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1.
We study the contribution of money to business‐cycle fluctuations in the United States, the United Kingdom, Japan, and the euro area using a small‐scale structural monetary business cycle model. Constrained likelihood‐based estimates of the parameters are provided and time instabilities analyzed. Real balances are statistically important for output and inflation fluctuations. Their contribution changes over time. Models giving money no role provide a distorted representation of the sources of cyclical fluctuations, of the transmission of shocks, and of the events of the last 40 years. 相似文献
2.
Financial regulation was as hotly debated a political issue in the 19th century as it is today. We study the political economy of state usury laws in 19th century America. Exploiting the wide variation in regulation, enforcement, and economic conditions across states and time, we find that usury laws when binding reduce credit and economic activity, especially for smaller firms. We examine the motives of regulation and find that usury laws coincide with other economic and political policies favoring wealthy political incumbents, particularly when they have more voting power. The evidence suggests financial regulation is driven by private interests capturing rents from others rather than public interests protecting the underserved. 相似文献
3.
We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross‐section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight‐to‐safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasuries. These findings provide support for dynamic asset pricing theories in which the price of risk is a nonlinear function of market volatility. 相似文献
4.
ULF VON KALCKREUTH TOBIAS SCHMIDT HELMUT STIX 《Journal of Money, Credit and Banking》2014,46(8):1753-1786
This paper provides one explanation why cash is still used for transactions despite a broad diffusion of noncash payment instruments. In particular, we argue that a distinctive feature of cash—a glance into one's pocket gives a signal of the remaining budget and past expenses—provides utility to some consumers. Using payment survey data, we show that consumers who need to keep control over their remaining liquidity and who have elevated costs of information processing conduct a larger percentage of payments using cash, withdraw less often, and hold larger cash balances than other consumers. 相似文献
5.
We analyze the transmission mechanism of wages to inflation within a New Keynesian business cycle model with wage rigidities and labor market frictions. Our main focus is on the channel of real wage rigidities on inflation persistence for which we find the specification of the wage bargaining process to be of crucial importance. Under the standard efficient Nash bargaining, the feedback of wage rigidities on inflation is ambiguous and depends on other labor market variables. However, under the alternative right‐to‐manage bargaining we find that more rigid wages translate directly into more persistent movements of aggregate inflation. 相似文献
6.
We provide a model of the effects of catastrophic risk on real estate financing and prices and demonstrate that insurance market imperfections can restrict the supply of credit for catastrophe-susceptible properties. Using unique micro-level data, we find that earthquake risk decreased commercial real estate bank loan provision by 22% in California properties in the 1990s, with more severe effects in African–American neighborhoods. We show that the 1994 Northridge earthquake had only a short-term disruptive effect. Our basic findings are confirmed for hurricane risk, and our model and empirical work have implications for terrorism and political perils. 相似文献
7.
After us,the deluge: German miners’ experience with pay‐as‐you‐go pensions and the intergenerational contract before the great inflation
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TOBIAS A. JOPP 《The Economic history review》2016,69(3):972-998
Many public pension insurance schemes today use the pay‐as‐you‐go financing mechanism. This mechanism is vulnerable to an ageing population, which puts pressure on the intergenerational contract implicit in these schemes and raises the question as to how they might be eroded. This is not a new problem, and to put it into historical perspective, this article studies the intergenerational contract that formed the core of the Prussian miners’ invalidity insurance in the nineteenth and the early twentieth century (1861–1920). With the so‐called Knappschaften, miners relied on what was probably the most comprehensive and advanced occupational pension system existing in Germany around the time when Bismarckian social insurance was established. Financed via the pay‐as‐you‐go mechanism, the miners’ pension funds faced stress from their ageing memberships early on, and this potentially undermined their ability to maintain intergenerationally fair pensions. In order to examine whether or not the intergenerational contract among German miners showed signs of erosion, we look at the Knappschaftens’ profitability, as measured by actual and promised internal rates of return. This article shows that the intergenerational contract indeed weakened over time unless miners’ funds were large and continued to grow, and that a pension reform in 1906 served to stabilize generosity. 相似文献
8.
This paper examines how shocks to government bond duration risk held by price-sensitive investors affect the euro area term structure of interest rates and the wider macroeconomy. We construct a new measure of the bond “free float,” which adjusts total debt for foreign official holdings and weights by residual maturity. Using a small macrofinance Bayesian Vector Autoregression (VAR) model, we estimate that the first round of asset purchases under the European Central Bank's (ECB) public sector purchase program reduced euro area 10-year bond yields by around 30 bps in 2015. The positive impact on the output gap and inflation in 2016 was about 0.2 and 0.3 ppt, respectively. 相似文献
9.
CLIFFORD S. ASNESS TOBIAS J. MOSKOWITZ LASSE HEJE PEDERSEN 《The Journal of Finance》2013,68(3):929-985
We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns. Value and momentum returns correlate more strongly across asset classes than passive exposures to the asset classes, but value and momentum are negatively correlated with each other, both within and across asset classes. Our results indicate the presence of common global risks that we characterize with a three‐factor model. Global funding liquidity risk is a partial source of these patterns, which are identifiable only when examining value and momentum jointly across markets. Our findings present a challenge to existing behavioral, institutional, and rational asset pricing theories that largely focus on U.S. equities. 相似文献
10.
Testing Agency Theory with Entrepreneur Effort and Wealth 总被引:2,自引:0,他引:2
MARIANNE P. BITLER TOBIAS J. MOSKOWITZ ANNETTE VISSING-JØRGENSEN 《The Journal of Finance》2005,60(2):539-576
We develop a principal‐agent model in an entrepreneurial setting and test the model's predictions using unique data on entrepreneurial effort and wealth in privately held firms. Accounting for unobserved firm heterogeneity using instrumental‐variables techniques, we find that entrepreneurial ownership shares increase with outside wealth and decrease with firm risk; effort increases with ownership; and effort increases firm performance. The magnitude of the effects in the cross‐section of firms suggests that agency costs may help explain why entrepreneurs concentrate large fractions of their wealth in firm equity. 相似文献