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Inefficient credit booms

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Full text - MIT Libraries
G Lorenzoni - The Review of Economic Studies, 2008 - restud.oxfordjournals.org
Abstract This paper studies the welfare properties of competitive equilibria in an economy
with financial frictions hit by aggregate shocks. In particular, it shows that competitive
financial contracts can result in excessive borrowing ex ante and excessive volatility ex ...
Cited by 200 - Related articles - Library Search - BL Direct - All 26 versions

A theory of demand shocks

[PDF] from mit.edu
G Lorenzoni - 2006 - nber.org
This paper presents a model of business cycles driven by shocks to consumer expectations
regarding aggregate productivity. Agents are hit by heterogeneous productivity shocks, they
observe their own productivity and a noisy public signal regarding aggregate productivity. ...
Cited by 128 - Related articles - Library Search - BL Direct - All 27 versions

Why do emerging economies borrow short term?

[PDF] from mit.edu
FA Broner, G Lorenzoni… - 2007 - nber.org
We argue that emerging economies borrow short term due to the high risk premium charged
by bondholders on long-term debt. First, we present a model where the debt maturity
structure is the outcome of a risk sharing problem between the government and ...
Cited by 98 - Related articles - Library Search - BL Direct - All 52 versions

[BOOK] Parameterized expectations approach: Some practical issues

[PDF] from recercat.net
A Marcet, G Lorenzoni… - 1998 - recercat.net
Abstract: We discuss some practical issues related to the use of the Parameterized
Expectations Approach (PEA) for solving non-linear stochastic dynamic models with rational
expectations. This approach has been applied in models of macroeconomics, financial ...
Cited by 85 - Related articles - View as HTML - Get it from MIT Libraries - Library Search - All 18 versions

Bubbles and self-enforcing debt

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C Hellwig… - 2006 - nber.org
We characterize equilibria with endogenous debt constraints for a general equilibrium
economy with limited commitment in which the only consequence of default is losing the
ability to borrow in future periods. First, we show that equilibrium debt limits must satisfy a ...
Cited by 58 - Related articles - Library Search - BL Direct - All 33 versions

[CITATION] Why do emerging markets borrow short term

FA Broner, G Lorenzoni… - World Bank Policy Research Working Paper, 2004
Cited by 40 - Related articles - All 5 versions

Financial frictions, investment and tobin's q

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G Lorenzoni… - 2007 - nber.org
We develop a model of investment with financial constraints and use it to investigate the
relation between investment and Tobin's q. A firm is financed partly by insiders, who control
its assets, and partly by outside investors. When their wealth is scarce, insiders earn a rate ...
Cited by 38 - Related articles - Library Search - BL Direct - All 55 versions

News, noise, and fluctuations: An empirical exploration

[PDF] from 18.7.29.232
OJ Blanchard, JP L'Huillier… - 2009 - nber.org
We explore empirically models of aggregate fluctuations with two basic ingredients: agents
form anticipations about the future based on noisy sources of information; these
anticipations affect spending and output in the short run. Our objective is to separate ...
Cited by 33 - Related articles - Library Search - All 37 versions

Persistent appreciations and overshooting: A normative analysis

[PDF] from umich.edu
RJ Caballero… - 2007 - nber.org
Most economies experience episodes of persistent real exchange rate appreciations, when
the question arises whether there is a need for intervention to protect the export sector. In
this paper we present a model of irreversible destruction where exchange rate ...
Cited by 33 - Related articles - Library Search - BL Direct - All 37 versions

Optimal Monetary Policy with Uncertain Fundamentals and Dispersed Information*

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Full text - MIT Libraries
G Lorenzoni - Review of Economic Studies, 2010 - Wiley Online Library
This paper studies optimal monetary policy in a model where aggregate fluctuations are
driven by the private sector's uncertainty about the economy's fundamentals. Information on
aggregate productivity is dispersed across agents and there are two aggregate shocks: a ...
Cited by 31 - Related articles - All 12 versions

[PDF] Imperfect information, consumers' expectations and business cycles

[PDF] from unicatt.it
G Lorenzoni - Unpub lished, 2005 - istituti.unicatt.it
Abstract This paper presents a model of business cycles driven by shocks to consumers'
expectations regarding aggregate productivity. Agents are hit by heterogeneous productivity
shocks, they observe their own productivity and a noisy public signal regarding aggregate ...
Cited by 28 - Related articles - View as HTML - All 16 versions

