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Working Paper
The liquidity premium in average interest rates
This paper studies recent models of the liquidity effect of money on interest rates to determine if a systematic relationship between liquidity shocks and the economy could affect the average real interest rate.
Working Paper
Identifying monetary policy with a model of the federal funds rate
With a stochastic general equilibrium model, we highlight the role of both monetary policy and banks in determining the relationship between the federal funds rate and bank reserves. Monetary policy consists of a stochastic upward-sloping supply schedule for reserves, along with a discount window and open-market operations that are consistent with this schedule. The demand schedule for reserves by banks is downward sloping in the federal runds rate, so shifts in the supply schedule lead to a negative relationship between total reserves and the federal funds rate (a liquidity effect). Shifts ...
Working Paper
Precautionary money balances with aggregate uncertainty
This paper studies the dependence of velocity on stochastic monetary growth in a model where households demand money for both its transactions and precautionary services. The setup consists of a cash-in-advance economy in which individual uncertainty leads households to value money for its insurance against adverse endowment shocks. With stochastic monetary growth the distribution of money balances across households does not settle down to a time invariant distribution, so one aim of this paper is to model this distribution as an endogenous state variable.
Discussion Paper
Solving nonlinear dynamic models on parallel computers
This paper describes an algorithm that takes advantage of parallel computing to solve discrete-time recursive systems that have an endogenous state variable.
Working Paper
An algorithm to solve dynamic models
This paper presents an algorithm to solve recursive systems, formulated in discrete or continuous time, which have an endogenous state variable. The basis of the algorithm is a fixed point equation in the function from the state variables to the control variables.
Working Paper
Equilibrium in a production economy with an income tax
A state-dependent income tax is incorporated into an intertemporal production economy. Methods are developed for establishing the existence and uniqueness of an equilibrium, and for explicitly constructing this equilibrium. Some tax-policy experiments are suggested, the results of which may have important implications in quantifying the effects of various tax policies.
Conference Paper
Discount window borrowing and liquidity
Working Paper
Money, interest, and capital in a cash-in-advance economy
A cash-in-advance constraint on consumption is incorporated into a standard model of consumption and capital accumulation. Monetary policy consists of lump-sum cash transfers. Methods are developed for establishing the existence and uniqueness of an equilibrium. and for explicitly constructing this equilibrium. The model economy's dependence on monetary policy is explored.