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  1. Optimal monetary policy according to HANK
    Autor*in: Acharya, Sushant; Challe, Edouard; Dogra, Keshav
    Erschienen: [2021]
    Verlag:  Bank of Canada, [Ottawa]

    We study optimal monetary policy in an analytically tractable Heterogeneous Agent New Keynesian model with rich cross-sectional heterogeneity. Optimal policy differs from that in a representative agent model because monetary policy can affect... mehr

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    DS 219
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    We study optimal monetary policy in an analytically tractable Heterogeneous Agent New Keynesian model with rich cross-sectional heterogeneity. Optimal policy differs from that in a representative agent model because monetary policy can affect consumption inequality by reducing both idiosyncratic consumption risk and the inequality that arises from households' unequal exposures to aggregate shocks. Simple target criteria summarize the planner's tradeoff between consumption inequality, productive efficiency and price stability. Mitigating consumption inequality requires putting some weight on stabilizing the level of output and correspondingly reducing the weights on the output gap and the price level relative to an economy without inequality.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Weitere Identifier:
    hdl: 10419/248316
    Auflage/Ausgabe: Last updated: November 5, 2021
    Schriftenreihe: Staff working paper / Bank of Canada ; 2021, 55
    Schlagworte: Economic models; Monetary policy
    Umfang: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  2. The financial origins of non-fundamental risk
    Autor*in: Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R
    Erschienen: [2021]
    Verlag:  [University of California, Davis, Department of Economics], [Davis, CA]

    We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may... mehr

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    We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes the economy to self-fulfilling fire sales. Policy can eliminate non-fundamental risk by (i) increasing the supply of publicly backed safe assets, through issuing government debt or bailing out intermediaries, or (ii) reducing the demand for safe assets, through social insurance or by acting as a market maker of last resort.

     
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    Weitere Identifier:
    hdl: 10419/267009
    Schriftenreihe: [Working papers] / [University of California, Davis, Department of Economics] ; [345]
    Schlagworte: safe assets; self-fulfilling asset market crashes; liquidity; fire sales
    Umfang: 1 Online-Ressource (circa 53 Seiten)
  3. The anatomy of sentiment-driven fluctuations
    Autor*in: Acharya, Sushant; Benhabib, Jess; Huo, Zhen
    Erschienen: [2021]
    Verlag:  Bank of Canada, [Ottawa]

    We show that sentiments - self-fulfilling changes in beliefs that are orthogonal to fundamentals - can drive persistent aggregate fluctuations under rational expectations in a beauty contest game. Such fluctuations can occur even in the absence of... mehr

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    We show that sentiments - self-fulfilling changes in beliefs that are orthogonal to fundamentals - can drive persistent aggregate fluctuations under rational expectations in a beauty contest game. Such fluctuations can occur even in the absence of exogenous aggregate fundamental shocks. Moreover, sentiments alter the volatility and persistence of aggregate outcomes in response to fundamental shocks. We provide (i) necessary conditions under which sentiments can affect aggregate outcomes in equilibrium and (ii) conditions under which sentiments drive persistent fluctuations and when they only affect aggregate outcomes contemporaneously. We also show that sentiment equilibria are stable under least-squares learning while the fundamental equilibrium is not.

     
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    Weitere Identifier:
    hdl: 10419/247413
    Auflage/Ausgabe: Last updated: July 14, 2021
    Schriftenreihe: Staff working paper / Bank of Canada ; 2021, 33
    Schlagworte: Business fluctuations and cycles; Economic models
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  4. The financial origins of non-fundamental risk
    Autor*in: Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R.
    Erschienen: [2022]
    Verlag:  Bank of Canada, [Ottawa]

    We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 219
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    We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes the economy to self-fulfilling fire sales. Policy can eliminate non-fundamental risk by (i) increasing the supply of publicly backed safe assets, through issuing government debt or bailing out intermediaries, or (ii) reducing the demand for safe assets, through social insurance or by acting as a market maker of last resort.

