Martin Eichenbaum
Dados Biográficos
| ID | 1124540 |
|---|---|
| NOME | Martin Eichenbaum |
| PRENOMES | Martin |
| SOBRENOME | Eichenbaum |
| ASSINATURA | EICHENBAUM M |
| AFILIAÇÕES | Federal Reserve Bank of Chicago |
| VERIFICADO | Não |
| TOTAL DE OBRAS | 17 |
| TOTAL DE CITAÇÕES | 186 |
| TOTAL COMO AUTOR | 17 |
| TOTAL COMO EDITOR | 0 |
| PRIMEIRO ANO DE PUBLICAÇÃO | 1970 |
| ANO MAIS RECENTE DE PUBLICAÇÃO | 2025 |
| ÍNDICE H | 5 |
Understanding Canada's Productivity Problem / Comprendre le problème de la productivité au Canada
Expectations, Infections, and Economic Activity
The Macroeconomics of Epidemics
On DSGE Models
The outcome of any important macroeconomic policy change is the net effect of forces operating on different parts of the economy. A central challenge facing policymakers is how to assess the relative strength of those forces. Economists have a range of tools that can be used to make such assessments. Dynamic stochastic general equilibrium (DSGE) models are the leading tool for making such assessments in an open and transparent manner. We review t…
Understanding Booms and Busts in Housing Markets
Some booms in housing prices are followed by busts. Others are not. It is generally \ndi¢ cult to Önd observable fundamentals that are useful for predicting whether a boom \nwill turn into a bust or not. We develop a model consistent with these observations. \nAgents have heterogeneous expectations about long-run fundamentals but change their \nviews because of ìsocial dynamics.îAgents with tighter priors are more likely to convert \nothers to th…
When Is the Government Spending Multiplier Large
We argue that the government-spending multiplier can be much larger than one when the zero lower bound on the nominal interest rate binds. The larger the fraction of government spending that occurs while the nominal interest rate is zero, the larger the value of the multiplier. After providing intuition for these results, we investigate the size of the multiplier in a dynamic, stochastic, general equilibrium model. In this model the multiplier ef…
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
We present a model embodying moderate amounts of nominal rigidities that accounts for the observed inertia in inflation and persistence in output. The key features of our model are those that prevent a sharp rise in marginal costs after an expansionary shock to monetary policy. Of these features, the most important are staggered wage contracts that have an average duration of three quarters and variable capital utilization
Large Devaluations and the Real Exchange Rate
In this paper we argue that the primary force behind the large drop in real exchange rates that occurs after large devaluations is the slow adjustment in the prices of nontradable goods and services. Our empirical analysis uses data from five large devaluation episodes: Argentina (2002), Brazil (1999), Korea (1997), Mexico (1994), and Thailand (1997). We conduct a detailed analysis of the Argentinian case using disaggregated consumer price index …
Prospective Deficits and the Asian Currency Crisis
This paper argues that a principal cause of the 1997 Asian currency crisis was large prospective deficits associated with implicit bailout guarantees to failing banking systems. The expectation that these future deficits would be at least partially financed by seigniorage revenues or an inflation tax on outstanding nominal debt led to a collapse of the fixed exchange rate regimes in Asia. We articulate this view using a simple model whose key fea…
Chapter 2 Monetary policy shocks
Small-Sample Properties of GMM-Based Wald Tests
This article assesses the small-sample properties of generalized-method-of-moments-based Wald statistics by using (a) a vector white-noise process and (b) an equilibrium business-cycle model as the data-generating mechanisms. In many cases, the small-sample size of the Wald tests exceeds its asymptotic size and increases sharply with the number of hypotheses being jointly tested. We argue that this is mostly due to difficulty in estimating the sp…
The Effects of Monetary Policy Shocks
Flow of funds; Monetary policy
Some Comments on the Role of Econometrics in Economic Theory
Journal Article Some Comments on the Role of Econometrics in Economic Theory Get access Martin Eichenbaum Martin Eichenbaum Northwestern University, NBER and Federal Reserve Bank of Chicago Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 105, Issue 433, 1 November 1995, Pages 1609–1621, https://doi.org/10.2307/2235122 Published: 01 November 1995
Labor Hoarding and the Business Cycle
This paper investigates the sensitivity of Solow residual based measures of technology shocks to labor hoarding behavior. Using a structural model of labor hoarding and the identifying restriction that innovations to technology shocks are orthogonal to innovations in government consumption, it estimates the fraction of the variability of the Solow residual that is due to technology shocks. Results support the view that a significant proportion of…
Estimating Models With Intertemporal Substitution Using Aggregate Time Series Data
In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time. In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach. Our empirical analyses focuses on three questions: (1) Can…
Capital Accumulation and Annuities in an Adverse Selection Economy