Credit crises, precautionary savings, and the liquidity trap

[PDF] from chicagobooth.edu
V Guerrieri… - 2011 - nber.org
We study the effects of a credit crunch on consumer spending in a heterogeneous-agent
incomplete-market model. After an unexpected permanent tightening in consumers'
borrowing capacity, some consumers are forced to deleverage and others increase their ...
Cited by 27 - Related articles - All 25 versions

Liquidity and trading dynamics

[PDF] from mit.edu
V Guerrieri… - 2007 - nber.org
How do financial frictions affect the response of an economy to aggregate shocks? In this
paper, we address this question, focusing on liquidity constraints and uninsurable
idiosyncratic risk. We consider a search model where agents use liquid assets to smooth ...
Cited by 20 - Related articles - Library Search - BL Direct - All 37 versions

Beauty contests and irrational exuberance: A neoclassical approach

[PDF] from psu.edu
GM Angeletos, G Lorenzoni… - 2010 - nber.org
The arrival of new, unfamiliar, investment opportunities is often associated with “exuberant”
movements in asset prices and real economic activity. During these episodes of high
uncertainty, financial markets look at the real sector for signals about the profitability of the ...
Cited by 18 - Related articles - Library Search - All 19 versions

Decentralized trading with private information

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M Golosov, G Lorenzoni… - 2009 - nber.org
The paper studies asset pricing in informationally decentralized markets. These markets
have two key frictions: trading is decentralized (bilateral), and some agents have private
information. We analyze how uninformed agents acquire information over time from their ...
Cited by 18 - Related articles - Library Search - All 46 versions

News shocks and optimal monetary policy

[PDF] from bcrp.gob.pe
G Lorenzoni - 2007 - nber.org
This paper studies monetary policy in a model where output fluctuations are caused by
shocks to public beliefs on the economy's fundamentals. I ask whether monetary policy can
offset the effect of these shocks and whether this offsetting is socially desirable. I consider ...
Cited by 17 - Related articles - Library Search - BL Direct - All 14 versions

A theory of demand shocks

G Lorenzoni - American Economic Review, 2010 - chicagofed.org
This paper presents a model of business cycles driven by shocks to consumer expectations
regarding aggregate productivity. The public signal gives rise to'noise shocks,'which have
the features of aggregate demand shocks: they increase output, employment and inflation ...
Cited by 15 - Related articles - Cached - Get it from MIT Libraries - All 4 versions

[PDF] Bubbles and private liquidity

[PDF] from nd.edu
C Hellwig… - Unpublished paper, Princeton University, 2003 - nd.edu
Abstract We study an economy with limited enforcement of financial contracts where the
punishment for defaulting agents is the loss of future borrowing privileges. Bulow and Rogoff
(1989) have shown that this" soft punishment" is not sufficient to sustain any level of ...
Cited by 13 - Related articles - View as HTML - All 20 versions

[PDF] Financial Integration and Liquidity Crises

[PDF] from nbp.gov.pl
F Castiglionesi, F Feriozzi… - Manuscript, Tilburg University, …, 2010 - nbp.gov.pl
Abstract This paper analyzes the effects of international financial integration on the stability
of the banking system. Financial integration allows banks in different countries to smooth
local liquidity shocks by borrowing on the international interbank market. We show that, ...
Cited by 13 - Related articles - View as HTML - All 36 versions

[CITATION] Interest rate stabilization and monetary control: A reconciliation

G Lorenzoni - manuscript, Princeton University, 2001
Cited by 10 - Related articles

[CITATION] Persistent appreciations, overshooting, and optimal exchange rate interventions

R Caballero… - 2006 - MIT, mimeo
Cited by 8 - Related articles

Demand Shocks and Monetary Policy

G Lorenzoni - Computing in Economics and Finance 2006, 2006 - ideas.repec.org
This paper studies the effects of monetary policy in a model with demand shocks driven by
shifts in consumer expectations. I ask wether monetary policy can offset these aggregate
demand disturbances and wether this offsetting is socially desirable. I consider an ...
Cited by 5 - Related articles - Cached - All 5 versions

[CITATION] Excess Interest Rate Volatility in an Intermediated Economy

G Lorenzoni - 2001 - MIT economics working paper
Cited by 4 - Related articles

[CITATION] forthcoming B. Optimal monetary policy with uncertain fundamentals and dispersed information

