Topics in Empirical Macroeconomics

本研究旨在基于美国和经历过货币危机的国家的证据，开发基于经验的动态一般均衡模型来分析货币政策。研究议程可分为两个主题：(i)理解美国货币政策与私营部门成果之间的联系。（二）理解新兴市场政府政策与货币危机之间的联系。第一个主题下的项目涉及构建和估计模型，这些模型可以定量地解释有关美国货币传导机制的关键事实。所研究的模型有四个关键特征。第一。它们体现了源自商品、劳动力和资产市场摩擦的货币非中性的互补来源。第二。它们体现了对标准商业周期模型真实一面的修正。这些修正在分析中起着关键作用，因为它们有助于使模型与边际生产成本只是轻度顺周期的事实相一致。第三，这些模型的设计使得个体主体在给定经济范围内的变量的情况下，只有很小的激励来克服其环境中的名义摩擦。尽管如此，名义上的摩擦对经济具有一级效应。第四。这些模型在经验上易于处理，并且可以使用计量经济学方法进行正式调查。该模型的一个简单版本的初步证据，体现了适度的名义刚性，能够产生与数据中确定的一致的货币冲击的持续实际影响。此外。该模型可以解释通货膨胀和实际工资的惯性行为。大部分研究是与劳伦斯·克里斯蒂亚诺（西北大学）和查尔斯·埃文斯（芝加哥联邦储备银行）的联合研究。第二个主题包括三个项目，旨在了解货币危机的原因和后果。这些项目之间的统一主题是政府政策、金融体系的脆弱性和货币危机之间的联系。第一个项目探讨了为何由于金融体系失灵而产生类似规模预期赤字的政府，会经历不同程度的汇率危机和不同的危机后通胀率。这里的关键观察是，各国政府的债务与通胀挂钩的程度不同。货币贬值后的通货膨胀就像局部财政改革，有效地为政府提供了除铸币税以外的收入来源。非指数化负债的事前异质性导致货币政策和通货膨胀的事后异质性。此外，该研究还探讨了为什么在许多货币危机之后，报告的通货膨胀率远低于汇率贬值率。第二个项目考察政府担保、银行贷款的部门构成和银行对冲活动之间的关系。它分析了政府担保对银行体系实际冲击敞口的影响，以及固定汇率制度相应的脆弱性。第三个项目调查政府为何向发展中国家银行的外国债权人提供担保。提案这一部分的大部分研究是与西北大学的Sergio Rebelo和世界银行的Craig Burnside共同完成的。

This research aims at developing empirically based dynamic general equi-librium models for analyzing monetary policy based on evidence both from the U.S. and from countries that have experienced currency crises. The research agenda can be divided into two general topics: (i) understanding the link between monetary policy and private sector outcomes in the US. and (ii) understanding the links between government policy and currency crises in emerging markets.Projects under the first topic involve constructing and estimating models that can account quantitatively for the key facts about the US monetary transmission mechanism. The models investigated have four key- characteristics. First. they embody complementary sources of monetary non-neutrality steming from frictions in good, labor and asset markets. Second. they embody modifications to the real side of standard business cycle models. These modifications play a key role in the analysis because they help render the models consistent with the fact that marginal production costs are only mildly procyclical. Third, the models are designed so that individual agents, taking as given economy-wide variables, have only small incentives to overcome the nominal frictions in their environment. Nevertheless nominal frictions have a first order effect on the economy. Fourth. the models are empirically tractable and can be formally investigated using econometric methods. Preliminary evidence from a simple version of the model, embodying modest nominal rigidities, is capable of generating persistent real effects from monetary shocks consistent with those identified in the data. In addition. the model can account for the inertial behavior of inflation and real wages. Much of this research is joint research with Lawrence Christiano (Northwestern University) and Charles Evans (Federal Reserve Bank of Chicago).The second topic consists of three projects aimed at under-standing the causes and consequences of currency crises. The unifying theme between the projects is the link between government policies, the fragility of financial systems and currency crises. The first project explores why governments with similar sized prospective deficits, stemming from failing financial systems, experience exchange rate crises of different magnitudes and different post-crises inflation rates. The key observation here is that governments differ in the extent to which their lia-bilities are indexed to inflation. The inflation that follows a currency devaluation acts like a partial fiscal reform, effectively providing a government with a source of revenue other than seignorage. Ex ante heterogeneity regarding non-indexed liabilities leads to ex post heterogeneity with respect to monetary policy and inflation. In addition, the research also explores why reported inflation is so much lower than the rate of exchange rate devaluation in the wake of many currency crises. The second project examines the relationship between government guarantees, the sectoral composition of bank lending and banks' hedging activities. It analyzes the impact of government guarantees on the exposure of banking systems to real shocks and the corresponding fragility of fixed exchange rate regimes. The third project investigates why governments extend guarantees to banks' foreign creditors in developing countries. Much of the research in this section of the proposal is joint with Sergio Rebelo (Northwestern University) and Craig Burnside (World Bank).