FN Thomson Reuters Web of Science™ VR 1.0 PT J AU Sun, Z Wang, A Zheng, L AF Sun, Zheng Wang, Ashley Zheng, Lu TI The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID MUTUAL FUNDS; RISK; SURVIVAL; INDUSTRY; INFORMATION; PERSISTENCE; COMPETITION; INCENTIVES; MANAGEMENT; BIASES AB We investigate whether skilled hedge fund managers are more likely to pursue unique investment strategies that result in superior performance. We propose a measure of the distinctiveness of a fund's investment strategy based on historical fund return data. We call the measure the "Strategy Distinctiveness Index" (SDI). We document substantial cross-sectional variations as well as strong persistence in SDI. Our main result indicates that, on average, a higher SDI is associated with better subsequent performance. After adjusting for risk, funds in the highest SDI quintile outperform funds in the lowest quintile by 3.5% in the subsequent year. C1 [Sun, Zheng; Zheng, Lu] Univ Calif Irvine, Paul Merage Sch Business, Irvine, CA 92697 USA. [Wang, Ashley] Board Governors Fed Reserve Syst, Washington, DC USA. RP Zheng, L (reprint author), Univ Calif Irvine, Paul Merage Sch Business, Irvine, CA 92697 USA. EM zsun@merage.uci.edu; ashley.wang@frb.gov; luzheng@uci.edu NR 50 TC 19 Z9 19 U1 4 U2 18 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JAN PY 2012 VL 25 IS 1 BP 96 EP 143 DI 10.1093/rfs/hhr092 PG 48 WC Business, Finance; Economics SC Business & Economics GA 863SD UT WOS:000298187300003 ER PT B AU Freund, C Braga, CAP AF Freund, Caroline Braga, Carlos A. Primo BE Merlini, C Roy, O TI The Economics of Arab Transitions SO ARAB SOCIETY IN REVOLT: THE WEST'S MEDITERRANEAN CHALLENGE LA English DT Article; Book Chapter C1 [Freund, Caroline; Braga, Carlos A. Primo] World Bank, Washington, DC 20433 USA. [Freund, Caroline] Int Monetary Fund, Fed Reserve Board, Washington, DC 20431 USA. [Braga, Carlos A. Primo] World Bank, Econ Policy & Debt Dept, Washington, DC USA. [Braga, Carlos A. Primo] World Bank Grp, Washington, DC USA. RP Freund, C (reprint author), World Bank, Washington, DC 20433 USA. NR 18 TC 0 Z9 0 U1 0 U2 0 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA BN 978-0-8157-2396-7; 978-0-8157-2396-7 PY 2012 BP 122 EP 143 PG 22 WC International Relations; Sociology SC International Relations; Sociology GA BB6CQ UT WOS:000344663400008 ER PT J AU Cooper, RN AF Cooper, Richard N. BE Wouters, J DEstmael, TD Defraigne, P Defraigne, JC TI China-EU and the challenge of global climate change and energy SO CHINA, THE EUROPEAN UNION AND GLOBAL GOVERNANCE SE Leuven Global Governance LA English DT Article; Book Chapter C1 [Cooper, Richard N.] Harvard Univ, Weatherhead Ctr Int Affairs, Cambridge, MA 02138 USA. [Cooper, Richard N.] Harvard Univ, Cambridge, MA 02138 USA. [Cooper, Richard N.] Fed Reserve Bank Boston, Boston, MA USA. RP Cooper, RN (reprint author), Harvard Univ, Weatherhead Ctr Int Affairs, Cambridge, MA 02138 USA. NR 1 TC 1 Z9 1 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-78100-426-5 J9 LEUVEN GLOB GOV PY 2012 BP 215 EP 218 D2 10.4337/9781781004272 PG 4 WC International Relations SC International Relations GA BA3QG UT WOS:000334618500013 ER PT B AU Levine, DK AF Levine, David K. BA Levine, DK BF Levine, DK TI IS BEHAVIORAL ECONOMICS DOOMED? The Ordinary versus the Extraordinary Introduction SO IS BEHAVIORAL ECONOMICS DOOMED?: THE ORDINARY VERSUS THE EXTRAORDINARY LA English DT Editorial Material; Book Chapter C1 [Levine, David K.] Washington Univ, Econ, St Louis, MO 63130 USA. [Levine, David K.] Econometr Soc, New York, NY USA. [Levine, David K.] NBER, Cambridge, MA 02138 USA. [Levine, David K.] Fed Reserve Bank, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Econ, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 2 U2 2 PU OPEN BOOK PUBL PI CAMBRIDE PA 40 DEVONSHIRE RD, CAMBRIDE, CB1 2BL, ENGLAND BN 978-1-906924-92-8; 978-1-906924-94-2; 978-1-906924-93-5 PY 2012 BP 1 EP + D2 10.11647/OBP.0021 PG 11 WC Economics SC Business & Economics GA BG3PZ UT WOS:000388111400001 ER PT B AU Levine, DK AF Levine, David K. BA Levine, DK BF Levine, DK TI Does Economic Theory Work? SO IS BEHAVIORAL ECONOMICS DOOMED?: THE ORDINARY VERSUS THE EXTRAORDINARY LA English DT Article; Book Chapter C1 [Levine, David K.] Washington Univ, Econ, St Louis, MO 63130 USA. [Levine, David K.] Econometr Soc, New York, NY USA. [Levine, David K.] NBER, Cambridge, MA 02138 USA. [Levine, David K.] Fed Reserve Bank, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Econ, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU OPEN BOOK PUBL PI CAMBRIDE PA 40 DEVONSHIRE RD, CAMBRIDE, CB1 2BL, ENGLAND BN 978-1-906924-92-8; 978-1-906924-94-2; 978-1-906924-93-5 PY 2012 BP 5 EP 19 D2 10.11647/OBP.0021 PG 15 WC Economics SC Business & Economics GA BG3PZ UT WOS:000388111400002 ER PT B AU Levine, DK AF Levine, David K. BA Levine, DK BF Levine, DK TI Why Is the World so Irrational? SO IS BEHAVIORAL ECONOMICS DOOMED?: THE ORDINARY VERSUS THE EXTRAORDINARY LA English DT Article; Book Chapter C1 [Levine, David K.] Washington Univ, Econ, St Louis, MO 63130 USA. [Levine, David K.] Econometr Soc, New York, NY USA. [Levine, David K.] NBER, Cambridge, MA 02138 USA. [Levine, David K.] Fed Reserve Bank, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Econ, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU OPEN BOOK PUBL PI CAMBRIDE PA 40 DEVONSHIRE RD, CAMBRIDE, CB1 2BL, ENGLAND BN 978-1-906924-92-8; 978-1-906924-94-2; 978-1-906924-93-5 PY 2012 BP 21 EP 45 D2 10.11647/OBP.0021 PG 25 WC Economics SC Business & Economics GA BG3PZ UT WOS:000388111400003 ER PT B AU Levine, DK AF Levine, David K. BA Levine, DK BF Levine, DK TI Does Economic Theory Fail? SO IS BEHAVIORAL ECONOMICS DOOMED?: THE ORDINARY VERSUS THE EXTRAORDINARY LA English DT Article; Book Chapter C1 [Levine, David K.] Washington Univ, Econ, St Louis, MO 63130 USA. [Levine, David K.] Econometr Soc, New York, NY USA. [Levine, David K.] NBER, Cambridge, MA 02138 USA. [Levine, David K.] Fed Reserve Bank, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Econ, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU OPEN BOOK PUBL PI CAMBRIDE PA 40 DEVONSHIRE RD, CAMBRIDE, CB1 2BL, ENGLAND BN 978-1-906924-92-8; 978-1-906924-94-2; 978-1-906924-93-5 PY 2012 BP 47 EP 61 D2 10.11647/OBP.0021 PG 15 WC Economics SC Business & Economics GA BG3PZ UT WOS:000388111400004 ER PT B AU Levine, DK AF Levine, David K. BA Levine, DK BF Levine, DK TI You Can Fool Some of the People ... SO IS BEHAVIORAL ECONOMICS DOOMED?: THE ORDINARY VERSUS THE EXTRAORDINARY LA English DT Article; Book Chapter C1 [Levine, David K.] Washington Univ, Econ, St Louis, MO 63130 USA. [Levine, David K.] Econometr Soc, New York, NY USA. [Levine, David K.] NBER, Cambridge, MA 02138 USA. [Levine, David K.] Fed Reserve Bank, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Econ, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU OPEN BOOK PUBL PI CAMBRIDE PA 40 DEVONSHIRE RD, CAMBRIDE, CB1 2BL, ENGLAND BN 978-1-906924-92-8; 978-1-906924-94-2; 978-1-906924-93-5 PY 2012 BP 63 EP 76 D2 10.11647/OBP.0021 PG 14 WC Economics SC Business & Economics GA BG3PZ UT WOS:000388111400005 ER PT B AU Levine, DK AF Levine, David K. BA Levine, DK BF Levine, DK TI Behavioral Theories I: Biases and Irrationality SO IS BEHAVIORAL ECONOMICS DOOMED?: THE ORDINARY VERSUS THE EXTRAORDINARY LA English DT Article; Book Chapter C1 [Levine, David K.] Washington Univ, Econ, St Louis, MO 63130 USA. [Levine, David K.] Econometr Soc, New York, NY USA. [Levine, David K.] NBER, Cambridge, MA 02138 USA. [Levine, David K.] Fed Reserve Bank, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Econ, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU OPEN BOOK PUBL PI CAMBRIDE PA 40 DEVONSHIRE RD, CAMBRIDE, CB1 2BL, ENGLAND BN 978-1-906924-92-8; 978-1-906924-94-2; 978-1-906924-93-5 PY 2012 BP 77 EP 91 D2 10.11647/OBP.0021 PG 15 WC Economics SC Business & Economics GA BG3PZ UT WOS:000388111400006 ER PT B AU Levine, DK AF Levine, David K. BA Levine, DK BF Levine, DK TI Behavioral Theories II: Time and Uncertainty SO IS BEHAVIORAL ECONOMICS DOOMED?: THE ORDINARY VERSUS THE EXTRAORDINARY LA English DT Article; Book Chapter C1 [Levine, David K.] Washington Univ, Econ, St Louis, MO 63130 USA. [Levine, David K.] Econometr Soc, New York, NY USA. [Levine, David K.] NBER, Cambridge, MA 02138 USA. [Levine, David K.] Fed Reserve Bank, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Econ, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU OPEN BOOK PUBL PI CAMBRIDE PA 40 DEVONSHIRE RD, CAMBRIDE, CB1 2BL, ENGLAND BN 978-1-906924-92-8; 978-1-906924-94-2; 978-1-906924-93-5 PY 2012 BP 93 EP 110 D2 10.11647/OBP.0021 PG 18 WC Economics SC Business & Economics GA BG3PZ UT WOS:000388111400007 ER PT B AU Levine, DK AF Levine, David K. BA Levine, DK BF Levine, DK TI Learning and Friends SO IS BEHAVIORAL ECONOMICS DOOMED?: THE ORDINARY VERSUS THE EXTRAORDINARY LA English DT Article; Book Chapter C1 [Levine, David K.] Washington Univ, Econ, St Louis, MO 63130 USA. [Levine, David K.] Econometr Soc, New York, NY USA. [Levine, David K.] NBER, Cambridge, MA 02138 USA. [Levine, David K.] Fed Reserve Bank, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Econ, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU OPEN BOOK PUBL PI CAMBRIDE PA 40 DEVONSHIRE RD, CAMBRIDE, CB1 2BL, ENGLAND BN 978-1-906924-92-8; 978-1-906924-94-2; 978-1-906924-93-5 PY 2012 BP 111 EP 122 D2 10.11647/OBP.0021 PG 12 WC Economics SC Business & Economics GA BG3PZ UT WOS:000388111400008 ER PT B AU Levine, DK AF Levine, David K. BA Levine, DK BF Levine, DK TI Conclusion: Psychology, Neuroscience and Economics SO IS BEHAVIORAL ECONOMICS DOOMED?: THE ORDINARY VERSUS THE EXTRAORDINARY LA English DT Editorial Material; Book Chapter C1 [Levine, David K.] Washington Univ, Econ, St Louis, MO 63130 USA. [Levine, David K.] Econometr Soc, New York, NY USA. [Levine, David K.] NBER, Cambridge, MA 02138 USA. [Levine, David K.] Fed Reserve Bank, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Econ, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU OPEN BOOK PUBL PI CAMBRIDE PA 40 DEVONSHIRE RD, CAMBRIDE, CB1 2BL, ENGLAND BN 978-1-906924-92-8; 978-1-906924-94-2; 978-1-906924-93-5 PY 2012 BP 123 EP 130 D2 10.11647/OBP.0021 PG 8 WC Economics SC Business & Economics GA BG3PZ UT WOS:000388111400009 ER PT B AU Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL AF Jensen, Nathan M. Biglaiser, Glen Li, Quan Malesky, Edmund Pinto, Pablo M. Pinto, Santiago M. Staats, Joseph L. BA Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL BF Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL TI Introduction: Multinational Corporations and Governments SO POLITICS AND FOREIGN DIRECT INVESTMENT SE Michigan Studies in International Political Economy LA English DT Editorial Material; Book Chapter C1 [Jensen, Nathan M.] Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. [Biglaiser, Glen] Univ North Texas, Dept Polit Sci, Denton, TX USA. [Li, Quan] Texas A&M Univ, Dept Polit Sci, College Stn, TX 77843 USA. [Malesky, Edmund] Duke Univ, Dept Polit Sci, Durham, NC 27706 USA. [Pinto, Pablo M.] Columbia Univ, Dept Polit Sci, New York, NY 10027 USA. [Pinto, Santiago M.] Fed Reserve Bank Richmond, Richmond, VA USA. [Staats, Joseph L.] Univ Minnesota, Dept Polit Sci, Duluth, MN 55812 USA. RP Jensen, NM (reprint author), Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU UNIV MICHIGAN PRESS PI ANN ARBOR PA 839 GREENE ST BOX 1104, ANN ARBOR, MI 48106 USA BN 978-0-472-05176-2; 978-0-472-02837-5; 978-0-472-07176-0 J9 MICH STUD INT POLIT PY 2012 BP 1 EP + D2 10.3998/mpub.3425019 PG 53 WC Economics; International Relations; Political Science SC Business & Economics; International Relations; Government & Law GA BF7PH UT WOS:000384316200001 ER PT B AU Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL AF Jensen, Nathan M. Biglaiser, Glen Li, Quan Malesky, Edmund Pinto, Pablo M. Pinto, Santiago M. Staats, Joseph L. BA Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL BF Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL TI Democracy and the Political Risk of Expropriation for International Business SO POLITICS AND FOREIGN DIRECT INVESTMENT SE Michigan Studies in International Political Economy LA English DT Article; Book Chapter C1 [Jensen, Nathan M.] Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. [Biglaiser, Glen] Univ North Texas, Dept Polit Sci, Denton, TX USA. [Li, Quan] Texas A&M Univ, Dept Polit Sci, College Stn, TX 77843 USA. [Malesky, Edmund] Duke Univ, Dept Polit Sci, Durham, NC 27706 USA. [Pinto, Pablo M.] Columbia Univ, Dept Polit Sci, New York, NY 10027 USA. [Pinto, Santiago M.] Fed Reserve Bank Richmond, Richmond, VA USA. [Staats, Joseph L.] Univ Minnesota, Dept Polit Sci, Duluth, MN 55812 USA. RP Jensen, NM (reprint author), Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU UNIV MICHIGAN PRESS PI ANN ARBOR PA 839 GREENE ST BOX 1104, ANN ARBOR, MI 48106 USA BN 978-0-472-05176-2; 978-0-472-02837-5; 978-0-472-07176-0 J9 MICH STUD INT POLIT PY 2012 BP 27 EP 52 D2 10.3998/mpub.3425019 PG 26 WC Economics; International Relations; Political Science SC Business & Economics; International Relations; Government & Law GA BF7PH UT WOS:000384316200002 ER PT B AU Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL AF Jensen, Nathan M. Biglaiser, Glen Li, Quan Malesky, Edmund Pinto, Pablo M. Pinto, Santiago M. Staats, Joseph L. BA Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL BF Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL TI Institutional Determinants of Foreign Direct Investment in the Developing World SO POLITICS AND FOREIGN DIRECT INVESTMENT SE Michigan Studies in International Political Economy LA English DT Article; Book Chapter C1 [Jensen, Nathan M.] Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. [Biglaiser, Glen] Univ North Texas, Dept Polit Sci, Denton, TX USA. [Li, Quan] Texas A&M Univ, Dept Polit Sci, College Stn, TX 77843 USA. [Malesky, Edmund] Duke Univ, Dept Polit Sci, Durham, NC 27706 USA. [Pinto, Pablo M.] Columbia Univ, Dept Polit Sci, New York, NY 10027 USA. [Pinto, Santiago M.] Fed Reserve Bank Richmond, Richmond, VA USA. [Staats, Joseph L.] Univ Minnesota, Dept Polit Sci, Duluth, MN 55812 USA. RP Jensen, NM (reprint author), Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU UNIV MICHIGAN PRESS PI ANN ARBOR PA 839 GREENE ST BOX 1104, ANN ARBOR, MI 48106 USA BN 978-0-472-05176-2; 978-0-472-02837-5; 978-0-472-07176-0 J9 MICH STUD INT POLIT PY 2012 BP 53 EP 81 D2 10.3998/mpub.3425019 PG 29 WC Economics; International Relations; Political Science SC Business & Economics; International Relations; Government & Law GA BF7PH UT WOS:000384316200003 ER PT B AU Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL AF Jensen, Nathan M. Biglaiser, Glen Li, Quan Malesky, Edmund Pinto, Pablo M. Pinto, Santiago M. Staats, Joseph L. BA Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL BF Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL TI Partisan Governments and the Distributive Effects of Foreign Direct Investment SO POLITICS AND FOREIGN DIRECT INVESTMENT SE Michigan Studies in International Political Economy LA English DT Article; Book Chapter C1 [Jensen, Nathan M.] Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. [Biglaiser, Glen] Univ North Texas, Dept Polit Sci, Denton, TX USA. [Li, Quan] Texas A&M Univ, Dept Polit Sci, College Stn, TX 77843 USA. [Malesky, Edmund] Duke Univ, Dept Polit Sci, Durham, NC 27706 USA. [Pinto, Pablo M.] Columbia Univ, Dept Polit Sci, New York, NY 10027 USA. [Pinto, Santiago M.] Fed Reserve Bank Richmond, Richmond, VA USA. [Staats, Joseph L.] Univ Minnesota, Dept Polit Sci, Duluth, MN 55812 USA. RP Jensen, NM (reprint author), Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU UNIV MICHIGAN PRESS PI ANN ARBOR PA 839 GREENE ST BOX 1104, ANN ARBOR, MI 48106 USA BN 978-0-472-05176-2; 978-0-472-02837-5; 978-0-472-07176-0 J9 MICH STUD INT POLIT PY 2012 BP 83 EP 114 D2 10.3998/mpub.3425019 PG 32 WC Economics; International Relations; Political Science SC Business & Economics; International Relations; Government & Law GA BF7PH UT WOS:000384316200004 ER PT B AU Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL AF Jensen, Nathan M. Biglaiser, Glen Li, Quan Malesky, Edmund Pinto, Pablo M. Pinto, Santiago M. Staats, Joseph L. BA Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL BF Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL TI Political Institutions and the Effectiveness of Multinational Lobbying SO POLITICS AND FOREIGN DIRECT INVESTMENT SE Michigan Studies in International Political Economy LA English DT Article; Book Chapter C1 [Jensen, Nathan M.] Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. [Biglaiser, Glen] Univ North Texas, Dept Polit Sci, Denton, TX USA. [Li, Quan] Texas A&M Univ, Dept Polit Sci, College Stn, TX 77843 USA. [Malesky, Edmund] Duke Univ, Dept Polit Sci, Durham, NC 27706 USA. [Pinto, Pablo M.] Columbia Univ, Dept Polit Sci, New York, NY 10027 USA. [Pinto, Santiago M.] Fed Reserve Bank Richmond, Richmond, VA USA. [Staats, Joseph L.] Univ Minnesota, Dept Polit Sci, Duluth, MN 55812 USA. RP Jensen, NM (reprint author), Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU UNIV MICHIGAN PRESS PI ANN ARBOR PA 839 GREENE ST BOX 1104, ANN ARBOR, MI 48106 USA BN 978-0-472-05176-2; 978-0-472-02837-5; 978-0-472-07176-0 J9 MICH STUD INT POLIT PY 2012 BP 115 EP 145 D2 10.3998/mpub.3425019 PG 31 WC Economics; International Relations; Political Science SC Business & Economics; International Relations; Government & Law GA BF7PH UT WOS:000384316200005 ER PT B AU Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL AF Jensen, Nathan M. Biglaiser, Glen Li, Quan Malesky, Edmund Pinto, Pablo M. Pinto, Santiago M. Staats, Joseph L. BA Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL BF Jensen, NM Biglaiser, G Li, Q Malesky, E Pinto, PM Pinto, SM Staats, JL TI Politics AND Foreign Direct Investment Conclusion SO POLITICS AND FOREIGN DIRECT INVESTMENT SE Michigan Studies in International Political Economy LA English DT Editorial Material; Book Chapter C1 [Jensen, Nathan M.] Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. [Biglaiser, Glen] Univ North Texas, Dept Polit Sci, Denton, TX USA. [Li, Quan] Texas A&M Univ, Dept Polit Sci, College Stn, TX 77843 USA. [Malesky, Edmund] Duke Univ, Dept Polit Sci, Durham, NC 27706 USA. [Pinto, Pablo M.] Columbia Univ, Dept Polit Sci, New York, NY 10027 USA. [Pinto, Santiago M.] Fed Reserve Bank Richmond, Richmond, VA USA. [Staats, Joseph L.] Univ Minnesota, Dept Polit Sci, Duluth, MN 55812 USA. RP Jensen, NM (reprint author), Washington Univ, Dept Polit Sci, St Louis, MO 63130 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU UNIV MICHIGAN PRESS PI ANN ARBOR PA 839 GREENE ST BOX 1104, ANN ARBOR, MI 48106 USA BN 978-0-472-05176-2; 978-0-472-02837-5; 978-0-472-07176-0 J9 MICH STUD INT POLIT PY 2012 BP 147 EP 155 D2 10.3998/mpub.3425019 PG 9 WC Economics; International Relations; Political Science SC Business & Economics; International Relations; Government & Law GA BF7PH UT WOS:000384316200006 ER PT B AU Bernanke, BS AF Bernanke, Ben S. BE Blinder, AS Lo, AW Solow, RM TI Some Reflections on the Crisis and the Policy Response SO RETHINKING THE FINANCIAL CRISIS LA English DT Article; Book Chapter ID LIQUIDITY C1 Fed Reserve, Washington, DC 20551 USA. RP Bernanke, BS (reprint author), Fed Reserve, Washington, DC 20551 USA. NR 10 TC 1 Z9 1 U1 1 U2 3 PU RUSSELL SAGE FOUNDATION PI NEW YORK PA 112 EAST 64TH STREET, NEW YORK, NY 10021 USA BN 978-0-87154-810-8; 978-1-61044-815-4 PY 2012 BP 3 EP 13 PG 11 WC Business, Finance; Economics SC Business & Economics GA BD5ON UT WOS:000361673600002 ER PT B AU Gilchrist, SG Zakrajsek, E AF Gilchrist, Simon G. Zakrajsek, Egon BE Blinder, AS Lo, AW Solow, RM TI Credit Supply Shocks and Economic Activity in a Financial Accelerator Model SO RETHINKING THE FINANCIAL CRISIS LA English DT Article; Book Chapter ID MONETARY-POLICY; BUSINESS-CYCLE; INVESTMENT; CRUNCH; FLUCTUATIONS; INFORMATION; LIQUIDITY; SPREADS; PREMIUM; PRICES C1 [Gilchrist, Simon G.] Boston Univ, Econ, Boston, MA 02215 USA. [Gilchrist, Simon G.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Zakrajsek, Egon] Board Governors Fed Reserve Syst, Div Monetary Affairs, Washington, DC USA. RP Gilchrist, SG (reprint author), Boston Univ, Econ, Boston, MA 02215 USA. NR 80 TC 4 Z9 4 U1 0 U2 0 PU RUSSELL SAGE FOUNDATION PI NEW YORK PA 112 EAST 64TH STREET, NEW YORK, NY 10021 USA BN 978-0-87154-810-8; 978-1-61044-815-4 PY 2012 BP 37 EP 72 PG 36 WC Business, Finance; Economics SC Business & Economics GA BD5ON UT WOS:000361673600004 ER PT B AU Foote, CL Gerardi, KS Willen, PS AF Foote, Christopher L. Gerardi, Kristopher S. Willen, Paul S. BE Blinder, AS Lo, AW Solow, RM TI Why Did So Many People Make So Many Ex Post Bad Decisions? The Causes of the Foreclosure Crisis SO RETHINKING THE FINANCIAL CRISIS LA English DT Article; Book Chapter ID FINANCIAL INNOVATION; MORTGAGE MARKET; EXPECTATIONS; UNCERTAINTY C1 [Foote, Christopher L.; Willen, Paul S.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Gerardi, Kristopher S.] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Foote, CL (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. NR 89 TC 6 Z9 6 U1 0 U2 0 PU RUSSELL SAGE FOUNDATION PI NEW YORK PA 112 EAST 64TH STREET, NEW YORK, NY 10021 USA BN 978-0-87154-810-8; 978-1-61044-815-4 PY 2012 BP 136 EP 186 PG 51 WC Business, Finance; Economics SC Business & Economics GA BD5ON UT WOS:000361673600007 ER PT J AU Koeppl, T Monnet, C Temzelides, T AF Koeppl, Thorsten Monnet, Cyril Temzelides, Ted TI Optimal clearing arrangements for financial trades SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Clearing; OTC vs. exchanges; Private information; Liquidity costs; Default ID THE-COUNTER MARKETS; SETTLEMENT; FRAMEWORK; LIQUIDITY; COSTS; GROSS AB Clearinghouses support financial trades by keeping records of transactions and by providing liquidity through short-term credit that participants clear periodically. We study efficient clearing arrangements for exchanges, where traders must clear with a clearinghouse, and for over-the-counter (OTC) markets, where traders can clear bilaterally. When clearing is costly, it can be efficient to subsidize OTC clearing by charging a higher clearing price for transactions conducted on exchanges. The clearinghouse then operates across both markets. Since clearinghouses offer credit, intertemporal incentives are needed to ensure settlement. When liquidity costs increase, concerns about default lead to a tightening of liquidity provision. (C) 2011 Elsevier B.V. All rights reserved. C1 [Monnet, Cyril] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Koeppl, Thorsten] Queens Univ, Kingston, ON K7L 3N6, Canada. [Temzelides, Ted] Rice Univ, Houston, TX 77251 USA. RP Monnet, C (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM cyril.monnet@gmail.com NR 21 TC 5 Z9 5 U1 0 U2 9 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD JAN PY 2012 VL 103 IS 1 BP 189 EP 203 DI 10.1016/j.jfineco.2011.08.008 PG 15 WC Business, Finance; Economics SC Business & Economics GA 850ZO UT WOS:000297238300010 ER PT J AU Bitler, M Haider, SJ AF Bitler, Marianne Haider, Steven J. TI AN ECONOMIC VIEW OF FOOD DESERTS IN THE UNITED STATES SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Article ID STAMP PROGRAM; ACCESS; COMPETITION; AVAILABILITY; DISPARITIES; DIET; ENVIRONMENTS; SUPERMARKETS; DEPRIVATION; NUTRITION AB Considerable policy and academic attention has been focused on the topic of food deserts. We consider this topic from an economic perspective. First, we consider how the components of a standard economic analysis apply to the study of food deserts. Second, using this economic lens, we revisit the empirical literature on food deserts to assess the progress that has been made regarding whether food deserts are problematic in the U.S. Overall, despite several studies documenting the existence of food deserts in local areas, shortcomings in available data have not allowed researchers to convincingly document the presence or absence of food deserts on a national scale, and virtually no research has provided insight as to why food deserts might exist. (C) 2010 by the Association for Public Policy Analysis and Management. C1 [Bitler, Marianne] Univ Calif Irvine, Irvine, CA 92717 USA. [Bitler, Marianne] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Haider, Steven J.] Michigan State Univ, E Lansing, MI 48824 USA. RP Bitler, M (reprint author), Univ Calif Irvine, Irvine, CA 92717 USA. NR 74 TC 21 Z9 21 U1 2 U2 28 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0276-8739 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD WIN PY 2011 VL 30 IS 1 BP 153 EP 176 DI 10.1002/pam.20550 PG 24 WC Economics; Public Administration SC Business & Economics; Public Administration GA 696ND UT WOS:000285447200008 ER PT J AU Acharya, V Shin, HS Yorulmazer, T AF Acharya, Viral Shin, Hyun Song Yorulmazer, Tanju TI Fire Sale FDI SO KOREAN ECONOMIC REVIEW LA English DT Article DE Flight; FDI Flows; Foreign Takeovers; Flipping ID FOREIGN DIRECT-INVESTMENT; ECONOMIC-GROWTH; EXCHANGE-RATES; MARKETS; LIQUIDITY; PRIVATE; CRISES AB Some financial crises are characterized by the simultaneous outflow of foreign portfolio investment and an inflow of foreign direct investment (FDI) in which foreign investors take controlling stakes in distressed firms. We explore an agency-theoretic framework for this phenomenon. Transfer of control that overcomes agency problems are made possible during crises, but, at the same time, efficient owners (e.g. other domestic firms) face financing constraints. The result is a transfer of ownership to foreign firms, including inefficient ones, at fire sale prices. These stakes are subsequently re-sold, or "flipped" back to local investors once the crisis abates. The them), finds strong empirical support during the Asian crisis. C1 [Shin, Hyun Song] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08540 USA. [Acharya, Viral] NYU, Stern Sch Business, Dept Finance, New York, NY 10012 USA. [Yorulmazer, Tanju] Fed Reserve Bank New York, New York, NY 10045 USA. RP Shin, HS (reprint author), Princeton Univ, Bendheim Ctr Finance, 26 Prospect Ave, Princeton, NJ 08540 USA. EM vacharya@stern.nyu.edu; hsshin@princeton.edu; Tanju.Yorulmazer@ny.frb.org NR 28 TC 4 Z9 4 U1 0 U2 5 PU KOREAN ECONOMIC ASSOCIATION PI SEOUL PA 156 JEOKSEON-DONG, GWANGHWAMUN PLATINUM BUILDING 501HO, JONGNO-GU, SEOUL, 110 052, SOUTH KOREA SN 0254-3737 J9 KOREAN ECON REV JI Korean Econ. Rev. PD WIN PY 2011 VL 27 IS 2 BP 163 EP 202 PG 40 WC Economics SC Business & Economics GA 887DA UT WOS:000299904700001 ER PT J AU Swadley, A Yucel, M AF Swadley, Adam Yuecel, Mine TI Did residential electricity rates fall after retail competition? A dynamic panel analysis SO ENERGY POLICY LA English DT Article DE Electricity; Competition; Restructuring ID DEVELOPING-COUNTRIES; REGULATORY REFORMS; SUPPLY INDUSTRY; DATA MODELS; PRICES; POWER; CONSUMERS; MARKET; TEXAS AB A key selling point for the restructuring of electricity markets was the promise of lower prices. There is not much consensus in earlier studies on the effects of electricity deregulation in the U.S., particularly for residential customers. Part of the reason for not finding a consistent link with deregulation and lower prices was that the removal of transitional price caps led to higher prices. In addition, the timing of the removal of price caps coincided with rising fuel prices, which were passed on to consumers in a competitive market. Using a dynamic panel model, we analyze the effect of participation rates, fuel costs, market size, a rate cap and switch to competition for 16 states and the District of Columbia. We find that an increase in participation rates, price controls, a larger market, and high shares of hydro in electricity generation lower retail prices, while increases in natural gas and coal prices increase rates. We also find that retail competition makes the market more efficient by lowering the markup of retail prices over wholesale costs. The effects of a competitive retail electricity market are mixed across states, but generally appear to lower prices in states with high participation rates. (C) 2011 Elsevier Ltd. All rights reserved. C1 [Swadley, Adam; Yuecel, Mine] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Yucel, M (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM Mine.k.Yucel@dal.frb.org NR 28 TC 5 Z9 5 U1 0 U2 6 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0301-4215 EI 1873-6777 J9 ENERG POLICY JI Energy Policy PD DEC PY 2011 VL 39 IS 12 BP 7702 EP 7711 DI 10.1016/j.enpol.2011.09.014 PG 10 WC Energy & Fuels; Environmental Sciences; Environmental Studies SC Energy & Fuels; Environmental Sciences & Ecology GA 866EN UT WOS:000298363400023 ER PT J AU Ewig, C Kay, SJ AF Ewig, Christina Kay, Stephen J. TI Postretrenchment Politics: Policy Feedback in Chile's Health and Pension Reforms SO LATIN AMERICAN POLITICS AND SOCIETY LA English DT Article ID LATIN-AMERICA; SOCIAL-SECURITY; WELFARE-STATE; DEMOCRACY; TRANSFORMATION; GLOBALIZATION; MARKETS; BOLIVIA; WORLD