강의노트(Lecture Notes)

Course:(국제통화)Economics 054-International Monetary Economics (Spring 2001)...... 번역의뢰하기
자료 분류: B
Professor:Martin Uribe
Econ 54 is a one-semester course in International Macroeconomics. This course develops a theoretical framework for the analysis of the determinants of international capital movements, trade imbalances, and nominal and real exchange rates. The theoretical framework is then used as the basis for the discussion of policy issues such as the emergence of the U.S. as a foreign debtor in the 1980s, the developing country debt crisis, exchange-rate-based inflation stabilization, and balance-of-payment crises.

-Chapter 1. The Balance of Payments
-Chapter 2. A Theory of Current Account Determination
-Chapter 3. Current Account Determination in a Production Economy (sections 1 and 2 are optional, sections 3 to 6 inclusive are required)
-Chapter 4. Fiscal Deficits and the Current Account
-Chapter 5. International Capital Market Integration
-Chapter 6. Determinants of the Real Exchange Rate (Not required)
-Chapter 7. Changes in Aggregate Spending and the Real Exchange Rate: The TNT Model (Not required)
-Chapter 8. The Macroeconomics of External Debt
-Chapter 9. Monetary Policy and Nominal Exchange Rate Determination

Course:(게임이론)Economics SS 212 b-Nonmarket Economics(Winter 2002)...... 번역의뢰하기
자료 분류: B
Professor:Andrew Postlewaite
Econ SS 212 b 는 게임 이론의 코스중의 하나 입니다. 다가오는 2002년 겨울의 강의 노트입니다.

-(171 KB) 실러버스
-(144 KB) 노트1
-(232 KB) 노트2
-(96 KB) Mailath-Postlewaite notes.
-(169 KB) Social Arrangements notes
-(337 KB) Informational Size and Incentive Compatibility
-(345 KB) Efficient Auction Mechanisms with Interdependent Types and Multidimensional Signals
-(345 KB) The Social Basis of Interdependent Preferences
-(193 KB) Social Arrangements and Economic Behavior
-(96 KB) Mailath-Postlewaite notes
-(169 KB) Social Arrangements notes
-(111 KB) Neumark-Postlewaite JPubEcon paper
-(278 KB) Mailath-Postlewaite Social Assets

논문, 페이퍼

-Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconomic Model(Download or View)
-자료 분류,파일 사이즈: C, 1.66 MB
-작성자 정보: M. Hashem Pesaran, Til Schuermann and Scott M. Weiner (펜실베니아대 와튼 비지니스 스쿨, Financial Institutions Center)
-Abstract or Contents:
A financial institution such as a bank is ultimately exposed to macroeconomic fluctuations in the countries to which it has exposure, the most acute example being commercial lending to companies whose fortunes fluctuate with aggregate demand. It was this risk management need for financial institutions which motivated us to build a compact global macroeconomic model capable of generating (point as well as density) forecasts for a core set of macroeconomic factors for a set of regions and countries which explicitly allows for interconnections and interdependencies that exist between national and international factors. This paper provides such a global modeling framework by making use of recent advances in the analysis of cointegrating systems. ...... 번역의뢰하기

-Was Malthus Right? Economic Growth and Population Dynamics(Download or View)
-자료 분류,파일 사이즈: C, 691 KB
-작성자 정보: Jesus Fernandez-Villaverde (펜실베니아대 경제학부 Institute for Economic Research)
-Abstract or Contents:
This paper studies the relationship between population dynamics and economic growth. Prior to the Industrial Revolution increases in total output were roughly matched by increases in population. In contrast, during the last 150 years, increments in per capita income have coexisted with slow population growth. Why are income and population growth no longer positively correlated? Thus paper presents a new answer, based on the role of capital-specific technological change, that provides a unifying account of lower population growth and sustained economic growth. An overlapping generations model with capital skill, complementarity rued endogenous fertility, mortality and education is constructed and parameterized to match English data from 1536 to 1920. The key finding is that the observed fall in the relative price of capital can account for more than 60% of the fall ill fertility mid over 50 of the increase in income per capita, in England occurred during the demographic transition. Additional experiments show that neutral technological change or the reduction in mortality cannot account for the fall in fertility....... 번역의뢰하기

-A Macroeconmic Analysis of Marriage, Fertility, and the Distribution of Income(Download or View)
-자료 분류,파일 사이즈: C, 1.66 MB
-작성자 정보: Jeremy Greenwood, Nezih Guner and John Knowles(펜실베니아대 경제학부)
-Abstract or Contents:
According to Pareto, the distribution of income depends on "the nature of the people comprising a society, on the organization of the latter, and, also, in part, on chance." An overlapping generations model of marriage, fertility and income distribution is developed here. The "nature of the people" is captured by attitudes toward marriage, divorce, fertility, and children. Singles search for mates in a marriage market. They are free to accept or reject marriage proposals. Married agents make their decisions through bargaining about work, and the quantity and quality of children. They can divorce. Social policies, such as child tax credits or child support requirements, reflect the "organization of the (society)." Finally, "chance" is modelled by randomness in income, opportunities for marriage, and marital bliss. ...... 번역의뢰하기