This paper suggests that adverse selection problems in competitive annuity markets can generate quantity-constrained equilibria in which some agents, whose length of lifetime is uncertain, find it advantageous to accumulate capital privately. This occurs despite the higher rates of return on annuities. The welfare properties of these allocations are analyzed. It is shown that the level of capital accumulation is excessive in a Paretian sense. Pol…
Essays in Monetary Economics
Essays in Monetary Economics Get access Essays in Monetary Economics. By Harry G. Johnson. 2nd ed. with new Introduction. London: Allen & Unwin. 1969. 332 pp. Bibliog. Index. (Unwin University Books, 52.) 25s. International Affairs, Volume 46, Issue 4, October 1970, Page 780, https://doi.org/10.1093/ia/46.4.780b Published: 01 October 1970
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
We present a model embodying moderate amounts of nominal rigidities that accounts for the observed inertia in inflation and persistence in output. The key features of our model are those that prevent a sharp rise in marginal costs after an expansionary shock to monetary policy. Of these features, the most important are staggered wage contracts that have an average duration of three quarters and variable capital utilization
When Is the Government Spending Multiplier Large
We argue that the government-spending multiplier can be much larger than one when the zero lower bound on the nominal interest rate binds. The larger the fraction of government spending that occurs while the nominal interest rate is zero, the larger the value of the multiplier. After providing intuition for these results, we investigate the size of the multiplier in a dynamic, stochastic, general equilibrium model. In this model the multiplier ef…
Large Devaluations and the Real Exchange Rate
In this paper we argue that the primary force behind the large drop in real exchange rates that occurs after large devaluations is the slow adjustment in the prices of nontradable goods and services. Our empirical analysis uses data from five large devaluation episodes: Argentina (2002), Brazil (1999), Korea (1997), Mexico (1994), and Thailand (1997). We conduct a detailed analysis of the Argentinian case using disaggregated consumer price index …
Prospective Deficits and the Asian Currency Crisis
This paper argues that a principal cause of the 1997 Asian currency crisis was large prospective deficits associated with implicit bailout guarantees to failing banking systems. The expectation that these future deficits would be at least partially financed by seigniorage revenues or an inflation tax on outstanding nominal debt led to a collapse of the fixed exchange rate regimes in Asia. We articulate this view using a simple model whose key fea…
Understanding Booms and Busts in Housing Markets
Some booms in housing prices are followed by busts. Others are not. It is generally \ndi¢ cult to Önd observable fundamentals that are useful for predicting whether a boom \nwill turn into a bust or not. We develop a model consistent with these observations. \nAgents have heterogeneous expectations about long-run fundamentals but change their \nviews because of ìsocial dynamics.îAgents with tighter priors are more likely to convert \nothers to th…
On DSGE Models
The outcome of any important macroeconomic policy change is the net effect of forces operating on different parts of the economy. A central challenge facing policymakers is how to assess the relative strength of those forces. Economists have a range of tools that can be used to make such assessments. Dynamic stochastic general equilibrium (DSGE) models are the leading tool for making such assessments in an open and transparent manner. We review t…
Labor Hoarding and the Business Cycle
This paper investigates the sensitivity of Solow residual based measures of technology shocks to labor hoarding behavior. Using a structural model of labor hoarding and the identifying restriction that innovations to technology shocks are orthogonal to innovations in government consumption, it estimates the fraction of the variability of the Solow residual that is due to technology shocks. Results support the view that a significant proportion of…
Essays in Monetary Economics
Essays in Monetary Economics Get access Essays in Monetary Economics. By Harry G. Johnson. 2nd ed. with new Introduction. London: Allen & Unwin. 1969. 332 pp. Bibliog. Index. (Unwin University Books, 52.) 25s. International Affairs, Volume 46, Issue 4, October 1970, Page 780, https://doi.org/10.1093/ia/46.4.780b Published: 01 October 1970
Essays in Monetary Economics
Essays in Monetary Economics Get access Essays in Monetary Economics. By Harry G. Johnson. 2nd ed. with new Introduction. London: Allen & Unwin. 1969. 332 pp. Bibliog. Index. (Unwin University Books, 52.) 25s. International Affairs, Volume 46, Issue 4, October 1970, Page 780, https://doi.org/10.1093/ia/46.4.780b Published: 01 October 1970
Capital Accumulation and Annuities in an Adverse Selection Economy
This paper suggests that adverse selection problems in competitive annuity markets can generate quantity-constrained equilibria in which some agents, whose length of lifetime is uncertain, find it advantageous to accumulate capital privately. This occurs despite the higher rates of return on annuities. The welfare properties of these allocations are analyzed. It is shown that the level of capital accumulation is excessive in a Paretian sense. Pol…
