Search Results
Showing results 1 to 10 of approximately 43.
(refine search)
Working Paper
Growth and Welfare Gains from Financial Integration Under Model Uncertainty
Luo, Yulei; Young, Eric R.; Nie, Jun
(2018-12-07)
We build a robustness (RB) version of the Obstfeld (1994) model to study the effects of financial integration on growth and welfare. Our model can account for the empirically observed heterogeneity in the relationship between growth and volatility for different countries. The calibrated model shows that financial integration leads to significantly larger gains in growth and welfare for advanced countries than developing countries, with some developing countries experiencing growth and welfare loss in financial integration. Our analytical solutions help uncover the key mechanisms by which this ...
Research Working Paper
, Paper RWP 18-12
Working Paper
Jointly Estimating Macroeconomic News and Surprise Shocks
Kilian, Lutz; Plante, Michael D.; Richter, Alexander W.
(2023-04-20)
This paper clarifies the conditions under which the state-of-the-art approach to identifying TFP news shocks in Kurmann and Sims (2021, KS) identifies not only news shocks but also surprise shocks. We examine the ability of the KS procedure to recover responses to these shocks from data generated by a conventional New Keynesian DSGE model. Our analysis shows that the KS response estimator tends to be strongly biased even in the absence of measurement error. This bias worsens in realistically small samples, and the estimator becomes highly variable. Incorporating a direct measure of TFP news ...
Working Papers
, Paper 2304
Journal Article
Monetary Policy in an Oil-Exporting Economy
Restrepo-Echavarria, Paulina; Bejarano, Jesús; Rodríguez, Diego; Hamann, Franz
(2016)
The sudden collapse of oil prices poses a challenge to inflation-targeting central banks in oil-exporting economies. In this article, the authors illustrate this challenge and conduct a quantitative assessment of the impact of changes in oil prices in a small open economy in which oil represents an important fraction of its exports. They build a monetary, three-sector, dynamic stochastic general equilibrium model and estimate it for the Colombian economy. They model the oil sector as an optimal resource extracting problem and show that in oil-exporting economies the macroeconomic effects vary ...
Review
, Volume 98
, Issue 3
, Pages 239-61
Working Paper
Should Capital Be Taxed?
Chien, YiLi; Wen, Yi; Chen, Yunmin; Yang, C.C.
(2020-09-26)
We design an infinite-horizon heterogeneous-agents and incomplete-markets model to demonstrate analytically that in the absence of any redistributional effects of government policies, optimal capital tax is zero despite capital overaccumulation under precautionary savings and borrowing constraints. Our result indicates that public debt is a better tool than capital taxation to restore aggregate productive efficiency.
Working Papers
, Paper 2020-033
Working Paper
Implementing the Modified Golden Rule? Optimal Ramsey Capital Taxation with Incomplete Markets Revisited
Chien, YiLi; Yang, C.C.; Chen, Yunmin
(2020-10-01)
What is the prescription of Ramsey capital taxation in the long run? Aiyagari (1995) addressed the question in a heterogeneous-agent incomplete-markets (HAIM) economy, showing that a positive capital tax should be imposed to implement the so-called modified golden rule (MGR). In deriving the MGR result, Aiyagari (1995) implicitly assumed that the multiplier on the resource constraint of the Ramsey problem converges to a finite positive value in the limit. We first show that this implicit assumption has a strong implication for the shadow price of Ramsey taxation in the limit: it must go to ...
Working Papers
, Paper 2017-003
Working Paper
Optimal Contracts with Reflection
Grochulski, Borys; Zhang, Yuzhe
(2016-12-01)
In this paper, we show that whenever the agent's outside option is nonzero, the optimal contract in the continuous-time principal-agent model of Sannikov (2008) is reflective at the lower bound. This means the agent is never terminated or retired after poor performance. Instead, the agent is asked to put zero effort temporarily, which brings his continuation value up. The agent is then asked to resume effort, and the contract continues. We show that a nonzero agent's outside option arises endogenously if the agent is allowed to quit and find a new firm (after a random search time of finite ...
Working Paper
, Paper 16-14
Working Paper
Risk Management for Sovereign Debt Financing with Sustainability Conditions
Zenios, Stavros A.; Consiglio, Andrea; Athanasopoulou, Marialena; Moshammer, Edmund; Gavilan, Angel; Erce, Aitor
(2019-06-01)
We develop a model of debt sustainability analysis with optimal financing decisions in the presence of macroeconomic, financial and fiscal uncertainty. We define a coherent measure of refinancing risk, and trade off the risks of debt stock and flow dynamics, subject to debt sustainability constraints and endogenous risk and term premia. We optimize both static and dynamic financing strategies, compare them with several simple rules and consol financing to demonstrate economically significant effects of optimal financing, and show that the stock-flow tradeoff can be critical for ...
Globalization Institute Working Papers
, Paper 367
Report
An anatomy of U.S. personal bankruptcy under Chapter 13
Eraslan, Hulya; Koşar, Gizem; Li, Wenli; Sarte, Pierre-Daniel G.