-Measuring Predictability: Theory and Macroeconomic Applications(Download or View)
-자료 분류,파일 사이즈: C, 1.66 MB
-작성자 정보: Francis X. Diebold and Lutz Kilian (펜실베니아대 경제학부)
-Abstract or Contents:
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or multivariate information sets, and covariance stationary or difference stationary processes. We propose a simple estimator, and we suggest resampling methods for inference. We then provide several macroeconomic applications. First, we illustrate the implementation of predictability measures based on fitted parametric models for several U.S. macroeconomic time series. Second, we analyze the internal propagation mechanism of a standard dynamic macroeconomic model by comparing the predictability of model inputs and model outputs. Third, we use predictability as a metric for assessing the similarity of data simulated from the model and actual data. Finally, we outline several nonparametric extensions of our approach. ...... 번역의뢰하기

-Arrow's Equivalency Theorem in a Model with Neoclassical Firms(Download or View)
-자료 분류,파일 사이즈: C, 376,832 bytes
-작성자 정보: Svetlana Boyarchenko (펜실베니아대학 경제학부)
-Abstract or Contents:
In this paper we consider a two-period general equilibrium model with uncertainty and real assets as financial instruments. The novelty of the analysis is that real assets are the stocks of neoclassical firms, so that both returns and yields depend on anticipated spot prices. Assuming that financial market are potentially complete, we establish generic existence of financial equilibrium and prove that there exists a dense set of economies such that financial equilibria are efficient. ...... 번역의뢰하기

-The Visible Hand, The Invisible Hand and Efficiency(Download or View)
-자료 분류,파일 사이즈: C, 376,832 bytes
-작성자 정보: Svetlana Boyarchenko (펜실베니아대 와튼 비지니스 스쿨,FIC)
-Abstract or Contents:
When a firm forms a market closes. Resources that were previously allocated via the price system are allocated by managerial authority within the firm. We explore this choice of organizational form using a model of price formation in which agents negotiate prices on behalf of their principals when there is trade in a market. Principals motivate agents to make efforts and form prices by writing contracts contingent on the prices that the agents themselves negotiate. Admitting agency issues into price formation introduces a need for a principal to have the authority to coordinate economic activity.
This can be achieved by closing a market and forming a firm, thereby contracting directly with both agents, and centrally directing trade. Closing a market, however, results in a loss of information from market prices, information that can be used to reduce the cost of contracting. This information cannot be replicated by internally generated "transfer prices." Hence, when the market is internalized within the firm, information from market prices is lost. Choice of organizational form, a market or a firm, is then determined by the relative value of central authority over agents (the "visible" hand) versus information from market prices (the "invisible" hand)....... 번역의뢰하기

-The Consumer Response to Changes in Credit Supply: Evidence from Credit Card Data(Download or View)
-자료 분류,파일 사이즈: C, 376,832 bytes
-작성자 정보: David B. Gross and Nicholas S. Souleles(펜실베니아대 와튼 비지니스 스쿨,FIC)
-Abstract or Contents:
This paper utilizes a unique new data set on credit card accounts to analyze how people respond to changes in credit supply. The data consist of a panel of several hundred thousand individual credit card accounts followed monthly for 24-36 months, from several different card issuers, with associated credit bureau data. We estimate the dynamic effects of changes in the credit limit and in interest rates, and consider the ability of different models of consumption and saving to rationalize these effects....... 번역의뢰하기

-Competition, Growth, and Performance in the Banking Industry(Download or View)
-자료 분류,파일 사이즈: C, 376,832 bytes
-작성자 정보: Bert Scholtens(펜실베니아대 와튼 비지니스 스쿨,FIC)
-Abstract or Contents:
This paper analyzes competition, growth, and performance in the banking industry. First, we analyze the relationship between market structure and the performance of the banking industry. Furthermore, we test hypotheses on whether size matters for individual banks' profit performance. As such, we use extreme bounds stability analysis and a stability analysis in line with Sala-i-Martin (1997) to test for the reliability of the regression outcomes. It turns out that bank profits are inversely related to the amount of bank assets and are positively associated with the amount of tier-one bank capital....... 번역의뢰하기

-Bubbles and Crises(Download or View)
-자료 분류,파일 사이즈: C, 376,832 bytes
-작성자 정보: Franklin Allen and Douglas Gale(펜실베니아대 와튼 비지니스 스쿨,FIC)
-Abstract or Contents:
In recent financial crises a bubble, in which asset prices rise, is followed by a collapse and widespread default. Bubbles are caused by agency relationships in the banking sector. Investors use money borrowed from banks to invest in risky assets, which are relatively attractive because investors can avoid losses in low payoff states by defaulting on the loan. This risk shifting leads investors to bid up the asset prices. Risk can originate in both the real and financial sectors. Financial fragility occurs when positive credit expansion is insufficient to prevent a crisis....... 번역의뢰하기

-Financial Market Regulation: The Case of Italy and a Proposal for the Euro Area(Download or View)
-자료 분류,파일 사이즈: C, 98,304 bytes
-작성자 정보: Giorgio Di Giorgio, Carmine Di Noia and Laura Piatti(펜실베니아대학 와튼비지니스 스쿨)
-Abstract or Contents:
The objective of the present work is to sketch a proposal for the re-organisation of regulatory arrangements and supervisory agencies in the European financial markets. This proposal is formulated in light of the evolution of the role of intermediaries and aims at speeding the ongoing process of integration of financial markets in the Euro area. It is based on previous experiences in the matter of financial regulation at both national and international level....... 번역의뢰하기

-The Future of the Japanese Financial System(Download or View)
-자료 분류,파일 사이즈: C, 557.3 KB
-작성자 정보: Franklin Allen and Anthony Santomero(펜실베니아대학 와튼비지니스 스쿨)
-Abstract or Contents:
The purpose of this paper is to consider the strengths and weaknesses of the Japanese financial system and to propose possible changes for the future. The apparent reversal in opinions on the effectiveness of the Japanese and US financial systems in recent years suggests a long term view should be taken. All financial systems have problems in the short term and it is important not to put too much weight on these. Section 2 briefly considers the historical development and the current differences between the Japanese and US financial systems. Section 3 considers the functions of a financial system and how the Japanese and US systems have performed these functions. Suggestions for reforms for Japan are outlined in Section 4 and Section 5 contains concluding remarks....... 번역의뢰하기

-Efficiency of Financial Institutions: International Survey and Directions for Future Research(Download or View)
-자료 분류,파일 사이즈: C, 98,304 bytes
-작성자 정보: Allen N. Berger and David B. Humphrey(펜실베니아대학 와튼비지니스 스쿨)
-Abstract or Contents:
This paper surveys 130 studies that apply frontier efficiency analysis to financial institutions in 21 countries. The primary goals are to summarize and critically review empirical estimates of financial institution efficiency and to attempt to arrive at a consensus view. We find that the various efficiency methods do not necessarily yield consistent results and suggest some ways that these methods might be improved to bring about findings that are more consistent, accurate, and useful. Secondary goals are to address the implications of efficiency results for financial institutions in the areas of government policy, research, and managerial performance. Areas needing additional research are also outlined....... 번역의뢰하기

-Informational Size and Incentive Compatibility without Negligible Aggregate Uncertainty(Download or View)
-자료 분류,파일 사이즈: C, 98,304 bytes
-작성자 정보: Richard McLean, Andrew Postlewaite(펜실베니아대 경제학부)
-Abstract or Contents:
In McLean and Postlewaite (2001), we analyzed a general equilibrium model with asymetrically informed agents. We presented a notion of informational size and showed (among other things) that when agents' information as a whole resolved nearly all the uncertainty, the conflict between incentive compatibility and (ex post) efficiency can be made arbitrarily small if agents are sufficiently small informationally. This paper extends the analysis of the relationship between informational size and efficiency to the case in which there is nontrivial aggregate uncertainty, that is, when there is significant uncertainty about the world even when the information of all agents is known. We further show that the conflict between incentive compatibility and efficiency asymptotically vanishes when an economy is replicated...... 번역의뢰하기

-Comparing Dynamic Equilibrium Models to Data(Download or View)
-자료 분류,파일 사이즈: C, 98,304 bytes
-작성자 정보: Jesus Fernandez-Villaverde and Juan Francisco Rubio-Ramirez(펜실베니아대 경제학부)
-Abstract or Contents:
This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified and nonlinear. First, we show that Bayesian methods have a classical interpretation: asymptotically the parameter point estimates converge to their pseudotrue values and the best model under the Kullback-Leibler distance will have the highest posterior probability. Second, we illustrate the strong small sample behavior of the approach using a well-known application: the U.S. cattle cycle. Bayesian estimates outperform Maximum Likelihood results and the proposed model is easily compared with a set of BVARs...... 번역의뢰하기

-The Distribution of Realized Exchange Rate Volatility(Download or View)
-자료 분류,파일 사이즈: C, 98,304 bytes
-작성자 정보: Torben G.Andersen, Tim Bollerslev, Francis X.Diebold and Paul Labys (펜실베니아대 경제학부)
-Abstract or Contents:
Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which we discuss in detail. Hence, for practical purposes, we may treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and persistent dynamics in volatilities and correlations, evidence of long-memory dynamics in volatilities and correlations, and remarkably precise scaling laws under temporal aggregation...... 번역의뢰하기

-The Theory of Financial Intermediation(Download or View)
-자료 분류,파일 사이즈: C, 608.3 KB
-작성자 정보: Franklin Allen and Anthony Santomero(펜실베니아대 와튼 비지니스 스쿨)
-Abstract or Contents:
Traditional theories of intermediation are based on transaction costs and asymmetric information. They are designed to account for institutions which take deposits or issue insurance policies and channel funds to firms. However, in recent decades there have been significant changes. Although transaction costs and asymmetric information have declined, intermediation has increased. New markets for financial futures and options are mainly markets for intermediaries rather than individuals or firms. These changes are difficult to reconcile with the traditional theories. We discuss the role of intermediation in this new context stressing risk trading and participation costs...... 번역의뢰하기