Title:Individual Risk and Mutual Insurance
Author(s):CASS, David; CHICHILNISKY, G.; WU, H-M.Date:1996Type of Publication:ArticleAbstract:This paper examines how, in the presence of individual risk, economic efficiency can be achieved without an unrealistically large number of contingent claims. Market uncertainty is specified in such a way that general types ...
Title:Industry Structure and the Dynamics of Price Adjustment
Author(s):BANERJEE, Anindya; RUSSELL, BillDate:2001Type of Publication:ArticleAbstract:Using annual US data for gross domestic product originating by sector between 1947 and 1997 it is shown that a negative long-run relationship between inflation and the markup is present across the sectors as well as in the ...
Title:Inflation, relative price variability and the markup: evidence from the United States and the United Kingdom
Author(s):BANERJEE, Anindya; MIZEN, Paul; RUSSELL, BillDate:2007Type of Publication:ArticleAbstract:This paper links two separate empirical literatures on inflation, relative price variability (RPV) and the price–cost markup. Measures constructed from annual and quarterly data for the US and UK are used to examine the ...
Title:Interactive Beliefs, Epistemic Independence and Strong Rationalizability
Author(s):BATTIGALLI, Pierpaolo; SINISCALCHI, MarcianoDate:1999Type of Publication:ArticleAbstract:We use a universal, extensive form interactive beliefs system to provide an epistemic characterization of a weak and a strong notion of rationalizability with independent beliefs. The weak solution concept is equivalent ...
Title:Interest Rate Targeting and the Dynamics of Short-Term Rates
Author(s):BALDUZZI, P; BERTOLA, Giuseppe; FORESI, S; KLAPPER, LDate:1998Type of Publication:ArticleAbstract:A feature of U.S. monetary policy has been active targeting of overnight fed funds rates. We show that during a period of tight targeting (1989-1996) term fed funds spreads from the target displayed pronounced volatility ...
Title:International Consumption Risk Sharing
Author(s):CANOVA, Fabio; RAVN, Morten O.Date:1996Type of Publication:ArticleAbstract:This paper formally examines the implications of international consumption risk sharing for a panel of industrialized countries. We theoretically derive the international consumption insurance proposition in a simple setup ...
Title:International Dimensions of Optimal Monetary Policy
Author(s):CORSETTI, Giancarlo; PESENTI, PaoloDate:2005Type of Publication:ArticleAbstract:This paper provides a baseline general equilibrium model of optimal monetary policy among interdependent economies with monopolistic firms and nominal rigidities. An inward-looking policy of domestic price stabilization ...
Title:International Lending of Last Resort and Moral Hazard: A Model of IMF’s Catalytic Finance
Author(s):CORSETTI, Giancarlo; GUIMARAES, Bernardo; ROUBINI, NourielDate:2006Type of Publication:ArticleAbstract:This paper analyzes the trade-off between official liquidity provision and debtor moral hazard in international financial crises. In the model, crises are caused by the interaction of bad fundamentals, self-fulfilling runs ...
Title:International Macroeconomic Fluctuations and the Current Account
Author(s):HOFFMANN, MathiasDate:2003Type of Publication:ArticleAbstract:Intertemporal models of the current account generally assume that global shocks do not affect the current account. We use this assumption to identify global and country-specific shocks in a bivariate VAR of output and the ...
Title:International Risk Sharing and the Transmission of Productivity Shocks
Author(s):CORSETTI, Giancarlo; DEDOLA, Luca; LEDUC, SylvainDate:2008Type of Publication:ArticleAbstract:This paper shows that standard international business cycle models can be reconciled with the empirical evidence on the lack of consumption risk sharing. First, we show analytically that with incomplete asset markets ...
Title:Interpolation, Outliers and Inverse Autocorrelations
Author(s):PENA, Daniel; MARAVALL, AgustinDate:1991Type of Publication:ArticleAbstract:The paper addresses the problem of estimating missing observations in an infinite realization of a linear, possibly nonstationary, stochastic processes when the model is known. The general case of any possible distribution ...