(2016-01-01)
We build a structural model of Chapter 13 bankruptcy that captures salient features of personal bankruptcy under Chapter 13. We estimate our model using a novel data set that we construct from bankruptcy court dockets recorded in Delaware in 2001 and 2002. Our estimation results highlight the importance of debtor?s choice of repayment plan length for Chapter 13 outcomes under the restrictions imposed by the bankruptcy law. We use the estimated model to conduct policy experiments to evaluate the impact of more stringent provisions of Chapter 13 that impose additional restrictions on the length ...
Staff Reports
, Paper 764
Working Paper
Attention Allocation and Heterogenous Consumption Responses
Luo, Yulei; Nie, Jun; Yin, Penghui
(2022-07-29)
Recessions often have detrimental effects on both employment and equity returns, forcingindividuals to make decisions about how to balance risks to their labor and capital income.In this paper, we study how individuals allocate their limited attention between capital income and labor income risks in a two-period consumption-saving model with recursive utility.Specifically, we examine how the optimal attention and consumption-saving decisions are influenced by individuals’ attention capacity, wealth endowments, income risks, and preferencesfor risk and time. We show that our model can ...
Research Working Paper
, Paper RWP 22-07
Working Paper
Efficient Computation with Taste Shocks
Gordon, Grey
(2019-09-11)
Taste shocks result in nondegenerate choice probabilities, smooth policy functions, continuous demand correspondences, and reduced computational errors. They also cause significant computational cost when the number of choices is large. However, I show that, in many economic models, a numerically equivalent approximation may be obtained extremely efficiently. If the objective function has increasing differences (a condition closely tied to policy function monotonicity) or is concave in a discrete sense, the proposed algorithms are O(n log n) for n states and n choice--a drastic improvement ...
Working Paper
, Paper 19-15
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of St. Louis 12 items
Board of Governors of the Federal Reserve System (U.S.) 6 items
Federal Reserve Bank of Dallas 6 items
Federal Reserve Bank of Kansas City 6 items
Federal Reserve Bank of New York 4 items
Federal Reserve Bank of Richmond 3 items
Federal Reserve Bank of Boston 2 items
Federal Reserve Bank of Chicago 2 items
Federal Reserve Bank of Cleveland 1 items
Federal Reserve Bank of Minneapolis 1 items
show more (5)
show less
FILTER BY Series
Working Papers 15 items
Research Working Paper 6 items
Finance and Economics Discussion Series 4 items
Globalization Institute Working Papers 4 items
Review 3 items
Staff Reports 3 items
Working Paper 3 items
International Finance Discussion Papers 2 items
Working Paper Series 2 items
Economic Policy Review 1 items
show more (5)
show less
FILTER BY Content Type
FILTER BY Author
Chien, YiLi 10 items
Chen, Yunmin 9 items
Luo, Yulei 6 items
Nie, Jun 6 items
Wen, Yi 5 items
Yang, C.C. 5 items
Yang, C. C. 3 items
Young, Eric R. 3 items
Gallant, A. Ronald 2 items
Grochulski, Borys 2 items
Jahan-Parvar, Mohammad 2 items
Kabukcuoglu, Ayse 2 items
Kilian, Lutz 2 items
Liu, Hening 2 items
Martinez-Garcia, Enrique 2 items
Ngo, Phuong 2 items
Orlik, Anna 2 items
Plante, Michael D. 2 items
Restrepo-Echavarria, Paulina 2 items
Richter, Alexander W. 2 items
Arnoud, Antoine 1 items
Athanasopoulou, Marialena 1 items
Bejarano, Jesús 1 items
Benchimol, Jonathan 1 items
Consiglio, Andrea 1 items
Copeland, Adam 1 items
Corradin, Stefano 1 items
De Francisco, Eva 1 items
Eraslan, Hulya 1 items
Erce, Aitor 1 items
Fillat, Jose 1 items
Gavilan, Angel 1 items
Giannoni, Marc 1 items
Glasserman, Paul 1 items
Gordon, Grey 1 items
Gourio, Francois 1 items
Gourio, François 1 items
Guvenen, Fatih 1 items
Hamann, Franz 1 items
Hebden, James 1 items
Kleineberg, Tatjana 1 items
Koşar, Gizem 1 items
Krolikowski, Pawel 1 items
Lee, Junsang 1 items
Li, Wenli 1 items
McCallum, Andrew H. 1 items
Moshammer, Edmund 1 items
Owyang, Michael T. 1 items
Presno, Ignacio 1 items
Rodríguez, Diego 1 items
Sarte, Pierre-Daniel G. 1 items
Sirohi, Amit 1 items
Vergara-Alert, Carles 1 items
Wang, Gaowang 1 items
Wang, Haijun 1 items
Winkler, Fabian 1 items
Wong, Russell 1 items
Woodford, Michael 1 items
Yin, Penghui 1 items
Zenios, Stavros A. 1 items
Zhang, Allen 1 items
Zhang, Yuzhe 1 items
