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We present a model embodying moderate amounts of nominal rigidities which accounts for
the observed inertia in inflation and persistence in output. The key features of our model are
those that prevent a sharp rise in marginal costs after an expansionary shock to monetary ...
LJ Christiano,
M Eichenbaum… - Handbook of macroeconomics, 1999 - Elsevier
Abstract This chapter reviews recent research that grapples with the question: What
happens after an exogenous shock to monetary policy? We argue that this question is
interesting because it lies at the center of a particular approach to assessing the empirical ...
L Christiano… - 1988 - nber.org
Page 1. NBER WORKING PAPER SERIES IS THEORY REALLY AHEADOF MEASUREMENT?
CURRENT REAL BUSINESS CYCLE THEORIES AND AGGREGATE LABOR MARKET
FLUCTUATIONS Lawrence 3. Christiano Martin Eichenbaum Working Paper No. 2700 ...
This paper uses the Flow of Funds accounts to assess the impact of a monetary policy shock
on the borrowing and lending activities of different sectors of the economy. Our measures of
contractionary monetary policy shocks have the following properties:(i) they are ...
This paper presents new empirical evidence on the effects of monetary policy shocks on US
exchange rates, both nominal and real. Three measures of monetary policy shocks are
considered: orthogonalized shocks to the Federal Funds rate, the ratio of Non Borrowed to ...
MS Eichenbaum, LP Hansen… - The Quarterly Journal …, 1988 - qje.oxfordjournals.org
Page 1. A TIME SERIES ANALYSIS OF REPRESENTATIVE AGENT MODELS OF
CONSUMPTION AND LEISURE CHOICE UNDER UNCERTAINTY* MARTIN S.
EICHENBAUM LARS PETER HANSEN KENNETH J. SINGLETON ...
LJ Christiano,
M Eichenbaum… - European Economic Review, 1997 - Elsevier
We provide new evidence that models of the monetary transmission mechanism should be
consistent with at least the following facts. After a contractionary monetary policy shock, the
aggregate price level responds very little, aggregate output falls, interest rates initially rise, ...
LJ Christiano… - 1992 - nber.org
Several recent papers provide strong empirical support for the view that an expansionary
monetary policy disturbance generates a persistent decrease in interest rates and a
persistent increase in output and employment. Existing quantitative general equilibrium ...
Macroeconomic and microeconomic data paint conflicting pictures of price behavior.
Macroeconomic data suggest that inflation is inertial. Microeconomic data indicate that firms
change prices frequently. We formulate and estimate a model which resolves this ...
Existing Real Business Cycle (RBC) models assume that the key impulses to business
cycles are stochastic technology shocks. RBC analysts typically measure these technology
shocks by the Solow residual. This paper assesses the sensitivity of inference based on ...
This paper studies the implications of procyclical capital utilization rates for inference
regarding cyclical movements in labor productivity and the degree of returns to scale. To
study cyclical movements in capital utilization we use two measures of capital services: ...
C Burnside… - 1994 - nber.org
This paper analyzes the role of variable capital utilization rates in propagating shocks over
the business cycle. To this end we formulate and estimate an equilibrium business cycle
model in which cyclical capital utilization rates are viewed as a form of factor hoarding. We ...
This paper argues that the recent Southeast Asian currency crisis was caused by large
prospective deficits associated with implicit bailout guarantees to failing banking systems.
We articulate this view using a simple dynamic general equilibrium model whose key ...
LJ Christiano… - 1989 - nber.org
Macroeconomists have traditionally viewed movements in aggregate output as representing
temporary fluctuations about a deterministic trend. According to this view, Innovations to real
gross national product (GM?) should have no impact on long—run forecasts of aggregate ...
C Burnside,
M Eichenbaum… - European Economic Review, 2001 - Elsevier
Currency crises that coincide with banking crises tend to share at least three elements. First,
banks have a currency mismatch between their assets and liabilities. Second, banks do not
completely hedge the associated exchange rate risk. Third, there are implicit government ...
