the welfare cost of inflation under the different bargaining solutions, and we extend the model to allow for endogenous market composition.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"82 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116366049","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: 172
Government Intervention in the Foreign Exchange Market 政府干预外汇市场
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2003-11-01 DOI: 10.2139/ssrn.1026265
Owen F. Humpage
{"title":"Government Intervention in the Foreign Exchange Market","authors":"Owen F. Humpage","doi":"10.2139/ssrn.1026265","DOIUrl":"https://doi.org/10.2139/ssrn.1026265","url":null,"abstract":"This article offers a survey of the literature on foreign exchange intervention, including sections on the theoretical channels through which intervention might affect exchange rates and a summary of the empirical findings. The survey emphasizes that intervention is intended to provide monetary authorities with an means of influencing their exchange rates independent from monetary policy, and tends to evaluate theoretical channels and empirical results from this perspective.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121839402","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: 79
Financial System Structure and Economic Development: Structure Matters 金融体系结构与经济发展:结构问题
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2003-07-14 DOI: 10.2139/ssrn.424063
O. Ergungor
{"title":"Financial System Structure and Economic Development: Structure Matters","authors":"O. Ergungor","doi":"10.2139/ssrn.424063","DOIUrl":"https://doi.org/10.2139/ssrn.424063","url":null,"abstract":"This paper investigates how the structure of a financial system-whether it is bank- or market-oriented-affects economic growth. In contrast to earlier research, which indicated that the financial system's structure is irrelevant for growth, the author finds that countries grow faster when they have a flexible judicial system and more market-oriented financial systems.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126607580","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: 19
How Amenities Affect Job and Wage Choices over the Life Cycle 生活设施如何影响生命周期内的工作和工资选择
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2003-05-01 DOI: 10.2139/ssrn.1026315
Ed Nosal, Peter Rupert
{"title":"How Amenities Affect Job and Wage Choices over the Life Cycle","authors":"Ed Nosal, Peter Rupert","doi":"10.2139/ssrn.1026315","DOIUrl":"https://doi.org/10.2139/ssrn.1026315","url":null,"abstract":"Job amenities are explicitly included in a model of job choice over the life cycle. The amenities are characterized by an indivisibility--a worker must be present at a job to enjoy its amenities. This chacterization has implications on initial job choice, a worker's wage profile and whether they move to a higher or lower paying job. (Copyright: Elsevier)","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125154912","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: 16
Community Banks as Small Business Lenders: The Tough Road Ahead 社区银行作为小企业贷款机构:艰难的前路
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2003-03-10 DOI: 10.2139/ssrn.303560
O. Ergungor
{"title":"Community Banks as Small Business Lenders: The Tough Road Ahead","authors":"O. Ergungor","doi":"10.2139/ssrn.303560","DOIUrl":"https://doi.org/10.2139/ssrn.303560","url":null,"abstract":"This paper investigates the performance of community banks as small business (relationship) lenders. Theory suggests that competition reduces the benefits of bank–borrower relationships, making small business loans more risky and less profitable. In support of this theory, the evidence indicates that community banks’ performance deteriorates with increasing small business lending. Policies that encourage community banks to engage in more aggressive small business lending may lessen the soundness of these institutions.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125410049","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: 10
The Empirical Performance of Option-Based Densities of Foreign Exchange 外汇期权密度的实证表现
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 2002-02-25 DOI: 10.2139/ssrn.1026272
Ben R. Craig, Joachim G. Keller
{"title":"The Empirical Performance of Option-Based Densities of Foreign Exchange","authors":"Ben R. Craig, Joachim G. Keller","doi":"10.2139/ssrn.1026272","DOIUrl":"https://doi.org/10.2139/ssrn.1026272","url":null,"abstract":"In this paper, the authors calculate risk-neutral densities (RND) by estimating the daily diffusion process of the underlying futures contract for foreign exchange, based on the price of the American puts and calls reported on the Chicago Mercantile Exchange for the end of the day. Their quick and accurate method of calculating the prices of the American options uses higher-order lattices and smoothing of the option's value function at the boundaries to mitigate the nondifferentiability of the payoff boundary at expiration and the early exercise boundary. The authors estimate the diffusion process by minimizing the squared distance between the calculated prices and the observed prices in the data.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2002-02-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132584683","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: 4
Fdicia and Bank CEO Compensation: An Empirical Investigation fdic与银行CEO薪酬的实证研究
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 1997-09-15 DOI: 10.2139/ssrn.52078
Ellen Ying Yan, J. B. Thomson
{"title":"Fdicia and Bank CEO Compensation: An Empirical Investigation","authors":"Ellen Ying Yan, J. B. Thomson","doi":"10.2139/ssrn.52078","DOIUrl":"https://doi.org/10.2139/ssrn.52078","url":null,"abstract":"Banking problems in the 1980s lead to the passing of FDICIA (1991). The purpose of this legislation was to improve market and regulatory discipline on bank performance through changes in the incentive structures for bank regulators and bank stakeholders. Herein, our paper looks at the implications of FDICIA for an important set of private contracts, bank CEO compensation. While subcomponents of bank CEO compensation appear to be more closely tied to market performance after the enactment of FDICIA, total compensation package does not. Hence, our empirical results support the hypothesis that the reregulation embodied FDICIA diminishes the effectiveness of private contracts.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1997-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114698426","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: 4
Capital Forbearance and Thrifts: An Ex Post Examination of Regulatory Gambling 资本隐忍与储蓄:监管赌博的事后考察
Federal Reserve Bank of Cleveland Research Paper Series Pub Date : 1992-09-01 DOI: 10.2139/ssrn.411460
Ramon P. Degennaro, J. B. Thomson
{"title":"Capital Forbearance and Thrifts: An Ex Post Examination of Regulatory Gambling","authors":"Ramon P. Degennaro, J. B. Thomson","doi":"10.2139/ssrn.411460","DOIUrl":"https://doi.org/10.2139/ssrn.411460","url":null,"abstract":"This paper estimates the losses embedded in the capital positions of the 996 FSLIC-insured savings and loan institutions that did not meet capital standards at the end of the 1970s. We compare the estimated cost of resolving the insolvencies of these institutions at the end of the 1970s with the actual failure-resolution costs for those that were closed by July 3 1, 1992, and the projected resolution costs for the remaining thrifts that are likely to be closed. Our results show that even when one considers only the direct costs associated with delayed closure of economically failed thrifts, these costs significantly exceed reasonable estimates of the cost of prompt failure resolution.","PeriodicalId":233460,"journal":{"name":"Federal Reserve Bank of Cleveland Research Paper Series","volume":"70 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1992-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115825150","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: 16
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