Zou, Heng-fu 1 items
de Groot, Oliver 1 items
http://fedora:8080/fcrepo/rest/objects/authors/ 1 items
show more (60)
show less
FILTER BY Jel Classification
E62 14 items
E22 10 items
H21 9 items
H30 9 items
D81 8 items
E21 8 items
E52 7 items
C63 6 items
E32 5 items
F41 4 items
G11 4 items
D83 3 items
E31 3 items
G12 3 items
C32 2 items
C51 2 items
C6 2 items
C62 2 items
C68 2 items
D12 2 items
D82 2 items
D86 2 items
E61 2 items
F34 2 items
H63 2 items
M52 2 items
R21 2 items
D11 1 items
D58 1 items
D61 1 items
D91 1 items
E13 1 items
E3 1 items
E37 1 items
E47 1 items
F12 1 items
F21 1 items
F43 1 items
F44 1 items
G32 1 items
G33 1 items
G38 1 items
K35 1 items
L62 1 items
show more (40)
show less
FILTER BY Keywords
Incomplete Markets 8 items
Ramsey Problem 8 items
Capital Taxation 6 items
Modified Golden Rule 5 items
Heterogeneous Agents 5 items
Lump-sum Transfers 3 items
Public Liquidity 3 items
Universal Basic Income 3 items
model uncertainty 3 items
risk premia 3 items
Bayesian estimation 2 items
Computation 2 items
Consumption 2 items
DSGE 2 items
General equilibrium 2 items
Government Bonds 2 items
Savings 2 items
Structural VAR 2 items
inflation premia 2 items
monetary policy 2 items
news 2 items
robust control 2 items
stock market 2 items
term premia 2 items
time consistency 2 items
total factor productivity (TFP) 2 items
wealth distribution 2 items
Markov Switching 2 items
Occasionally Binding Constraints 2 items
Optimal Policy 2 items
Rational inattention 2 items
Welfare 2 items
Ambiguity 1 items
Ambiguity aversion 1 items
CEO compensation 1 items
CEO replacement 1 items
Calibration 1 items
Capital income risks 1 items
Chapter 13 bankruptcy 1 items
Commitment 1 items
Computational methods 1 items
Consumption and income volatility. 1 items
Consumption and saving decisions 1 items
Consumption inequality 1 items
Curse of Dimensionality 1 items
Debt Crisis 1 items
Discrete Choice 1 items
Discretion 1 items
Economic Growth 1 items
Endogenous grid 1 items
Endowment model 1 items
Equity premium puzzle 1 items
Estimation 1 items
Financial Crisis 1 items
Financial Integration 1 items
General equilibrium models 1 items
Global optimization 1 items
Great Recession 1 items
Ignorance 1 items
Income 1 items
Induced Uncertainty 1 items
Interest rates 1 items
Labor income risks 1 items
Latin America 1 items
Limited Commitment 1 items
Liquidity trap 1 items
Markov-switching 1 items
Measurement error 1 items
Monotonicity 1 items
Multistart algorithms 1 items
NLopt 1 items
Nonlinearities 1 items
ODE splicing 1 items
Open Economy 1 items
Optimal attention allocation 1 items
Parallelized optimizer 1 items
Permanent income hypothesis 1 items
Policy function iteration 1 items
Risk Sharing 1 items
Risk free rates 1 items
Robustness 1 items
Search 1 items
Sovereign Default 1 items
Spirit of Capitalism 1 items
Strategic Asset Allocation 1 items
Taste Shocks 1 items
Time iteration 1 items
Treasury auctions 1 items
Unknown Income Growth 1 items
Volatility Shocks 1 items
Wealth 1 items
Wealth inequality 1 items
agency costs 1 items
automobiles 1 items
bankruptcy reorganization 1 items
capital structure 1 items
closed-form solution 1 items
conditional Value-at-Risk 1 items
constrained optimization 1 items
contingent debt 1 items
credibility 1 items
debt financing 1 items
debt management 1 items
discharge 1 items
discrete-choice demand estimation 1 items
dynamic incentives 1 items
dynamic model 1 items
dynamic moral hazard 1 items
equity premiums 1 items
expectation 1 items
fast reflection 1 items
financial restructuring 1 items
government credibility 1 items
heterogeneous agent 1 items
housing 1 items
inaction bands 1 items
information costs 1 items
instantaneous control 1 items
liquidation 1 items
liquidity traps 1 items
long-run risks 1 items
management of expectations 1 items
max-share 1 items
monitoring costs 1 items
optimal control 1 items
optimization 1 items
performance pricing 1 items
portfolio choice 1 items
price discrimination 1 items
price-dividend ratio 1 items
productivity shock 1 items
quadratic programming 1 items
quitting 1 items
random search 1 items
recovery rates 1 items
recursive methods 1 items
reflective dynamics 1 items
risk measures 1 items
scenario analyses 1 items
search frictions 1 items
sovereign debts 1 items
sticky Brownian motion 1 items
stochastic programming 1 items
sustainability 1 items
target criterion 1 items
trade 1 items
transaction costs 1 items
zero lower bound 1 items
show more (152)
show less