Advanced Macroeconomics I (Part II) 2 Financial Markets and Macroeconomic Fluctuations

Transcription

1 Fall 2003 R.J.Caballero 1 Introduction Advanced Macroeconomics I (Part II) 1. Stock, J.H. and M.W. Watson, Business Cycle Fluctuations in US Macroeconomic Time Series, in Handbook of Macroeconomics ed by Taylor and Woodford. Ch 1, vol 1A Financial Markets and Macroeconomic Fluctuations 2.1 Amplification, Persistence, and Banks 1. Kiyotaki, N. and J.Moore, Credit Cycles, JPE, April Bernanke, B. and M.Gertler, Agency Costs, Net Worth, and Business Fluctuations, American Economic Review 79, 1989, Gertler, M., Financial Structure and Aggregate Economic Activity: An Overview, JMCB 20-3, August 1988, Bernanke, B.S., M.Gertler, and S. Gilchrist, The Financial Accelerator in a Quantitative Business Cycle Framework, in Handbook of Macroeconomics ed by Taylor and Woodford. Ch 21, vol 1C Krishnamurthy, A., Collateral Constraints and the Credit Channel, mimeo MIT, January [UPDATE] 6. Holmstrom, B. and J.Tirole, Financial Intermediation, Loanable Funds, and the Real Sector, QJE D. Diamond and P. Dybvig. Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy (1983): D. Diamond and R. Rajan. Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking. Journal of Political Economy (2001):

2 2.2 Liquidity 1. B. Holmstrom and J. Tirole. Private and Public Supply of Liquidity. Journal of Political Economy 106(1), 1998: Caballero, R. and A. Krishnamurthy, A Vertical Analysis of Monetary Policy in Emerging Markets, MIT mimeo, July [**] 3. Caballero, R. and A. Krishnamurthy, Excessive Dollar Debt: Financial Development and Underinsurance, The Journal of Finance vol LVIII, 2, April [**] 4. Caballero, R. and A. Krishnamurthy, Smoothing Sudden Stops, MIT mimeo, March 2003 (forthcoming in Journal of Economic Theory. [**] 5. Shleifer, Andrei and Robert Vishny, The Limits of Arbitrage, Journal of Finance 52-1, March 1997, pp Allen, F. and D. Gale, Limited Market Participation and Volatility of Asset Prices. American Economic Review 84(4), September 1994, pp Kiyotaki, N. and J. Moore, Liquidity, Business Cycles, and Monetary Policy, LSE mimeo, July Insurance 1. Scharfstein and Stein 2. Vickrey 3. Caballero, R.J. The Future of the IMF, American Economic Review Papers and Proceedings, May Froot, K.A., The Market for Catastrophe Risk: A Clinical Evaluation, Journal of Financial Economics 60, 2001, Caballero, R.J. and S. Panageas, Hedging Sudden Stops and Precautionary Recessions: A Quantitative Approach, MIT mimeo, May [**] 6. Eichengreen, B., Kletzer, K. and A. Mody, Crisis Resolution: Next Steps, forthcoming in Brookings Papers (Trade),

3 2.4 Bubbles, Crashes and Speculation 1. Tirole, J., Asset Bubbles and Overlapping Generations, Econometrica, 53, 6, November 1985, Santos, M.S. and M.Woodford, Rational Asset Pricing Bubbles, Econometrica 65-1, January Shiller, Robert (2000): Irrational Exuberance, Princeton University Press, March. 4. Abel, A.B., N.G. Mankiw, L.H. Summers and R.J. Zeckhauser (1989): Assessing Dynamic Efficiency: Theory and Evidence, Review of Economic Studies, 56, Caballero, R.J. and M.L. Hammour, Speculative Growth, mimeo MIT, May UPDATE 6. Abreu, D. and Ventura, J., A Portfolio View of teh U.S. Current Account Deficit Brookings Paper on Economic Activity, (2001). 8. Ito, T. and T.Iwaisako, Explaining Asset Bubbles in Japan, NBER WP #5358, Allen, F. and D. Gale, Bubbles and Crises, Economic Journal, 2000, 110, Scheinkman, J. and W. Xiong, Overconfidence and Speculative Bubbles, Princeton mimeo, June Panegeas, S. 12. Caplin, A. and J. Leahy, AER 13. Caplin, A. and J. Leahy, RESTUD 14. Hertzberg, A. 3 The Macroeconomics of Creative Destruction 1. Caballero, R. and M. Hammour, Institutions, Restructuring, and Macroeconomic Performance, in Advances in Macroeconomic Theory, ed by J. Dreze, Palgrave 2001,

4 3.1 The Fundamental Transformation 1. Caballero, R. and M. Hammour, The Macroeconomics of Specificity, Journal of Political Economy, 106(4), 1998, Grout, P.A., Investment and Wages in the Absence of Binding Contracts: A Nash Bargaining Approach, Econometrica 52-2, March 1984, MacLeod, W. Bentley, and James M. Malcomson (1993): Investments, Holdup, and the Form of Market Contracts, American Economic Review, 83(4), Davis, S.J., The Quality Distribution of Jobs and the Structure of Wages in Search Equilibrium, NBER WP #8434, August The Medium Run 1. Caballero, R. and M. Hammour, Jobless Growth: Appropriability, Factor Substitution, and Unemployment, Carnegie-Rochester Conference Series on Public Policy, Blanchard, O.J. The Medium Run BPEA 2, Blanchard, O.J. and F. Giavazzi, Macroeconomic Effects of Regulation and Deregulation in Goods and Labor Markets. NBER WP #8120, Rogerson, R., 3.3 Restructuring and Recessions 1. Davis, S., J.Haltiwanger, and S.Schuh, Job Creation and Destruction, Cambridge: MIT Press, Davis, S., and J.Haltiwanger, Driving Forces and Employment Fluctuations, typescript, September De Long, J. Bradford (1990): Liquidation Cycles: Old-Fashioned Real Business Cycle Theory and the Great Depression, NBER Working Paper No. 3546, December. 4. Den Haan, Wouter J., Garey Ramey, and Joel Watson (1997): Job Destruction and Propagation of Shocks, QJE. [COMPLETE] 5. Hall, Robert E. (1995): Lost Jobs, Brookings Papers on Economic Activity, 1, Hall, Robert E., Labor-Market Frictions and Employment Fluctuations, in Handbook of Macroeconomics ed by Taylor and Woodford. Ch 17, vol 1B

5 7. Whelan, Karl (1997): The Welfare Cost of Worker Displacement: A New Approach, typescript, Federal Reserve Board. 8. Caballero, R. and M. Hammour, The Cost of Recessions Revisited: A Reverse-Liquidationist View, MIT mimeo, [UPDATE] 9. Mortensen, D.T. and C.A. Pissarides, Job Reallocation, Employment Fluctuations and Unemployment, in Handbook of Macroeconomics ed by Taylor and Woodford. Ch 18, vol 1B