     
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    Format: Online
    Weitere Identifier:
    hdl: 10419/261257
    Auflage/Ausgabe: Last updated: January 14, 2022
    Schriftenreihe: Staff working paper / Bank of Canada ; 2022, 4
    Schlagworte: Asset pricing; Financial markets; Financial stability
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  5. The financial origins of non-fundamental risk
    Autor*in: Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R.
    Erschienen: 08 December 2021
    Verlag:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Standort:
    Universitätsbibliothek Mannheim
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    Schriftenreihe: Array ; DP16793
    Schlagworte: safe assets; self-fulfilling asset market crashes; liquidity; fire sales
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  6. Optimal monetary policy according to HANK
    Autor*in: Acharya, Sushant; Challe, Edouard; Dogra, Keshav
    Erschienen: 21 February 2020
    Verlag:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Standort:
    Universitätsbibliothek Mannheim
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    Sprache: Englisch
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    Format: Online
    Schriftenreihe: Array ; DP14429
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  7. On-the-job search and the productivity-wage gap
    Autor*in: Acharya, Sushant; Wee, Shu Lin
    Erschienen: 21 February 2020
    Verlag:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Standort:
    Universitätsbibliothek Mannheim
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Schriftenreihe: Array ; DP14430
    Umfang: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  8. Optimal monetary policy according to HANK
    Autor*in: Acharya, Sushant; Challe, Edouard; Dogra, Keshav
    Erschienen: [2020]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We study optimal monetary policy in a heterogeneous agent new Keynesian economy. A utilitarian planner seeks to reduce consumption inequality, in addition to stabilizing output gaps and inflation. The planner does so both by reducing income risk... mehr

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    DS 207
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    We study optimal monetary policy in a heterogeneous agent new Keynesian economy. A utilitarian planner seeks to reduce consumption inequality, in addition to stabilizing output gaps and inflation. The planner does so both by reducing income risk faced by households, and by reducing the pass-through from income to consumption risk, trading off the benefits of lower inequality against productive inefficiency and higher inflation. When income risk is countercyclical, policy curtails the fall in output in recessions to mitigate the increase in inequality. We uncover a new form of time inconsistency of the Ramsey plan-the temptation to exploit households' unhedged interest rate exposure to lower inequality.

     
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    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/241109
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 916 (February 2020)
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  9. Estimating HANK for central banks
    Autor*in: Acharya, Sushant; Chen, William; Del Negro, Marco; Dogra, Keshav; Gleich, Aidan; Goyal, Shlok; Matlin, Ethan; Lee, Donggyu; Sarfati, Reca; Sengupta, Sikata
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of New York, [New York, NY]

    We provide a toolkit for efficient online estimation of heterogeneous agent (HA) New Keynesian (NK) models based on Sequential Monte Carlo methods. We use this toolkit to compare the out-of-sample forecasting accuracy of a prominent HANK model, Bayer... mehr

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    DS 207
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    We provide a toolkit for efficient online estimation of heterogeneous agent (HA) New Keynesian (NK) models based on Sequential Monte Carlo methods. We use this toolkit to compare the out-of-sample forecasting accuracy of a prominent HANK model, Bayer et al. (2022), to that of the representative agent (RA) NK model of Smets and Wouters (2007, SW). We find that HANK's accuracy for real activity variables is notably inferior to that of SW. The results for consumption in particular are disappointing since the main difference between RANK and HANK is the replacement of the RA Euler equation with the aggregation of individual households' consumption policy functions, which reflects inequality.

     
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    Weitere Identifier:
    hdl: 10419/284031
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1071 (August 2023)
    Schlagworte: HANK; Bayesian inference; sequential Monte Carlo methods
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  10. Spillovers and spillbacks
    Autor*in: Acharya, Sushant; Pesenti, Paolo A.
    Erschienen: 08 March 2024
    Verlag:  Centre for Economic Policy Research, London

    We study international monetary policy spillovers and spillbacks in a tractable two-country Heterogeneous Agent New Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as... mehr

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    Universität Potsdam, Universitätsbibliothek
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    We study international monetary policy spillovers and spillbacks in a tractable two-country Heterogeneous Agent New Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as households in both countries face uninsurable income risk, and a real-income channel, as households have heterogeneous marginal propensities to consume (MPC). While both channels amplify the size of spillovers/spillbacks, only precautionary savings can change their sign relative to RANK. Spillovers are likely to be larger in economies with higher fractions of high MPC households and more countercyclical income risk. Quantitatively, both channels amplify spillovers by 30-60% relative to RANK.

     
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    Schriftenreihe: Array ; DP18900
    Schlagworte: Monetary policy spillovers; Incomplete markets; Precautionary savings; Real-incomechannel
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  11. Estimating HANK for central banks
    Autor*in: Acharya, Sushant; Chen, William; Del Negro, Marco; Dogra, Keshav; Gleich, Aidan; Goyal, Shlok; Matlin, Ethan; Lee, Donggyu; Sarfati, Reca; Sengupta, Sikata
    Erschienen: 30 August 2023
    Verlag:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Standort:
    Universitätsbibliothek Mannheim
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    Schriftenreihe: Array ; DP18407
    Schlagworte: Hank; Bayesian inference; Sequential monte carlo methods
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  12. The financial origins of non-fundamental risk
    Autor*in: Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R.
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

