We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return...

This paper investigates firms׳ optimal location choices explicitly accounting for the role of inwards and outwards knowledge spillovers in a dynamic Cournot oligopoly with firms that are heterogeneous in their ability to carry out cost-reducing R&D. Firms can either locate in an industrial...

This paper shows that a seemingly simple assumption – that agents use a rolling planning horizon – can reconcile the puzzling long run price dynamics of exhaustible resources such as oil, gas and metals. A rolling horizon has the effect of removing the scarcity consideration of resource...

Over the past twenty years, monetary policy rules have played an increasingly central role in disucssions of monetary policy strategy and tactics at the Federal Reserve. This represented a sea change in thinking about monetary policy in terms of a systematic startagey rather than a sequence of...

This paper studies the impact of Federal Reserve policies that created the largest deviations from price stability during the Fed׳s first 100 years: the post-World War I deflation, the deflation of the Great Depression, the inflation of World War II, and the Great Inflation of the 1970s. In...

Discussions of the Fed׳s financial crisis lending – and its role as “Lender of Last Resort” more generally – often overlook the distinction between monetary policy and credit policy. Central bank actions constitute monetary policy if they alter the quantity of the bank׳s monetary...

The efficacy of central bank communications is inextricably linked to the characteristics of the monetary policy framework. Therefore, this paper presents a set of fundamental principles regarding the joint design of monetary policy strategy and communications. The practical implications of...

I analyze monetary policy with interest on reserves and a large balance sheet. I show that conventional theories do not determine inflation in this regime, so I base the analysis on the fiscal theory of the price level. I find that monetary policy can peg the nominal rate, and determine expected...

Wide operational and financial independence given to monetary and credit policies subjects the Federal Reserve to incentives detrimental for macroeconomic and financial stability. The absence of a monetary policy rule created go-stop incentives that produced inefficient volatility of both...

This article explains that, while Walter Bagehot׳s Lombard Street had a rule about the central bank׳s role as a lender of last resort, it was not a precursor of the rules-based approach to monetary policy. Monetary policy rules came into fashion in the 1980s and 1990s when it became clear from...