G Lorenzoni - Review of Economic Studies
Cited by 3 - Related articles - Get it from MIT Libraries

[CITATION] forthcoming A. A theory of demand shock

G Lorenzoni - American Economic Review
Cited by 3 - Related articles - Get it from MIT Libraries

[CITATION] nA Theory of Demand Shocks. oManuscript

G Lorenzoni - 2006 - MIT
Cited by 3 - Related articles

[PDF] A Rational Theory of Irrational Exuberance

[PDF] from carloalberto.org
GM Angeletos, G Lorenzoni… - 2008 - carloalberto.org
Abstract The arrival of new, unfamiliar, investment opportunitiesp eg, internet commerce,
emerging markets, novel financial instrumentsp is often associated with large, mexuberant,
nmovements in asset prices and real investment. While irrational explanations of these ...
Cited by 3 - Related articles - View as HTML - All 9 versions

[CITATION] oA Theory of Demand Shocks, punpublished

G Lorenzoni - 2008 - MIT
Cited by 3 - Related articles

[PDF] Liquidity and Spending Dynamics

[PDF] from ucla.edu
V Guerrieri… - 2007 - econ.ucla.edu
Abstract How do financial frictions affect the response of an economy to aggregate shocks?
In this paper, we address this question, focusing on liquidity constraints and uninsurable
idiosyncratic risk. We consider a search model where agents use a liquid asset to smooth ...
Cited by 3 - Related articles - View as HTML - All 9 versions

[CITATION] Optimal Debt Management in Developing Countries: Supply of Funds and Debt Maturity

F Broner, G Lorenzoni… - 2002 - mimeo, University of Maryland
Cited by 2 - Related articles - All 2 versions

[CITATION] Excess Interest Rate Volatility in an Intermediated System of Liquidity Provision

G Lorenzoni - 2000 - mimeo MIT, November
Cited by 2 - Related articles

[CITATION] Beauty Contests

GM Angeletos, G Lorenzoni… - 2006 - mimeo MIT
Cited by 2 - Related articles

[CITATION] nA Theory of Demand Shocks, omimeo

G Lorenzoni - 2008 - MIT
Cited by 2 - Related articles

[CITATION] Ine! cient Credit Booms

G Lorenzoni - Review of Economic Studies, 2008
Cited by 2 - Related articles - Get it from MIT Libraries

[PDF] Financial Integration, Liquidity and the Depth of Systemic Crises

[PDF] from cepr.org
F Castiglionesi, F Feriozzi… - Unpublished working paper. …, 2009 - cepr.org
Abstract This paper investigates how financial integration affects bankslliquidity holding and
the depth of systemic crises. We model a two $ region economy, where each region is
charac $ terized by idiosyncratic liquidity shocks that cannot be insured in autarky. ...
Cited by 2 - Related articles - View as HTML - All 3 versions

[CITATION] Supply of funds, maturity, and spreads on emerging market sovereign bonds

F Broner… - F. Broner, Essays on Balance of Payment Crises, PhD …, 2000
Cited by 2 - Related articles

[CITATION] International Borrowing, Investment and Default

V Guerrieri, G Lorenzoni… - 2009 - MIT Work in Progess
Cited by 2 - Related articles

A Theory of Capital Controls as Dynamic Terms-of-Trade Manipulation

[PDF] from cufe.edu.cn
A Costinot, G Lorenzoni… - 2011 - nber.org
This paper develops a simple theory of capital controls as dynamic terms-of-trade
manipulation. We study an infinite horizon endowment economy with two countries. One
country chooses taxes on international capital flows in order to maximize the welfare of its ...
Cited by 2 - Related articles - All 7 versions

News and Aggregate Demand Shocks

Full text - MIT Libraries
G Lorenzoni - Annu. Rev. Econ., 2011 - annualreviews.org
In this review, I look at the recent literature on news as a source of economic fluctuations.
The main question in this literature is: how does the aggregate economy respond to a shock
that raises consumers' and firms' expectations about future productivity growth? I discuss ...
Cited by 1 - Related articles - All 2 versions

[CITATION] Imperfect Information and Aggregate Demand

G Lorenzoni - Princeton Univer-sity mimeo, 2003
Cited by 1 - Related articles

[PDF] Recent developments in business cycle theory: News, expectations and demand shocks

[PDF] from faronet.it
G Lorenzoni - Rivista di Politica Economica, 2006 - faronet.it
A traditional objective of macroeconomic models is to provide a unified account of business
cycles and of the effects of monetary policy, in order to provide a basis for policy analysis
and evaluation. This requires both to identify what shocks de-
Cited by 1 - Related articles - View as HTML - BL Direct - All 7 versions

[PDF] A Theory of Optimal Capital Controls

[PDF] from chicagobooth.edu
A Costinot, G Lorenzoni… - Manuscript, MIT, 2011 - faculty.chicagobooth.edu
Abstract This paper develops a theory of optimal capital controls in which the only motive for
capital controls is the manipulation of inter-temporal and intra-temporal terms of trade.
Among other things, we show that for a country that is catching up with the rest of the world ...
Cited by 1 - Related articles - View as HTML - All 2 versions

[PDF] The Costs of Credit Booms

[PDF] from upenn.edu
G Lorenzoni - 2002 - fic.wharton.upenn.edu
Abstract This paper presents a simple model of a credit expansion driven by an expected
increase in the productivity of the entrepreneurial sector. We study how the presence of
financial constraints affects the welM fare properties of the equilibrium. In particular we ...
Cited by 1 - Related articles - View as HTML - All 3 versions

DP6249 Why Do Emerging Economies Borrow Short Term?

FA Broner, G Lorenzoni… - 2007 - cepr.org
We argue that emerging economies borrow short term due to the high risk premium charged
by bondholders on long-term debt. First, we present a model where the debt maturity
structure is the outcome of a risk sharing problem between the government and ...
Cached - All 3 versions

Essays on liquidity in macroeconomics

G Lorenzoni - 2001 - en.scientificcommons.org
Abstract Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 2001..
Includes bibliographical references.. This thesis includes four essays on the macroeconomic
effects of financial market imperfections. The first essay studies the incentives for banks ...
Cached - Library Search - All 2 versions

[CITATION] Comment on" Pigou Cycles in Closed and Open Economies with Matching Frictions"

G Lorenzoni - NBER International Seminar on Macroeconomics 2010, 2010 - nber.org
There is a growing literature exploring how news about future economic developments can
produce business cycle fluctuations in the short run. This paper and its immediate
predecessor, Den Haan and Kaltenbrunner (2009), explore whether search frictions in the ...
Cached - All 4 versions

[CITATION] ECON5984: Advanced Macroeconomics: Empirics and Theory–Spring 2010

S Beveridge, CR Nelson, JY Campbell, NG Mankiw
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Essays on international capital flows

[PDF] from mit.edu
R Caballero, G Lorenzoni, TGD Brandão - 2008 - dspace.mit.edu
This dissertation consists of three chapters on international capital flows. Chapter 1
emphasizes the importance of innovations in the investment opportunity set, captured by
changes in expected asset returns, as an important mechanism to explain international ...
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14.54 International Trade, Fall 2005

[PDF] from mit.edu
G Lorenzoni - 2005 - dspace.mit.edu
Introduction to the theory of international trade and finance with applications to current policy
issues. From the course home page: Course Description The course will help us understand
what determines the flow of goods across countries, ie international trade, and what ...
All 2 versions

[PDF] Interest Rate Stabilization vs. Monetary Control: Another Reconciliation

[PDF] from mit.edu
G Lorenzoni - 2001 - dandelion-patch.mit.edu
Abstract This paper presents a reconciliation of the real-bills doctrine with the notion of
control of monetary aggregates. We consider an overlapping generations model with banks
that trade currency on a competitive money market. Because of market incompleteness ...
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Financial distortions and the distribution of global volatility

[PDF] from mit.edu
RJ Caballero, A Costinot, G Lorenzoni… - 2011 - dspace.mit.edu
In this thesis, I study the interactions between various aspects of the financial system and
macroeconomic volatility in a globally integrated environment. In Chapter 1, I illustrate that
an efficient allocation of liquidity across projects mitigates the economy's responsiveness ...
All 2 versions

Liquidity facilities and signaling

[PDF] from 18.7.29.232
G Lorenzoni, R Caballero, F Giavazzi… - 2010 - 18.7.29.232
This dissertation studies the role of signaling concerns in discouraging access to liquidity
facilities like the IMF contingent credit lines (CCL) and the Discount Window (DW). In
Chapter 1, I analyze the introduction of IMF CCL in an economy with asymmetric ...
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Essays on sovereign debt and international capital flows

[PDF] from mit.edu
OJ Blanchard, G Lorenzoni, SS Basu - 2009 - dspace.mit.edu
This dissertation is a collection of three essays on public and private borrowing on
international capital markets, with a focus on optimal policy for the government and
international financial institutions. Chapter 1 focuses on sovereign debt and default. ...
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Essays on liquidity in macroeconomics

R Caballero, G Lorenzoni - 2001 - dspace.mit.edu
This thesis includes four essays on the macroeconomic effects of financial market
imperfections. The first essay studies the incentives for banks that participate in an interbank
market to keep a sufficient level of reserves. It presents a model where, in presence of ...
Cached - All 2 versions

Investors' horizon and stock prices

[PDF] from mit.edu
GM Angeletos, G Lorenzoni, S Parsa - 2011 - dspace.mit.edu
This dissertation consists of three essays on the relation between investors' trading horizon
and stock prices. The first chapter explores the theoretical relation between the horizon of
traders and the negative externality generated by their activity on the information revealed ...
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Three essays on sovereign debt and financial markets

[PDF] from mit.edu
G Lorenzoni, F Giavazzi, M Alessandro - 2011 - dspace.mit.edu
This dissertation analyzes different aspects of the actions of borrowing and repaying debts
by governments in both domestic and international financial markets. In Chapter 1, which is
co-authored with Guido Sandleris and Alejandro Van der Ghote, we use a unique dataset ...
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[CITATION] Policy Discussion Papers

Full text - MIT Libraries
K Jacob, A Lunn, R Porter, W Rousse, B Summers… - Policy, 2007 - chicagofed.org
Before joining the Chicago Fed, Jacob was the research director of the Center for Financial Services
Innovation (CFSI), an affiliate of ShoreBank Corporation. Prior to her work at CFSI, she served
as project director of the Woodstock Institute. Jacob has published more than 25 papers ...
Cached - All 2 versions

[CITATION] Monetary Policy and Consumer Expectations

G Lorenzoni - 2005 Meeting Papers, 2005 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Monetary
Policy and Consumer Expectations. Guido Lorenzoni. No 376, 2005 Meeting Papers from Society
for Economic Dynamics. Date: 2005 Track citations by RSS feed. ...
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Financial Markets, International Capital Flows and Exchange Rates

G Corsetti, L Dedola, L Christiano, M Trabandt… - se1.isn.ch
PIERRE WERNER CHAIR PROGRAMME, ROBERT SCHUMAN FOR ADVANCED STUDIES
CO-ORGANIZED WITH THE NORTHWESTERN UNIVERSITY ... Villa La Fonte Via delle
Fontanelle, 10 San Domenico di Fiesole ... ① Are industrial countries consumption risks ...
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[PDF] Household Wealth and Consumption Variability

[PDF] from mit.edu
G Lorenzoni - 2001 - dandelion-patch.mit.edu
Abstract This paper presents evidence of a decreasing relationship between household
wealth and consumption variability using PSID data. This relationship offers evidence in
favor of models of precautionary savings vs. models of full insurance and vs. standard ...
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17 Inefficient Credit Booms

G Lorenzoni - Liquidity and Crises, 2011 - books.google.com
In the past two decades, both developed and emerging economies have experienced
episodes of rapid credit expansion followed, in some cases, by a financial crisis with a
collapse in asset prices, credit, and investment. 1 This experience has led policy makers ...
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Policies of different governments: persistence and interactions

[PDF] from 18.7.29.232
G Lorenzoni, F Giavazzi… - 2008 - 18.7.29.232
This dissertation consists of three chapters on persistence and interactions of policies of
different governments in various settings. Chapter 1 studies government policy persistence
when firms face capital installation costs. In an environment, where the government is ...
Related articles - All 2 versions

[PDF] Monetary Policy and Consumer Sentiment with Dispersed Information

[PDF] from chicagobooth.edu
G Lorenzoni - 2008 - faculty.chicagobooth.edu
Abstract This paper studies monetary policy in a model where output fluctuations are caused
by shocks to public beliefs on the economy's fundamentals. I ask whether monetary policy
can offset the effect of these shocks and whether this offsetting is socially desirable. I ...
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[CITATION] SAGGIO AD INVITO-Recent Developments in Business Cycle Theory: News, Expectations and Demand Shocks

G Lorenzoni - Rivista di Politica Economica (Terza Serie), 2006

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