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    Schriftenreihe: Working papers series / Federal Reserve Bank of San Francisco ; 2023, 20 (May 2023)
    Schlagworte: safe assets; self-fulfilling asset market crashes; liquidity; fire sales
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  13. Inequality and optimal monetary policy in the open economy
    Autor*in: Acharya, Sushant; Challe, Edouard
    Erschienen: 14 May 2024
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP19075
    Schlagworte: ; ; Open Economy; New Keynesian Model; Inequality; Optimal Policy
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  14. How changes in the share of constrained households affect the effectiveness of monetary policy
    Autor*in: Alves, Felipe Alduino; Acharya, Sushant
    Erschienen: 2024
    Verlag:  Bank of Canada, [Ottawa, ON]

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    Auflage/Ausgabe: Last updated: February 21, 2024
    Schriftenreihe: Staff analytical note / Bank of Canada ; 2024, 3
    Umfang: 1 Online-Ressource (circa 11 Seiten), Illustrationen
  15. Spillovers and spillbacks
    Autor*in: Acharya, Sushant; Pesenti, Paolo A.
    Erschienen: [2024]
    Verlag:  Federal Reserve Bank of New York, [New York, NY]

    We study international monetary policy spillovers and spillbacks in a tractable two-country Heterogeneous Agent New Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as... mehr

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    We study international monetary policy spillovers and spillbacks in a tractable two-country Heterogeneous Agent New Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as households in both countries face uninsurable income risk, and a real-income channel, as households have heterogeneous marginal propensities to consume (MPC). While both channels amplify the size of spillovers/spillbacks, only precautionary savings can change their sign relative to RANK. Spillovers are likely to be larger in economies with higher fractions of high MPC households and more countercyclical income risk. Quantitatively, both channels amplify spillovers by 30-60 percent relative to RANK.

     
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    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1089 (March 2024)
    Schlagworte: monetary policy spillovers; incomplete markets; precautionary savings; real-income channel
    Umfang: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  16. Spillovers and Spillbacks
    Autor*in: Acharya, Sushant; Pesenti, Paolo A.
    Erschienen: March 2024
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We study international monetary policy spillovers and spillbacks in a tractable two-country Heterogeneous Agent New Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as... mehr

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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Universitätsbibliothek Freiburg
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We study international monetary policy spillovers and spillbacks in a tractable two-country Heterogeneous Agent New Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as households in both countries face uninsurable income risk, and a real-income channel, as households have heterogeneous marginal propensities to consume (MPC). While both channels amplify the size of spillovers/spillbacks, only precautionary savings can change their sign relative to RANK. Spillovers are likely to be larger in economies with higher fractions of high MPC households and more countercyclical income risk. Quantitatively, both channels amplify spillovers by 30-60% relative to RANK

     
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    Schriftenreihe: NBER working paper series ; no. w32245
    Schlagworte: Geldpolitik; Spillover-Effekt; Geldpolitische Transmission; Internationale Wirtschaft; General; Open Economy Macroeconomics; International Policy Coordination and Transmission
    Umfang: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers
  17. Spillovers and spillbacks
    Autor*in: Acharya, Sushant; Pesenti, Paolo A.
    Erschienen: 08 March 2024
    Verlag:  Centre for Economic Policy Research, London

    We study international monetary policy spillovers and spillbacks in a tractable two-country Heterogeneous Agent New Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as... mehr

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    Staats- und Universitätsbibliothek Bremen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
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    Universität Potsdam, Universitätsbibliothek
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    We study international monetary policy spillovers and spillbacks in a tractable two-country Heterogeneous Agent New Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as households in both countries face uninsurable income risk, and a real-income channel, as households have heterogeneous marginal propensities to consume (MPC). While both channels amplify the size of spillovers/spillbacks, only precautionary savings can change their sign relative to RANK. Spillovers are likely to be larger in economies with higher fractions of high MPC households and more countercyclical income risk. Quantitatively, both channels amplify spillovers by 30-60% relative to RANK.

     
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    Schriftenreihe: Array ; DP18900
    Schlagworte: Monetary policy spillovers; Incomplete markets; Precautionary savings; Real-incomechannel
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  18. Global Indeterminacy in HANK economies
    Autor*in: Acharya, Sushant; Benhabib, Jess
    Erschienen: 12 May 2024
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP19060
    Schlagworte: monetary policy; incomplete markets; cyclicality of risk; local and global indeterminacy
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  19. The anatomy of sentiment-driven fluctuations
    Autor*in: Acharya, Sushant; Benhabib, Jess; Huo, Zhen
    Erschienen: February 2017
    Verlag:  National Bureau of Economic Research, Cambridge, MA

