R. Anton Braun

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Does fiscal policy have qualitatively different effects on the economy in a liquidity trap? We analyze a nonlinear stochastic New Keynesian model and compare the true and loglinearized equilibria. Using the loglinearized equilibrium conditions, the answer to the above question is yes. However, for the true nonlinear model, the answer is no. For a broad(More)
We conducted business cycle accounting (BCA) using the method developed by Chari, Kehoe, and McGrattan (2002a) on data from the 1980s—1990s in Japan and from the interwar period in Japan and the United States. The contribution of this paper is twofold. First, we find that labor wedges may have been a major contributor to the decade-long recession in the(More)
In this paper I investigate the optimal fiscal policy when private agents are boundedly rational. A benevolent government has to choose taxes on labor income and one-period statecontingent bonds to finance public spending, taking into account the expectation formation mechanism of private agents. The main result I find is that the government should use(More)
The author thanks especially Eric Bennet Rasmusen, Richard Anton Braun, Fumio Hayashi, Shin-ichi Fukuda, seminar participants at Tsukuba University, Keio University, the University of Tokyo, and the Far Eastern Meeting of the Econometric Society 2001 for their helpful comments. Toyoichiro Shirota provided excellent research assistance. The views expressed(More)
A news-driven business cycle is a business cycle in which positive news about the future causes a current boom defined as simultaneous increases in consumption, labor, investment, and output. Standard real business cycle models do not generate it. In this paper, we find that a fairly popular market friction, sticky prices, can be a source of a news-driven(More)
Business cycle accounting rests on the insight that the prototype neoclassical growth model with time-varying wedges can achieve the same allocation generated by a large class of frictional models: equivalence results. Equivalence results are shown under general conditions about the process of wedges while it is often specified to be the first order vector(More)
The look-ahead estimator is used to compute densities associated with Markov processes via simulation. We study a framework that extends the look-ahead estimator to a much broader range of applications. We provide a general asymptotic theory for the estimator, where both L1 consistency and L2 asymptotic normality are established. The L2 asymptotic normality(More)
Cass, Chichilnisky, and Wu (1996) show in an endowment economy that mutual insurance and securities contingent on aggregate states support optimal risk-sharing. We extend their result to a model with production in which risk is endogenous and beliefs about the aggregate state vary across individuals. We use the model to interpret the role of new securities(More)
We propose a generalized look-ahead estimator for computing densities and expectations in economic models. We provide conditions under which the estimator converges globally with probability one, and exhibit the asymptotic distribution of the error. Our estimator is more efficient than other Monte Carlo based approaches. Numerical experiments indicate that(More)
Kobayashi, Masao Ogaki, Kozo Ueda, and seminar participants at the Bank of Japan, CIGS, Federal Reserve Bank of Atlanta, Hitotsubashi University (ICS), Kyoto University, and the University of Tokyo. Part of this research was conducted while Nakajima was a visiting scholar at the Institute for Monetary and Economic Studies at the Bank of Japan, whose(More)