LJ Christiano… - Journal of Money, Credit and Banking, 1995 - JSTOR
This paper presents a flexible-price, quantitative general equilibrium model with the property
that a positive money supply shock drives the nominal interest rate down, and aggregate
employment, output, and the real wage up. These implications are broadly consistent with ...
This paper investigates the consequences of an exogenous increase in US government
purchases. We find that in response to such a shock, employment, output, and
nonresidential investment rise, while real wages, residential investment, and consumption ...
... Among other things, these findings suggest that the empirical shortcomings of the intertemporal
asset pricing model cannot be attributed to the neglect of durable goods. Martin Eichenbaum
Lars Peter Hansen Graduate School of Department of Economics ...
We argue that the government-spending multiplier can be much larger than one when the
zero lower bound on the nominal interest rate binds. The larger is the fraction of government
spending that occurs while the nominal interest rate is zero, the larger is the value of the ...
In this paper we argue that the primary force behind the large drop in real exchange rates
that occurs after large devaluations is the slow adjustment in the price of nontradable goods
and services. Our empirical analysis uses data from five large devaluation episodes: ...
This paper investigates the response of hours worked and real wages to fiscal policy shocks
in the US during the post World War II era. We identify these shocks with exogenous
changes in military purchases and argue that they lead to a persistent increase in ...
SR Aiyagari, LJ Christiano… - 1990 - nber.org
ABSTRACT This paper investigates the impact on aggregate variables of changes in
government consumption in the context of a stochastic, neoclassical growth model. We
show, theoretically, that the impact on output and employment of a persistent change in ...
LJ Christiano… - 1991 - nber.org
Conventional wisdom holds that unanticipated expansionary monetary policy shocks cause
transient but persistent decreases in real and nominal interest rates. However a number of
econometric studies argue that the evidence favors the opposite view, namely that these ...
Currencies that are at a forward premium tend to depreciate. This' forward-premium
puzzle'represents an egregious deviation from uncovered interest parity. We document the
properties of returns to currency speculation strategies that exploit this anomaly. We show ...
Can variants of the classic Calvo (1983) model of sticky prices account for the statistical
behavior of post-war US inflation? We develop and test versions of the model for which the
answer to this question is yes. We then investigate whether these models imply plausible ...
... Martin Eichenbaum Graduate School of Business University of Chicago 1101 East 58th
Street Chicago, Illinois 60637 (312) 702—0459 Page 3. 1. Introduction The production
smoothing model of inventories has long been the basic paradigm ...
LJ Christiano,
M Eichenbaum… - Financial factors in …, 1996 - books.google.com
In recent years there has been a resurgence of interest in constructing models of the
monetary transmission mechanism. To evaluate these models and build better ones, we
must know the historical facts about how monetary policy actions affect the economy. This ...
This paper studies the behavior of inflation after nine large post-1990 contractionary
devaluations. A salient feature of the data is that inflation is low relative to the rate of
devaluation. We argue that distribution costs and substitution away from imports to lower ...
... Lawrence J. Christiano Martin Eichenbaum David Marshall Working Paper No. 2209 ... of
observed per capita US consumption. Lawrence J. Christiano Martin Eichenbaum David
Marshall Research Department Graduate School of Graduate School of ...
VV Chari, LJ Christiano… - 1996 - nber.org
We argue that discretionary monetary policy exposes the economy to welfare-decreasing
instability. It does so by creating the potential for private expectations about the response of
monetary policy to exogenous shocks to be self-fulfilling. Among the many equilibria that ...
There are two interpretations of this modeling strategy. The first interpretation is that
monetary institutions and monetary policy are assumed to be inherently neutral in the sense
that real allocations are invariant to innovations in financial arrangements and monetary ...
Sims's seminal paper Macroeconomics and Reality (1980) argued that procedures based on
vector autoregression (VAR) would be useful to macroeconomists interested in constructing
and evaluating economic models. Given a minimal set of identifying assumptions, ...