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Working paper series / National Bureau of Economic Research ; 23136
    Schlagworte: Emotion; Konjunktur; Rationale Erwartung; Spieltheorie; spielth
    Umfang: 42 Seiten, Illustrationen
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  20. The side effects of safe asset creation
    Autor*in: Acharya, Sushant; Dogra, Keshav
    Erschienen: [2021]
    Verlag:  Bank of Canada, [Ottawa]

    We present an incomplete markets model to understand the costs and benefits of increasing government debt when an increased demand for safety pushes the natural rate of interest below zero. A higher demand for safe assets causes the ZLB to bind,... mehr

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    We present an incomplete markets model to understand the costs and benefits of increasing government debt when an increased demand for safety pushes the natural rate of interest below zero. A higher demand for safe assets causes the ZLB to bind, increasing unemployment. Higher government debt satiates the demand for safe assets, raising the natural rate and restoring full employment. However, this entails permanently lower investment, which reduces welfare, since our economy is dynamically efficient even when the natural rate is negative. Despite this, increasing debt until the ZLB no longer binds raises welfare when alternative instruments are unavailable. Higher in inflation targets instead allow for negative real interest rates and achieve full employment without reducing investment.

     
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    hdl: 10419/247414
    Auflage/Ausgabe: Last updated: July 14, 2021
    Schriftenreihe: Staff working paper / Bank of Canada ; 2021, 34
    Schlagworte: Monetary policy implementation; Fiscal policy
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  21. Slow recoveries and unemployment traps
    monetary policy in a time of hysteresis
    Autor*in: Acharya, Sushant; Bengui, Julien; Dogra, Keshav; Wee, Shu Lin
    Erschienen: 21 December 2018
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Discussion paper series / Centre for Economic Policy Research ; DP13409
    Umfang: 50 Seiten, Illustrationen
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  22. The side effects of safe asset creation
    Autor*in: Acharya, Sushant; Dogra, Keshav
    Erschienen: 24 February 2020
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP14440
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  23. Rational inattention in hiring decisions
    Autor*in: Acharya, Sushant; Wee, Shu Lin
    Erschienen: [2019]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We provide an information-based theory of matching efficiency fluctuations. Rationally inattentive firms have limited capacity to process information and cannot perfectly identify suitable applicants. During recessions, higher losses from hiring... mehr

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    We provide an information-based theory of matching efficiency fluctuations. Rationally inattentive firms have limited capacity to process information and cannot perfectly identify suitable applicants. During recessions, higher losses from hiring unsuitable workers cause firms to be more selective in hiring. When firms cannot obtain sufficient information about applicants, they err on the side of caution and accept fewer applicants to minimize losses from hiring unsuitable workers. Pro-cyclical acceptance rates drive a wedge between meeting and hiring rates, explaining fluctuations in matching efficiency. Quantitatively, our model replicates the joint behavior of unemployment rates and matching efficiency observed since the Great Recession.

     
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    hdl: 10419/210730
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 878 (January 2019)
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  24. Replacement hiring and the productivity-wage gap
    Autor*in: Acharya, Sushant; Wee, Shu Lin
    Erschienen: [2018]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    A large and growing share of hires in the United States are replacement hires. This increase coincides with a growing productivity-wage gap. We connect these trends by building a model where firms post long-lived vacancies and engage in on-the-job... mehr

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    A large and growing share of hires in the United States are replacement hires. This increase coincides with a growing productivity-wage gap. We connect these trends by building a model where firms post long-lived vacancies and engage in on-the-job search for more productive workers. These features improve a firm's bargaining position while raising workers' job insecurity and the wedge between hiring and meeting rates. All three channels lower wages while raising productivity. Quantitatively, increased replacement hiring explains half the increase in the productivity-wage gap. The socially efficient outcome features fewer low-productivity jobs and a 10 percent narrower productivity-wage gap.

     
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    hdl: 10419/210712
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 860 (June 2018)
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  25. The side effects of safe asset creation
    Autor*in: Acharya, Sushant; Dogra, Keshav
    Erschienen: [2018]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We present an incomplete markets model to understand the costs and benefits of increasing government debt in a low interest rate environment. Higher risk increases the demand for safe assets, lowering the natural rate of interest below zero,... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We present an incomplete markets model to understand the costs and benefits of increasing government debt in a low interest rate environment. Higher risk increases the demand for safe assets, lowering the natural rate of interest below zero, constraining monetary policy at the zero lower bound, and raising unemployment. Higher government debt satiates the demand for safe assets, raising the natural rate and restoring full employment. While this permanently lowers investment, a policymaker committed to low inflation has no alternative. Higher inflation targets, instead, permit both full employment and high investment, but allow for harmful bubbles. Aggressive fiscal policy can prevent bubbles.

     
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    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/189883
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 842 (March 2018)
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen