Showing 1 - 10 of 124
We estimate a model for nominal and real term structures of interest rates that includes dynamics for the three main components of total inflation: core, food, and energy. These dynamics combine together to produce a measure of expected total inflation that investors use to price nominal...
Persistent link: https://www.econbiz.de/10011080194
We propose a no-arbitrage model that jointly explains the dynamics of consumer prices as well as the nominal and real term structures of risk-free rates. In our framework, distinct core, food, and energy price series combine into a measure of total inflation to price nominal Treasuries. This...
Persistent link: https://www.econbiz.de/10011093790
What is the role of arbitrage trading in the U.S. Treasury market? In this article, the authors discuss the pricing of risk-free Treasury securities via no-arbitrage arguments and illustrate how this approach works in models of the term structure of interest rates. The article ends with an...
Persistent link: https://www.econbiz.de/10010726168
I use micro data to quantify key features of U.S. firm financing. In particular, I establish that a substantial 35% of firms' investment is funded using financial markets. I then construct a dynamic equilibrium model that matches these features and fit the model to business cycle data using...
Persistent link: https://www.econbiz.de/10010579431
How important are financial friction shocks in business cycles fluctuations? To answer this question, I use micro data to quantify key features of US financial markets. I then construct a dynamic equilibrium model that is consistent with these features and fit the model to business cycle data...
Persistent link: https://www.econbiz.de/10009220105
This paper studies whether the Rietz-Barro "disaster" model, extended for a time-varying probability of disaster, can match the empirical evidence on predictability of stock returns. It is shown that when utility is CRRA, the model cannot replicate this evidence, regardless of parameter values....
Persistent link: https://www.econbiz.de/10005397409
In France, firms that have 50 employees or more face substantially more regulation than firms that have less than 50. As a result, the size distribution of firms is visibly distorted: there are many firms with exactly 49 employees. We model the regulation as the combination of a sunk cost that...
Persistent link: https://www.econbiz.de/10011160855
Recent work in international finance suggests that exchange rate puzzles can be accounted for if (1) aggregate uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in a standard two-country real business cycle framework,...
Persistent link: https://www.econbiz.de/10011056319
To study the long-run effect of dividend taxation on aggregate capital accumulation, we build a dynamic general equilibrium model in which there is a continuum of firms subject to idiosyncratic productivity shocks. We find that a dividend tax cut raises aggregate productivity by reducing the...
Persistent link: https://www.econbiz.de/10004991567
A capital income tax cut must in general be financed by increasing other taxes, and thus will have redistributive effects. This paper studies analytically the redistribution implied by a capital income tax cut in the Ramsey-Cass-Koopmans neoclassical growth model when agents differ in wealth and...
Persistent link: https://www.econbiz.de/10004991571