Z Eckstein,
M Eichenbaum… - Journal of Public Economics, 1985 - Elsevier
Abstract This paper explores the implications of social security programs and annuity
markets through which agents, who are characterized by different distributions of length of
lifetime, share death-related risks. When annuity markets operate, a non-discriminatory ...
LJ Christiano… - 1986 - nber.org
Page 1. NBER TECHNICAL PAPER SERIES TEMPORAL AGGREGATION AND
STRUCTURAL INFERENCE IN MACROECONOMICS Lawrence J. ChristianO Martin
EichenbaUlll Technical Working Paper No. SO NATIONAL ...
We develop and implement a limited information diagnostic strategy for assessing the
plausibility of monetary business cycle models. Our strategy focuses on a model's ability to
reproduce empirical estimates of an actual economy's response to monetary policy shocks ...
VV Chari, LJ Christiano… - 1995 - nber.org
This paper presents a quantitative general equilibrium model with multiple monetary
aggregates. The framework incorporates a banking sector and distinguishes between M1,
the monetary base, currency and various measures of reserves: total, excess and non ...
AC Burnside,
MS Eichenbaum… - European Economic Review, 1996 - Elsevier
C Burnside,
M Eichenbaum… - Review of Financial …, 2011 - Soc Financial Studies
Abstract We study the properties of the carry trade, a currency speculation strategy in which
an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This
strategy generates payoffs that are on average large and uncorrelated with traditional risk ...
This paper investigates the response of real wages and hours worked to an exogenous
shock in fiscal policy. We identify this shock with the dynamic response of government
purchases and tax rates to an exogenous increase in military purchases. The fiscal shocks ...
LJ Christiano,
M Eichenbaum… - Journal of the …, 2004 - Wiley Online Library
Abstract We investigate what happens to hours worked after a positive shock to technology,
using the aggregate technology series computed in Basu, Fernald, and Kimball (1999). We
conclude that hours worked rise after such a shock.(JEL: E24, E32, O3)
[CITATION] Technology shocks and aggregate fluctuations
We assess the importance of nominal rigidities using a new weekly scanner data set. We
find that nominal rigidities are important but do not take the form of sticky prices. Instead,
they take the form of inertia in reference prices and costs, defined as the most common ...
M Eichenbaum - Journal of Economic Dynamics and Control, 1991 - Elsevier
Abstract This paper assesses the empirical plausibility of the view that aggregate
productivity stocks account for most of the variability in post-World War II US output. We
argue that the type of evidence forwarded by proponents of this proposition is too fragile to ...
C Burnside… - 1994 - nber.org
This paper assesses the small sample properties of Generalized Method of Moments (GMM)
based Wald statistics. The analysis is conducted assuming that the data generating process
corresponds to (i) a simple vector white noise process and (ii) an equilibrium business ...
M Eichenbaum… - Journal of Monetary Economics, 2007 - Elsevier
This paper assesses the empirical performance Calvo style models of price re-optimization.
We first show that versions of these models in which firms update non-re-optimized prices to
lagged inflation account well for the statistical behavior of post-war US inflation rates. We ...
The question this panel was asked to address is whether there is a core of practical
macroeconomics that we should all believe. Given the space constraint, I will not try to
discuss a top ten list of eternal macro truths. Nor will I discuss the importance of modeling ...
C Burnside,
M Eichenbaum… - Journal of Economic Theory, 2004 - Elsevier
We develop a model in which government guarantees to banks' foreign creditors are a root
cause of self-fulfilling twin banking-currency crises. Absent guarantees, such crises are not
possible. In the presence of guarantees banks borrow foreign currency, lend domestic ...
This paper proposes a theory of twin banking-currency crises in which both fundamentals
and self-fulfilling beliefs play crucial roles. Fundamentals determine whether crises will
occur. Self-fulfilling beliefs determine when they occur. The fundamental that causes twin ...
This paper investigates the nature of US fiscal policy in the aftermath of 9/11. We argue that
the recent dramatic fall in the government surplus and the large fall in tax rates cannot be
accounted for by either the state of the US economy as of 9/11 or as the typical response ...
Large devaluations are generally associated with large declines in real exchange rates. We
develop a model which embodies two complementary forces that account for the large
declines in the real exchange rate that occur in the aftermath of large devaluations. The ...
D Altig, LJ Christiano,
M Eichenbaum… - Review of Economic …, 2011 - Elsevier
This paper formulates and estimates a three-shock US business cycle model. The estimated
model accounts for a substantial fraction of the cyclical variation in output and is consistent
with the observed inertia in inflation. This is true even though firms in the model re- ...
Page 1. NBER WORKING PAPER SERIES UNDERSTANDING THE FORWARD PREMIUM
PUZZLE: A MICROSTRUCTURE APPROACH Craig Burnside Martin S. Eichenbaum Sergio
Rebelo Working Paper 13278 http://www.nber.org/papers/w13278 ...
Z Eckstein,
MS Eichenbaum… - The Quarterly Journal of …, 1985 - qje.oxfordjournals.org
Page 1. THE DISTRIBUTION OF WEALTH AND WELFARE IN THE PRESENCE OF
INCOMPLETE ANNUITY MARKETS* Zvi ECKSTEIN MARTIN S. EICHENBAUM DAN
PELED This paper examines the implications of the absence ...
M Eichenbaum… - … -FEDERAL RESERVE BANK OF …, 2003 - papers.ssrn.com
Abstract: This paper discusses the empirical performance of a widely used model of nominal
rigidities: the Calvo model of sticky goods prices. We argue that there is overwhelming
evidence against this model. But this evidence is generated under three key maintained ...
A classic question in international macroeconomics is whether fluctuations in the real exchange
rate (RER cpi ) constructed using the consumer price index (CPI) are primarily associated with
movements in the relative price of tradable goods across countries or with fluctuations in ...
... 7 On the Fiscal Implications of Twin Crises A. Craig Burnside, Martin Eichenbaum, and Sergio
Rebelo ... Martin Eichenbaum is professor of economics at North- western University and a
research associate of the National Bureau of Economic Research. ...
C Burnside,
MS Eichenbaum, S Rebelo… - 1999 - www-wds.worldbank.org
Page 1. Prospective Deficits and the Asian Currency Crisis Craig Burnside, Martin
Eichenbaum|and Sergio Rebelo} August 3, 1999 Abstract This paper argues that the
recent Asian currency crisis was caused by large prospective ...
Page 1. NBER WORKING PAPER SERIES CAPITAL ACCUMULATION AND
ANNUITIES IN AN ADVERSE SELECTION ECONOMY Martin S. Eichenbaum Dan
Peled Working Paper No. 2046 NATIONAL BUREAU OF ECONOMIC ...
M Eichenbaum - Journal of Monetary Economics, 1983 - Elsevier
Abstract A critical roadblock to modeling inventories of finished goods has been the claim
that the production and inventory decisions of a perfectly competitive firm are determined
independently of each other. A basic goal of this study is to specify fundamental ...
C Burnside,
M Eichenbaum… - Journal of Monetary Economics, 2006 - Elsevier
We address three questions:(i) Can classical models be reconciled with the fact that many
crises are marked by high rates of depreciation and small increases in seignorage
revenue?(ii) What are the implications of different financing methods for post-crisis rates of ...
This paper addresses two questions:(i) how do governments actually pay for the fiscal costs
associated with currency crises; and (ii) what are the implications of different financing
methods for post-crisis rates of inflation and depreciation? We study these questions using ...
The constitution of the Econometric Society defines its main objective to be'... the
advancement of economic theory in its relation to statistics and mathematics'(Econometrica,
I933, p. i). In this paper I offer some comments on the role of econometrics in that ...
[CITATION] The role of monetary policy in the propagation of technology shocks
D Altig, LJ Christiano, M Eichenbaum… - manuscript, Northwestern University, 2003
This paper analyzes the ability of a general equilibrium efficiency wage model to account for
the estimated response of hours worked and of real wages to a fiscal policy shock. Our key
finding is that the model cannot do so unless we make the counterfactual assumption that ...
Some booms in housing prices are followed by busts. Others are not. In either case it is
difficult to find observable fundamentals that are correlated with price movements. We
develop a model consistent with these observations. Agents have heterogeneous ...
C Burnside,
M Eichenbaum… - The New Palgrave: A …, 2007 - kellogg.northwestern.edu
There have been many currency crises during the post-war era (see Kaminsky and Reinhart,
1999). A currency crisis is an episode in which the exchange rate depreciates substantially
during a short period of time. There is an extensive literature on the causes and ...
... THE IMPORTANCE OF NONTRADABLE GOODS' PRICES IN CYCLICAL REAL EXCHANGE
RATE FLUCTUATIONS Ariel Burstein Martin Eichenbaum Sergio Rebelo ... 2005 by Ariel Burstein,
Martin Eichenbaum, and Sergio Rebelo. All rights reserved. ...
M Eichenbaum - Carnegie-Rochester Conference Series on …, 1985 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks. Vector
autoregressions for causal inference? comment. Martin Eichenbaum (). Carnegie-Rochester
Conference Series on Public Policy, 1985, vol. 22, issue 1, pages 305-318. ...
[CITATION] An Estimated Dynamic, General Equilibrium Model for Monetary Policy Analysis
D Altig, LJ Christiano, M Eichenbaum… - Manuscript., Northwestern University …, 2002
Abstract This paper assesses the empirical performance of Calvo-style sticky goods price
models. We argue that Calvo-style models in which firms update non-reoptimized prices to
lagged inflation are consistent with the aggregate data in a statistical sense. We then ...
[CITATION] jMonetary Policy Shocks: What Have We Learned and to What End? kin Handbook of Macro! economics, edited by John Taylor and Michael Woodford
LJ Christiano, M Eichenbaum… - 1999 - Elsevier
C Burnside,
M Eichenbaum… - Journal of the European …, 2008 - Wiley Online Library
Abstract Market participants routinely take advantage of the failure of uncovered interest rate
parity to speculate in currency markets. Perhaps the most widely used currency speculation
strategy is the carry trade. In this article we take the perspective of an individual currency ...
[CITATION] Rational expectations, inventories and price fluctuations
SR Aiyagari, Z Eckstein… - 1980
Z Eckstein… - Energy, foresight, and strategy, 1985 - books.google.com
Page 57. 3 Oil Supply Disruptions and the Optimal Tariff in a Dynamic Stochastic
Equilibrium Model Zvi Eckstein and Martin S. Eichenbaum The importance of petroleum
as a source of energy to the United States and other industrialized ...
[CITATION] Aggregation, durable goods, and nonseparable preferences in an equilibrium asset pricing model
MS Eichenbaum, LP Hansen… - Program in Quantitative Analysis Working …, 1987
[CITATION] _, _ (1996)," Sectoral Solow Residuals,"
C Burnside, M Eichenbaum… - European Economic Review
[CITATION] The Dynamic Equilibrium Pricing of Durable Consumption Goods
M Eichenbaum, LP Hansen… - GSIA, Carnegie-Mellon University, 1984
M Eichenbaum - Carnegie-Rochester Conference Series on Public …, 1998 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to
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[CITATION] Uncertainty, aggregation, and the dynamic demand for consumption goods
M Eichenbaum… - manuscript, Carnegie-Mellon University, 1984
Page 86. 4 Inventories and Quantity-Constrained Equilibria in Regulated Markets: The US
Petroleum Industry, 1947-1972 Zvi Eckstein and Martin S. Eichenbaum The US petroleum
industry has been heavily regulated during much of its history. Prior to 1973. ...
LJ Christiano… - Policy, 1987 - minneapolisfed.org
Our strategy for investigating the role played by time aggregation on the empirical estimate
of speed of adjustment is as follows. First, we construct a continuous time equilibrium
rational expectations model of inventories and sales. The model rationalizes a continuous ...
[CITATION] Some empirical evidence on the liquidity effect
LJ Christiano, M Eichenbaum, L Christiano… - Political Economy, Growth, …, 1992
[CITATION] Inventories and price fluctuations under perfect competition and monopoly
SR Aiyagari, Z Eckstein… - The Rational Expectations Equilibrium …, 1988
Abstract This paper studies the behavior of inflationnafter nine large post-1990
contractionary devaluations. A salient feature of the data is that inflation is low relative to the
rate of devaluation. We argue that distribution costs and substitution away from imports to ...
[CITATION] Sergio Rebelo, 2009.” When is the government spending multiplier large?”
L Christiano… - NBER Working Paper
Abstract This paper studies the behavior of inflation after nine large post01990
contractionary devaluations. A salient feature of the data is that inflation is low relative to the
rate of devaluation. We argue that distribution costs and substitution away from imports to ...
C Burnside,
M Eichenbaum… - The Asian financial crisis: …, 1999 - books.google.com
Chapter 3 What Caused the Recent Asian Currency Crises? Craig Burnside, Martin
Eichenbaum, and Sergio Rebelo The World Bank; Northwestern University, NBER and Federal
Reserve Bank of Chicago; Northwestern University and NBER Abstract: This paper ...
[CITATION] Factor Hoarding and the Business Cycel
C Burnside… - American Economic Review, 1996
LJ Christiano,
M Eichenbaum… - Journal of the …, 2006 - Wiley Online Library
Abstract We show that the standard procedure for estimating long-run identified vector
autoregressions uses a particular estimator of the zero-frequency spectral density matrix of
the data. We develop alternatives to the standard procedure and evaluate the properties ...
M Eichenbaum… - Quarterly Review, 1985 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
A shred of evidence on public acceptance of privately issued currency. Martin
Eichenbaum () and Neil Wallace. Quarterly Review, 1985, issue Win. ...
[CITATION] Robert Vigfusson. 2003b.“The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology.”
LJ Christiano… - Journal of the European Economic Association
Page 1. NBER WORKING PAPER SERIES CARRY TRADE AND MOMENTUM IN
CURRENCY MARKETS Craig Burnside Martin S. Eichenbaum Sergio Rebelo Working
Paper 16942 http://www.nber.org/papers/w16942 NATIONAL ...
[CITATION] pFiscal Policy in the Aftermath of 9
M Eichenbaum… - 2004 - 11q, mimeo, Northwestern University
[CITATION] Technical appendix for Liquidity effects, monetary policy, and the business cycle
LJ Christiano… - 1992 - … Paper 478, Federal Reserve Bank of …
[CITATION] The output and employment effects of government purchases
SR Aiyagari, L Christiano… - Manuscript, Federal Reserve Bank of …, 1989
[CITATION] Is theory really ahead of measurement
LJ Christiano… - Current real business cycle theory and aggregate …, 1988
[CITATION] VEstimating the Frequency of Price Reoptimization in Calvo Style Pricing Models with Dynamic Indexation
J Fisher… - V Journal of Monetary Economics, 2007
Page 1. Booms and Busts: Understanding Housing Market Dynamics Craig Burnside, Martin
Eichenbaum and Sergio Rebelo June 2010 BER () Epidemic June 2010 1 / 90 Page 2. Booms
and busts There are many episodes in which real estate prices rise dramatically. ...
[CITATION] Human capital, endogenous growth and aggregate fluctuations
LJ Christiano… - Manuscript. Federal Reserve Bank of Minneapolis. …, 1988
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