Estimating Models With Intertemporal Substitution Using Aggregate Time Series Data
In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time. In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach. Our empirical analyses focuses on three questions: (1) Can…
Labor Hoarding and the Business Cycle
This paper investigates the sensitivity of Solow residual based measures of technology shocks to labor hoarding behavior. Using a structural model of labor hoarding and the identifying restriction that innovations to technology shocks are orthogonal to innovations in government consumption, it estimates the fraction of the variability of the Solow residual that is due to technology shocks. Results support the view that a significant proportion of…
Some Comments on the Role of Econometrics in Economic Theory
Journal Article Some Comments on the Role of Econometrics in Economic Theory Get access Martin Eichenbaum Martin Eichenbaum Northwestern University, NBER and Federal Reserve Bank of Chicago Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 105, Issue 433, 1 November 1995, Pages 1609–1621, https://doi.org/10.2307/2235122 Published: 01 November 1995
Small-Sample Properties of GMM-Based Wald Tests
This article assesses the small-sample properties of generalized-method-of-moments-based Wald statistics by using (a) a vector white-noise process and (b) an equilibrium business-cycle model as the data-generating mechanisms. In many cases, the small-sample size of the Wald tests exceeds its asymptotic size and increases sharply with the number of hypotheses being jointly tested. We argue that this is mostly due to difficulty in estimating the sp…
The Effects of Monetary Policy Shocks
Flow of funds; Monetary policy
Chapter 2 Monetary policy shocks
Prospective Deficits and the Asian Currency Crisis
This paper argues that a principal cause of the 1997 Asian currency crisis was large prospective deficits associated with implicit bailout guarantees to failing banking systems. The expectation that these future deficits would be at least partially financed by seigniorage revenues or an inflation tax on outstanding nominal debt led to a collapse of the fixed exchange rate regimes in Asia. We articulate this view using a simple model whose key fea…
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
We present a model embodying moderate amounts of nominal rigidities that accounts for the observed inertia in inflation and persistence in output. The key features of our model are those that prevent a sharp rise in marginal costs after an expansionary shock to monetary policy. Of these features, the most important are staggered wage contracts that have an average duration of three quarters and variable capital utilization
Large Devaluations and the Real Exchange Rate
In this paper we argue that the primary force behind the large drop in real exchange rates that occurs after large devaluations is the slow adjustment in the prices of nontradable goods and services. Our empirical analysis uses data from five large devaluation episodes: Argentina (2002), Brazil (1999), Korea (1997), Mexico (1994), and Thailand (1997). We conduct a detailed analysis of the Argentinian case using disaggregated consumer price index …
When Is the Government Spending Multiplier Large
We argue that the government-spending multiplier can be much larger than one when the zero lower bound on the nominal interest rate binds. The larger the fraction of government spending that occurs while the nominal interest rate is zero, the larger the value of the multiplier. After providing intuition for these results, we investigate the size of the multiplier in a dynamic, stochastic, general equilibrium model. In this model the multiplier ef…
Understanding Booms and Busts in Housing Markets
Some booms in housing prices are followed by busts. Others are not. It is generally \ndi¢ cult to Önd observable fundamentals that are useful for predicting whether a boom \nwill turn into a bust or not. We develop a model consistent with these observations. \nAgents have heterogeneous expectations about long-run fundamentals but change their \nviews because of ìsocial dynamics.îAgents with tighter priors are more likely to convert \nothers to th…
On DSGE Models
The outcome of any important macroeconomic policy change is the net effect of forces operating on different parts of the economy. A central challenge facing policymakers is how to assess the relative strength of those forces. Economists have a range of tools that can be used to make such assessments. Dynamic stochastic general equilibrium (DSGE) models are the leading tool for making such assessments in an open and transparent manner. We review t…
The Macroeconomics of Epidemics
Expectations, Infections, and Economic Activity
Understanding Canada's Productivity Problem / Comprendre le problème de la productivité au Canada
Economics (14 obras) · Monetary Policy and Economic Impact (11 obras) · Economic theories and models (9 obras) · Economic Theory and Policy (7 obras) · Econometrics (6 obras) · Monetary economics (6 obras) · Keynesian economics (5 obras) · Macroeconomics (5 obras) · Monetary policy (5 obras) · Computer Science (4 obras)