AB Through a comparison of three periods of health and pension reform in Chile, this article develops an explanation for the incremental form of social policy change that some Latin American nations have witnessed in recent years, despite the dramatic rise of left governments. It describes postretrenchment politics, which constitutes a realignment in the way politics plays out in countries that have undergone social policy retrenchment. In postretrenchment politics, the strengthened position of private business interests, combined with political learning legacies and lock-in effects generated by reforms, results in incremental political change, despite renewed efforts by left parties to address inequality. Global capital also plays an important contextual role, and may influence postretrenchment politics. In postretrenchment politics, newly reformed systems may achieve greater equity, but they do so in fragmented form. C1 [Ewig, Christina] Univ Wisconsin, Madison, WI 53706 USA. [Kay, Stephen J.] Ctr Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Ewig, C (reprint author), Univ Wisconsin, Madison, WI 53706 USA. EM cewig@wisc.edu; Stephen.Kay@atl.frb.org NR 113 TC 6 Z9 6 U1 1 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1531-426X EI 1548-2456 J9 LAT AM POLIT SOC JI Latin Amer. Polit. Soc. PD WIN PY 2011 VL 53 IS 4 BP 67 EP 99 DI 10.1111/j.1548-2456.2011.00134.x PG 33 WC Area Studies; International Relations; Political Science SC Area Studies; International Relations; Government & Law GA 866CH UT WOS:000298356700003 ER PT J AU Hornstein, A Krusell, P Violante, GL AF Hornstein, Andreas Krusell, Per Violante, Giovanni L. TI Frictional Wage Dispersion in Search Models: A Quantitative Assessment SO AMERICAN ECONOMIC REVIEW LA English DT Article ID THE-JOB SEARCH; EQUILIBRIUM SEARCH; LABOR-MARKET; MATCHING MODEL; COMPENSATING DIFFERENTIALS; CYCLICAL BEHAVIOR; TENURE CONTRACTS; UNEMPLOYMENT; FLUCTUATIONS; VACANCIES AB We propose a new measure of frictional wage dispersion: the mean-min wage ratio. For a large class of search models, we show that this measure is independent of the wage-offer distribution but depends on statistics of labor-market turnover and on preferences. Under plausible preference parameterizations, observed magnitudes for worker flows imply that in the basic search model, and in most of its extensions, frictional wage dispersion is very small. Notable exceptions are some of the most recent models of on-the-job search. Our new measure allows us to rationalize the diverse empirical findings in the large literature estimating structural search models. C1 [Hornstein, Andreas] Fed Reserve Bank Richmond, Richmond, VA 23261 USA. [Krusell, Per] Stockholm Univ, Inst Int Econ Studies, SE-10691 Stockholm, Sweden. [Violante, Giovanni L.] NYU, Dept Econ, New York, NY 10012 USA. [Krusell, Per; Violante, Giovanni L.] NBER, Cambridge, MA 02138 USA. RP Hornstein, A (reprint author), Fed Reserve Bank Richmond, POB 27622, Richmond, VA 23261 USA. EM andreas.hornstein@rich.frb.org; krusell@iies.su.se; gianluca.violante@nyu.edu RI Violante, Giovanni/F-1872-2017 NR 71 TC 38 Z9 38 U1 0 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2011 VL 101 IS 7 BP 2873 EP 2898 DI 10.1257/aer.101.7.2873 PG 26 WC Economics SC Business & Economics GA 865PP UT WOS:000298323100001 ER PT J AU Baum-Snow, N Lutz, BF AF Baum-Snow, Nathaniel Lutz, Byron F. TI School Desegregation, School Choice, and Changes in Residential Location Patterns by Race SO AMERICAN ECONOMIC REVIEW LA English DT Article ID PRIVATE SCHOOLS; WHITE FLIGHT; SUBURBANIZATION; MODELS; BROWN AB This paper examines the residential location and school choice responses to the desegregation of large urban public school districts. We decompose the well documented decline in white public enrollment following desegregation into migration to suburban districts and increased private school enrollment and find that migration was the more prevalent response. Desegregation caused black public enrollment to increase significantly outside of the South, mostly by slowing decentralization of black households to the suburbs, and large black private school enrollment declines in southern districts. Central district school desegregation generated only a small portion of overall urban population decentralization between 1960 and 1990. C1 [Baum-Snow, Nathaniel] Brown Univ, Dept Econ, Providence, RI 02912 USA. [Baum-Snow, Nathaniel] NBER, Cambridge, MA 02138 USA. [Lutz, Byron F.] Fed Reserve Board, Div Res, Washington, DC 20551 USA. RP Baum-Snow, N (reprint author), Brown Univ, Dept Econ, Box B, Providence, RI 02912 USA. EM Nathaniel_Baum-Snow@brown.edu; byron.f.lutz@frb.gov FU NICHD NIH HHS [R24 HD041020] NR 41 TC 15 Z9 15 U1 2 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2011 VL 101 IS 7 BP 3019 EP 3046 DI 10.1257/aer.101.7.3019 PG 28 WC Economics SC Business & Economics GA 865PP UT WOS:000298323100006 PM 25076787 ER PT J AU Curcuru, SE Thomas, CP Warnock, FE Wongswan, J AF Curcuru, Stephanie E. Thomas, Charles P. Warnock, Francis E. Wongswan, Jon TI US International Equity Investment and Past and Prospective Returns SO AMERICAN ECONOMIC REVIEW LA English DT Article ID CONDITIONAL PERFORMANCE; DOMESTIC INVESTORS; EMERGING MARKETS; STOCK MARKETS; PREDICTABILITY; STRATEGIES; FLOWS; RISK C1 [Curcuru, Stephanie E.; Thomas, Charles P.] Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA. [Warnock, Francis E.] Univ Virginia, Darden Business Sch, Charlottesville, VA 22906 USA. [Warnock, Francis E.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Wongswan, Jon] Phatra Secur Publ Co Ltd, Bangkok 10310, Thailand. [Wongswan, Jon] Thammasat Univ, Thammasat Business Sch, Bangkok 10200, Thailand. RP Curcuru, SE (reprint author), Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA. EM stephanie.e.curcuru@frb.gov; charles.thomas@frb.gov; warnockf@darden.virginia.edu; jon@phatrasecurities.com NR 47 TC 18 Z9 18 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2011 VL 101 IS 7 BP 3440 EP 3455 DI 10.1257/aer.101.7.3440 PG 16 WC Economics SC Business & Economics GA 865PP UT WOS:000298323100022 ER PT J AU Barseghyan, L DiCecio, R AF Barseghyan, Levon DiCecio, Riccardo TI Cross-country income convergence revisited SO ECONOMICS LETTERS LA English DT Article DE Club convergence; Convergence; Development accounting; Distribution dynamics; Polarization; Stochastic kernel AB We reassess convergence of income across countries and its determinants. The ergodic distribution of output per worker features multiple modes. In contrast to previous findings, productivity in the long run is unimodal. The long-run distribution of human capital is multimodal. (C) 2011 Elsevier B.V. All rights reserved. C1 [DiCecio, Riccardo] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Barseghyan, Levon] Cornell Univ, Ithaca, NY 14853 USA. RP DiCecio, R (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM dicecio@stls.frb.org RI DiCecio, Riccardo/K-6861-2016 OI DiCecio, Riccardo/0000-0002-3288-8396 NR 10 TC 1 Z9 1 U1 2 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD DEC PY 2011 VL 113 IS 3 BP 244 EP 247 DI 10.1016/j.econlet.2011.07.006 PG 4 WC Economics SC Business & Economics GA 868MZ UT WOS:000298528700013 ER PT J AU Kitao, S Sahin, A Song, J AF Kitao, Sagiri Sahin, Ayseguel Song, Joseph TI Hiring subsidies, job creation and job destruction SO ECONOMICS LETTERS LA English DT Article DE Employment; Unemployment; Hiring subsidy ID UNEMPLOYMENT AB We quantify the effects of hiring subsidies using the model of Mortensen and Pissarides (2003). The job creation effect can be large in a weak labor market. However, in the long-run, subsidies raise the wage and equilibrium unemployment. (C) 2011 Elsevier B.V. All rights reserved. C1 [Sahin, Ayseguel] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [Kitao, Sagiri] Hunter Coll, Dept Econ, New York, NY USA. [Song, Joseph] Columbia Univ, Dept Econ, New York, NY 10027 USA. RP Sahin, A (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty Street, New York, NY 10045 USA. EM Aysegul.Sahin@ny.frb.org NR 5 TC 2 Z9 2 U1 1 U2 6 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD DEC PY 2011 VL 113 IS 3 BP 248 EP 251 DI 10.1016/j.econlet.2011.08.001 PG 4 WC Economics SC Business & Economics GA 868MZ UT WOS:000298528700014 ER PT J AU Black, LK AF Black, Lamont K. TI Insider rates versus outsider rates in lending SO FINANCE RESEARCH LETTERS LA English DT Article DE Banking relationships; Competition under asymmetric information; Informational lock-in; Auctions ID SMALL BUSINESS DATA; ASYMMETRIC INFORMATION; COMPETITION AB When information asymmetries exist between lenders, an uninformed outside bank that competes with an informed inside bank faces a winner's curse. This paper examines a benchmark model's prediction for interest rates. Although the outside bank wins more bad firms, the inside bank extracts rents from good firms and the outside bank underbids for bad firms. An analytical solution reveals the surprising result that the average interest rate paid to the inside bank following bidding outcomes can be higher than the average interest rate paid to the outside bank. Published by Elsevier Inc. C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Black, LK (reprint author), Board Governors Fed Reserve Syst, 20th & C St NW, Washington, DC 20551 USA. EM lamont.black@frb.gov NR 18 TC 0 Z9 0 U1 0 U2 1 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1544-6131 J9 FINANC RES LETT JI Financ. Res. Lett. PD DEC PY 2011 VL 8 IS 4 BP 180 EP 187 DI 10.1016/j.frl.2011.08.002 PG 8 WC Business, Finance SC Business & Economics GA 860OM UT WOS:000297957600002 ER PT J AU Edge, RM Meisenzahl, RR AF Edge, Rochelle M. Meisenzahl, Ralf R. TI The Unreliability of Credit-to-GDP Ratio Gaps in Real Time: Implications for Countercyclical Capital Buffers SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID BUSINESS CYCLES; CRUNCH AB Macroeconomists have long recognized that activity-gap measures are unreliable in real time and that this can present serious difficulties for stabilization policy. This paper investigates whether the credit-to-GDP ratio gap, which has been proposed as a reference point for accumulating countercyclical capital buffers, is subject to similar problems. We find that ex post revisions to the U.S. credit-to-GDP ratio gap are sizable and as large as the gap itself, and that the main source of these revisions stems from the unreliability of end-of-sample estimates of the series' trend rather than from revised estimates of the underlying data. The paper considers the potential costs of gap mismeasurement. We find that the volume of lending that may incorrectly be curtailed is potentially large, although loan interest rates appear to increase only modestly. C1 [Edge, Rochelle M.] Fed Reserve Board, Off Financial Stabil Policy & Res, Washington, DC 20551 USA. [Meisenzahl, Ralf R.] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Edge, RM (reprint author), Fed Reserve Board, Off Financial Stabil Policy & Res, 20th & C St NW, Washington, DC 20551 USA. EM rochelle.m.edge@frb.gov; ralf.r.meisenzahl@frb.gov NR 26 TC 9 Z9 9 U1 0 U2 1 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD DEC PY 2011 VL 7 IS 4 SI SI BP 261 EP 298 PG 38 WC Business, Finance SC Business & Economics GA 858HT UT WOS:000297787400011 ER PT J AU Daly, MC Oswald, AJ Wilson, D Wu, S AF Daly, Mary C. Oswald, Andrew J. Wilson, Daniel Wu, Stephen TI Dark contrasts: The paradox of high rates of suicide in happy places SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Happiness; Well-being; Suicide; Relative comparisons ID LIFE SATISFACTION; HAPPINESS; HEALTH; UNEMPLOYMENT AB Suicide kills more Americans each year than die in motor accidents. Yet its causes remain poorly understood. We suggest in this paper that the level of others' happiness may be a risk factor for suicide (although one's own happiness likely protects one from suicide). Using U.S. and international data, the paper provides evidence for a paradox: the happiest places tend to have the highest suicide rates. The analysis appears to be the first published study to be able to combine rich individual-level data sets one on life satisfaction in a newly available random sample of 1.3 million Americans and another on suicide decisions among an independent random sample of about 1 million Americans to establish this dark-contrasts paradox in a consistent way across U.S. states. The study also replicates the finding for the Western industrialized nations. The paradox, which holds individual characteristics constant, is not an artifact of population composition or confounding factors (or of the ecological fallacy). We conclude with a discussion of the possible role of relative comparisons of utility. (C) 2011 Elsevier B.V. All rights reserved. C1 [Oswald, Andrew J.] Univ Warwick, Coventry CV4 7AL, W Midlands, England. [Daly, Mary C.; Wilson, Daniel] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Wu, Stephen] Hamilton Coll, Clinton, NY 13323 USA. RP Oswald, AJ (reprint author), Univ Warwick, Coventry CV4 7AL, W Midlands, England. EM Mary.C.Daly@sf.frb.org; andrew.oswald@warwick.ac.uk; Daniel.Wilson@sf.frb.org; swu@hamilton.edu NR 26 TC 10 Z9 10 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD DEC PY 2011 VL 80 IS 3 BP 435 EP 442 DI 10.1016/j.jebo.2011.04.007 PG 8 WC Economics SC Business & Economics GA 867OI UT WOS:000298463300004 ER PT J AU Kim, J Ruge-Murcia, FJ AF Kim, Jinill Ruge-Murcia, Francisco J. TI Monetary policy when wages are downwardly rigid: Friedman meets Tobin SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Conference on Frontiers in Structural Macroeconomic Modeling CY JAN 23-24, 2010 CL Hitotsubashi Univ, Tokyo, JAPAN SP Inst Monetary & Econom Studies, Bank Japan, Hitotsubashi Univ, Inst Econom Res, Journal Econom Dynam & Control HO Hitotsubashi Univ DE Downward nominal wage rigidity; Asymmetric effects of monetary policy; Optimal inflation; Nonlinear dynamics ID EQUILIBRIUM-MODELS; STICKY PRICES; INFLATION; MARKET; LABOR AB Monetary policy in an economy with both downwardly rigid wages and a transaction motive for money demand is studied using a dynamic stochastic general equilibrium model. The two key features of the model imply that both Tobin's "inflation grease" argument and Friedman's rule are operative, and so optimal inflation may be positive or negative. The Simulated Method of Moments is used to estimate the nonlinear model based on its second-order approximation. Results indicate that the Ramsey policy that maximizes social welfare involves an average inflation rate of about 0.4% per year. In the more realistic case where a central banker follows a simple targeting policy, the optimal inflation target is about 1% per year. We view this result as providing support for the low, but strictly positive, inflation targets used in many countries. (C) 2011 Elsevier B.V. All rights reserved. C1 [Ruge-Murcia, Francisco J.] Univ Montreal, Dept Econ, Montreal, PQ H3C 3J7, Canada. [Ruge-Murcia, Francisco J.] Univ Montreal, CIREQ, Montreal, PQ H3C 3J7, Canada. [Kim, Jinill] Korea Univ, Seoul, South Korea. [Kim, Jinill] Fed Reserve Board, Washington, DC USA. RP Ruge-Murcia, FJ (reprint author), Univ Montreal, Dept Econ, CP 6128,Succursale Ctr Ville, Montreal, PQ H3C 3J7, Canada. EM jk9n@hotmail.com; francisco.ruge-murcia@umontreal.ca NR 47 TC 7 Z9 7 U1 2 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2011 VL 35 IS 12 SI SI BP 2064 EP 2077 DI 10.1016/j.jedc.2011.08.002 PG 14 WC Economics SC Business & Economics GA 868LN UT WOS:000298524900004 ER PT J AU Del Negro, M Eusepi, S AF Del Negro, Marco Eusepi, Stefano TI Fitting observed inflation expectations SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Conference on Frontiers in Structural Macroeconomic Modeling CY JAN 23-24, 2010 CL Hitotsubashi Univ, Tokyo, JAPAN SP Inst Monetary & Econom Studies, Bank Japan, Hitotsubashi Univ, Inst Econom Res, Journal Econom Dynam & Control HO Hitotsubashi Univ DE Inflation expectations; Imperfect Information; Bayesian analysis; DSGE models ID MONETARY-POLICY; NOMINAL RIGIDITIES; BUSINESS-CYCLE; INTEREST-RATES; MODELS; PERSISTENCE; DYNAMICS; PRICES; STICKY; SHOCKS AB The paper provides evidence on the extent to which inflation expectations generated by a standard Christiano et al. (2005)/Smets and Wouters (2003)-type DSGE model are in line with what observed in the data. We consider three variants of this model that differ in terms of the behavior of, and the public's information on, the central banks' inflation target, allegedly a key determinant of inflation expectations. We find that (i) time-variation in the inflation target is needed to capture the evolution of expectations during the post-Volcker period; (ii) the variant where agents have Imperfect Information is strongly rejected by the data; (iii) inflation expectations appear to contain information that is not present in the other series used in estimation, and (iv) none of the models fully capture the dynamics of this variable. (C) 2011 Elsevier B.V. All rights reserved. C1 [Del Negro, Marco; Eusepi, Stefano] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RP Del Negro, M (reprint author), Fed Reserve Bank New York, Res Dept, 33 Liberty St, New York, NY 10045 USA. EM marco.delnegro@ny.frb.org; stefano.eusepi@ny.frb.org NR 47 TC 17 Z9 17 U1 2 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2011 VL 35 IS 12 SI SI BP 2105 EP 2131 DI 10.1016/j.jedc.2011.04.005 PG 27 WC Economics SC Business & Economics GA 868LN UT WOS:000298524900006 ER PT J AU Farmer, REA Waggoner, DF Zha, T AF Farmer, Roger E. A. Waggoner, Daniel F. Zha, Tao TI Minimal state variable solutions to Markov-switching rational expectations models SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Conference on Frontiers in Structural Macroeconomic Modeling CY JAN 23-24, 2010 CL Hitotsubashi Univ, Tokyo, JAPAN SP Inst Monetary & Econom Studies, Bank Japan, Hitotsubashi Univ, Inst Econom Res, Journal Econom Dynam & Control HO Hitotsubashi Univ DE Multiple MSV equilibria; Policy changes; Likelihood principle; Quadratic polynomial; E-stability; Iterative algorithm ID STRUCTURAL VECTOR AUTOREGRESSIONS; US MONETARY-POLICY; INFERENCE AB We develop a new method for deriving minimal state variable (MSV) equilibria of a general class of Markov switching rational expectations models and a new algorithm for computing these equilibria. We compare our approach to previously known algorithms, and we demonstrate that ours is both efficient and more reliable than previous methods in the sense that it is able to find MSV equilibria that previously known algorithms cannot. Further, our algorithm can find all possible MSV equilibria in models. This feature is essential if one is interested in using a likelihood based approach to estimation. (C) 2011 Elsevier B.V. All rights reserved. C1 [Farmer, Roger E. A.] Emory Univ, Fed Reserve Bank Atlanta, UCLA, Atlanta, GA 30322 USA. RP Farmer, REA (reprint author), Emory Univ, Fed Reserve Bank Atlanta, UCLA, Atlanta, GA 30322 USA. EM rfarmer@econ.ucla.edu NR 28 TC 17 Z9 17 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2011 VL 35 IS 12 SI SI BP 2150 EP 2166 DI 10.1016/j.jedc.2011.08.005 PG 17 WC Economics SC Business & Economics GA 868LN UT WOS:000298524900008 ER PT J AU Eisenbach, TM AF Eisenbach, Thomas M. TI Running the World's Markets: The Governance of Financial Infrastructure SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 [Eisenbach, Thomas M.] Fed Reserve Bank New York, New York, NY USA. RP Eisenbach, TM (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 1 TC 0 Z9 0 U1 1 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD DEC PY 2011 VL 49 IS 4 BP 1281 EP 1282 PG 2 WC Economics SC Business & Economics GA 866VE UT WOS:000298413400021 ER PT J AU Gefang, D Koop, G Potter, SM AF Gefang, Deborah Koop, Gary Potter, Simon M. TI Understanding liquidity and credit risks in the financial crisis SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Dynamic factor model; LIBOR-OIS spread; Credit default swap AB This paper develops a structured dynamic factor model for the spreads between London Interbank Offered Rate (LIBOR) and overnight index swap (OIS) rates for a panel of banks. Our model involves latent factors which reflect liquidity and credit risk. Our empirical results show that surges in the short term LIBOR-OIS spreads during the 2007-2009 financial crisis were largely driven by liquidity risk. However, credit risk played a more significant role in the longer term (twelve-month) LIBOR-OIS spread. The liquidity risk factors are more volatile than the credit risk factor. Most of the familiar events in the financial crisis are linked more to movements in liquidity risk than credit risk. (C) 2011 Elsevier B.V. All rights reserved. C1 [Koop, Gary] Univ Strathclyde, Dept Econ, Glasgow G4 0GE, Lanark, Scotland. [Gefang, Deborah] Univ Lancaster, Dept Econ, Lancaster LA1 4YW, England. [Potter, Simon M.] Fed Reserve Bank New York, Res & Stat Grp, New York, NY USA. RP Koop, G (reprint author), Univ Strathclyde, Dept Econ, Glasgow G4 0GE, Lanark, Scotland. EM d.gefang@lancaster.ac.uk; Gary.Koop@strath.ac.uk; simon.potter@ny.frb.org OI Koop, Gary/0000-0002-6091-378X NR 17 TC 11 Z9 11 U1 4 U2 16 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 J9 J EMPIR FINANC JI J. Empir. Financ. PD DEC PY 2011 VL 18 IS 5 BP 903 EP 914 DI 10.1016/j.jempfin.2011.07.006 PG 12 WC Business, Finance; Economics SC Business & Economics GA 862XL UT WOS:000298127300008 ER PT J AU Arteta, C Kamin, SB Vitanza, J AF Arteta, Carlos Kamin, Steven B. Vitanza, Justin TI The puzzling peso SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Mexico; Peso; Dollar; Exchange rates; Interest rate differentials; Inflation; Output gap; Output growth differentials ID EXCHANGE-RATE AB In the past decade, some observers have noted an unusual aspect of the Mexican peso's behavior: During periods when the U.S. dollar has risen (fallen) against other major currencies such as the euro, the peso has risen (fallen) against the dollar. Very few other currencies display this behavior. In this paper, we attempt to explain the unusual pattern of the peso's correlation with the dollar by developing some general empirical models of exchange rate correlations. Based on a study of 29 currencies, we find that most of the cross-country variation in exchange rate correlations with the dollar and the euro can be explained by just a few variables. First, a country's currency is more likely to rise against the dollar as the dollar rises against the euro, the closer it is to the United States and the farther it is from the euro area. In this result, distance likely proxies for the role of economic integration in affecting exchange rate correlations. Second, a country's currency is more likely to exhibit this unusual pattern when its sovereign credit rating is more risky. This may reflect that currencies of riskier countries are less substitutable in investor portfolios than those of better-rated countries. All told, these factors well explain the peso's unusual behavior, as Mexico both is very close to the United States and has a lower credit rating than most industrial economies. Published by Elsevier Ltd. C1 [Arteta, Carlos; Kamin, Steven B.] Board Governors Fed Reserve Syst, Div Int Finance, Washington, DC 20551 USA. [Vitanza, Justin] Univ Rochester, Rochester, NY USA. RP Kamin, SB (reprint author), Board Governors Fed Reserve Syst, Div Int Finance, Mail Stop 23, Washington, DC 20551 USA. EM steven.kamin@frb.gov NR 9 TC 1 Z9 1 U1 0 U2 7 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD DEC PY 2011 VL 30 IS 8 BP 1814 EP 1835 DI 10.1016/j.jimonfin.2011.09.002 PG 22 WC Business, Finance SC Business & Economics GA 868OX UT WOS:000298533700010 ER PT J AU Frydman, C Molloy, RS AF Frydman, Carola Molloy, Raven S. TI Does tax policy affect executive compensation? Evidence from postwar tax reforms SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Executive compensation; Tax policy; Elasticity of taxable income ID CEO PAY; OFFICER COMPENSATION; TAXABLE INCOME; STOCK-OPTIONS; CORPORATE; PERFORMANCE; RATES; PERQUISITES; ACT AB The trends in executive pay and labor income tax rates since the 1940s suggest a high elasticity of taxable income with respect to tax policy. By contrast, the level and structure of executive compensation have been largely unresponsive to tax incentives since the 19805. However, the relative tax advantage of different forms of pay was small during this period. Using a sample of top executives in large firms from 1946 to 2005, we also find a small short run response of salaries, qualified stock options, and bonuses paid after retirement to changes in tax rates on labor income even though tax rates were significantly higher and more heterogeneous across individuals in the first several decades following WWII. We explore several potential explanations for the conflicting impressions given by the long-run and short-run correlations between taxes and pay, including changes in social norms and concerns about pay equality. (C) 2011 Elsevier B.V. All rights reserved. C1 [Molloy, Raven S.] Fed Reserve Board Governors, Washington, DC USA. RP Molloy, RS (reprint author), Fed Reserve Board Governors, Washington, DC USA. EM raven.s.molloy@frb.gov NR 59 TC 4 Z9 4 U1 6 U2 14 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD DEC PY 2011 VL 95 IS 11-12 BP 1425 EP 1437 DI 10.1016/j.jpubeco.2011.02.005 PG 13 WC Economics SC Business & Economics GA 871AR UT WOS:000298710500020 ER PT J AU Eusepi, S Preston, B AF Eusepi, Stefano Preston, Bruce TI Learning the fiscal theory of the price level: Some consequences of debt-management policy SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article DE Debt management policy; Maturity structure; Monetary policy; Expectations stabilization ID MONETARY-POLICY; EXPECTATIONS; CONVERGENCE; INSTRUMENT; STABILITY; RULES AB This paper examines the consequences of the scale and composition of the public debt in policy regimes in which monetary policy is 'passive' and fiscal policy 'active'. This configuration of policy is argued to be of both historical and contemporary interest, in economies such as the US and Japan. It is shown that higher average levels and moderate average maturities of debt can induce macroeconomic instability for a range of policies specified as simple rules. However, interest-rate pegs combined with active fiscal policies almost always ensure macroeconomic stability. This suggests that in periods where the zero lower bound on nominal interest rates is a relevant constraint on policy design, a switch in fiscal regime is desirable. J. Japanese mt. Economies 25 (4) (2011) 358-379. Federal Reserve Bank of New York, United States; Department of Economics, Columbia University, 420 West 118th St., New York, NY 10027, United States; Research School of Economics, Australian National University, Australia. (C) 2011 Elsevier Inc. All rights reserved. C1 [Eusepi, Stefano] Fed Reserve Bank New York, New York, NY 10045 USA. [Preston, Bruce] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Preston, Bruce] Australian Natl Univ, Res Sch Econ, Canberra, ACT 0200, Australia. RP Eusepi, S (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM stefano.eusepi@ny.frb.org; bp2121@columbia.edu NR 29 TC 2 Z9 2 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0889-1583 EI 1095-8681 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD DEC PY 2011 VL 25 IS 4 BP 358 EP 379 DI 10.1016/j.jjie.2011.09.003 PG 22 WC Economics; International Relations SC Business & Economics; International Relations GA 865LJ UT WOS:000298312100002 ER PT J AU Shan, H AF Shan, Hui TI Reversing the Trend: The Recent Expansion of the Reverse Mortgage Market SO REAL ESTATE ECONOMICS LA English DT Article ID RETIREMENT AB Reverse mortgages allow elderly homeowners to tap into their housing wealth without having to sell or move out of their homes. However, very few eligible homeowners used reverse mortgages to achieve consumption smoothing until recently, when the reverse mortgage market in the United States witnessed substantial growth. In this article, I examine 1989-2007 loan-level reverse mortgage data and conduct three sets of analyses to better understand the demand for reverse mortgages among elderly homeowners. First, I study the ZIP code characteristics correlated with reverse mortgage originations. Second, I show that recent reverse mortgage borrowers are significantly different from earlier borrowers in many respects. Third, I investigate the reasons why the reverse mortgage market experienced substantial growth in the mid-2000s. Combining the reverse mortgage data with county-level house price data, I find that higher house prices lead to more reverse mortgage originations. Specifically, the increases in house prices account for about one-third of the overall growth in the reverse mortgage market from 2003 to 2007. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Shan, H (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. EM hui.shan@frb.gov NR 23 TC 14 Z9 14 U1 6 U2 30 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD WIN PY 2011 VL 39 IS 4 BP 743 EP 768 DI 10.1111/j.1540-6229.2011.00310.x PG 26 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 854MT UT WOS:000297499500005 ER PT J AU Kozusko, F Bourdeau, M AF Kozusko, F. Bourdeau, M. TI Trans-Theta Logistics: A New Family of Population Growth Sigmoid Functions SO ACTA BIOTHEORETICA LA English DT Article DE Gompertz; Logistic; Sigmoid; Population growth; Tumor growth ID TUMOR-GROWTH; MODEL AB Sigmoid functions have been applied in many areas to model self limited population growth. The most popular functions; General Logistic (GL), General von Bertalanffy (GV), and Gompertz (G), comprise a family of functions called Theta Logistic (Theta L). Previously, we introduced a simple model of tumor cell population dynamics which provided a unifying foundation for these functions. In the model the total population (N) is divided into reproducing (P) and non-reproducing/quiescent (Q) sub-populations. The modes of the rate of change of ratio P/N was shown to produce Theta L, GV or G growth. We now generalize the population dynamics model and extend the possible modes of the P/N rate of change. We produce a new family of sigmoid growth functions, Trans-General Logistic (TGL), Trans-General von Bertalanffy (TGV) and Trans-Gompertz (TG)), which as a group we have named Trans-Theta Logistic (T Theta L) since they exist when the Theta L are translated from a two parameter into a three parameter phase space. Additionally, the model produces a new trigonometric based sigmoid (TS). The Theta L sigmoids have an inflection point size fixed by a single parameter and an inflection age fixed by both of the defining parameters. T Theta L and TS sigmoids have an inflection point size defined by two parameters in bounding relationships and inflection point age defined by three parameters (two bounded). While the Theta Logistic sigmoids provided flexibility in defining the inflection point size, the Trans-Theta Logistic sigmoids provide flexibility in defining the inflection point size and age. By matching the slopes at the inflection points we compare the range of values of inflection point age for T Theta L versus Theta L for model growth curves. C1 [Kozusko, F.] Hampton Univ, Dept Math, Hampton, VA 23668 USA. [Bourdeau, M.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Kozusko, F (reprint author), Hampton Univ, Dept Math, Hampton, VA 23668 USA. EM frank.kozusko@hamptonu.edu NR 6 TC 2 Z9 2 U1 1 U2 9 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0001-5342 J9 ACTA BIOTHEOR JI Acta Biotheor. PD DEC PY 2011 VL 59 IS 3-4 BP 273 EP 289 DI 10.1007/s10441-011-9131-3 PG 17 WC Mathematical & Computational Biology SC Mathematical & Computational Biology GA 849GS UT WOS:000297114200005 PM 21528359 ER PT J AU Agarwal, S Amromin, G Ben-David, I Chomsisengphet, S Evanoff, DD AF Agarwal, Sumit Amromin, Gene Ben-David, Itzhak Chomsisengphet, Souphala Evanoff, Douglas D. TI The role of securitization in mortgage renegotiation SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Loan modifications; Financial crisis; Household finance; Mortgages; Securitization ID AFFORDABLE HOMEOWNERSHIP POLICY; LOAN SALES; BUSINESS; CRISIS AB We study the effects of securitization on renegotiation of distressed residential mortgages over the current financial crisis. Unlike prior studies, we employ unique data that directly observe lender renegotiation actions and cover more than 60% of the U.S. mortgage market. Exploiting within-servicer variation in these data, we find that bank-held loans are 26-36% more likely to be renegotiated than comparable securitized mortgages (4.2-5.7% in absolute terms). Also, modifications of bank-held loans are more efficient: conditional on a modification, bank-held loans have 9% lower post-modification default rates (3.5% in absolute terms). Our findings support the view that frictions introduced by securitization create a significant challenge to effective renegotiation of residential loans. We also provide evidence supporting the affordability focus of recent policy actions, such as the Home Affordability Modification Program. (C) 2011 Elsevier B.V. All rights reserved. C1 [Ben-David, Itzhak] Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USA. [Agarwal, Sumit; Amromin, Gene; Evanoff, Douglas D.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Ben-David, I (reprint author), Ohio State Univ, Fisher Coll Business, 2100 Neil Ave, Columbus, OH 43210 USA. EM ben-david@fisher.osu.edu RI Agarwal, Sumit/F-4836-2012; Ben-David, Itzhak/I-3233-2012; OI Ben-David, Itzhak/0000-0001-9743-7441 NR 26 TC 34 Z9 34 U1 0 U2 18 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD DEC PY 2011 VL 102 IS 3 BP 559 EP 578 DI 10.1016/j.jfineco.2011.07.005 PG 20 WC Business, Finance; Economics SC Business & Economics GA 842KO UT WOS:000296598500005 ER PT J AU Cardarelli, K Jackson, R Martin, M Linnear, K Lopez, R Senteio, C Weaver, P Hill, A Banda, J Epperson-Browns, M Morrison, J Parrish, D Newton, JR Royster, M Haley, S Lafayette, C Harris, P Vishwanatha, JK Johnson, ES AF Cardarelli, Kathryn Jackson, Rachael Martin, Marcus Linnear, Kim Lopez, Roy Senteio, Charles Weaver, Preston Hill, Anna Banda, Jesse Epperson-Browns, Marva Morrison, Janet Parrish, Deborah Newton, J. R. Royster, Marcene Haley, Sheila Lafayette, Camille Harris, Phyllis Vishwanatha, Jamboor K. Johnson, Eric S. TI Community-Based Participatory Approach to Reduce Breast Cancer Disparities in South Dallas SO PROGRESS IN COMMUNITY HEALTH PARTNERSHIPS-RESEARCH EDUCATION AND ACTION LA English DT Letter C1 [Cardarelli, Kathryn; Johnson, Eric S.] Univ N Texas, Hlth Sci Ctr, Sch Publ Hlth, Denton, TX 76203 USA. [Cardarelli, Kathryn; Jackson, Rachael; Martin, Marcus; Linnear, Kim; Haley, Sheila; Lafayette, Camille; Harris, Phyllis] UNT Hlth Sci Ctr, Ctr Community Hlth, Denton, TX USA. [Lopez, Roy] Fed Reserve Bank Dallas, Dallas, TX USA. [Weaver, Preston; Epperson-Browns, Marva; Morrison, Janet] Cent Dallas Minist, Dallas, TX USA. [Banda, Jesse] E Dallas Dev Corp, Dallas, TX USA. [Newton, J. R.] Univ Texas SW Med Ctr, Dallas, TX USA. [Vishwanatha, Jamboor K.] UNT Hlth Sci Ctr, Grad Sch Biomed Sci, Denton, TX USA. RP Cardarelli, K (reprint author), Univ N Texas, Hlth Sci Ctr, Sch Publ Hlth, Denton, TX 76203 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU JOHNS HOPKINS UNIV PRESS PI BALTIMORE PA JOURNALS PUBLISHING DIVISION, 2715 NORTH CHARLES ST, BALTIMORE, MD 21218-4363 USA SN 1557-0541 J9 PROG COMM HLTH PARTN JI Prog. Community Health Partnersh. PD WIN PY 2011 VL 5 IS 4 BP 359 EP 360 PG 2 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA V27JT UT WOS:000208610200004 ER PT J AU Cardarelli, K Jackson, R Martin, M Linnear, K Lopez, R Senteio, C Weaver, P Hill, A Banda, J Epperson-Brown, M Morrison, J Parrish, D Newton, JR Royster, M Haley, S Lafayette, C Harris, P Vishwanatha, JK Johnson, ES AF Cardarelli, Kathryn Jackson, Rachael Martin, Marcus Linnear, Kim Lopez, Roy Senteio, Charles Weaver, Preston Hill, Anna Banda, Jesse Epperson-Brown, Marva Morrison, Janet Parrish, Deborah Newton, J. R. Royster, Marcene Haley, Sheila Lafayette, Camille Harris, Phyllis Vishwanatha, Jamboor K. Johnson, Eric S. TI Community-Based Participatory Approach to Reduce Breast Cancer Disparities in South Dallas SO PROGRESS IN COMMUNITY HEALTH PARTNERSHIPS-RESEARCH EDUCATION AND ACTION LA English DT Article DE Breast neoplasms; community-based participatory research; health status disparities; health promotion; women's health AB Background: South Dallas experiences significant disparities in breast cancer mortality, with a high proportion of stage III and IV diagnoses. To address these rates, the Dallas Cancer Disparities Community Research Coalition created an educational intervention to promote breast health and early detection efforts. Objectives: The goals of the intervention were to increase (a) knowledge regarding the chief contributing factors for breast cancer, (b) awareness of the importance of screening for early detection, and (c) the proportion of women who have engaged in appropriate breast cancer screening practices. Methods: Eligibility criteria for this nonrandomized, controlled trial included women age 40 and older, English-speaking, and having no personal history of cancer. Control participants received written breast health educational materials. Intervention participants attended 8 weekly sessions that included interactive educational materials, cooking demonstrations, and discussions emphasizing primary and secondary breast cancer prevention. All study participants completed a 1-hour survey at baseline and 4 months later. Results: There were 59 women were enrolled in the intervention and 60 in the control group. At follow-up, after controlling for baseline mammography status, women in the intervention group were 10.4 times more likely (95% confidence interval [CI], 2.9-36.4) to have received a screening mammogram in the last year compared with the control group. Intervention participants demonstrated statistically significantly higher rates of breast self-examination (odds ratio [On 3.0; 95% CI, 1.0-8.6) and breast cancer knowledge (p = .003). Conclusion: Lessons learned from this community-based participatory research (CBPR) study can be used to create sustainable cancer disparity reduction models that can be replicated in similar communities. C1 [Cardarelli, Kathryn; Johnson, Eric S.] Univ N Texas, Sch Publ Hlth, Hlth Sci Ctr, Denton, TX 76203 USA. [Cardarelli, Kathryn; Jackson, Rachael; Martin, Marcus; Linnear, Kim; Haley, Sheila; Lafayette, Camille; Harris, Phyllis] UNT Hlth Sci Ctr, Ctr Community Hlth, Denton, TX USA. [Lopez, Roy] Fed Reserve Bank Dallas, Dallas, TX USA. [Banda, Jesse] E Dallas Dev Corp, Dallas, TX USA. [Newton, J. R.] Univ Texas SW Med Ctr, Dallas, TX USA. [Vishwanatha, Jamboor K.] UNT Hlth Sci Ctr, Grad Sch Biomed Sci, Denton, TX USA. RP Cardarelli, K (reprint author), Univ N Texas, Sch Publ Hlth, Hlth Sci Ctr, Denton, TX 76203 USA. FU NCI NIH HHS [R21 CA126732, 1R21CA126732-01, 3R21CA126732-02S2] NR 37 TC 2 Z9 2 U1 0 U2 0 PU JOHNS HOPKINS UNIV PRESS PI BALTIMORE PA JOURNALS PUBLISHING DIVISION, 2715 NORTH CHARLES ST, BALTIMORE, MD 21218-4363 USA SN 1557-0541 J9 PROG COMM HLTH PARTN JI Prog. Community Health Partnersh. PD WIN PY 2011 VL 5 IS 4 BP 375 EP 385 PG 11 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA V27JT UT WOS:000208610200007 PM 22616205 ER PT J AU Armantier, O Boly, A AF Armantier, Olivier Boly, Amadou TI A controlled field experiment on corruption SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Corruption; Experimental economics; Field experiments ID GIFT EXCHANGE; DISCRIMINATION; RECIPROCITY; ECONOMICS; GENDER; WAGES; GAME AB This paper reports on a controlled field experiment on corruption designed to address two important issues: the experimenter's scrutiny and the unobservability of corruption. In the experiment, a grader is offered a bribe along with a demand for a better grade. We find that graders respond more favorably to bigger bribes, while the effect of higher wages is ambiguous: it lowers the bribe's acceptance, but it fosters reciprocation. Monitoring and punishment can deter corruption, but we cannot reject that it may also crowd-out intrinsic motivations for honesty when intensified. Finally, our results suggest several micro-determinants of corruption including age, ability, religiosity, but not gender. (C) 2011 Elsevier B.V. All rights reserved. C1 [Armantier, Olivier] Fed Reserve Bank New York, CIRANO, New York, NY 10045 USA. [Boly, Amadou] United Nations Ind Dev Org, Vienna Int Ctr, A-1400 Vienna, Austria. RP Armantier, O (reprint author), Fed Reserve Bank New York, CIRANO, New York, NY 10045 USA. EM olivier.armantier@ny.frb.org; a.boly@unido.org NR 43 TC 13 Z9 16 U1 0 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD DEC PY 2011 VL 55 IS 8 BP 1072 EP 1082 DI 10.1016/j.euroecorev.2011.04.007 PG 11 WC Economics SC Business & Economics GA 846UO UT WOS:000296928900003 ER PT J AU Carbo-Valverde, S Linares-Zegarra, JM AF Carbo-Valverde, Santiago Linares-Zegarra, Jose M. TI How effective are rewards programs in promoting payment card usage? Empirical evidence SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Payment cards; Rewards; Choice; Merchants; Cardholders ID FINANCIAL INNOVATION; INTEREST-RATES; CREDIT; DEMAND; BEHAVIOR; DEBIT; MONEY AB Card issuers have mainly relied on rewards programs as their main strategy to increase usage. However, there is scarce evidence on the effectiveness of these programs. This paper is addressing two topics which could have important managerial and public policy implications: (i) it estimates the impact of rewards on the use of cards and (ii) it quantifies their economic effects in terms of the cash substitution. We find that rewards may significantly modify choice for card payments. Their economic impact also varies significantly across types of rewards and merchant activities. Additionally, rewards seem to be more effective for debit cards. (C) 2011 Elsevier B.V. All rights reserved. C1 [Carbo-Valverde, Santiago; Linares-Zegarra, Jose M.] Univ Granada, Dept Econ, E-18071 Granada, Spain. [Carbo-Valverde, Santiago] Fed Reserve Bank Chicago, Dept Econ, E-18071 Granada, Spain. RP Carbo-Valverde, S (reprint author), Univ Granada, Dept Econ, Campus Cartuja S-N, E-18071 Granada, Spain. EM scarbo@ugr.es; josemlz@ugr.es OI /0000-0003-1732-3853 NR 28 TC 6 Z9 6 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD DEC PY 2011 VL 35 IS 12 BP 3275 EP 3291 DI 10.1016/j.jbankfin.2011.05.008 PG 17 WC Business, Finance; Economics SC Business & Economics GA 837PO UT WOS:000296215900011 ER PT J AU Reinhart, V AF Reinhart, Vincent TI A Year of Living Dangerously: The Management of the Financial Crisis in 2008 SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID DEPOSIT INSURANCE; BANK RUNS; LIQUIDITY; MARKETS C1 [Reinhart, Vincent] Amer Enterprise Inst Publ Policy Res, Washington, DC 20036 USA. [Reinhart, Vincent] Board Governors Fed Reserve Syst, Washington, DC USA. [Reinhart, Vincent] Fed Open Market Comm, Washington, DC USA. RP Reinhart, V (reprint author), Amer Enterprise Inst Publ Policy Res, Washington, DC 20036 USA. EM vincent.reinhart@aei.org NR 31 TC 12 Z9 13 U1 4 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD WIN PY 2011 VL 25 IS 1 BP 71 EP 90 DI 10.1257/jep.25.1.71 PG 20 WC Economics SC Business & Economics GA 720TE UT WOS:000287303900004 ER PT J AU Engelhardt, GV Kumar, A AF Engelhardt, Gary V. Kumar, Anil TI Pensions and Household Wealth Accumulation SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID TIME-SERIES EVIDENCE; SOCIAL-SECURITY; 401(K) PARTICIPATION; SAVING INCENTIVES; RETIREMENT; HEALTH; FAMILIES; BEHAVIOR AB Economists have long suggested that higher private pension benefits "crowd out" other sources of household wealth accumulation. We exploit detailed information on pensions and lifetime earnings for older workers in the 1992 wave of the Health and Retirement Study and employ an instrumental-variable (IV) identification strategy to estimate crowd-out. The IV estimates suggest statistically significant crowd-out: each dollar of pension wealth is associated with a 53-67 cent decline in nonpension wealth. With less precision, we use an instrumental-variable quantile regression estimator and find that most of the effect is concentrated in the upper quantiles of the wealth distribution. C1 [Engelhardt, Gary V.] Syracuse Univ, Maxwell Sch Citizenship & Publ Affairs, Dept Econ, Syracuse, NY 13244 USA. [Engelhardt, Gary V.] Syracuse Univ, Maxwell Sch Citizenship & Publ Affairs, Ctr Policy Res, Syracuse, NY 13244 USA. [Kumar, Anil] Fed Reserve Bank Dallas, Dallas, TX USA. RP Engelhardt, GV (reprint author), Syracuse Univ, Maxwell Sch Citizenship & Publ Affairs, Dept Econ, 423 Eggers Hall, Syracuse, NY 13244 USA. EM gvengelh@maxwell.syr.edu NR 63 TC 8 Z9 8 U1 1 U2 12 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X EI 1548-8004 J9 J HUM RESOUR JI J. Hum. Resour. PD WIN PY 2011 VL 46 IS 1 BP 203 EP 236 PG 34 WC Economics; Industrial Relations & Labor SC Business & Economics GA 700DR UT WOS:000285715900008 ER PT J AU Mandel, BR AF Mandel, Benjamin R. TI Art of the deal: contemporary art in a global financial market SO JOURNAL OF CULTURAL ECONOMICS LA English DT Book Review C1 [Mandel, Benjamin R.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Mandel, BR (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM benjamin.mandel@ny.frb.org NR 4 TC 0 Z9 0 U1 1 U2 8 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0885-2545 J9 J CULT ECON JI J. Cult. Econ. PD NOV PY 2011 VL 35 IS 4 BP 309 EP 313 DI 10.1007/s10824-011-9146-2 PG 5 WC Economics SC Business & Economics GA 892MM UT WOS:000300290300004 ER PT J AU Lagos, R Rocheteau, G Weill, PO AF Lagos, Ricardo Rocheteau, Guillaume Weill, Pierre-Olivier TI Crises and liquidity in over-the-counter markets SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Liquidity; Asset inventories; Execution delays; Search; Bargaining ID ASSET MARKETS; SEARCH; WELFARE; RUNS AB We study the efficiency of liquidity provision by dealers and the desirability of policy intervention in over-the-counter (OTC) markets during crises. We emphasizes two OTC frictions: finding counterparties takes time, and trade is bilateral and involves bargaining. We model a crisis as a shock that reduces investors' asset demands, lasting until a random recovery time. In this context, dealers can provide liquidity to investors by accumulating asset inventories. When OTC frictions are severe, even well capitalized dealers may not find it privately optimal to accumulate inventories, and direct purchase by the government can improve welfare. (C) 2011 Elsevier Inc. All rights reserved. C1 [Weill, Pierre-Olivier] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. [Lagos, Ricardo] NYU, Dept Econ, New York, NY 10012 USA. [Weill, Pierre-Olivier] NBER, Cambridge, MA 02138 USA. [Rocheteau, Guillaume] Univ Calif Irvine, Dept Econ, Irvine, CA 92697 USA. [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Weill, PO (reprint author), Univ Calif Los Angeles, Dept Econ, Bunche 8283, Los Angeles, CA 90095 USA. EM ricardo.lagos@nyu.edu; grochete@uci.edu; poweill@econ.ucla.edu NR 29 TC 19 Z9 19 U1 6 U2 11 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2011 VL 146 IS 6 BP 2169 EP 2205 DI 10.1016/j.jet.2011.10.001 PG 37 WC Economics SC Business & Economics GA 880YE UT WOS:000299445700001 ER PT J AU Grochulski, B Zhang, YZ AF Grochulski, Borys Zhang, Yuzhe TI Optimal risk sharing and borrowing constraints in a continuous-time model with limited commitment SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Risk sharing; Limited commitment; Borrowing constraints ID CONTRACTS; DYNAMICS; TAXATION; DESIGN; DEBT AB We study a continuous-time version of the optimal risk-sharing problem with one-sided commitment. In the optimal contract, the agent's consumption is a time-invariant, strictly increasing function of a single state variable: the maximal level of the agent's income realized to date. We characterize this function in terms of the agent's outside option value function and the discounted amount of time in which the agent's income process is expected to reach a new to-date maximum. Under constant relative risk aversion we solve the model in closed-form: optimal consumption of the agent equals a constant fraction of his maximal income realized to date. In the complete-markets implementation of the optimal contract, the Alvarez-Jermann solvency constraints take the form of a simple borrowing constraint familiar from the Bewley-Aiyagari incomplete-markets models. (C) 2011 Elsevier Inc. All rights reserved. C1 [Zhang, Yuzhe] Univ Iowa, Iowa City, IA 52242 USA. [Grochulski, Borys] Fed Reserve Bank Richmond, Richmond, VA USA. RP Zhang, YZ (reprint author), Univ Iowa, Iowa City, IA 52242 USA. EM borys.grochulski@rich.frb.org; zhangeager@gmail.com NR 26 TC 3 Z9 3 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2011 VL 146 IS 6 BP 2356 EP 2388 DI 10.1016/j.jet.2011.10.007 PG 33 WC Economics SC Business & Economics GA 880YE UT WOS:000299445700008 ER PT J AU Engemann, KM Kliesen, KL Owyang, MT AF Engemann, Kristie M. Kliesen, Kevin L. Owyang, Michael T. TI DO OIL SHOCKS DRIVE BUSINESS CYCLES? SOME U.S. AND INTERNATIONAL EVIDENCE SO MACROECONOMIC DYNAMICS LA English DT Article DE Time-Varying Transition Probabilities; Probit; Recession; Oil Prices; Gibbs Sampler ID PRICE MACROECONOMY RELATIONSHIP; PREDICTING US RECESSIONS; SUPPLY SHOCKS; OECD COUNTRIES; GROWTH; MATTER; OUTPUT AB Oil prices rose sharply prior to the onset of the 2007-2009 recession. Hamilton [in the Palgrave Dictionary of Macroeconomics (2008)] noted that nine of the last ten recessions in the United States were preceded by a substantial increases in the price of oil. In this paper, we consider whether oil price shocks significantly increase the probability of recessions in a number of countries. Because business cycle turning points generally are not available for other countries, we estimate the turning points together with oil's effect in a Markov-switching model with time-varying transition probabilities. We find that, for most countries, oil shocks do affect the likelihood of entering a recession. In particular, for a constant, zero-term spread, an average-sized shock to WTI oil prices increases the probability of recession in the United States by nearly 50 percentage points after one year and nearly 90 percentage points after two years. C1 [Engemann, Kristie M.; Kliesen, Kevin L.; Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Kliesen, KL (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM kliesen@stls.frb.org RI Owyang, Michael/I-5750-2016; Kliesen, Kevin/I-5746-2016 OI Owyang, Michael/0000-0002-2109-3432; Kliesen, Kevin/0000-0002-7166-6016 NR 31 TC 5 Z9 5 U1 3 U2 8 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD NOV PY 2011 VL 15 SU 3 SI SI BP 498 EP 517 DI 10.1017/S1365100511000216 PG 20 WC Economics SC Business & Economics GA 881CP UT WOS:000299458400009 ER PT J AU Campbell, JR AF Campbell, Jeffrey R. TI COMPETITION IN LARGE MARKETS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID MONOPOLISTIC COMPETITION; ENTRY; INDUSTRIES; DYNAMICS; EXIT AB This paper evaluates the simplifying assumption that producers compete in a large market without substantial strategic interactions using nonparametric regressions of producers' choices on market size. With such atomistic competition, increasing the number of consumers leaves the distributions of producers' prices and other choices unchanged. In many models featuring non-trivial strategic considerations, producers' prices fall as their numbers increase. I examine observations of restaurants' sales, seating capacities, exit decisions, and prices from 222 US cities. Given factor prices and demographic variables, increasing a city's size increases restaurants' average sales and decreases their exit rate and prices. These results suggest that strategic considerations lie at the heart of restaurant pricing and turnover. Copyright (C) 2010 John Wiley & Sons, Ltd. C1 Fed Reserve Bank Chicago, Dept Econ Res, Chicago, IL 60604 USA. RP Campbell, JR (reprint author), Fed Reserve Bank Chicago, Dept Econ Res, 230 S LaSalle St, Chicago, IL 60604 USA. EM jcampbell@frbchi.org NR 26 TC 2 Z9 2 U1 1 U2 4 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD NOV-DEC PY 2011 VL 26 IS 7 BP 1113 EP 1136 DI 10.1002/jae.1155 PG 24 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 860EB UT WOS:000297930500003 ER PT J AU Davis, JS Huang, KXD AF Davis, J. Scott Huang, Kevin X. D. TI International real business cycles with endogenous markup variability SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Endogenous markup variability; International Business cycle Co-movement; International real business cycles ID OPTIMUM PRODUCT DIVERSITY; RATE PASS-THROUGH; MONOPOLISTIC COMPETITION; VERTICAL SPECIALIZATION; TRADE COSTS; SYNCHRONIZATION; TRANSMISSION; COMOVEMENT; DYNAMICS; MARKETS AB The aggregate impact of decisions made at the level of the individual firm has recently attracted a lot of attention in both the macro and trade literatures. We adapt the benchmark international real business cycle model to a game-theoretic environment to add a channel for the strategic interaction among domestic and foreign firms. We show how the sum of strategic pricing decisions made at the level of the individual firm can have significant effects on the volatility and cross country co-movement of GDP and its components. Specifically we show that the addition of this one channel for strategic interaction leads to a significant increase in the cross-country co-movement of production and investment, as well as a significant decrease in the volatility of investment and the trade balance over the benchmark IRBC model. (C) 2011 Elsevier B.V. All rights reserved. C1 [Davis, J. Scott] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Huang, Kevin X. D.] Vanderbilt Univ, Dept Econ, VU Stn B 351819, Nashville, TN 37235 USA. RP Davis, JS (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM scott.davis@dal.frb.org; kevin.huang@vanderbilt.edu NR 42 TC 2 Z9 2 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2011 VL 85 IS 2 BP 302 EP 316 DI 10.1016/j.jinteco.2011.06.004 PG 15 WC Economics SC Business & Economics GA 875WB UT WOS:000299064800012 ER PT J AU Amiti, M Weinstein, DE AF Amiti, Mary Weinstein, David E. TI Exports and Financial Shocks SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID CREDIT; JAPAN; TRADE; IMPACT; BANKS AB A striking feature of many financial crises is the collapse of exports relative to output. This article examines whether deteriorations in bank health can help explain the large drops in exports relative to output. Our article is the first to establish a causal link between the health of banks providing trade finance and growth in a firm's exports relative to its domestic sales. We overcome measurement and endogeneity issues by using a unique data set, covering the Japanese financial crises from 1990 through 2010, which enables us to match exporters with the main bank that provides them with trade finance. Our point estimates are economically and statistically significant, suggesting that the health of financial institutions is an important determinant of firm-level exports during crises. C1 [Amiti, Mary] Fed Reserve Bank New York, New York, NY USA. Columbia Univ, New York, NY 10027 USA. RP Amiti, M (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 33 TC 81 Z9 82 U1 5 U2 36 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD NOV PY 2011 VL 126 IS 4 BP 1841 EP 1877 DI 10.1093/qje/qjr033 PG 37 WC Economics SC Business & Economics GA 859IN UT WOS:000297870200006 ER PT J AU Wheelock, DC AF Wheelock, David C. TI Banking Industry Consolidation and Market Structure: Impact of the Financial Crisis and Recession SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The number of U.S. commercial banks and savings institutions declined by 12 percent between December 31, 2006, and December 31, 2010, continuing a consolidation trend begun in the mid-1980s. Banking industry consolidation has been marked by sharply higher shares of deposits held by the largest banks the 10 largest banks now hold nearly 50 percent of total U.S. deposits. However, antitrust policy is predicated on the assumption that banking markets are local in nature, and enforcement has focused on preventing bank mergers from increasing the concentration of local banking markets. The author finds little change over time in the average concentration of local banking markets or the average number of dominant banks in them, even during the recent financial crisis and recession when numerous bank failures and several large bank mergers occurred. Concentration did not increase substantially, on average, in markets where mergers occurred among banks when both the acquiring and acquired banks had existing local offices, though rural markets generally saw larger increases in concentration from such mergers than did urban markets. Although the structures of local banking markets, on average, have changed little since the mid-1980s, deposit concentration has continued to increase at the level of U.S. Census regions. As technology evolves and the costs of obtaining banking services from distant providers fall further, local market characteristics may become less relevant for analysis of competition in banking. (JEL G21, G28, L41) C1 Fed Reserve Bank St Louis, St Louis, France. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, St Louis, France. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 14 TC 7 Z9 7 U1 0 U2 5 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2011 VL 93 IS 6 BP 419 EP 438 PG 20 WC Business, Finance; Economics SC Business & Economics GA 854LI UT WOS:000297495600002 ER PT J AU Iacoviello, M Schiantarelli, F Schuh, S AF Iacoviello, Matteo Schiantarelli, Fabio Schuh, Scott TI INPUT AND OUTPUT INVENTORIES IN GENERAL EQUILIBRIUM SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID BUSINESS CYCLES; DSGE MODELS; INDIVISIBLE LABOR; UNITED-STATES; FLUCTUATIONS; VOLATILITY; INVESTMENT; US; POLICIES; TIME AB We build and estimate a two-sector dynamic stochastic general equilibrium model with two types of inventories: Input inventories facilitate the production of finished goods, output inventories yield utility services. The estimated model replicates the volatility and cyclicality of inventory investment and inventory-to-target ratios. Although inventories are an important element of the model's propagation mechanism, shocks to inventory efficiency are not an important source of business cycles. When the model is estimated over two subperiods (pre- and post-1984), changes in the volatility of inventory shocks or in structural parameters associated with inventories play a small role in reducing the volatility of output. C1 [Schuh, Scott] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. Boston Coll, Chestnut Hill, MA 02167 USA. RP Schuh, S (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM scott.schuh@bos.frb.org NR 65 TC 1 Z9 1 U1 1 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2011 VL 52 IS 4 BP 1179 EP 1213 DI 10.1111/j.1468-2354.2011.00664.x PG 35 WC Economics SC Business & Economics GA 853WJ UT WOS:000297456100009 ER PT J AU Neely, CJ Rapach, DE AF Neely, Christopher J. Rapach, David E. TI International comovements in inflation rates and country characteristics SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Inflation; Dynamic latent factor model; Bayesian estimation; Policy choices; Development ID MONETARY-POLICY; BUSINESS CYCLES; WORLD AB Common shocks, similarities in central bank reaction functions, and international trade potentially produce common components in international inflation rates. This paper characterizes such links in international inflation rates with a dynamic latent factor model that decomposes 64 national inflation rates into world, regional, and idiosyncratic components. The world and regional components account for 35% and 16%, respectively, of annual inflation variability on average across countries, so that international influences together explain just over half of inflation variability. The importance of the world and regional components, however, differs substantially across countries. Economic policy choices and development measures strongly explain the cross-sectional variation in the relative importance of international influences. A subsample analysis reveals that the regional (world) factor increases in importance for a number of North American and European (Latin American and Asian) countries since 1980. (C) 2011 Elsevier Ltd. All rights reserved. C1 [Neely, Christopher J.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Rapach, David E.] St Louis Univ, Dept Econ, St Louis, MO 63103 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM neely@stls.frb.org; rapachde@slu.edu RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 40 TC 14 Z9 14 U1 1 U2 10 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD NOV PY 2011 VL 30 IS 7 BP 1471 EP 1490 DI 10.1016/j.jimonfin.2011.07.009 PG 20 WC Business, Finance SC Business & Economics GA 848VI UT WOS:000297082800013 ER PT J AU Buchmueller, TC DiNardo, J Valletta, RG AF Buchmueller, Thomas C. DiNardo, John Valletta, Robert G. TI The Effect of an Employer Health Insurance Mandate on Health Insurance Coverage and the Demand for Labor: Evidence from Hawaii SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID WAGE INEQUALITY; BENEFITS; PROGRAM; REFORM AB We examine the effects of the most durable employer health insurance mandate in the United States, Hawaii's Prepaid Health Care Act, using Current Population Survey data covering the years 1979 to 2005. Relying on a variation of the classical Fisher permutation test applied across states, we find that Hawaii's law increased insurance coverage over time for worker groups with low rates of coverage in the voluntary market. We find no statistically significant support for the hypothesis that the mandate reduced wages and employment probabilities. Instead, its primary detectable effect was an increased reliance on exempt part-time workers. (JEL G22, I18, J23, J32) C1 [Buchmueller, Thomas C.] Univ Michigan, Stephen M Ross Sch Business, Ann Arbor, MI 48109 USA. [DiNardo, John] Univ Michigan, Gerald R Ford Sch Publ Policy, Ann Arbor, MI 48109 USA. [DiNardo, John] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Valletta, Robert G.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Buchmueller, TC (reprint author), Univ Michigan, Stephen M Ross Sch Business, 701 Tappan St, Ann Arbor, MI 48109 USA. EM tbuch@umich.edu; jdinardo@umich.edu; rob.valletta@sf.frb.org NR 30 TC 17 Z9 17 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD NOV PY 2011 VL 3 IS 4 BP 25 EP 51 DI 10.1257/pol.3.4.25 PG 27 WC Economics SC Business & Economics GA 841ZW UT WOS:000296555400002 ER PT J AU Li, WL White, MJ Zhu, N AF Li, Wenli White, Michelle J. Zhu, Ning TI Did Bankruptcy Reform Cause Mortgage Defaults to Rise? SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID DURATION; LOANS AB Homeowners in financial distress can use bankruptcy to avoid defaulting on their mortgages, since filing loosens their budget constraints. But the 2005 bankruptcy reform made bankruptcy less favorable to homeowners and therefore caused mortgage defaults to rise. We test this relationship and find that the reform caused prime and subprime mortgage default rates to rise by 23% and 14%, respectively. Default rates rose even more for homeowners who were particularly negatively affected by the reform. We calculate that bankruptcy reform caused mortgage default rates to rise by one percentage point even before the start of the financial crisis. (JEL D14, G01, G21, K35) C1 [Li, Wenli] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [White, Michelle J.] Univ Calif San Diego, San Diego, CA 92103 USA. [White, Michelle J.] NBER, Dept Econ, La Jolla, CA 92037 USA. [Zhu, Ning] Shanghai Jiao Tong Univ, Shanghai Adv Inst Finance, Shanghai 200030, Peoples R China. RP Li, WL (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM wenli.li@phil.frb.org; miwhite@ucsd.edu; ningzhu.zhu@gmail.com NR 28 TC 15 Z9 15 U1 1 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD NOV PY 2011 VL 3 IS 4 BP 123 EP 147 DI 10.1257/pol.3.4.123 PG 25 WC Economics SC Business & Economics GA 841ZW UT WOS:000296555400006 ER PT J AU Erickson, D Andrews, N AF Erickson, David Andrews, Nancy TI Partnerships Among Community Development, Public Health, And Health Care Could Improve The Well-Being Of Low-Income People SO HEALTH AFFAIRS LA English DT Article ID PHYSICAL-ACTIVITY; TRANSIT AB Safe, vibrant neighborhoods are vital to health. The community development "industry"-a network of nonprofit service providers, real estate developers, financial institutions, foundations, and government-draws on public subsidies and other financing to transform impoverished neighborhoods into better-functioning communities. Although such activity positively affects the "upstream" causes of poor health, the community development industry rarely collaborates with the health sector or even considers health effects in its work. Examples of initiatives-such as the creation of affordable housing that avoids nursing home placement-suggest a strong potential for cross-sector collaborations to reduce health disparities and slow the growth of health care spending, while at the same time improving economic and social well-being in America's most disadvantaged communities. We propose a four-point plan to help ensure that these collaborations achieve positive outcomes and sustainable progress for residents and investors alike. C1 [Erickson, David] Fed Reserve Bank San Francisco, Ctr Community Dev Investments, San Francisco, CA USA. [Andrews, Nancy] Low Income Investment Fund, San Francisco, CA USA. RP Erickson, D (reprint author), Fed Reserve Bank San Francisco, Ctr Community Dev Investments, San Francisco, CA USA. EM david.erickson@sf.frb.org NR 20 TC 14 Z9 14 U1 3 U2 13 PU PROJECT HOPE PI BETHESDA PA 7500 OLD GEORGETOWN RD, STE 600, BETHESDA, MD 20814-6133 USA SN 0278-2715 J9 HEALTH AFFAIR JI Health Aff. PD NOV PY 2011 VL 30 IS 11 BP 2056 EP 2063 DI 10.1377/hlthaff.2011.0896 PG 8 WC Health Care Sciences & Services; Health Policy & Services SC Health Care Sciences & Services GA 844RR UT WOS:000296765500005 PM 22068396 ER PT J AU Wheelock, DC Wilson, PW AF Wheelock, David C. Wilson, Paul W. TI ARE CREDIT UNIONS TOO SMALL? SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID DIRECTIONAL DISTANCE FUNCTIONS; PRODUCTIVITY CHANGE; BANK FAILURES; EFFICIENCY; PERFORMANCE; REGRESSION; SCALE; INDUSTRY; PROGRESS; DEMAND AB U.S. credit unions serve 93 million members, hold 10% of U.S. savings deposits, and make 13.2% of all nonrevolving consumer loans. Since 1985, the share of U.S. depository institution assets held by credit unions has nearly doubled, and the average (inflation-adjusted) size of credit unions has increased over 600%. We use a local-linear estimator, dimesion-reduction techniques, and bootstrap methods to estimate and make inference about ray scale and expansion-path scale economies. We find substantial evidence of increasing returns to scale among credit unions of all sizes, suggesting that further consolidation and growth among credit unions are likely. C1 [Wheelock, David C.] Fed Reserve Bank St Louis, St Louis, MO USA. [Wilson, Paul W.] Clemson Univ, Clemson, SC 29631 USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 57 TC 16 Z9 16 U1 1 U2 7 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD NOV PY 2011 VL 93 IS 4 BP 1343 EP 1359 DI 10.1162/REST_a_00121 PG 17 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 838ZA UT WOS:000296331900017 ER PT J AU Wei, CY Yermack, D AF Wei, Chenyang Yermack, David TI Investor Reactions to CEOs' Inside Debt Incentives SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE G14; G32 ID OPTION; PRICES; GOVERNANCE; RETURNS; AGENCY; FIRM AB Pensions and deferred compensation represent substantial components of CEO incentives. We study stockholder and bondholder reactions to companies' initial reports of CEOs' inside debt positions following a 2007 SEC disclosure reform. We find that bond prices rise, equity prices fall, and the volatility of both securities drops for firms whose CEOs have sizeable defined benefit pensions or deferred compensation. Similar changes occur for credit default swap spreads and exchange-traded options. The results indicate a reduction in firm risk, a transfer of value from equity toward debt, and an overall destruction of enterprise value when CEOs' inside debt holdings are large. C1 [Yermack, David] NYU, Stern Sch Business, Dept Finance, New York, NY 10012 USA. [Wei, Chenyang] Fed Reserve Bank New York, New York, NY USA. RP Yermack, D (reprint author), NYU, Stern Sch Business, Dept Finance, 44 W 4th St, New York, NY 10012 USA. EM dyermack@stern.nyu.edu NR 27 TC 42 Z9 42 U1 3 U2 21 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD NOV PY 2011 VL 24 IS 11 BP 3813 EP 3840 DI 10.1093/rfs/hhr028 PG 28 WC Business, Finance; Economics SC Business & Economics GA 836YU UT WOS:000296156700008 ER PT J AU Bhattacharya, D Mazumder, B AF Bhattacharya, Debopam Mazumder, Bhashkar TI A nonparametric analysis of black-white differences in intergenerational income mobility in the United States SO QUANTITATIVE ECONOMICS LA English DT Article DE Intergenerational mobility; upward mobility; nonparametric regression; Hadamard differentiability; black-white mobility gap AB Lower intergenerational income mobility for blacks is a likely cause behind the persistent interracial gap in economic status in the United States. However, few studies have analyzed black-white differences in intergenerational income mobility and the factors that determine these differences. This is largely due to the absence of appropriate methodological tools. We develop nonparametric methods to estimate the effects of covariates on two measures of mobility. We first consider the traditional transition probability of movement across income quantiles. We then introduce a new measure of upward mobility which is the probability that an adult child's relative position exceeds that of the parents. Conducting statistical inference on these mobility measures and the effects of covariates on them requires nontrivial modifications of standard nonparametric regression theory since the dependent variables are nonsmooth functions of marginal quantiles or relative ranks. Using National Longitudinal Survey of Youth data, we document that blacks experience much less upward mobility across generations than whites. Applying our new methodological tools, we find that most of this gap can be accounted for by differences in cognitive skills during adolescence. C1 [Bhattacharya, Debopam] Univ Oxford, Dept Econ, Oxford OX1 2JD, England. [Mazumder, Bhashkar] Fed Reserve Bank Chicago, Chicago, IL USA. RP Bhattacharya, D (reprint author), Univ Oxford, Dept Econ, Oxford OX1 2JD, England. EM debobhatta@gmail.com; bmazumder@frbchi.org NR 37 TC 16 Z9 16 U1 0 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 J9 QUANT ECON JI Quant. Econ. PD NOV PY 2011 VL 2 IS 3 BP 335 EP 379 DI 10.3982/QE69 PG 45 WC Economics SC Business & Economics GA V28LH UT WOS:000208681800002 ER PT J AU Saks, RE Wozniak, A AF Saks, Raven E. Wozniak, Abigail TI Labor Reallocation over the Business Cycle: New Evidence from Internal Migration SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID REAL WAGES; MARKET; UNEMPLOYMENT; MOBILITY; WELFARE; HETEROGENEITY; FLUCTUATIONS; CYCLICALITY; RECESSIONS; BENEFITS AB This article establishes the cyclical properties of a novel measure of worker reallocation: long-distance migration rates within the United States. Combining evidence from a number of data sets spanning the entire postwar era, we find that internal migration within the United States is procyclical. This result cannot be explained by cyclical variation in relative local economic conditions, suggesting that the net benefit of moving rises during booms. Migration is most procyclical for younger labor-force participants. Therefore, cyclical fluctuations in the net benefit of moving appear to be related to conditions in the labor market and the spatial reallocation of labor. C1 [Saks, Raven E.] Fed Reserve Board Governors, Washington, DC USA. [Wozniak, Abigail] Univ Notre Dame, Natl Bur Econ Res, Notre Dame, IN 46556 USA. RP Saks, RE (reprint author), Fed Reserve Board Governors, Washington, DC USA. NR 55 TC 19 Z9 19 U1 1 U2 11 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X J9 J LABOR ECON JI J. Labor Econ. PD OCT PY 2011 VL 29 IS 4 BP 697 EP 739 DI 10.1086/660772 PG 43 WC Economics; Industrial Relations & Labor SC Business & Economics GA 893KN UT WOS:000300354900002 ER PT J AU Aaronson, D Mazumder, B AF Aaronson, Daniel Mazumder, Bhashkar TI The Impact of Rosenwald Schools on Black Achievement SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID AMERICAN SOUTH; TEACHER; ABSENCE; CONSTRUCTION; INVESTMENT; INDONESIA; MOBILITY; PROGRAM; DISEASE; POLICY AB The black-white gap in schooling among southern-born men narrowed sharply between the world wars. From 1914 to 1931, nearly 5,000 schools were constructed as part of the Rosenwald Rural Schools Initiative. Using census data and World War II records, we find that the Rosenwald program accounts for a sizable portion of the educational gains of rural southern blacks. We find significant effects on school attendance, literacy, years of schooling, cognitive test scores, and northern migration. The gains are highest in the most disadvantaged counties, suggesting that schooling treatments have the largest impact among those with limited access to education. C1 [Aaronson, Daniel; Mazumder, Bhashkar] Fed Reserve Bank Chicago, Chicago, IL USA. RP Aaronson, D (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 66 TC 11 Z9 11 U1 0 U2 4 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD OCT PY 2011 VL 119 IS 5 BP 821 EP 888 DI 10.1086/662962 PG 68 WC Economics SC Business & Economics GA 879JK UT WOS:000299325300001 ER PT J AU Schulhofer-Wohl, S AF Schulhofer-Wohl, Sam TI Heterogeneity and Tests of Risk Sharing SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID CONSUMPTION INSURANCE; FULL INSURANCE; VILLAGE INDIA; PANEL-DATA; MARKET; UNCERTAINTY; ECONOMIES; EARNINGS; MODELS AB How well do people share risk? Standard risk-sharing regressions assume that any variation in households' risk preferences is uncorrelated with variation in the cyclicality of income. I combine administrative and survey data to show that this assumption is questionable: Risk-tolerant workers hold jobs in which earnings carry more aggregate risk. The correlation makes risk-sharing regressions in the previous literature too pessimistic. I derive techniques that eliminate the bias, apply them to U.S. data, and find that the effect of idiosyncratic income shocks on consumption is practically small and statistically difficult to distinguish from zero. C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Schulhofer-Wohl, S (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 35 TC 15 Z9 15 U1 1 U2 10 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD OCT PY 2011 VL 119 IS 5 BP 925 EP 958 DI 10.1086/662720 PG 34 WC Economics SC Business & Economics GA 879JK UT WOS:000299325300003 ER PT J AU Han, S AF Han, Song TI Creditor Learning and Discrimination in Lending SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Mortgage lending; Creditor learning; Discrimination; Credit history ID STATISTICAL DISCRIMINATION; LOAN PERFORMANCE; CULTURAL AFFINITY; MORTGAGE CREDIT; SELF-SELECTION; RACE; RATES; INFORMATION; COMPETITION; DEFAULT AB I study the implications of creditor learning for the estimated racial disparity in access to credit. Utilizing a dataset of mortgage lending, I find that the estimated racial disparity in loan approval rates declines with the length of the borrower's credit history. In addition, minority borrowers improve significantly their chances of obtaining a loan by accumulating longer credit histories, with the improvements being the largest for those with no credit history. Importantly, I find no significant racial disparity among borrowers with long credit histories, suggesting that one cannot reject the null hypothesis of no taste-based discrimination taking place. I also conduct a number of tests to detect statistical discrimination, which yield inconclusive results. C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Han, S (reprint author), Fed Reserve Board, Div Res & Stat, Mail Stop 89,20th & C St, Washington, DC 20551 USA. EM Song.Han@frb.gov NR 66 TC 2 Z9 2 U1 2 U2 14 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD OCT PY 2011 VL 40 IS 1-2 BP 1 EP 27 DI 10.1007/s10693-011-0101-3 PG 27 WC Business, Finance SC Business & Economics GA 852OM UT WOS:000297367300001 ER PT J AU Carvalho, C Nechio, F AF Carvalho, Carlos Nechio, Fernanda TI Aggregation and the PPP Puzzle in a Sticky-Price Model SO AMERICAN ECONOMIC REVIEW LA English DT Article ID PURCHASING POWER PARITY; REAL EXCHANGE-RATE; RATE PERSISTENCE; MONETARY-POLICY; DYNAMIC-MODELS; HALF-LIFE; TO-MARKET; DEVIATIONS; RATES; NONNEUTRALITY AB We study the purchasing power parity (PPP) puzzle in a multisector, two-country, sticky-price model. Sectors differ in the extent of price stickiness, leading to heterogeneous sectoral real exchange rate dynamics. Deviations from PPP are more volatile and persistent than in an otherwise identical one-sector world economy with the same average frequency of price changes. Under the empirical distribution of price stickiness of the US economy, the model produces PPP deviations with a half-life of 39 months. We provide a structural interpretation of the approaches found in the empirical literature on aggregation and PPP, and reconcile its apparently conflicting findings. (JEL F31, G31) C1 [Carvalho, Carlos] Pontificia Univ Catolica Rio de Janeiro, Dept Econ, BR-22451900 Rio de Janeiro, Brazil. [Nechio, Fernanda] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Carvalho, Carlos] Fed Reserve Bank New York, New York, NY 10045 USA. RP Carvalho, C (reprint author), Pontificia Univ Catolica Rio de Janeiro, Dept Econ, Rua Marques de Sao Vicente 225, BR-22451900 Rio de Janeiro, Brazil. EM cvianac@econ.puc-rio.br; fernanda.nechio@sf.frb.org NR 49 TC 19 Z9 19 U1 1 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD OCT PY 2011 VL 101 IS 6 BP 2391 EP 2424 DI 10.1257/aer.101.6.2391 PG 34 WC Economics SC Business & Economics GA 842EA UT WOS:000296572200004 ER PT J AU Fernandez-Villaverde, J Guerron-Quintana, P Rubio-Ramirez, JF Uribe, M AF Fernandez-Villaverde, Jesus Guerron-Quintana, Pablo Rubio-Ramirez, Juan F. Uribe, Martin TI Risk Matters: The Real Effects of Volatility Shocks SO AMERICAN ECONOMIC REVIEW LA English DT Article ID BUSINESS CYCLES; FISCAL-POLICY; FLUCTUATIONS; INFORMATION; ECONOMIES; MATURITY; DEBT; TIME AB We show how changes in the volatility of the real interest rate at which small open emerging economies borrow have an important effect on variables like output, consumption, investment, and hours. We start by documenting the strong evidence of time-varying volatility in the real interest rates faced by four emerging economies: Argentina, Brazil, Ecuador, and Venezuela. We estimate a stochastic volatility process for real interest rates. Then, we feed this process in a standard small open economy business cycle model. We find that an increase in real interest rate volatility triggers a fall in output, consumption, investment, hours, and debt. (JEL E13, E20, E32, E43, F32, F43, 011) C1 [Fernandez-Villaverde, Jesus] Univ Penn, Philadelphia, PA 19004 USA. [Guerron-Quintana, Pablo] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Rubio-Ramirez, Juan F.] Duke Univ, Durham, NC 27708 USA. [Rubio-Ramirez, Juan F.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Uribe, Martin] Columbia Univ, New York, NY 10027 USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, 160 McNeil,3718 Locust Walk, Philadelphia, PA 19004 USA. EM jesusfv@econ.upenn.edu; Pablo.Guerron@phil.frb.org; Juan.Rubio-Ramirez@duke.edu; mu2166@columbia.edu NR 35 TC 74 Z9 74 U1 2 U2 15 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD OCT PY 2011 VL 101 IS 6 BP 2530 EP 2561 DI 10.1257/aer.101.6.2530 PG 32 WC Economics SC Business & Economics GA 842EA UT WOS:000296572200008 ER PT J AU Eusepi, S Preston, B AF Eusepi, Stefano Preston, Bruce TI Expectations, Learning, and Business Cycle Fluctuations SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID INTERTEMPORAL-SUBSTITUTION; MODELS; CONSUMPTION; DYNAMICS; SHOCKS; OUTPUT; LABOR; PROPAGATION; EQUILIBRIUM; PREFERENCES C1 [Eusepi, Stefano] Fed Reserve Bank New York, New York, NY 10045 USA. [Preston, Bruce] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Preston, Bruce] Australian Natl Univ, Ctr Appl Macroecon Anal, Canberra, ACT 2601, Australia. RP Eusepi, S (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM stefano.eusepi@ny.frb.org; bp2121@columbia.edu NR 49 TC 33 Z9 33 U1 3 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD OCT PY 2011 VL 101 IS 6 BP 2844 EP 2872 DI 10.1257/aer.101.6.2844 PG 29 WC Economics SC Business & Economics GA 842EA UT WOS:000296572200019 ER PT J AU Bjelland, M Fallick, B Haltiwanger, J McEntarfer, E AF Bjelland, Melissa Fallick, Bruce Haltiwanger, John McEntarfer, Erika TI Employer-to-Employer Flows in the United States: Estimates Using Linked Employer-Employee Data SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Employer-to-employer flows; Job flows; Turnover; Worker flows ID WORKER FLOWS; DYNAMICS AB We use administrative data linking workers and firms to study employer-to-employer (E-to-E) flows. After discussing how to identify such flows in quarterly data, we investigate their basic empirical patterns. We find that the pace of E-to-E flows is high, representing approximately 4% of employment and 30% of separations each quarter. The pace of E-to-E flows appears to be highly procyclical and varies systematically across worker, job, and employer characteristics. There are rich patterns in terms of origin and destination of industries. Somewhat surprisingly, we find that more than half of the workers making E-to-E transitions switch even broadly defined industries (i.e., NAICS supersectors). C1 [Bjelland, Melissa] Cornell Univ, Employment & Disabil Inst, Sch Ind & Labor Relat, New York, NY 10016 USA. [Fallick, Bruce] Fed Reserve Board, Washington, DC 20551 USA. [Haltiwanger, John] Univ Maryland, Dept Econ, College Pk, MD 20742 USA. [McEntarfer, Erika] US Bur Census, Ctr Econ Studies, Washington, DC 20233 USA. RP Bjelland, M (reprint author), Cornell Univ, Employment & Disabil Inst, Sch Ind & Labor Relat, New York, NY 10016 USA. EM mjb62@cornell.edu; bruce.fallick@frb.gov; haltiwan@econ.bsos.umd.edu; erika.mcentarfer@census.gov FU National Science Foundation; Department of the Treasury; Board of Governors of the Federal Reserve System FX We thank the editor, the associate editor, and an anonymous referee for comments. We also thank participants at many seminars and conferences for comments and the National Science Foundation for support. This work is unofficial and thus has not undergone the review accorded to official Census Bureau publications. The views expressed herein are attributable only to the authors and do not represent the views of the U.S. Census Bureau, its program sponsors or data providers, the Department of the Treasury, or of the Board of Governors of the Federal Reserve System or its staff. All results have been reviewed to ensure that no confidential information is disclosed. NR 17 TC 11 Z9 11 U1 0 U2 5 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT PY 2011 VL 29 IS 4 BP 493 EP 505 DI 10.1198/jbes.2011.08053 PG 13 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 829LY UT WOS:000295584300004 ER PT J AU Chirinko, RS Fazzari, SM Meyer, AP AF Chirinko, Robert S. Fazzari, Steven M. Meyer, Andrew P. TI A New Approach to Estimating Production Function Parameters: The Elusive Capital-Labor Substitution Elasticity SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Capital formation; Panel data; Production function parameters ID INVESTMENT BEHAVIOR; ADJUSTMENT COSTS; TAX POLICY; DEMAND AB Parameters of taste and technology are central to a wide variety of economic models and issues. This article proposes a simple method for estimating production function parameters from panel data, with a particular focus on the elasticity of substitution between capital and labor. Elasticity estimates have varied widely, and a consensus estimate remains elusive. Our estimation strategy exploits long-run variation and thus avoids several pitfalls, including difficult-to-specify dynamics, transitory time-series variation, and positively sloped supply schedules, that can bias the estimated elasticity. Our results are based on an extensive panel comprising 1860 firms. Our approach generates a precisely estimated elasticity of 0.40. Although existing estimates range widely, we document a remarkable convergence of results from two related approaches applied to a common dataset. The method developed here may prove useful in estimating other structural parameters from panel datasets. C1 [Chirinko, Robert S.] Univ Illinois, Dept Finance, Chicago, IL 60607 USA. [Fazzari, Steven M.] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Meyer, Andrew P.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Chirinko, RS (reprint author), Univ Illinois, Dept Finance, Chicago, IL 60607 USA. EM chirinko@uic.edu; fazz@wustl.edu; ameyer@stls.frb.org NR 23 TC 14 Z9 14 U1 2 U2 19 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT PY 2011 VL 29 IS 4 BP 587 EP 594 DI 10.1198/jbes.2011.08119 PG 8 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 829LY UT WOS:000295584300012 ER PT J AU Wen, Y AF Wen, Yi TI Input and Output Inventory Dynamics SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID ECONOMIC-FLUCTUATIONS; AUTOMOBILE-INDUSTRY; STOCKOUT-AVOIDANCE; BUSINESS-CYCLE; BEHAVIOR; VOLATILITY; MODEL; EQUILIBRIUM; INVESTMENT; POLICIES AB This paper develops an analytically tractable general equilibrium model of inventory dynamics based on a precautionary stockout-avoidance motive. The model's predictions are broadly consistent with the US business cycle and key features of inventory behavior. It is also shown that technological improvement of inventory management can increase, rather than decrease, the volatility of aggregate output. Key to this seemingly counterintuitive result is that a stockout-avoidance motive leads to a procyclical shadow value of inventories, which acts as an automatic stabilizer that discourages sales in booms and encourages demand in recessions, thereby reducing the variability of GDP. (JEL D92, E22, E23, E32, G31) C1 [Wen, Yi] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Wen, Yi] Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R China. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 41 TC 10 Z9 10 U1 2 U2 21 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD OCT PY 2011 VL 3 IS 4 BP 181 EP 212 DI 10.1257/mac.3.4.181 PG 32 WC Economics SC Business & Economics GA 833IU UT WOS:000295878700007 ER PT J AU Carbo-Valverde, S Hannan, TH Rodriguez-Fernandez, F AF Carbo-Valverde, Santiago Hannan, Timothy H. Rodriguez-Fernandez, Francisco TI Exploiting old customers and attracting new ones: The case of bank deposit pricing SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Deposit pricing; In-migration; Locked-in customers ID CONSUMER SWITCHING COSTS; CREDIT CARD MARKET; COMPETITION AB Recent theoretical contributions suggest that deposit interest rates should be higher in geographic areas characterized by greater in-migration and lower for depositors at banks with greater shares of existing (or so-called "locked-in") depositors. These hypotheses are tested using a rich data set obtained for the Spanish banking industry. Results confirm that, all else equal, banks offer higher deposit rates in territories characterized by greater in-migration, and also that they tend to offer lower rates, the larger the number of their locked-in depositors. These findings confirm the existence of the trade-off between exploiting old customers and attracting new ones. (C) 2011 Elsevier B.V. All rights reserved. C1 [Carbo-Valverde, Santiago] Univ Granada, Dept Teoria & Hist Econ, Fac CCEE & Empresariales, Dept Econ, E-18071 Granada, Spain. [Carbo-Valverde, Santiago] Fed Reserve Bank Chicago, Chicago, IL USA. [Hannan, Timothy H.] Fed Reserve Board, Washington, DC USA. RP Carbo-Valverde, S (reprint author), Univ Granada, Dept Teoria & Hist Econ, Fac CCEE & Empresariales, Dept Econ, Campus Cartuja S-N, E-18071 Granada, Spain. EM scarbo@ugr.es; hannan.timothy@gmail.com; franrod@ugr.es NR 14 TC 6 Z9 6 U1 0 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD OCT PY 2011 VL 55 IS 7 BP 903 EP 915 DI 10.1016/j.euroecorev.2011.02.001 PG 13 WC Economics SC Business & Economics GA 827OD UT WOS:000295436900002 ER PT J AU Chirinko, RS Schaller, H AF Chirinko, Robert S. Schaller, Huntley TI Fundamentals, Misvaluation, and Business Investment SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE investment; real effects of financial markets; misvaluation; stock market bubbles; fundamentals ID CASH FLOW SENSITIVITIES; STOCK-MARKET; CORPORATE-INVESTMENT; ASSET PRICES; FINANCING CONSTRAINTS; MONETARY-POLICY; BUBBLES; SENTIMENT; BEHAVIOR; RETURNS AB Does stock market misvaluation affect business fixed investment? To answer this question, we provide evidence based on U.S. firm-level panel data. We examine the orthogonality conditions for the investment Q and Euler equations, and our qualitative tests reject the null hypothesis that investment is unaffected by misvaluation (this result is not driven exclusively by the late 1990s). To measure the quantitative effects on investment, we introduce a measure of misvaluation into standard investment equations. Our estimates imply that a one-standard-deviation increase in misvaluation increases investment between 20% and 60% relative to the mean level of investment in the sample. C1 [Chirinko, Robert S.] Univ Illinois Chicago, CESifo, Chicago, IL 60607 USA. [Chirinko, Robert S.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Schaller, Huntley] Carleton Univ, Dept Econ, Ottawa, ON K1S 5B6, Canada. RP Chirinko, RS (reprint author), Univ Illinois Chicago, CESifo, Chicago, IL 60607 USA. EM chirinko@uic.edu; schaller@ccs.carleton.ca NR 65 TC 3 Z9 3 U1 0 U2 11 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2011 VL 43 IS 7 BP 1423 EP 1442 DI 10.1111/j.1538-4616.2011.00430.x PG 20 WC Business, Finance; Economics SC Business & Economics GA 825IE UT WOS:000295264500005 ER PT J AU Chirinko, RS Mallick, D AF Chirinko, Robert S. Mallick, Debdulal TI The elasticity of derived demand, factor substitution, and product demand: Corrections to Hicks' formula and Marshall's Four Rules SO LABOUR ECONOMICS LA English DT Article DE Derived demand; Substitution elasticity; Hicks' formula; Marshall's Four Rules AB The concept of the elasticity of substitution between capital and labor, introduced by John Hicks and Joan Robinson over 75 years ago, has had important implications in labor economics and several areas of economic inquiry. In his The Theory of Wages (1932/1963), Hicks developed a formula that has proven very useful in relating the substitution elasticity to the derived demand for productive factors, the distribution of factor incomes, and Marshall's Four Rules. This short paper shows that the original and subsequent derivations of Hicks' celebrated formula contained a slip (that factor shares are independent of the substitution elasticity and therefore constant), presents a new derivation and a corrected formula, and demonstrates that, with the corrected formula, Marshall's First Rule based on the substitution elasticity is no longer generally valid. (C) 2011 Elsevier B.V. All rights reserved. C1 [Chirinko, Robert S.] Univ Illinois, Dept Finance, Chicago, IL 60607 USA. [Chirinko, Robert S.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Mallick, Debdulal] Deakin Univ, Geelong, Vic 3217, Australia. RP Chirinko, RS (reprint author), Univ Illinois, Dept Finance, 2333 Univ Hall,601 S Morgan,MC 168, Chicago, IL 60607 USA. EM Chirinko@uic.edu NR 19 TC 1 Z9 1 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5371 J9 LABOUR ECON JI Labour Econ. PD OCT PY 2011 VL 18 IS 5 BP 708 EP 711 DI 10.1016/j.labeco.2011.02.003 PG 4 WC Economics SC Business & Economics GA 825XE UT WOS:000295314600012 ER PT J AU Fuster, A Willen, PS AF Fuster, Andreas Willen, Paul S. TI Insuring Consumption Using Income-Linked Assets SO REVIEW OF FINANCE LA English DT Article DE D91; E21; G11 ID LIFE-CYCLE; WELFARE ANALYSIS; RISK; INEQUALITY; INSURANCE; EARNINGS; CREDIT AB We evaluate financial assets with payoffs linked to individual labor income, as conceived by Shiller (2003) and others. Using a realistically calibrated life-cycle model, we find that such assets can generate nontrivial welfare benefits, depending on the precise structure of the instrument. However, the assets we consider can only eliminate a relatively small fraction of the welfare costs of labor income risk over the life cycle. We highlight the fact that although the purpose of such assets is to smooth consumption across states of nature, one must also consider the assets' effects on households' ability to smooth consumption over time. C1 [Fuster, Andreas] Harvard Univ, Cambridge, MA 02138 USA. [Fuster, Andreas; Willen, Paul S.] Fed Reserve Bank Boston, Boston, MA USA. [Willen, Paul S.] NBER, Cambridge, MA 02138 USA. RP Fuster, A (reprint author), Harvard Univ, Cambridge, MA 02138 USA. NR 40 TC 2 Z9 2 U1 2 U2 19 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1572-3097 EI 1573-692X J9 REV FINANC JI Rev. Financ. PD OCT PY 2011 VL 15 IS 4 BP 835 EP 873 DI 10.1093/rof/rfr021 PG 39 WC Business, Finance; Economics SC Business & Economics GA 830VL UT WOS:000295685500006 ER PT J AU Almond, D Mazumder, B AF Almond, Douglas Mazumder, Bhashkar TI Health Capital and the Prenatal Environment: The Effect of Ramadan Observance During Pregnancy SO AMERICAN ECONOMIC JOURNAL-APPLIED ECONOMICS LA English DT Article ID BETA-HYDROXYBUTYRATE; SEX-RATIOS; POPULATION; MORTALITY; INVITRO; WEIGHT AB This paper uses the Islamic holy month of Ramadan as a natural experiment in diurnal fasting and fetal health. Among births to Arab parents in Michigan, we find prenatal exposure to Ramadan results in lower birth weight. Exposure in the first month of gestation also reduces the number of male births. Turning to long-term "fetal origins" effects, we find Muslims in Uganda and Iraq are 20 percent more likely to be disabled as adults if early pregnancy overlapped with Ramadan. Estimated effects are larger for mental (or learning) disabilities. Our results suggest that relatively mild prenatal exposures can have persistent effects. C1 [Almond, Douglas] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Mazumder, Bhashkar] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Almond, D (reprint author), Columbia Univ, Dept Econ, Int Affairs Bldg,MC 3308,420 W 118th St, New York, NY 10027 USA. EM da2152@columbia.edu; bmazumder@frbchi.org NR 51 TC 68 Z9 68 U1 2 U2 27 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7782 J9 AM ECON J-APPL ECON JI Am. Econ. J.-Appl. Econ. PD OCT PY 2011 VL 3 IS 4 BP 56 EP 85 DI 10.1257/app.3.4.56 PG 30 WC Economics SC Business & Economics GA 829ZM UT WOS:000295626200003 ER PT J AU Trimbur, TM AF Trimbur, Thomas M. TI Comments on "Calling recessions in real time" SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Editorial Material ID TRENDS; SERIES; CYCLES C1 Fed Reserve Board, Washington, DC USA. RP Trimbur, TM (reprint author), Fed Reserve Board, Washington, DC USA. EM thomas.m.trimbur@frb.gov NR 3 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD OCT-DEC PY 2011 VL 27 IS 4 BP 1027 EP 1031 DI 10.1016/j.ijforecast.2011.03.005 PG 5 WC Economics; Management SC Business & Economics GA 827LG UT WOS:000295429400007 ER PT J AU Peneva, E AF Peneva, Ekaterina TI Some evidence on factor intensity and price rigidity SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Price rigidity; Factor intensity ID STICKY PRICES; POLICY; ADJUSTMENT; DYNAMICS; MODELS; GOODS AB This paper establishes a new empirical finding: the degree of labor intensity and the degree of price flexibility are negatively correlated across industrial sectors in the U.S. economy. This finding suggests that varying factor intensity can potentially generate different degrees of price stickiness across sectors and remove the need to exogenously impose the latter. Of course, labor intensity is just one more feature-in addition to others like the durability of goods produced and the degree of competition-that can explain some of the heterogeneity in price durations across sectors. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Peneva, E (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM ekaterina.v.peneva@frb.gov NR 25 TC 0 Z9 0 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD OCT PY 2011 VL 35 IS 10 BP 1652 EP 1658 DI 10.1016/j.jedc.2011.03.011 PG 7 WC Economics SC Business & Economics GA 825WU UT WOS:000295313600003 ER PT J AU Wang, PF Wen, Y AF Wang, Peng-fei Wen, Yi TI Volatility, growth, and welfare SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Endogenous growth; Welfare cost of business cycle; Stabilization policy; Sunspots; Imperfect competition; Coordination failures ID COUNTERCYCLICAL MONETARY-POLICY; ENDOGENOUS GROWTH; BUSINESS CYCLES; MONOPOLISTIC COMPETITION; STABILIZATION POLICY; CAPACITY UTILIZATION; AGGREGATE DEMAND; ECONOMIC-GROWTH; ASSET PRICES; COST AB This paper constructs an endogenous growth model driven by self-fulfilling expectation shocks to explain the stylized fact that the average growth rate of GDP is related negatively to volatility and positively to capacity utilization. The implied welfare gain from further stabilizing the U.S. economy is about a quarter of annual consumption, which is consistent in order of magnitude with estimates based on the empirical studies of Ramey and Ramey (1995) and Alvarez and Jermann (2004). Hence, policies designed to reduce fluctuations can generate large welfare gains because smaller fluctuations are associated with permanently higher rates of growth. Published by Elsevier B.V. C1 [Wen, Yi] Fed Reserve Bank St Louis, St Louis, MO USA. [Wang, Peng-fei] Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China. [Wen, Yi] Tsinghua Univ, Beijing, Peoples R China. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM pfwang@ust.hk; yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016; OI Wen, Yi/0000-0001-5658-1578; Wang, Pengfei/0000-0002-8686-4787 NR 50 TC 3 Z9 3 U1 1 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD OCT PY 2011 VL 35 IS 10 BP 1696 EP 1709 DI 10.1016/j.jedc.2011.04.008 PG 14 WC Economics SC Business & Economics GA 825WU UT WOS:000295313600006 ER PT J AU Jung, P Kuester, K AF Jung, Philip Kuester, Keith TI The (un)importance of unemployment fluctuations for the welfare cost of business cycles SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Cost of business cycles; Unemployment; Search and matching ID MACROECONOMIC PRIORITIES; EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; JOB DISPLACEMENT; LABOR-MARKET; VACANCIES; GROWTH; RISK; DYNAMICS; LOSSES AB This paper studies the cost of business cycles within a real business cycle model with search and matching frictions in the labor market. We endogenously link both the cyclical fluctuations and the mean level of unemployment to the aggregate business cycle risk. The key result of the paper is that business cycles are costly: fluctuations over the cycle induce a higher average unemployment rate since employment is nonlinear in the job-finding rate and the past unemployment rate. We show this analytically for a special case of the model. We then calibrate the model to U.S. data. For the calibrated model, too, business cycles cause higher average unemployment; the welfare cost of business cycles can easily be an order of magnitude larger than Lucas's (1987) estimate. The cost of business cycles is the higher the lower the value of nonemployment is, or, equivalently, the lower is the disutility of work. The ensuing cost of business cycles rises further when workers' skills depreciate during unemployment. (C) 2011 Elsevier B.V. All rights reserved. C1 [Kuester, Keith] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Jung, Philip] Univ Mannheim, Dept Econ, D-68131 Mannheim, Germany. RP Kuester, K (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM p.jung@vwl.uni-mannheim.de; keith.kuester@phil.frb.org NR 41 TC 8 Z9 8 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD OCT PY 2011 VL 35 IS 10 BP 1744 EP 1768 DI 10.1016/j.jedc.2011.05.008 PG 25 WC Economics SC Business & Economics GA 825WU UT WOS:000295313600009 ER PT J AU de Bruin, WB van der Klaauw, W Topa, G AF de Bruin, Waendi Bruine van der Klaauw, Wilbert Topa, Giorgio TI Expectations of inflation: The biasing effect of thoughts about specific prices SO JOURNAL OF ECONOMIC PSYCHOLOGY LA English DT Article DE Inflation expectations; Perceptions of specific prices; Memory bias; Recall ID PERCEIVED INFLATION; PERCEPTIONS; FORECASTS; VARIABLES; BIASES AB National surveys follow consumers' expectations of future inflation, because these may directly affect the economic choices they make, indirectly affect macro-economic outcomes, and are considered in monetary policy. Yet, relatively little is known about how individuals form the inflation expectations they report on consumer surveys. Medians of reported inflation expectations tend to track official estimates of realized inflation, but show large heterogeneity between respondents, due to some expecting seemingly extreme inflation. We present two studies to examine whether individuals who consider specific price changes when forming their inflation expectations report more extreme and disagreeing inflation expectations due to focusing on specific extreme price changes. In Study 1, participants who were instructed to recall any price changes or to recall the largest price changes both thought of items for which price changes were perceived to have been extreme. Moreover, they reported more extreme year-ahead inflation expectations and showed more disagreement than did a third group that had been asked to recall the average change in price changes. Study 2 asked participants to report their year-ahead expectations of inflation, without first prompting them to recall specific price changes. Half of participants nevertheless thought of specific prices when generating their inflation expectations. Those who thought of specific prices reported more extreme and more disagreeing inflation expectations, because they were biased towards various items associated with more extreme perceived price changes. Our findings provide new insights into expectation formation processes and have implications for the design of survey-based measures of inflation. (C) 2011 Elsevier B.V. All rights reserved. C1 [de Bruin, Waendi Bruine] Carnegie Mellon Univ, Dept Social & Decis Sci, Pittsburgh, PA 15213 USA. [de Bruin, Waendi Bruine] Carnegie Mellon Univ, Dept Engn & Publ Policy, Pittsburgh, PA 15213 USA. [van der Klaauw, Wilbert; Topa, Giorgio] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP de Bruin, WB (reprint author), Carnegie Mellon Univ, Dept Social & Decis Sci, 5000 Forbes Ave,Porter Hall 208, Pittsburgh, PA 15213 USA. EM wandi@cmu.edu NR 30 TC 12 Z9 12 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-4870 J9 J ECON PSYCHOL JI J. Econ. Psychol. PD OCT PY 2011 VL 32 IS 5 BP 834 EP 845 DI 10.1016/j.joep.2011.07.002 PG 12 WC Economics; Psychology, Multidisciplinary SC Business & Economics; Psychology GA 830KB UT WOS:000295654800020 ER PT J AU Ashcraft, A Mcandrews, J Skeie, D AF Ashcraft, Adam Mcandrews, James Skeie, David TI Precautionary Reserves and the Interbank Market SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE excess reserves; fed funds rate; hoarding; liquidity; limited participation; payments ID FEDERAL-FUNDS MARKET; INTRADAY LIQUIDITY; MONETARY-POLICY; BANK AB Extreme disruptions in the interbank market severely hampered the broader financial system during the 2007-08 financial crisis. We use Fedwire data to estimate fed funds trades and track banks' intraday balances. We show empirical evidence of banks' precautionary holding of reserves and reluctance to lend linked to documented extreme fed funds rate volatility, including the fed funds rate spiking above the discount rate and crashing to zero. We develop a model of constrained banks that makes new predictions and provides a unified explanation for the stark anomalies during the crisis, our empirical findings, and previous stylized facts from normal times. C1 [Ashcraft, Adam] Fed Reserve Bank New York, Credit & Payment Risk Grp, New York, NY 10045 USA. [Mcandrews, James; Skeie, David] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Ashcraft, A (reprint author), Fed Reserve Bank New York, Credit & Payment Risk Grp, New York, NY 10045 USA. EM adam.ashcraft@ny.frb.org; jamie.mcandrews@ny.frb.org; david.skeie@ny.frb.org RI Skeie, David/J-4007-2016 OI Skeie, David/0000-0003-1076-7697 NR 39 TC 25 Z9 25 U1 1 U2 20 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2011 VL 43 SU 2 BP 311 EP 348 DI 10.1111/j.1538-4616.2011.00438.x PG 38 WC Business, Finance; Economics SC Business & Economics GA 824NS UT WOS:000295209200004 ER PT J AU Lester, B Postlewaite, A Wright, R AF Lester, Benjamin Postlewaite, Andrew Wright, Randall TI Information and Liquidity SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE asymmetric information; liquidity; money ID PRIVATE INFORMATION; MONETARY EXCHANGE; FIAT MONEY; SEARCH; PRICES; MODEL; BARTER; QUALITY AB We study howrecognizability affects assets' acceptability, or liquidity. Some assets, like U. S. currency, are readily accepted because sellers can easily recognize their value, unlike stock certificates, bonds or foreign currency, say. This idea is common in monetary economics, but previous models deliver equilibria where less recognizable assets are always accepted with positive probability, never probability 0. This is inconvenient when prices are determined through bargaining, which is difficult with private information. We construct models where agents reject outright assets that they cannot recognize, at least for some parameters. Thus, information frictions generate liquidity differences without overly complicating the analysis. C1 [Lester, Benjamin] Univ Western Ontario, London, ON N6A 3K7, Canada. [Lester, Benjamin] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Postlewaite, Andrew; Wright, Randall] Univ Penn, Philadelphia, PA 19104 USA. [Wright, Randall] Univ Wisconsin, Madison, WI 53706 USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Lester, B (reprint author), Univ Western Ontario, London, ON N6A 3K7, Canada. EM blester@uwo.ca; apostlew@econ.upenn.edu; rwright@bus.wisc.edu NR 29 TC 11 Z9 11 U1 1 U2 6 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2011 VL 43 SU 2 BP 355 EP 377 DI 10.1111/j.1538-4616.2011.00440.x PG 23 WC Business, Finance; Economics SC Business & Economics GA 824NS UT WOS:000295209200006 ER PT J AU Keister, T AF Keister, Todd TI Discussion of "Banking in a Matching Model of Money and Capital" SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material ID DEPOSIT INSURANCE; RUNS; LIQUIDITY; PANICS C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Keister, T (reprint author), Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. EM Todd.Keister@ny.frb.org NR 7 TC 0 Z9 0 U1 4 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2011 VL 43 SU 2 BP 477 EP 485 DI 10.1111/j.1538-4616.2011.00447.x PG 9 WC Business, Finance; Economics SC Business & Economics GA 824NS UT WOS:000295209200013 ER PT J AU Berentsen, A Waller, C AF Berentsen, Aleksander Waller, Christopher TI Price-Level Targeting and Stabilization Policy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE money; search; stabilization policy ID MONETARY-POLICY; MONEY; LIQUIDITY AB We construct a dynamic stochastic general equilibrium model to study optimal monetary stabilization policy. Prices are fully flexible and money is essential for trade. Our main result is that if the central bank pursues a price-level target, it can control inflation expectations and improve welfare by stabilizing short-run shocks to the economy. The optimal policy involves smoothing nominal interest rates that effectively smooths consumption across states. C1 [Berentsen, Aleksander] Univ Basel, CH-4003 Basel, Switzerland. [Waller, Christopher] Univ Notre Dame, Fed Reserve Bank St Louis, Dept Econ, Notre Dame, IN 46556 USA. RP Berentsen, A (reprint author), Univ Basel, CH-4003 Basel, Switzerland. EM cwaller@stls.frb.org RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 17 TC 4 Z9 4 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2011 VL 43 SU 2 BP 559 EP 580 DI 10.1111/j.1538-4616.2011.00452.x PG 22 WC Business, Finance; Economics SC Business & Economics GA 824NS UT WOS:000295209200018 ER PT J AU Eggertsson, GB AF Eggertsson, Gauti B. TI Discussion of "Price-Level Targeting and Stabilization Policy" SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material ID FRAMEWORK C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Eggertsson, GB (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM Gauti.eggertsson@ny.frb.org NR 16 TC 0 Z9 0 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2011 VL 43 SU 2 BP 581 EP 588 DI 10.1111/j.1538-4616.2011.00453.x PG 8 WC Business, Finance; Economics SC Business & Economics GA 824NS UT WOS:000295209200019 ER PT J AU Afonso, G Shin, HS AF Afonso, Gara Shin, Hyun Song TI Precautionary Demand and Liquidity in Payment Systems SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE liquidity; large-value payment systems; hoarding; Fedwire; networks ID FEDERAL-FUNDS MARKET AB In large-value real-time gross settlement payment systems, banks rely heavily on incoming funds to finance outgoing payments. Such reliance necessitates a high degree of coordination and synchronization. We construct a model of a payment system calibrated for the U.S. Fedwire system and examine the impact of realistic disruptions motivated by the recent financial crisis. In such settings, individually cautious behavior can have a significant and detrimental impact on the overall functioning of the payment system through a multiplier effect. Our results quantify the mutually reinforcing nature of greater caution, and allow comparative statics analysis of shifts in key parameters. C1 [Afonso, Gara] Fed Reserve Bank New York, Res Grp, New York, NY 10045 USA. [Shin, Hyun Song] Princeton Univ, Princeton, NJ 08544 USA. RP Afonso, G (reprint author), Fed Reserve Bank New York, Res Grp, New York, NY 10045 USA. EM Gara.Afonso@ny.frb.org; hsshin@princeton.edu NR 31 TC 7 Z9 7 U1 0 U2 16 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2011 VL 43 SU 2 BP 589 EP 619 DI 10.1111/j.1538-4616.2011.00454.x PG 31 WC Business, Finance; Economics SC Business & Economics GA 824NS UT WOS:000295209200020 ER PT J AU Cavalcanti, R Nosal, E AF Cavalcanti, Ricardo Nosal, Ed TI Counterfeiting as Private Money in Mechanism Design SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE counterfeiting; private money; imperfect monitoring; mechanism design ID SEARCH; PRICES; MODEL AB We describe counterfeiting activity as the issuance of private money, one that is difficult to monitor. Our approach, which amends the basic random-matching model of money in mechanism design, allows a tractable welfare analysis of currency competition. We show that it is not efficient to eliminate counterfeiting activity completely. We do not appeal to lottery devices, and we argue that this is consistent with imperfect monitoring. C1 [Cavalcanti, Ricardo] Getulio Vargas Fdn, Praia De Botafogo, RJ, Brazil. [Nosal, Ed] Fed Reserve Bank Chicago, Chicago, IL USA. RP Cavalcanti, R (reprint author), Getulio Vargas Fdn, Praia De Botafogo, RJ, Brazil. EM Ricardo.Cavalcanti@fgv.br; Ed.Nosal@chi.frb.org RI Diniz, Wagner/M-8410-2014 NR 11 TC 3 Z9 3 U1 0 U2 5 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2011 VL 43 SU 2 BP 625 EP 636 DI 10.1111/j.1538-4616.2011.00456.x PG 12 WC Business, Finance; Economics SC Business & Economics GA 824NS UT WOS:000295209200022 ER PT J AU Monnet, C AF Monnet, Cyril TI Discussion of "Counterfeiting as Private Money in Mechanism Design" SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material C1 Fed Reseve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Monnet, C (reprint author), Fed Reseve Bank Philadelphia, Philadelphia, PA 19106 USA. EM cyril.monnet@phil.frb.org NR 8 TC 0 Z9 0 U1 0 U2 1 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2011 VL 43 SU 2 BP 637 EP 643 DI 10.1111/j.1538-4616.2011.00457.x PG 7 WC Business, Finance; Economics SC Business & Economics GA 824NS UT WOS:000295209200023 ER PT J AU Coughlin, CC Wall, HJ AF Coughlin, Cletus C. Wall, Howard J. TI Ethnic networks and trade: Intensive versus extensive margins SO ECONOMICS LETTERS LA English DT Article DE Ethnic networks; State exports; Intensive margin; Extensive margin ID INTERNATIONAL-TRADE; HETEROGENEITY; EXPORTS AB Ethnic networks have been associated with increased international trade, although studies have not differentiated between entry into foreign markets and trade expansion. We find that ethnic networks increase trade on the intensive margin but not on the extensive margin. (C) 2011 Elsevier B.V. All rights reserved. C1 [Wall, Howard J.] Lindenwood Univ, Sch Business & Entrepreneurship, ISEE, St Charles, MO 63301 USA. [Coughlin, Cletus C.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Wall, HJ (reprint author), Lindenwood Univ, Sch Business & Entrepreneurship, ISEE, 209 S Kingshighway, St Charles, MO 63301 USA. EM hwall@lindenwood.edu RI Coughlin, Cletus/K-6860-2016 OI Coughlin, Cletus/0000-0002-8304-2796 NR 9 TC 10 Z9 10 U1 0 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD OCT PY 2011 VL 113 IS 1 BP 73 EP 75 DI 10.1016/j.econlet.2011.05.023 PG 3 WC Economics SC Business & Economics GA 823UD UT WOS:000295151100021 ER PT J AU Evans, CL Sherlund, SM AF Evans, Carolyn L. Sherlund, Shane M. TI Are Antidumping Duties for Sale? Case-Level Evidence on the Grossman-Helpman Protection for Sale Model SO SOUTHERN ECONOMIC JOURNAL LA English DT Article AB Do contributions to politicians affect trade policy? To examine this question, we have compiled a new, unique database containing information on political donations by the specific firms and labor organizations that have petitioned for antidumping protection from imports, as well as data on the outcomes of their requests. Using an empirical framework based on the Grossman and Helpman (1994) "protection for sale" model, we examine the relationship between antidumping decisions and political activism. Our results indicate that money does matter. We find that politically active petitioners are more likely to receive protection and that antidumping duty rates tend to be higher for that group. In addition, the relationship between the import penetration ratio and duties imposed depends on whether or not petitioners are politically active-antidumping duties are positively correlated with the import penetration ratio for politically inactive petitioners but negatively correlated for politically active petitioners, consistent with the Grossman-Helpman model's predictions. C1 [Evans, Carolyn L.] Santa Clara Univ, Dept Econ, Santa Clara, CA 95053 USA. [Sherlund, Shane M.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Evans, CL (reprint author), Santa Clara Univ, Dept Econ, 500 El Camino Real, Santa Clara, CA 95053 USA. EM clevans@scu.edu; shane.m.sherlund@frb.gov NR 53 TC 2 Z9 2 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0038-4038 EI 2325-8012 J9 SOUTH ECON J JI South. Econ. J. PD OCT PY 2011 VL 78 IS 2 BP 330 EP 357 DI 10.4284/0038-4038-78.2.330 PG 28 WC Economics SC Business & Economics GA V38JK UT WOS:000209339500006 ER PT J AU Wang, PF Wen, Y AF Wang, Pengfei Wen, Yi TI Understanding the effects of technology shocks SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE RBC; Technology shocks; Aggregate production function; Entry and exit; Sticky prices; Demand rigidity; Business cycle ID BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; IMPROVEMENTS; EMPLOYMENT; DYNAMICS; MODEL; TIME AB The research led by Gall (AER 1999) and Basu et al. (AER 2006) raises two important questions regarding the validity of the RBC theory: (i) How important are technology shocks in explaining the business cycle? (ii) Do impulse responses to technology shocks found in the data reject the assumption of flexible prices? Using an RBC model, this paper argues that the conditional impulse responses of the U.S. economy to technology shocks are not grounds to reject the notion that technology shocks are the main driving force of the business cycle and the assumption of flexible prices, in contrast with the conclusions reached by the literature. Published by Elsevier Inc. C1 [Wen, Yi] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63144 USA. [Wang, Pengfei] Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China. [Wen, Yi] Tsinghua Univ, Beijing, Peoples R China. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63144 USA. EM yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016; OI Wen, Yi/0000-0001-5658-1578; Wang, Pengfei/0000-0002-8686-4787 NR 33 TC 7 Z9 7 U1 2 U2 14 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2011 VL 14 IS 4 BP 705 EP 724 DI 10.1016/j.red.2010.03.004 PG 20 WC Economics SC Business & Economics GA 819NL UT WOS:000294833500009 ER PT J AU Elsby, MWL Hobijn, B Sahin, A Valletta, RG AF Elsby, Michael W. L. Hobijn, Bart Sahin, Ayseguel Valletta, Robert G. TI The Labor Market in the Great Recession-An Update to September 2011 SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID UNEMPLOYMENT; JOB AB Since the end of the Great Recession in mid-2009, the unemployment rate has recovered slowly, falling by only 1 percentage point from its peak by September 2011. We find that the lackluster labor market recovery can be traced in large part to weakness in aggregate demand; only a small part seems attributable to increases in labor market frictions. This continued labor market weakness has led to the highest level of long-term unemployment in the postwar period and a blurring of the distinction between unemployment and nonparticipation in the labor force. We show that flows from nonparticipation to unemployment are important for understanding recent changes in the duration distribution of unemployment. Simulations that account for these flows suggest that the labor market is unlikely to be subject to high levels of structural long-term unemployment after aggregate demand recovers. C1 [Elsby, Michael W. L.] Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. [Hobijn, Bart; Valletta, Robert G.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. RP Elsby, MWL (reprint author), Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. NR 28 TC 14 Z9 14 U1 0 U2 5 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD FAL PY 2011 BP 353 EP 384 PG 32 WC Economics SC Business & Economics GA 935YD UT WOS:000303557200007 ER PT J AU Nalewaik, JJ AF Nalewaik, Jeremy J. TI The Income- and Expenditure-Side Estimates of US Output Growth-An Update to 2011Q2 SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article AB In light of recent large revisions to the official measures of U.S. output, this update reviews the evidence in my 2010 Brookings Paper showing that the income-side estimate of output (currently called gross domestic income, or GDI) likely captures business cycle fluctuations in true output better than its better-known expenditure-side counterpart (called gross domestic product, or GDP). Most notably, over the 2007-09 downturn, the revisions moved the expenditure-side estimates closer to the income-side estimates, which showed that the downturn was considerably worse than reported initially by the expenditure-side estimates. The tendency for the expenditure-side estimates to be revised toward the income-side estimates is clearer now, as is a tendency for the smoothed income-side estimates to be revised away from the smoothed expenditure-side estimates. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Nalewaik, JJ (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 5 TC 1 Z9 1 U1 0 U2 1 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD FAL PY 2011 BP 385 EP 411 PG 27 WC Economics SC Business & Economics GA 935YD UT WOS:000303557200008 ER PT J AU Furfine, CH Rosen, RJ AF Furfine, Craig H. Rosen, Richard J. TI Mergers increase default risk SO JOURNAL OF CORPORATE FINANCE LA English DT Article DE Mergers; Default risk; Asset diversification ID INFORMATION ASYMMETRY; FIRM PERFORMANCE; CEO COMPENSATION; ACQUIRER RETURNS; CORPORATE DEBT; BIDDING FIRMS; ACQUISITIONS; WEALTH; GAINS; STOCK AB We examine the impact of mergers on default risk. Despite the potential for asset diversification, we find that, on average, a merger increases the default risk of the acquiring firm. This result cannot solely be explained by the tendency for generally safe acquirers to purchase riskier targets or by the tendency of acquiring firms to increase leverage post-merger. Our evidence suggests that managerial motivations may play an important role. In particular, we find larger merger-related increases in risk at firms where CEOs have large option-based compensation, where recent stock performance is poor, and where idiosyncratic equity volatility is high. These results suggest that the increased default risk may arise from aggressive managerial actions affecting risk enough to outweigh the strong risk-reducing asset diversification expected from a typical merger. (C) 2011 Elsevier B.V. All rights reserved. C1 [Rosen, Richard J.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Furfine, Craig H.] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. RP Rosen, RJ (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM c-furfine@kellogg.northwestern.edu; rrosen@frbchi.org NR 52 TC 13 Z9 13 U1 4 U2 16 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0929-1199 J9 J CORP FINANC JI J. Corp. Financ. PD SEP PY 2011 VL 17 IS 4 BP 832 EP 849 DI 10.1016/j.jcorpfin.2011.03.003 PG 18 WC Business, Finance SC Business & Economics GA 926OS UT WOS:000302841300003 ER PT J AU Edge, RM Rudd, JB AF Edge, Rochelle M. Rudd, Jeremy B. TI General-equilibrium effects of investment tax incentives SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID FISCAL-POLICY; ADJUSTMENT COSTS; MODEL; LABOR AB A new-Keynesian model with a nominal tax system is developed and used to study the macroeconomic effects of temporary tax-based investment incentives. Two claims regarding the effects of these incentives are examined: first that they are overstated in partial-equilibrium frameworks: and second that repeated use of such incentives by policymakers can ultimately be destabilizing. The results contradict the first claim and imply that the second claim is not general. The model is also used to compute the predicted effects of an investment tax incentive that has figured prominently in recent fiscal stimulus packages. Published by Elsevier B.V. C1 [Edge, Rochelle M.; Rudd, Jeremy B.] Fed Reserve Board, Washington, DC 20551 USA. RP Edge, RM (reprint author), Fed Reserve Board, Mail Stop 155-C,20th & C St NW, Washington, DC 20551 USA. EM rochelle.m.edge@frb.gov NR 27 TC 2 Z9 2 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP-NOV PY 2011 VL 58 IS 6-8 BP 564 EP 577 DI 10.1016/j.jmoneco.2011.10.007 PG 14 WC Business, Finance; Economics SC Business & Economics GA 892BW UT WOS:000300262700003 ER PT J AU Boz, E Daude, C Durdu, CB AF Boz, Emine Daude, Christian Durdu, C. Bora TI Emerging market business cycles: Learning about the trend SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID SMALL OPEN-ECONOMY; TRANSITORY COMPONENTS; LABOR INCOME; PERMANENT; CRISES; DECOMPOSITION; FLUCTUATIONS; COUNTRIES; GROWTH; TRADE AB Emerging market business cycles feature a higher variability of consumption relative to output and a strongly countercyclical trade balance. An equilibrium business cycle model in which agents learn to distinguish between the permanent and transitory components of total factor productivity shocks using the Kalman filter accounts for these features. Calibrated to Mexico, the model accounts for the behavior of consumption and the trade balance for a wide range of variability and persistence of permanent shocks relative to transitory shocks. Estimation for Mexico and Canada suggests more severe informational frictions in emerging markets than in developed economies. Published by Elsevier B.V. C1 [Durdu, C. Bora] Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. [Boz, Emine] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. RP Durdu, CB (reprint author), Fed Reserve Board, Int Finance Div, 20 & C St NW,MS 20, Washington, DC 20551 USA. EM Bora.Durdu@frb.gov NR 29 TC 13 Z9 13 U1 3 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP-NOV PY 2011 VL 58 IS 6-8 BP 616 EP 631 DI 10.1016/j.jmoneco.2011.11.003 PG 16 WC Business, Finance; Economics SC Business & Economics GA 892BW UT WOS:000300262700007 ER PT J AU Costain, J Nakov, A AF Costain, James Nakov, Anton TI Distributional dynamics under smoothly state-dependent pricing SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID MONETARY-POLICY; MENU COSTS; PRICES; MODELS; RIGIDITIES; MONEY AB Starting from the assumption that firms are more likely to adjust their prices when doing so is more valuable, this paper analyzes monetary policy shocks in a DSGE model with firm-level heterogeneity. The model is calibrated to retail price microdata, and inflation responses are decomposed into "intensive", "extensive", and "selection" margins. Money growth and Taylor rule shocks both have nontrivial real effects, because the low state dependence implied by the data rules out the strong selection effect associated with fixed menu costs. The response to sector-specific shocks is gradual, but inappropriate econometrics might make it appear immediate. (C) 2011 Elsevier B.V. All rights reserved. C1 [Costain, James] Banco Espana, Madrid 28014, Spain. [Nakov, Anton] Fed Reserve Board, Washington, DC 20551 USA. RP Costain, J (reprint author), Banco Espana, Calle Alcala 48, Madrid 28014, Spain. EM james.costain@bde.es NR 29 TC 5 Z9 5 U1 0 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP-NOV PY 2011 VL 58 IS 6-8 BP 646 EP 665 DI 10.1016/j.jmoneco.2011.11.006 PG 20 WC Business, Finance; Economics SC Business & Economics GA 892BW UT WOS:000300262700009 ER PT J AU Liu, LQ Wang, L Wright, R AF Liu, Lucy Qian Wang, Liang Wright, Randall TI ON THE "HOT POTATO" EFFECT OF INFLATION: INTENSIVE VERSUS EXTENSIVE MARGINS SO MACROECONOMIC DYNAMICS LA English DT Article DE Search; Inflation; Velocity; Free Entry ID SEARCH EQUILIBRIUM; FIAT MONEY; PRICES; WELFARE; MODELS AB Conventional wisdom is that inflation makes people spend money faster, trying to get rid of it like a "hot potato," and this is a channel through which inflation affects velocity and welfare. Monetary theory with endogenous search intensity seems ideal for studying this. However, in standard models, inflation is a tax that lowers the surplus from monetary exchange and hence reduces search effort. We replace search intensity with a free entry (participation) decision for buyers-i.e., we focus on the extensive rather than intensive margin-and prove buyers always spend their money-faster when inflation increases. We also discuss welfare. C1 [Liu, Lucy Qian] Int Monetary Fund, Div C, MCD, Washington, DC 20431 USA. [Wang, Liang] Univ Hawaii Manoa, Honolulu, HI 96822 USA. [Wright, Randall] Univ Wisconsin, Madison, WI 53706 USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Liu, LQ (reprint author), Int Monetary Fund, Div C, MCD, HQ1-06-504,700 19th St NW, Washington, DC 20431 USA. EM QLIU3@imf.org NR 30 TC 6 Z9 6 U1 0 U2 3 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD SEP PY 2011 VL 15 SU 2 SI SI BP 191 EP 216 DI 10.1017/S1365100511000046 PG 26 WC Economics SC Business & Economics GA 881CN UT WOS:000299458200001 ER PT J AU Sanches, D Williamson, S AF Sanches, Daniel Williamson, Stephen TI ADVERSE SELECTION, SEGMENTED MARKETS, AND THE ROLE OF MONETARY POLICY SO MACROECONOMIC DYNAMICS LA English DT Article DE Asymmetric Information; Price Dispersion; Segmented Markets; Friedman Rule ID INFORMATION; MONEY AB A model is constructed in which trading partners are asymmetrically informed about future trading opportunities and spatial and informational frictions limit arbitrage between markets. These frictions create inefficiency relative to a full-information equilibrium, and the extent of this inefficiency is affected by monetary policy. A Friedman rule is optimal under a wide range of circumstances, including ones where segmented markets limit the extent of monetary policy intervention. C1 [Williamson, Stephen] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Williamson, Stephen] Fed Reserve Bank St Louis, St Louis, MO USA. [Sanches, Daniel] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Williamson, Stephen] Richmond Fed Reserve Bank, Richmond, VA USA. RP Williamson, S (reprint author), Washington Univ, Dept Econ, Campus Box 1208, St Louis, MO 63130 USA. EM swilliam@artsci.wustl.edu RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 6 TC 1 Z9 1 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD SEP PY 2011 VL 15 SU 2 SI SI BP 269 EP 292 DI 10.1017/S1365100510000635 PG 24 WC Economics SC Business & Economics GA 881CN UT WOS:000299458200004 ER PT J AU Waller, CJ AF Waller, Christopher J. TI RANDOM MATCHING AND MONEY IN THE NEOCLASSICAL GROWTH MODEL: SOME ANALYTICAL RESULTS SO MACROECONOMIC DYNAMICS LA English DT Article DE Growth; Money; Search ID ECONOMIC-GROWTH; INFLATION; SEARCH; POLICY AB I use the monetary version of the neoclassical growth model developed by Aruoba, Waller, and Wright [Journal of Monetary Economics (2011)] to study the properties of the model when there is exogenous growth. I first consider the planner's problem, and then the equilibrium outcome in a monetary economy. I do so by first using proportional bargaining to determine the terms of trade and then considering competitive price taking. I obtain closed-form solutions for all variables along the balanced growth path in all cases. I then derive closed-form solutions for the transition paths under the assumption of full depreciation and, in the monetary economy, a particular nonstationary interest rate policy. The key result is that inflation is damaging to per capita income levels along the balanced growth path and to short-run growth of the economy. C1 [Waller, Christopher J.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Waller, Christopher J.] Univ Notre Dame, Notre Dame, IN 46556 USA. RP Waller, CJ (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM cwaller@stls.frb.org RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 19 TC 6 Z9 6 U1 0 U2 3 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD SEP PY 2011 VL 15 SU 2 SI SI BP 293 EP 312 DI 10.1017/S1365100510000726 PG 20 WC Economics SC Business & Economics GA 881CN UT WOS:000299458200005 ER PT J AU Nosal, E AF Nosal, Ed TI SEARCH, WELFARE, AND THE "HOT POTATO" EFFECT OF INFLATION SO MACROECONOMIC DYNAMICS LA English DT Article DE Hot Potato Effect; Inflation; Welfare AB An increase in inflation causes people to hold smaller real balances and to speed up their spending. Virtually all monetary models capture the first-inflation tax-effect. Few capture the second-hot potato-effect. Those that do associate negative welfare consequences with the hot potato effect. Because both the inflation tax and the hot potato effect imply that inflation has negative effects on welfare, an optimal monetary policy is characterized by the Friedman rule. In the model presented here, there is a hot potato effect, but-all else held constant-the hot potato effect has positive consequences for welfare. As a result, a departure from the Friedman rule can be socially desirable. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. RP Nosal, E (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S La Salle St, Chicago, IL 60604 USA. EM ed.nosal@chi.frb.org NR 8 TC 3 Z9 3 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD SEP PY 2011 VL 15 SU 2 SI SI BP 313 EP 326 DI 10.1017/S1365100510001033 PG 14 WC Economics SC Business & Economics GA 881CN UT WOS:000299458200006 ER PT J AU Scotti, C AF Scotti, Chiara TI A Bivariate Model of Federal Reserve and ECB Main Policy Rates SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID OPTIMAL MONETARY-POLICY; REAL-TIME DATA; EXCHANGE-RATE; TARGET; RULES AB This paper studies when and by how much the Federal Reserve and the European Central Bank change their target interest rates. I develop a new non-linear bivariate framework, which allows for elaborate dynamics and potential interdependence between the two countries, as opposed to linear feedback rules, such as a Taylor rule, and I use a novel real-time data set. Although the data sample is inherently small, through a Bayesian estimation approach, I find some evidence in favor of timing synchronization between central banks and against the hypothesis of follower behaviors. Results for the magnitude model support zero correlation in the size of the target rate changes. Institutional factors and inflation represent relevant variables for both timing and magnitude decisions, while output plays a secondary role. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Scotti, C (reprint author), Fed Reserve Board, Mail Stop 18, Washington, DC 20551 USA. EM chiara.scotti@frb.gov NR 26 TC 4 Z9 4 U1 0 U2 4 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD SEP PY 2011 VL 7 IS 3 BP 37 EP 78 PG 42 WC Business, Finance SC Business & Economics GA 858HP UT WOS:000297786900002 ER PT J AU Waller, CJ AF Waller, Christopher J. TI Independence plus Accountability: Why the Fed Is a Well-Designed Central Bank SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB In 1913, Congress purposefully created the Federal Reserve as an independent central bank, which created a fundamental tension: how to ensure the Fed remains accountable to the electorate without losing its independence. Over the years, there have been changes in the Fed's structure to improve its independence, credibility, accountability, and transparency. These changes have led to a better institutional design that makes U.S. policy credible and based on sound economic reasoning, as opposed to politics. In times of financial and economic crisis, there is an understandable tendency to reexamine the structure of the Federal Reserve System. A central bank's independence, however, is the key tool to ensure a government will not misuse monetary policy for short-term political reasons. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Waller, CJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 6 TC 2 Z9 2 U1 1 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2011 VL 93 IS 5 BP 293 EP 301 PG 9 WC Business, Finance; Economics SC Business & Economics GA 827JQ UT WOS:000295425200001 ER PT J AU Neely, CJ AF Neely, Christopher J. TI A Foreign Exchange Intervention in an Era of Restraint SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID CENTRAL BANK INTERVENTION; FUTURE MONETARY-POLICY; MARKET; DOLLAR; SIGNAL; VOLATILITY AB The Japanese yen appreciated strongly and rapidly against other major currencies in the wake of the massive March 11, 2011, Tohoku earthquake. High volatility and disorder in financial markets prompted the G-7 authorities to jointly intervene to weaken the yen. This episode resembled the two most recent G-7 coordinated interventions: the June 1998 effort to strengthen the yen and the September 2000 effort to strengthen the euro. Exchange rates reacted strongly and quickly to these three interventions, moving 3 to 4 percent in the desired direction within 30 minutes of the announcement and exhibiting lower volatility in the following days. G-7 authorities have used intervention very sparingly since 1995, yet the March 2011 policy action is a reminder that it can be used to calm markets and move the exchange rate in the desired direction. Intervention has become much less common but more successful. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 45 TC 12 Z9 12 U1 0 U2 6 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2011 VL 93 IS 5 BP 303 EP 324 PG 22 WC Business, Finance; Economics SC Business & Economics GA 827JQ UT WOS:000295425200002 ER PT J AU Anderson, RG Jones, BE AF Anderson, Richard G. Jones, Barry E. TI A Comprehensive Revision of the US Monetary Services (Divisia) Indexes SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID SWEEP PROGRAMS; MONEY; AGGREGATION; DEMAND; INFLATION; WELFARE; UK AB The authors introduce a comprehensive revision of the Divisia monetary aggregates for the United States published by the Federal Reserve Bank of St. Louis, referred to as the Monetary Services Indexes (MSI). These revised MSI are available at five levels of aggregation, including a new broad level of aggregation that includes all of the assets currently reported on the Federal Reserve's H.6 statistical release. Several aspects of the new MS] differ from those previously published. One such change is that the checkable and savings deposit components of the MSI are now adjusted for the effects of retail sweep programs, beginning in 1994. Another change is that alternative MSI are provided using two alternative benchmark rates. In addition, the authors have simplified the procedure used to construct the own rate of return for small-denomination time deposits and have discontinued the previous practice of applying an implicit return to some or all demand deposits. The revised indexes begin in 1967 rather than 1960 because of data limitations. C1 [Anderson, Richard G.] Fed Reserve Bank St Louis, St Louis, MO USA. [Jones, Barry E.] SUNY Binghamton, Binghamton, NY 13902 USA. Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN USA. Lund Univ, Dept Econ, S-22100 Lund, Sweden. RP Anderson, RG (reprint author), Univ Sheffield, Sch Management, Sheffield S10 2TN, S Yorkshire, England. NR 62 TC 12 Z9 12 U1 4 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2011 VL 93 IS 5 BP 325 EP 358 PG 34 WC Business, Finance; Economics SC Business & Economics GA 827JQ UT WOS:000295425200003 ER PT J AU Neely, CJ AF Neely, Christopher J. TI A Survey of Announcement Effects on Foreign Exchange Volatility and Jumps SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PUBLIC INFORMATION ARRIVAL; TIME PRICE DISCOVERY; MACROECONOMIC ANNOUNCEMENTS; INTEREST-RATES; ECONOMIC-NEWS; METEOR-SHOWERS; DEUTSCHE MARK; STOCK-PRICES; HEAT WAVES; INTRADAY AB This article reviews, evaluates, and links research that studies foreign exchange volatility reaction to macro announcements. Scheduled and unscheduled news typically raises volatility for about an hour and often causes price discontinuities or jumps. News contributes substantially to volatility but other factors contribute even more to periodic volatility. The same types of news that affect returns-payrolls, trade balance, and interest rate shocks-are also the most likely to affect volatility, and U.S. news tends to produce more volatility than foreign news. Recent research has linked news to volatility through the former's effect on order flow. Empirical research has confirmed the predictions of microstructure theory on how volatility might depend on a number of factors: the precision of the information in the news, the state of the business cycle, and the heterogeneity of traders' beliefs. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 82 TC 7 Z9 7 U1 1 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2011 VL 93 IS 5 BP 361 EP 384 PG 24 WC Business, Finance; Economics SC Business & Economics GA 827JQ UT WOS:000295425200004 ER PT J AU Barseghyan, L DiCecio, R AF Barseghyan, Levon DiCecio, Riccardo TI Entry costs, industry structure, and cross-country income and TFP differences SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Entry costs; TFP; Industry structure ID SUNK COSTS; PRODUCTIVITY; VARIABILITY; EQUILIBRIUM; INVESTMENT; TURNOVER; DYNAMICS; TAXES; FIRMS; EXIT AB Entry costs vary dramatically across countries. To assess their impact on cross-country differences in output and TFP, we construct a model with endogenous entry and operation decisions by firms. We calibrate the model to match the U.S. distribution of employment and firms by size. Higher entry costs lead to greater misallocation of productive factors and lower TFP and output. In the model, countries in the lowest decile of the entry costs distribution have 1.32 to 1.45 times higher TFP and 1.52 to 1.75 times higher output per worker than countries in the highest decile. As in the data, higher entry costs are associated with lower entry rates and business density. (C) 2011 Elsevier Inc. All rights reserved. C1 [Barseghyan, Levon] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA. [DiCecio, Riccardo] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Barseghyan, L (reprint author), Cornell Univ, Dept Econ, 456 Uris Hall, Ithaca, NY 14853 USA. EM lb247@cornell.edu; dicecio@stls.frb.org RI DiCecio, Riccardo/K-6861-2016 OI DiCecio, Riccardo/0000-0002-3288-8396 NR 50 TC 27 Z9 27 U1 3 U2 25 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2011 VL 146 IS 5 BP 1828 EP 1851 DI 10.1016/j.jet.2011.05.010 PG 24 WC Economics SC Business & Economics GA 831UA UT WOS:000295755400004 ER PT J AU Berentsen, A Waller, C AF Berentsen, Aleksander Waller, Christopher TI Outside versus inside bonds: A Modigliani-Miller type result for liquidity constrained economies SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Liquidity; Financial markets; Monetary policy; Search ID NOMINAL BONDS; MONEY; CREDIT; EFFICIENCY; MODEL; DEBT AB When agents are liquidity constrained, two options exist sell assets or borrow. We compare the allocations arising in two economies: in one, agents can sell government (outside) bonds and in the other they can borrow by issuing (inside) bonds. All transactions are voluntary, implying no taxation or forced redemption of private debt. We show that any allocation in the economy with inside bonds can be replicated in the economy with outside bonds but that the converse is not true. However, the optimal policy in each economy makes the allocations equivalent. (C) 2011 Elsevier Inc. All rights reserved. C1 [Waller, Christopher] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Berentsen, Aleksander] Univ Basel, CH-4003 Basel, Switzerland. [Waller, Christopher] Univ Notre Dame, Notre Dame, IN 46556 USA. RP Waller, C (reprint author), Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. EM aleksander.berentsen@unibas.ch; cwaller@stls.frb.org RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 24 TC 9 Z9 9 U1 1 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2011 VL 146 IS 5 BP 1852 EP 1887 DI 10.1016/j.jet.2011.06.016 PG 36 WC Economics SC Business & Economics GA 831UA UT WOS:000295755400005 ER PT J AU Sanches, D AF Sanches, Daniel TI A dynamic model of unsecured credit SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Unsecured loans; Dynamic contracting; Delayed settlement; Debt forgiveness; Initial cost of lending ID ONE-SIDED COMMITMENT; PRIVATE-INFORMATION; INSURANCE; MONEY; DEBT AB We study the terms of credit in a competitive market in which sellers (lenders) are willing to repeatedly finance the purchases of buyers (borrowers) by engaging in a credit relationship. The key frictions are: (i) the lender cannot observe the borrower's ability to repay a loan; (ii) the borrower cannot commit to any long-term contract; (iii) it is costly for the lender to contact a borrower and to walk away from a contract; and (iv) transactions within each credit relationship are not publicly observable. The lender's optimal contract has two key properties: delayed settlement and debt forgiveness. Finally, we study the impact of changes in the initial cost of lending on the contract terms. Published by Elsevier Inc. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Sanches, D (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Daniel.Sanches@phil.frb.org NR 27 TC 1 Z9 1 U1 1 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2011 VL 146 IS 5 BP 1941 EP 1964 DI 10.1016/j.jet.2011.05.016 PG 24 WC Economics SC Business & Economics GA 831UA UT WOS:000295755400008 ER PT J AU Durdu, CB AF Durdu, C. Bora TI Emerging Markets: Resilience and Growth amid Global Turmoil SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Book Review ID BUSINESS CYCLES; FINANCIAL INTEGRATION; VOLATILITY C1 [Durdu, C. Bora] Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA. RP Durdu, CB (reprint author), Fed Reserve Syst, Board Governors, Int Finance Div, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM bora.durdu@frb.gov NR 14 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD SEP PY 2011 VL 85 IS 1 BP 160 EP 162 DI 10.1016/j.jinteco.2011.05.009 PG 3 WC Economics SC Business & Economics GA 827PW UT WOS:000295441400014 ER PT J AU Carvalho, C Klagge, N Moench, E AF Carvalho, Carlos Klagge, Nicholas Moench, Emanuel TI The persistent effects of a false news shock SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE False news; Natural experiment; United Airlines; Noise; Market efficiency AB In September 2008, a six-year-old article about the 2002 bankruptcy of United Airlines' parent company resurfaced on the Internet and was mistakenly believed to be reporting a new bankruptcy filing by the company. This episode caused the company's stock price to drop by as much as 76% in just a few minutes, before NASDAQ halted trading. After the "news" had been identified as false, the stock price rebounded, but still ended the day 11.2% below the previous close. We explore this natural experiment by using a simple asset-pricing model to study the aftermath of this false news shock. We find that, after three trading sessions, the company's stock was still trading below the two-standard-deviation band implied by the model and that it returned to within one standard deviation only during the sixth trading session. On the seventh day after the episode, the stock was trading at the level predicted by the asset-pricing model. We investigate several potential explanations for this finding, but fail to find empirical evidence supporting any of them. We also document that the false news shock had a persistent negative effect on the stock prices of other major airline companies. This is consistent with the view that contagion effects would have dominated competitive effects had the bankruptcy actually taken place. (C) 2011 Elsevier B.V. All rights reserved. C1 [Carvalho, Carlos] PUC Rio, Rio De Janeiro, Brazil. [Klagge, Nicholas; Moench, Emanuel] Fed Reserve Bank New York, New York, NY USA. RP Carvalho, C (reprint author), PUC Rio, Rio De Janeiro, Brazil. EM cvianac@econ.puc-rio.br; nicholas.klagge@ny.frb.org; emanuel.moench@ny.frb.org NR 15 TC 5 Z9 5 U1 1 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 J9 J EMPIR FINANC JI J. Empir. Financ. PD SEP PY 2011 VL 18 IS 4 BP 597 EP 615 DI 10.1016/j.jempfin.2011.03.003 PG 19 WC Business, Finance; Economics SC Business & Economics GA 825QQ UT WOS:000295297600004 ER PT J AU Aldrich, EM Gallant, AR AF Aldrich, Eric M. Gallant, A. Ronald TI Habit, Long-Run Risks, Prospect? A Statistical Inquiry SO JOURNAL OF FINANCIAL ECONOMETRICS LA English DT Article DE asset pricing; habit; long-run risks; prospect theory; statistical tests; E00; G12; C51; C52 ID MODELS AB We use recently proposed Bayesian statistical methods to compare the habit persistence asset pricing model of Campbell and Cochrane, the long-run risks model of Bansal and Yaron, and the prospect theory model of Barberis, Huang, and Santos. We improve these Bayesian methods so that they can accommodate highly nonlinear models such as the three aforementioned. Our substantive results can be stated succinctly: If one believes that the extreme consumption fluctuations of 1930-1949 can recur, although they have not in the last sixty years even counting the current recession, then the long-run risks model is preferred. Otherwise, the habit model is preferred. C1 [Gallant, A. Ronald] Duke Univ, Fuqua Sch Business, Durham, NC 27708 USA. [Gallant, A. Ronald] NYU, Dept Econ, New York, NY 10003 USA. [Aldrich, Eric M.] Duke Univ, Dept Econ, Durham, NC 27708 USA. [Aldrich, Eric M.] Fed Reserve Bank Atlanta, Div Res, Atlanta, GA USA. RP Gallant, AR (reprint author), Duke Univ, Fuqua Sch Business, DUMC 90120, Durham, NC 27708 USA. EM aronldg@gmail.com NR 16 TC 2 Z9 2 U1 0 U2 3 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1479-8409 J9 J FINANC ECONOMET JI J. Financ. Econom. PD FAL PY 2011 VL 9 IS 4 BP 589 EP 618 DI 10.1093/jjfinec/nbq034 PG 30 WC Business, Finance; Economics SC Business & Economics GA 824AQ UT WOS:000295171500001 ER PT J AU Lahaye, J Laurent, S Neely, CJ AF Lahaye, Jerome Laurent, Sebastien Neely, Christopher J. TI JUMPS, COJUMPS AND MACRO ANNOUNCEMENTS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID TIME PRICE DISCOVERY; FOREIGN-EXCHANGE; BUSINESS CYCLES; BOND PRICES; BAD-NEWS; VOLATILITY; INFORMATION; MARKETS; DYNAMICS; PATTERNS AB We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics of these discontinuities and informally relate them to US macroeconomic releases before using limited dependent variable models to formally model how news surprises explain (co) jumps. Nonfarm payroll and federal funds target announcements are the most important news across asset classes. Trade balance shocks are important for foreign exchange jumps. We relate the size, frequency and timing of jumps across asset classes to the likely sources of shocks and the relation of asset prices to fundamentals in the respective classes. Copyright. (C) 2010 John Wiley & Sons, Ltd. C1 [Lahaye, Jerome] Univ Lausanne, Dept Finance & Insurance, Ecole HEC, Fac Business & Econ, CH-1015 Lausanne, Switzerland. [Lahaye, Jerome; Laurent, Sebastien] Univ Namur, CeReFiM, Namur, Belgium. [Laurent, Sebastien] Catholic Univ Louvain, CORE, Louvain, Belgium. [Laurent, Sebastien] Maastricht Univ, Sch Business & Econ, Maastricht, Netherlands. [Neely, Christopher J.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO USA. RP Lahaye, J (reprint author), Univ Lausanne, Dept Finance & Insurance, Ecole HEC, Fac Business & Econ, CH-1015 Lausanne, Switzerland. EM jerome.lahaye@unil.ch RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 35 TC 44 Z9 45 U1 5 U2 10 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD SEP-OCT PY 2011 VL 26 IS 6 BP 893 EP 921 DI 10.1002/jae.1149 PG 29 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 823RI UT WOS:000295141200001 ER PT J AU Dunne, T AF Dunne, Timothy TI Wage Structures, Employment Adjustments and Globalization: Evidence from Linked and Firm-Level Panel Data SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 [Dunne, Timothy] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Dunne, T (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 1 TC 0 Z9 0 U1 1 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD SEP PY 2011 VL 49 IS 3 BP 760 EP 762 PG 3 WC Economics SC Business & Economics GA 822WV UT WOS:000295082100023 ER PT J AU Carroll, DR Young, ER AF Carroll, Daniel R. Young, Eric R. TI The long run effects of changes in tax progressivity SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Workshop on Growth, Dynamics, and Economic Policy in honor of Stephen J Turnovsky CY MAY 20-22, 2010 CL Inst Adv Studies (IHS), Vienna, AUSTRIA SP Soc Computat Econom, Austrian Fed Minist Sci HO Inst Adv Studies (IHS) DE Heterogeneity; Progressive taxation; Inequality ID WEALTH INEQUALITY; EQUILIBRIUM; TAXATION AB This paper compares the steady-state outcomes of revenue-neutral changes to the progressivity of the tax schedule. Our economy features heterogeneous households who differ in their preferences and permanent labor productivities, but it does not have idiosyncratic risk. We find that increases in the progressivity of the tax schedule are associated with long-run distributions with greater aggregate income, wealth, and labor input. Average hours generally declines as the tax schedule becomes more progressive implying that the economy substitutes away from less-productive workers toward more-productive workers. Finally, as progressivity increases, income inequality is reduced and wealth inequality rises. Many of these results are qualitatively different than those found in models with idiosyncratic risk, and therefore suggest closer attention should be paid to modeling the insurance opportunities of households. (C) 2011 Elsevier B.V. All rights reserved. C1 [Carroll, Daniel R.] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. [Young, Eric R.] Univ Virginia, Dept Econ, Charlottesville, VA 22903 USA. RP Carroll, DR (reprint author), Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. EM dcarroll@clev.frb.org; ey2d@virginia.edu NR 23 TC 4 Z9 4 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD SEP PY 2011 VL 35 IS 9 SI SI BP 1451 EP 1473 DI 10.1016/j.jedc.2011.06.004 PG 23 WC Economics SC Business & Economics GA 820DE UT WOS:000294884900006 ER PT J AU Hotchkiss, JL Pitts, MM Walker, MB AF Hotchkiss, Julie L. Pitts, M. Melinda Walker, Mary Beth TI Labor force exit decisions of new mothers SO REVIEW OF ECONOMICS OF THE HOUSEHOLD LA English DT Article DE Labor force participation; Labor supply; Labor market exit decisions; Opt out; Administrative data ID PARENTAL LEAVE; UNITED-STATES; 1ST BIRTH; WORK; CHILDBIRTH; EMPLOYMENT; RETURN; PROGRAMS; MEDICAID; GERMANY AB Using unique administrative data from the state of Georgia, this paper investigates women's decisions to exit the labor market upon the birth of a child. Exits rates and their changes over time varies dramatically between married and single women giving birth. Only the pattern among single, less educated women can be considered consistent with changing labor force participation rates of women over the period of analysis. Potential policy implications of these changes are discussed. C1 [Hotchkiss, Julie L.; Pitts, M. Melinda] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Walker, Mary Beth] Georgia State Univ, Dept Econ, Andrew Young Sch Policy Studies, Atlanta, GA 30302 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Julie.L.Hotchkiss@atl.frb.org; Melinda.Pitts@atl.frb.org; mbwalker@gsu.edu NR 36 TC 4 Z9 4 U1 1 U2 9 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 1569-5239 J9 REV ECON HOUSEHOLD JI Rev. Econ. Househ. PD SEP PY 2011 VL 9 IS 3 BP 397 EP 414 DI 10.1007/s11150-010-9114-1 PG 18 WC Economics SC Business & Economics GA 809OR UT WOS:000294067100005 ER PT J AU Ghent, AC Kudlyak, M AF Ghent, Andra C. Kudlyak, Marianna TI Recourse and Residential Mortgage Default: Evidence from US States SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID FORECLOSURE; EXERCISE AB We quantify the effect of recourse on default and find that recourse affects default by lowering the borrower's sensitivity to negative equity. At the mean value of the default option for defaulted loans, borrowers are 30% more likely to default in non-recourse states. Furthermore, for homes appraised at $500,000 to $750,000, borrowers are twice as likely to default in non-recourse states. We also find that defaults are more likely to occur through a lender-friendly procedure, such as a deed in lieu, in states that allow deficiency judgments. We find no evidence that mortgage interest rates are lower in recourse states. (JEL E44, G21, G28, K11, R20) C1 [Ghent, Andra C.] CUNY, Baruch Coll, Dept Real Estate, New York, NY 10010 USA. [Kudlyak, Marianna] Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Ghent, AC (reprint author), CUNY, Baruch Coll, Dept Real Estate, 137 E 22nd St,Rm 406, New York, NY 10010 USA. EM andra.ghent@baruch.cuny.edu NR 26 TC 53 Z9 53 U1 1 U2 14 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD SEP PY 2011 VL 24 IS 9 BP 3139 EP 3186 DI 10.1093/rfs/hhr055 PG 48 WC Business, Finance; Economics SC Business & Economics GA 810KL UT WOS:000294124100009 ER PT J AU Christensen, JHE Diebold, FX Rudebusch, GD AF Christensen, Jens H. E. Diebold, Francis X. Rudebusch, Glenn D. TI The affine arbitrage-free class of Nelson-Siegel term structure models SO JOURNAL OF ECONOMETRICS LA English DT Article DE Yield curve; Interest rate; Bond market; Factor model; Forecasting ID BOND YIELDS; INTEREST-RATES; CURVE; PREMIA AB We derive the class of affine arbitrage-free dynamic term structure models that approximate the widely used Nelson-Siegel yield curve specification. These arbitrage-free Nelson-Siegel (AFNS) models can be expressed as slightly restricted versions of the canonical representation of the three-factor affine arbitrage-free model. Imposing the Nelson-Siegel structure on the canonical model greatly facilitates estimation and can improve predictive performance. In the future, AFNS models appear likely to be a useful workhorse representation for term structure research. (C) 2011 Elsevier B.V. All rights reserved. C1 [Christensen, Jens H. E.; Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Diebold, Francis X.] Univ Penn, Philadelphia, PA 19104 USA. [Diebold, Francis X.] NBER, Cambridge, MA 02138 USA. RP Diebold, FX (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM fdiebold@sas.upenn.edu NR 35 TC 51 Z9 53 U1 4 U2 10 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD SEP 1 PY 2011 VL 164 IS 1 BP 4 EP 20 DI 10.1016/j.jeconom.2011.02.011 PG 17 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 809FG UT WOS:000294036600002 ER PT J AU Juvenal, L AF Juvenal, Luciana TI Sources of exchange rate fluctuations: Are they real or nominal? SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Exchange Rates; Real Shocks; Monetary Shocks; Vector autoregression; Sign restrictions ID STICKY PRICE MODELS; MONETARY-POLICY; EMPIRICAL-EVIDENCE; TIME-SERIES; SHOCKS; HYPOTHESIS; IDENTIFICATION; PRODUCTIVITY; DISTURBANCES; COUNTRIES AB I analyze the role of real and monetary shocks on exchange rate behavior using a structural vector autoregressive model of the US vis-A-vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These restrictions are derived from the predictions of a two-country DSGE model. I find that monetary shocks are unimportant in explaining exchange rate fluctuations. By contrast, demand shocks explain between 21% and 37% of exchange rate variance at 4-quarter and 20-quarter horizons, respectively. The contribution of demand shocks plays an important role but not of the order of magnitude sometimes found in earlier studies. My results, however, support the recent focus of the literature on real shocks to match the empirical properties of real exchange rates. (C) 2011 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63106 USA. RP Juvenal, L (reprint author), Fed Reserve Bank St Louis, 1421 Dr Martin Luther King Dr, St Louis, MO 63106 USA. EM Luciana.juvenal@stls.frb.org NR 37 TC 7 Z9 7 U1 1 U2 3 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD SEP PY 2011 VL 30 IS 5 BP 849 EP 876 DI 10.1016/j.jimonfin.2011.05.007 PG 28 WC Business, Finance SC Business & Economics GA 809XA UT WOS:000294088800009 ER PT J AU Rose, JD AF Rose, Jonathan D. TI The Incredible HOLC? Mortgage Relief during the Great Depression SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE mortgage modification; Great Depression; Home Owners' Loan Corporation ID OWNERS-LOAN-CORPORATION; HOME AB This paper examines the relief provided by the Home Owners' Loan Corporation (HOLC), a New Deal program that purchased and refinanced over 1 million distressed residential mortgages. I document that the HOLC paid relatively high prices for its mortgages, most likely in an effort to encourage lender participation and stimulate the housing market. The consequence was that lenders were able to remove poorly performing assets from their balance sheets at attractive prices. While this meant the HOLC's ability to seek principal reductions was somewhat limited, borrowers still received significant relief through the terms of the HOLC's more modern and forgiving mortgage contracts. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Rose, JD (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. EM jonathan.d.rose@frb.gov NR 37 TC 3 Z9 3 U1 2 U2 8 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2011 VL 43 IS 6 BP 1073 EP 1107 DI 10.1111/j.1538-4616.2011.00418.x PG 35 WC Business, Finance; Economics SC Business & Economics GA 808MK UT WOS:000293981600002 ER PT J AU Stewart, RT AF Stewart, R. T. TI A profit-based scoring system in consumer credit: making acquisition decisions for credit cards SO JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY LA English DT Article DE finance; banking; consumer credit; credit scoring; risk; multi-objective ID PROFITABILITY AB Consumer credit scoring is one of the most successful applications of quantitative analysis in business with nearly every major lender using charge-off models to make decisions. Yet banks do not extend credit to control charge-off, but to secure profit. So, while charge-off models work well in rank-ordering the loan default costs associated with lending and are ubiquitous throughout the industry, the equivalent models on the revenue side are not being used despite the need. This paper outlines a profit-based scoring system for credit cards to be used for acquisition decisions by addressing three issues. First, the paper explains why credit card profit models as opposed to cost or charge-off models have been difficult to build and implement. Second, a methodology for modelling revenue on credit cards at application is proposed. Finally, acquisition strategies are explored that use both a spend model and a charge-off model to balance tradeoffs between charge-off, revenue, and volume. Journal of the Operational Research Society (2011) 62, 1719-1725. doi:10.1057/jors.2010.135 Published online 6 October 2010 C1 [Stewart, R. T.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Stewart, RT (reprint author), 450 W,Briar Pl 3B, Chicago, IL 60657 USA. EM rtstewart@hotmail.com NR 14 TC 4 Z9 4 U1 5 U2 14 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 0160-5682 J9 J OPER RES SOC JI J. Oper. Res. Soc. PD SEP PY 2011 VL 62 IS 9 BP 1719 EP 1725 DI 10.1057/jors.2010.135 PG 7 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 806HY UT WOS:000293798100010 ER PT J AU Ackert, LF Gillette, AB Martinez-Vazquez, J Rider, M AF Ackert, Lucy F. Gillette, Ann B. Martinez-Vazquez, Jorge Rider, Mark TI Are benevolent dictators altruistic in groups? A within-subject design SO EXPERIMENTAL ECONOMICS LA English DT Article DE Equity; Social preferences; Optimal taxation ID INEQUALITY AVERSION; MAXIMIN PREFERENCES; FAIRNESS; RECIPROCITY; ENTITLEMENTS; COMPETITION; EFFICIENCY AB We use a within-subject experimental design to investigate whether systematic relationships exist across distinct features of individual preferences: altruism in a two-person context, risk aversion in monetary outcomes, and social preferences in a group context. We find that altruism is related to demographic variables, including years of education, gender, and age. Perhaps most importantly, self allocation in a two-person dictator game is related to social preferences in a group context. Participants who are more generous in a dictator game are more likely to vote against their self-interest in a group tax redistribution game which we interpret to be an expression of social preferences. C1 [Ackert, Lucy F.] Kennesaw State Univ, Michael J Coles Coll Business, Dept Econ & Finance, Kennesaw, GA 30144 USA. [Ackert, Lucy F.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Martinez-Vazquez, Jorge] Georgia State Univ, Andrew Young Sch Policy Studies, Dept Econ, Atlanta, GA 30303 USA. RP Ackert, LF (reprint author), Kennesaw State Univ, Michael J Coles Coll Business, Dept Econ & Finance, 1000 Chastain Rd, Kennesaw, GA 30144 USA. EM lackert@kennesaw.edu; agillet1@kennesaw.edu; jorgemartinez@gsu.edu; mrider@gsu.edu NR 27 TC 1 Z9 1 U1 2 U2 14 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 1386-4157 J9 EXP ECON JI Exp. Econ. PD SEP PY 2011 VL 14 IS 3 BP 307 EP 321 DI 10.1007/s10683-010-9269-x PG 15 WC Economics SC Business & Economics GA 798EW UT WOS:000293186400002 ER PT J AU Abreu, M Mendes, V Santos, JAC AF Abreu, Margarida Mendes, Victor Santos, Joao A. C. TI Home country bias: Does domestic experience help investors enter foreign markets? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Learning; Home country bias; Duration analysis ID COMMON-STOCK INVESTMENT; INTERNATIONAL DIVERSIFICATION; INDIVIDUAL INVESTORS; PORTFOLIOS; PUZZLE AB This paper investigates the dynamics of individuals' investments leading up to their decision to make the first investment abroad. We show that investors first invest in domestic securities and only some time later they invest abroad in foreign securities. We also show that investors who trade more often in the domestic market start to invest abroad earlier. Our findings suggest that the experience investors acquire while they trade in the domestic market is a key reason why active investors enter the foreign market earlier. A reason is that highly educated investors as well as investors with more financial knowledge, arguably those for whom learning by trading is the least important, do not need to trade as much in the domestic market before they start investing in foreign securities. Another reason is that investors who start investing in foreign securities are able to improve on their performance afterwards. This improvement in performance constitutes further evidence that the home country bias is costly. (C) 2011 Elsevier B.V. All rights reserved. C1 [Mendes, Victor] CMVM Portuguese Secur Commiss, P-1250 Lisbon, Portugal. [Abreu, Margarida] Inst Super Econ & Gestao, P-1200 Lisbon, Portugal. [Santos, Joao A. C.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Mendes, V (reprint author), CMVM Portuguese Secur Commiss, Ave Liberdade 252, P-1250 Lisbon, Portugal. EM mabreu@iseg.utl.pt; victormendes@cmvm.pt; joao.santos@ny.frb.org RI nipe, cef/A-4218-2010; OI Abreu, Margarida/0000-0002-1948-6229; Mendes, Victor/0000-0001-6736-9791; santos, joao/0000-0002-6002-5969 NR 29 TC 3 Z9 3 U1 1 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD SEP PY 2011 VL 35 IS 9 BP 2330 EP 2340 DI 10.1016/j.jbankfin.2011.01.032 PG 11 WC Business, Finance; Economics SC Business & Economics GA 799UD UT WOS:000293310700012 ER PT J AU Benzoni, L Collin-Dufresne, P Goldstein, RS AF Benzoni, Luca Collin-Dufresne, Pierre Goldstein, Robert S. TI Explaining asset pricing puzzles associated with the 1987 market crash SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Volatility smile; Volatility smirk; Implied volatility; Option pricing; Portfolio insurance ID STOCHASTIC DIFFERENTIAL UTILITY; EXPECTED STOCK RETURNS; RISK-AVERSION; OPTION PRICES; INTERTEMPORAL SUBSTITUTION; INCOMPLETE MARKETS; EQUILIBRIUM-MODEL; PORTFOLIO CHOICE; VOLATILITY; CONSUMPTION AB The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic uncertainty are subject to rare jumps. The arrival of a jump triggers the updating of agents' beliefs about the likelihood of future jumps, which produces a market crash and a permanent shift in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features of individual stock options, equity returns, and interest rates. (C) 2011 Elsevier B.V. All rights reserved. C1 [Goldstein, Robert S.] Univ Minnesota, Carlson Sch Management, Minneapolis, MN 55455 USA. [Benzoni, Luca] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Collin-Dufresne, Pierre] Columbia Business Sch, New York, NY 10027 USA. [Collin-Dufresne, Pierre; Goldstein, Robert S.] NBER, Cambridge, MA 02138 USA. RP Goldstein, RS (reprint author), Univ Minnesota, Carlson Sch Management, 321 19th Ave S, Minneapolis, MN 55455 USA. EM lbenzoni@frbchi.org; pc2415@columbia.edu; golds144@umn.edu NR 81 TC 24 Z9 24 U1 3 U2 21 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD SEP PY 2011 VL 101 IS 3 BP 552 EP 573 DI 10.1016/j.jfineco.2011.01.008 PG 22 WC Business, Finance; Economics SC Business & Economics GA 800MY UT WOS:000293366200004 ER PT J AU Guasoni, P Huberman, G Wang, ZY AF Guasoni, Paolo Huberman, Gur Wang, Zhenyu TI Performance maximization of actively managed funds SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Fund performance; Alpha; Sharpe ratio; Appraisal ratio; Buy-write ID RISK; MODELS; ARBITRAGE; SELECTION; RETURNS; MARKETS; STOCKS AB A growing literature suggests that, even in the absence of any ability to predict returns, holding options on the benchmarks or trading frequently can generate positive alpha. The ratio of alpha to its tracking error appraises a fund's performance. This paper derives the performance-maximizing strategy, which turns out to be a variant of a buy-write strategy, and the least upper bound on such performance enhancement. If common equity indices are used as benchmarks, the potential alpha generated from trading frequently can be substantial in magnitude, but it carries considerable risk. The statistical significance in estimated alpha is low, and the probability of a negative alpha is high. The performance enhancement from holding options can be significant - both economically and statistically - if the options' implied volatilities are higher than the volatilities of the benchmark returns. The performance-maximizing strategy derived in this paper is different from the strategies that switch portfolio exposure to the benchmarks. The exposure-switching strategies are not promising unless the switching is based on superior information. (C) 2011 Elsevier B.V. All rights reserved. C1 [Wang, Zhenyu] Fed Reserve Bank New York, New York, NY 10045 USA. [Guasoni, Paolo] Boston Univ, Dept Math & Stat, Boston, MA 02215 USA. [Guasoni, Paolo] Dublin City Univ, Sch Math Sci, Glasnevin Dublin 9, Ireland. [Huberman, Gur] Columbia Business Sch, New York, NY 10027 USA. RP Wang, ZY (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM guasoni@bu.edu; gh16@columbia.edu; Zhenyu.wang@ny.frb.org RI Guasoni, Paolo/J-3464-2013 OI Guasoni, Paolo/0000-0002-8562-3658 NR 29 TC 2 Z9 2 U1 2 U2 18 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD SEP PY 2011 VL 101 IS 3 BP 574 EP 595 DI 10.1016/j.jfineco.2011.03.015 PG 22 WC Business, Finance; Economics SC Business & Economics GA 800MY UT WOS:000293366200005 ER PT J AU Corsetti, G Kuester, K Muller, GJ AF Corsetti, Giancarlo Kuester, Keith Mueller, Gernot J. TI FLOATS, PEGS AND THE TRANSMISSION OF FISCAL POLICY SO ECONOMIA CHILENA LA Spanish DT Article ID SMALL OPEN-ECONOMY; MODELS; MONETARY; PRICES AB According to conventional wisdom, fiscal policy is more effective under a fixed exchange rate regime than under a flexible one. In this paper we reconsider the transmission of shocks to government spending across these regimes within a standard new-Keynesian model of a small open economy. Because of the stronger emphasis on intertemporal optimization, the new-Keynesian framework requires a precise specification of fiscal and monetary policies, and their interaction, at both short and long horizons. We derive an analytical characterization of the transmission mechanism of expansionary spending policies under a peg, showing that the long-term real interest rate necessarily rises if inflation rises on impact, in response to an increase in government spending. This drives down private demand even though short-term real rates fall. As this need not be the case under floating exchange rates, the conventional wisdom needs to be qualified. Under plausible medium-term fiscal policies, government spending is not necessarily less expansionary in a floating regime. C1 [Corsetti, Giancarlo] Univ Cambridge, Cambridge CB2 1TN, England. [Kuester, Keith] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Mueller, Gernot J.] Univ Bonn, Bonn, Germany. RP Corsetti, G (reprint author), Univ Cambridge, Cambridge CB2 1TN, England. EM gc422@cam.ac.uk; keith.kuester@phil.frb.org; gernot.mueller@uni-bonn.de OI Corsetti, Giancarlo/0000-0001-8965-9853 NR 22 TC 2 Z9 2 U1 1 U2 6 PU BANCO CENTRAL CHILE PI SANTIAGO PA MORANDE 115 2ND PISO, AUGUSTINAS 1180, SANTIAGO, 6500-590, CHILE SN 0717-3830 J9 ECON CHIL JI Econ. Chil. PD AUG PY 2011 VL 14 IS 2 BP 5 EP + PG 35 WC Economics SC Business & Economics GA 893TZ UT WOS:000300380100001 ER PT J AU Hale, G Long, C AF Hale, Galina Long, Cheryl TI Did Foreign Direct Investment Put an Upward Pressure on Wages in China? SO IMF ECONOMIC REVIEW LA English DT Article ID UNITED-STATES; FIRMS; LOCATION; OWNERSHIP; DETERMINANTS; VENEZUELA; PREMIUM; MEXICO; MARKET; COSTS AB This paper studies the extent to which foreign direct investment (FDI) could have contributed to recent increase in wages in China. Using a World Bank survey data set of 1,500 Chinese enterprises conducted in 2001, the paper finds that the presence of FDI in the same industry and region has an indirect effect on wages of skilled workers in private firms, while it does not appear to affect wages of ordinary workers or of any workers in state-owned enterprises (SOEs). It further finds that observed quality of engineers in both SOEs and domestic private firms declines in the presence of FDI in the same industry and region, while quality of managers improves in domestic private firms. The paper discusses potential reasons for such discrepancy in the FDI effects on private and state firms' labor practices. These findings highlight the relevance of labor market institutions in determining FDI spillovers. C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Long, Cheryl] Colgate Univ, Hamilton, NY 13346 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. OI Hale, Galina/0000-0002-5604-9730 NR 32 TC 7 Z9 7 U1 1 U2 22 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 J9 IMF ECON REV JI IMF Econ. Rev. PD AUG PY 2011 VL 59 IS 3 BP 404 EP 430 DI 10.1057/imfer.2011.14 PG 27 WC Business, Finance; Economics SC Business & Economics GA 847JL UT WOS:000296969100002 ER PT J AU Veltri, SC Cavanagh, G AF Veltri, Stephen C. Cavanagh, Greg TI Payments SO BUSINESS LAWYER LA English DT Editorial Material C1 [Veltri, Stephen C.] Ohio No Univ, Ada, OH 45810 USA. [Cavanagh, Greg] Fed Reserve Bank New York, New York, NY USA. RP Veltri, SC (reprint author), Ohio No Univ, Ada, OH 45810 USA. NR 33 TC 4 Z9 4 U1 0 U2 0 PU AMER BAR ASSOC, ADMINISTRATIVE LAW & REGULATORY PRACTICE SECTION PI CHICAGO PA 321 N CLARK ST, CHICAGO, IL 60610 USA SN 0007-6899 J9 BUS LAWYER JI Bus. Lawyer PD AUG PY 2011 VL 66 IS 4 BP 1113 EP 1134 PG 22 WC Law SC Government & Law GA 837CD UT WOS:000296167800011 ER PT J AU Buera, FJ Kaboski, JP Shin, Y AF Buera, Francisco J. Kaboski, Joseph P. Shin, Yongseok TI Finance and Development: A Tale of Two Sectors SO AMERICAN ECONOMIC REVIEW LA English DT Article ID AGGREGATE PRODUCTIVITY; ECONOMIC-DEVELOPMENT; GROWTH; SIZE; INTERMEDIATION; COUNTRIES; CHOICE; ENTRY; LEVEL; FIRMS AB We develop a quantitative framework to explain the relationship between aggregate/ sector-level total factor productivity (TFP) and financial development across countries. Financial frictions distort the allocation of capital and entrepreneurial talent across production units, adversely affecting measured productivity. In our model, sectors with larger scales of operation (e. g., manufacturing) have more financing needs, and are hence disproportionately vulnerable to financial frictions. Our quantitative analysis shows that financial frictions account for a substantial part of the observed cross-country differences in output per worker, aggregate TFP, sector-level relative productivity, and capital-to-output ratios. (JEL E23, E44, O41, O47) C1 [Buera, Francisco J.] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. [Kaboski, Joseph P.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Shin, Yongseok] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Shin, Yongseok] Fed Reserve Bank St Louis, St Louis, MO USA. RP Buera, FJ (reprint author), Univ Calif Los Angeles, Dept Econ, 8283 Bunche Hall, Los Angeles, CA 90095 USA. EM fjbuera@econ.ucla.edu; jkaboski@nd.edu; yshin@wustl.edu NR 52 TC 80 Z9 80 U1 4 U2 35 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD AUG PY 2011 VL 101 IS 5 BP 1964 EP 2002 DI 10.1257/aer.101.5.1964 PG 39 WC Economics SC Business & Economics GA 807JF UT WOS:000293892300011 ER PT J AU Campbell, JY Giglio, S Pathak, P AF Campbell, John Y. Giglio, Stefano Pathak, Parag TI Forced Sales and House Prices SO AMERICAN ECONOMIC REVIEW LA English DT Article ID REAL-ESTATE AUCTIONS; LIQUIDATION VALUES; MARKET; COINTEGRATION C1 [Campbell, John Y.] Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA. [Campbell, John Y.] NBER, Cambridge, MA 02138 USA. [Giglio, Stefano] Univ Chicago, Dept Finance, Booth Sch Business, Chicago, IL 60637 USA. [Giglio, Stefano] Fed Reserve Bank Boston, Boston, MA USA. [Pathak, Parag] MIT, Dept Econ, Cambridge, MA 02142 USA. RP Campbell, JY (reprint author), Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA. EM Stefano.Giglio@chicagobooth.edu; ppathak@mit.edu NR 27 TC 118 Z9 118 U1 9 U2 40 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD AUG PY 2011 VL 101 IS 5 BP 2108 EP 2131 DI 10.1257/aer.101.5.2108 PG 24 WC Economics SC Business & Economics GA 807JF UT WOS:000293892300015 ER PT J AU Carrillo-Tudela, C Menzio, G Smith, E AF Carrillo-Tudela, Carlos Menzio, Guido Smith, Eric TI JOB SEARCH WITH BIDDER MEMORIES SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID EQUILIBRIUM; UNEMPLOYMENT; DISPERSION; MARKET; MODEL AB This article revisits the no-recall assumption in job search models with take-it-or-leave-it offers. Workers who can recall previously encountered potential employers in order to engage them in Bertrand bidding have a distinct advantage over workers without such attachments. Firms account for this difference when hiring a worker. When a worker first meets a firm, the firm offers the worker a sufficient share of the match rents to avoid a bidding war in the future. The pair share the gains to trade. In this case, the Diamond paradox no longer holds. C1 [Smith, Eric] Univ Essex, Dept Econ, Colchester CO4 3SQ, Essex, England. Univ Penn, Philadelphia, PA 19104 USA. Fed Reserve Bank Atlanta, Alabama, FL USA. RP Smith, E (reprint author), Univ Essex, Dept Econ, Wivenhoe Pk, Colchester CO4 3SQ, Essex, England. EM esmith@essex.ac.uk OI Carrillo-Tudela, Carlos/0000-0001-5677-8872 NR 15 TC 3 Z9 3 U1 0 U2 3 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2011 VL 52 IS 3 BP 639 EP 655 DI 10.1111/j.1468-2354.2011.00643.x PG 17 WC Economics SC Business & Economics GA 815ZM UT WOS:000294568500003 ER PT J AU Fisher, JDM Gervais, M AF Fisher, Jonas D. M. Gervais, Martin TI WHY HAS HOME OWNERSHIP FALLEN AMONG THE YOUNG? SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID HOUSING TENURE CHOICE; CONSUMPTION INEQUALITY; CREDIT CONSTRAINTS; INCOME VARIABILITY; HOMEOWNERSHIP; MARKET; UNCERTAINTY; DYNAMICS; RISK; PORTFOLIO AB We document that home ownership of households with "heads" aged 25-44 years fell substantially between 1980 and 2000 and recovered only partially during the 2001-5 housing boom. The 1980-2000 decline in young home ownership occurred as improvements in mortgage opportunities seemingly made it easier to purchase a home. This article uses an equilibrium life-cycle model calibrated to micro and macro evidence to understand these developments. A trend toward marrying later mechanically lowers young home ownership after 1980. We show that the large rise in earnings risk that occurred after 1980 can easily account for the remaining decline in young home ownership. C1 Fed Reserve Bank Chicago, Chicago, IL USA. Univ Southampton, Southampton SO9 5NH, Hants, England. IFS, Canterbury, Kent, England. Univ Iowa, Iowa City, IA 52242 USA. RP Fisher, JDM (reprint author), 230 S LaSalle St, Chicago, IL 60604 USA. EM jfisher@frbchi.org NR 51 TC 12 Z9 12 U1 2 U2 11 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2011 VL 52 IS 3 BP 883 EP 912 DI 10.1111/j.1468-2354.2011.00653.x PG 30 WC Economics SC Business & Economics GA 815ZM UT WOS:000294568500013 ER PT J AU Agarwal, S Chomsisengphet, S Liu, CL AF Agarwal, Sumit Chomsisengphet, Souphala Liu, Chunlin TI Consumer bankruptcy and default: The role of individual social capital SO JOURNAL OF ECONOMIC PSYCHOLOGY LA English DT Article DE Social capital; Consumer bankruptcy; Default; Credit risk; Credit cards; Banking ID PARTICIPATION; DECISION AB In this paper, we empirically assess the role of individual social capital on personal bankruptcy and default outcomes in the consumer credit market. After controlling for a borrower's risk score, debt, income, wealth, and legal and economic environments, we find that default/bankruptcy risk rises and then falls over the lifecycle, while a borrower who owns a home or is married has a lower risk of default/bankruptcy. Moreover, a borrower who migrates 190 miles from his "state of birth" is 17% more likely to default and 15% more likely to file for bankruptcy, while a borrower who continues to live in his state of birth is 14% and 10% less likely to default and file for bankruptcy, respectively. A borrower who moves to a rural area is 9% and 7% less likely to default and declare bankruptcy, respectively. We also find that measures of social networks, norms, and cooperation and trust (i.e., aggregate social capital) are inversely related to consumer bankruptcy. Published by Elsevier B.V. C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. [Chomsisengphet, Souphala] Off Comptroller Currency, Risk Anal Div, Washington, DC 20219 USA. [Liu, Chunlin] Univ Nevada, Coll Business, Reno, NV 89557 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S LaSalle St, Chicago, IL 60604 USA. EM sagarwal@frbchi.org; souphala.chomsisengphet@occ.treas.gov; liuc@unr.edu RI Agarwal, Sumit/F-4836-2012 NR 32 TC 7 Z9 7 U1 0 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-4870 J9 J ECON PSYCHOL JI J. Econ. Psychol. PD AUG PY 2011 VL 32 IS 4 SI SI BP 632 EP 650 DI 10.1016/j.joep.2010.11.007 PG 19 WC Economics; Psychology, Multidisciplinary SC Business & Economics; Psychology GA 815LA UT WOS:000294525900009 ER PT J AU Zafar, B AF Zafar, Basit TI An experimental investigation of why individuals conform SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Conformity; Image-related concerns; Social learning; Pro-social behavior ID OTHER-REGARDING BEHAVIOR; PUBLIC-GOODS; SOCIAL DISTANCE; CONDITIONAL COOPERATION; FIELD EXPERIMENT; DICTATOR GAMES; WARM-GLOW; COORDINATION; INFORMATION; RECIPROCITY AB Social interdependence is believed to play an important role in individual choice behavior. I first outline a simple model constructed on the premise that people are motivated by their own payoff and by how their action compares to others in their reference group. I show that conformity in actions may arise from learning about the descriptive norm, or from image-related concerns. In order to empirically disentangle the two, I use the fact that image-related concerns can only be present if actions are publicly observable. The model predictions are then tested in a charitable contribution experiment in which the actions and identities of the subjects are unmasked in a controlled and systematic way. Both learning about the descriptive norm (i.e., what others are doing) and image-related concerns play an important role in the choices of the subjects. Individuals indulge in social comparison and change their contributions in the direction of the social norm even when their identities are hidden. Once identities and contribution distributions of group members are revealed, individuals conform to the choice of other group members. Moreover, I find that social ties (defined as subjects knowing each other from outside the lab) affect the role of social influence: Subjects only respond to the choices of group members they are friends with. In particular, a low contribution norm evolves that causes individuals to contribute less in the presence of friends. This suggests that social comparison and image-related concerns may not always lead to higher contributions. (C) 2011 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Zafar, B (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Basit.Zafar@ny.frb.org RI Jiang, Adam/G-7505-2011 NR 63 TC 6 Z9 6 U1 5 U2 30 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD AUG PY 2011 VL 55 IS 6 BP 774 EP 798 DI 10.1016/j.euroecorev.2011.01.002 PG 25 WC Economics SC Business & Economics GA 805LG UT WOS:000293727300003 ER PT J AU Bandyopadhyay, S Younas, J AF Bandyopadhyay, Subhayu Younas, Javed TI Poverty, political freedom, and the roots of terrorism in developing countries: An empirical assessment SO ECONOMICS LETTERS LA English DT Article DE Domestic and transnational terrorism; Political freedom; Electoral self-determination ID INCOME AB We find that political freedom has a significant and non-linear effect on domestic terrorism, but has no statistically significant effect on transnational terrorism. Geography and fractionalization limit a country's ability to curb terrorism, while strong legal institutions deter terrorism. (C) 2011 Elsevier B.V. All rights reserved. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Bandyopadhyay, Subhayu] IZA, Bonn, Germany. [Younas, Javed] Amer Univ Sharjah, Dept Econ, Sharjah, U Arab Emirates. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM bandyopadhyay@stls.frb.org; jyounas@aus.edu RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 19 TC 2 Z9 2 U1 6 U2 12 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD AUG PY 2011 VL 112 IS 2 BP 171 EP 175 DI 10.1016/j.econlet.2011.03.029 PG 5 WC Economics SC Business & Economics GA 801FZ UT WOS:000293425200012 ER PT J AU Faberman, RJ AF Faberman, R. Jason TI THE RELATIONSHIP BETWEEN THE ESTABLISHMENT AGE DISTRIBUTION AND URBAN GROWTH SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID GEOGRAPHIC CONCENTRATION; JOB CREATION; EMPLOYMENT; CITIES; FLOWS; DESTRUCTION; TURNOVER; SCALE AB This paper explores the relationship between urban growth and establishment-level dynamics through geographic variations in the establishment age distribution. Using administrative microdata, I find that faster growing cities have higher rates of entry and exit, and younger establishments, on average. The resulting differences in the age distribution account for 38 percent of the variation in MSA employment growth, leaving the majority due to differences among establishments of the same age. In particular, entry and the growth and survival of young establishments (aged five years or less) account for the majority of the variation in MSA growth. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Faberman, RJ (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Jason.Faberman@phil.frb.org NR 30 TC 2 Z9 2 U1 1 U2 7 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD AUG PY 2011 VL 51 IS 3 BP 450 EP 470 DI 10.1111/j.1467-9787.2010.00703.x PG 21 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 798AZ UT WOS:000293174400002 ER PT J AU Orrenius, P Saving, J AF Orrenius, Pia Saving, Jason TI Migration and Human Capital SO JOURNAL OF REGIONAL SCIENCE LA English DT Book Review C1 [Orrenius, Pia; Saving, Jason] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. RP Orrenius, P (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD AUG PY 2011 VL 51 IS 3 BP 636 EP 638 DI 10.1111/j.1467-9787.2011.00737_7.x PG 3 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 798AZ UT WOS:000293174400016 ER PT J AU Wolcott, EL Conrad, JM AF Wolcott, Erin L. Conrad, Jon M. TI Agroecology of an Island Economy SO LAND ECONOMICS LA English DT Article ID EASTER-ISLAND; RESOURCE USE AB Ecologists and anthropologists have had a long-standing interest in the settlement and evolution of isolated islands, particularly Easter Island. The open access model is often used to describe the evolution of a human population and its resource base. Unfortunately, an open access model, with spiral convergence to a steady state, is inappropriate for island dynamics where the human population peaks and then goes into permanent decline. We develop more appropriate two-state and three-state models. The nonautonomous version of the three-state model, which collapses to the stable two-state model, produces dynamics that are more consistent with the history of Easter Island. (JEL Q24) C1 [Wolcott, Erin L.] Fed Reserve Board, Washington, DC USA. [Conrad, Jon M.] Cornell Univ, Dyson Sch Appl Econ & Management, Ithaca, NY USA. RP Wolcott, EL (reprint author), Fed Reserve Board, Washington, DC USA. NR 16 TC 2 Z9 2 U1 0 U2 7 PU UNIV WISCONSIN PI MADISON PA SOCIAL SCIENCE BLDG, MADISON, WI 53706 USA SN 0023-7639 J9 LAND ECON JI Land Econ. PD AUG PY 2011 VL 87 IS 3 BP 403 EP 411 PG 9 WC Economics; Environmental Studies SC Business & Economics; Environmental Sciences & Ecology GA 795RD UT WOS:000292992600004 ER PT J AU Knotek, ES AF Knotek, Edward S., II TI CONVENIENT PRICES AND PRICE RIGIDITY: CROSS-SECTIONAL EVIDENCE SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID STICKY PRICES; CURRENCY; ODD AB This paper provides cross-sectional evidence of convenient prices-prices that simplify and expedite transactions, reducing the time costs from physically making a transaction. Firms may wish to set convenient prices for items that are typically purchased with cash, are sold alone or with a few similar items, and are high-traffic transactions, that is, that require queuing or are frequently purchased. I collect a new data set and find broad support for the use of convenient prices in locations where making a rapid transaction is important. Convenience also appears to predominantly affect goods and services with above-average price rigidity. C1 Fed Reserve Bank Kansas City, Kansas City, MO USA. RP Knotek, ES (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO USA. NR 30 TC 7 Z9 7 U1 0 U2 4 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD AUG PY 2011 VL 93 IS 3 BP 1076 EP 1086 DI 10.1162/REST_a_00124 PG 11 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 795TE UT WOS:000292997900024 ER PT J AU Afonso, G Kovner, A Schoar, A AF Afonso, Gara Kovner, Anna Schoar, Antoinette TI Stressed, Not Frozen: The Federal Funds Market in the Financial Crisis SO JOURNAL OF FINANCE LA English DT Article ID MONEY MARKET AB We examine the importance of liquidity hoarding and counterparty risk in the U.S. overnight interbank market during the financial crisis of 2008. Our findings suggest that counterparty risk plays a larger role than does liquidity hoarding: the day after Lehman Brothers' bankruptcy, loan terms become more sensitive to borrower characteristics. In particular, poorly performing large banks see an increase in spreads of 25 basis points, but are borrowing 1% less, on average. Worse performing banks do not hoard liquidity. While the interbank market does not freeze entirely, it does not seem to expand to meet latent demand. C1 [Afonso, Gara; Kovner, Anna] Fed Reserve Bank New York, New York, NY 10045 USA. [Schoar, Antoinette] MIT Sloan, Cambridge, MA 02142 USA. [Schoar, Antoinette] NBER, Cambridge, MA 02138 USA. RP Afonso, G (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 34 TC 62 Z9 62 U1 1 U2 34 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-1082 J9 J FINANC JI J. Financ. PD AUG PY 2011 VL 66 IS 4 BP 1109 EP 1139 DI 10.1111/j.1540-6261.2011.01670.x PG 31 WC Business, Finance; Economics SC Business & Economics GA 794IK UT WOS:000292888600002 ER PT J AU Acharya, VV Gale, D Yorulmazer, T AF Acharya, Viral V. Gale, Douglas Yorulmazer, Tanju TI Rollover Risk and Market Freezes SO JOURNAL OF FINANCE LA English DT Article ID LIQUIDITY RISK; DEBT; BANKING; CHOICE AB The debt capacity of an asset is the maximum amount that can be borrowed using the asset as collateral. We model a sudden collapse in the debt capacity of good collateral. We assume short-term debt that must be frequently rolled over, a small transaction cost of selling collateral in the event of default, and a small probability of meeting a buy-to-hold investor. We then show that a small change in the asset's fundamental value can be associated with a catastrophic drop in the debt capacity, the kind of market freeze observed during the crisis of 2007 to 2008. C1 [Acharya, Viral V.] ECGI, CEPR, NYU Stern, Stockholm, Sweden. [Acharya, Viral V.] NBER, Cambridge, MA 02138 USA. [Gale, Douglas] NYU, New York, NY 10003 USA. [Yorulmazer, Tanju] Fed Reserve Bank New York, New York, NY USA. RP Acharya, VV (reprint author), ECGI, CEPR, NYU Stern, Stockholm, Sweden. OI Gale, Douglas/0000-0003-1099-7732 NR 29 TC 48 Z9 49 U1 5 U2 25 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD AUG PY 2011 VL 66 IS 4 BP 1177 EP 1209 DI 10.1111/j.1540-6261.2011.01669.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 794IK UT WOS:000292888600004 ER PT J AU Kurozumi, T Van Zandweghe, W AF Kurozumi, Takushi Van Zandweghe, Willem TI Determinacy under Inflation Targeting Interest Rate Policy in a Sticky Price Model with Investment (and Labor Bargaining) SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE inflation targeting interest rate policy; investment; indeterminacy of equilibrium; cost channel of monetary policy; labor bargaining ID INTEREST-RATE RULES; RATIONAL-EXPECTATIONS; UNEMPLOYMENT; FRICTIONS; STABILITY; SEARCH AB In a sticky price model with investment spending, recent research shows that inflation-forecast targeting interest rate policy makes determinacy of equilibrium essentially impossible. We examine a necessary and sufficient condition for determinacy under interest rate policy that responds to a weighted average of an inflation forecast and current inflation. This condition demonstrates that the average-inflation targeting policy ensures determinacy as long as both the response to average inflation and the relative weight of current inflation are large enough. We also find that interest rate policy that responds solely to past inflation guarantees determinacy when its response satisfies the Taylor principle and is not large. These results still hold even when wages and hours worked are determined by Nash bargaining. C1 [Van Zandweghe, Willem] Fed Reserve Bank Kansas City, Kansas City, MO USA. EM takushi.kurozumi@boj.or.jp; willem.vanzandweghe@kc.frb.org NR 19 TC 0 Z9 0 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2011 VL 43 IS 5 BP 1019 EP 1033 DI 10.1111/j.1538-4616.2011.00405.x PG 15 WC Business, Finance; Economics SC Business & Economics GA 794XJ UT WOS:000292934300008 ER PT J AU Freixas, X Martin, A Skeie, D AF Freixas, Xavier Martin, Antoine Skeie, David TI Bank Liquidity, Interbank Markets, and Monetary Policy SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE G21; E43; E44; E52; E58 ID DEPOSIT INSURANCE; SUPERVISION; PANICS; RUNS AB A lesson of the recent financial crisis is that the interbank market is crucial for banks facing uncertainty regarding their liquidity needs. This article studies the efficiency of the interbank market in allocating funds. We show that the central bank should lower the interbank rate when confronted with a crisis that causes a disparity in the liquidity held among banks. This suggests that the traditional tenet prescribing the separation between prudential regulation and monetary policy should be abandoned. We also show that failure to cut interest rates during a crisis erodes financial stability by increasing the risk of bank runs. C1 [Freixas, Xavier] Univ Pompeu Fabra, Fac Econ & Business Sci, Dept Econ & Business, Barcelona 08005, Spain. [Martin, Antoine; Skeie, David] Fed Reserve Bank New York, New York, NY USA. RP Freixas, X (reprint author), Univ Pompeu Fabra, Fac Econ & Business Sci, Dept Econ & Business, C Ramon Trias Fargas 25-27, Barcelona 08005, Spain. EM xavier.freixas@upf.edu RI Freixas, Xavier/F-5579-2012; Skeie, David/J-4007-2016 OI Freixas, Xavier/0000-0001-5849-6668; Skeie, David/0000-0003-1076-7697 NR 29 TC 21 Z9 21 U1 3 U2 27 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD AUG PY 2011 VL 24 IS 8 BP 2656 EP 2692 DI 10.1093/rfs/hhr018 PG 37 WC Business, Finance; Economics SC Business & Economics GA 793RB UT WOS:000292839700004 ER PT J AU Rothenberg, AD Warnock, FE AF Rothenberg, Alexander D. Warnock, Francis E. TI Sudden Flight and True Sudden Stops SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article ID DEBT-DEFLATION THEORY; CAPITAL FLIGHT; LATIN-AMERICA; EQUITY FLOWS; OPENNESS; MARKETS; CRISIS AB We extend the sudden stops literature by recognizing that crisis episodes can be caused by the retreat of global investors, as is commonly assumed but not shown in the extant literature, or by the sudden flight of local investors. We find that almost half of the previously defined sudden stops are actually episodes of sudden flight in which gross inflows resume quickly and strongly. In contrast, in true sudden stops inflows cease for an extended period and, compared to sudden flight, these episodes are bunched and are associated with greater slowdowns in economic activity and sharper currency depreciations. We also show that the empirical regularities of sudden flight and true sudden stops are consistent with theoretical models that incorporate gross capital flows and information asymmetries. C1 [Warnock, Francis E.] Univ Virginia, Darden Business Sch, Charlottesville, VA 22906 USA. [Warnock, Francis E.] Trinity Coll Dublin, Inst Int Integrat Studies, Dublin 2, Ireland. [Warnock, Francis E.] Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX USA. [Warnock, Francis E.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Rothenberg, Alexander D.] Univ Calif Berkeley, Berkeley, CA 94720 USA. RP Warnock, FE (reprint author), Univ Virginia, Darden Business Sch, Charlottesville, VA 22906 USA. EM alexroth@econ.berkeley.edu; warnockf@darden.virginia.edu RI fungsen, chan/H-1983-2016 NR 28 TC 19 Z9 19 U1 2 U2 5 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0965-7576 J9 REV INT ECON JI Rev. Int. Econ. PD AUG PY 2011 VL 19 IS 3 BP 509 EP 524 DI 10.1111/j.1467-9396.2011.00962.x PG 16 WC Economics SC Business & Economics GA 794WW UT WOS:000292933000007 ER PT J AU Doh, T AF Doh, Taeyoung TI Yield curve in an estimated nonlinear macro model SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Bayesian econometrics; DSGE model; Term structure of interest rates ID TERM STRUCTURE; EQUILIBRIUM-MODELS; POLICY; DETERMINANTS; LIKELIHOOD AB This paper estimates a sticky price macro model with US macro and term structure data using Bayesian methods. The model is solved by a nonlinear method. The posterior distribution of the parameters in the model is found to be bi-modal. The degree of nominal rigidity is high at one mode ("sticky price mode") but is low at the other mode ("flexible price mode"). I find that the degree of nominal rigidity is important for identifying macro shocks that affect the yield curve. When prices are more flexible, a slowly varying inflation target of the central bank is the main driver of the overall level of the yield curve by changing long-run inflation expectations. In contrast, when prices are more sticky, a highly persistent markup shock is the main driver. The posterior probability of each mode is sensitive to the use of observed proxies for inflation expectations. Ignoring additional information from survey data on inflation expectations significantly reduces the posterior probability of the flexible price mode. Incorporating this additional information suggests that yield curve fluctuations can be better understood by focusing on the flexible price mode. Considering nonlinearities of the model solution also increases the posterior probability of the flexible price mode, although to a lesser degree than using survey data information. Published by Elsevier B.V. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. RP Doh, T (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 1 Mem Dr, Kansas City, MO 64198 USA. EM Taeyoung.Doh@kc.frb.org NR 32 TC 5 Z9 5 U1 2 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD AUG PY 2011 VL 35 IS 8 BP 1229 EP 1244 DI 10.1016/j.jedc.2011.03.003 PG 16 WC Economics SC Business & Economics GA 785LN UT WOS:000292230600005 ER PT J AU Bech, ML Klee, E AF Bech, Morten L. Klee, Elizabeth TI The mechanics of a graceful exit: Interest on reserves and segmentation in the federal funds market SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID MONETARY-POLICY AB To combat the financial crisis that intensified in the fall of 2008, the Federal Reserve injected a substantial amount of liquidity into the banking system. The resulting increase in reserve balances exerted downward price pressure in the federal funds market, and the effective federal funds rate began to deviate from the target rate set by the Federal Open Market Committee. In response, the Federal Reserve revised its operational framework for implementing monetary policy and began to pay interest on reserve balances in an attempt to provide a floor for the federal funds rate. Nevertheless, following the policy change, the effective federal funds rate remained below not only the target but also the rate paid on reserve balances. We develop a model to explain this phenomenon and use data from the federal funds market to evaluate it empirically. In turn, we show how successful the Federal Reserve may be in raising the federal funds rate even in an environment with substantial reserve balances. Published by Elsevier B.V. C1 [Bech, Morten L.] Fed Reserve Bank New York, New York, NY USA. EM morten.bech@ny.frb.org; elizabeth.klee@frb.gov NR 28 TC 23 Z9 23 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2011 VL 58 IS 5 BP 415 EP 431 DI 10.1016/j.jmoneco.2011.05.007 PG 17 WC Business, Finance; Economics SC Business & Economics GA 852YR UT WOS:000297393900001 ER PT J AU Acharya, VV Skeie, D AF Acharya, Viral V. Skeie, David TI A model of liquidity hoarding and term premia in inter-bank markets SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID DEBT; RISK; INFORMATION AB Financial crises are associated with reduced volumes and extreme levels of rates for term inter-bank loans, reflected in one-month and three-month LIBOR. We explain such stress by modeling leveraged banks' precautionary demand for liquidity. Asset shocks impair a bank's ability to roll over debt because of agency problems associated with high leverage. In turn, banks hoard liquidity and decrease term lending as their rollover risk increases over the term of the loan. High levels of short-term leverage and illiquidity of assets lead to low volumes and high rates for term borrowing. In extremis, inter-bank markets can completely freeze. (C) 2011 Published by Elsevier B.V. C1 [Skeie, David] Fed Reserve Bank New York, New York, NY 10045 USA. [Acharya, Viral V.] NYU Stern, New York, NY USA. [Acharya, Viral V.] NBER, Cambridge, MA 02138 USA. RP Skeie, D (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM vacharya@stern.nyu.edu; david.skeie@gmail.com RI Skeie, David/J-4007-2016 OI Skeie, David/0000-0003-1076-7697 NR 38 TC 25 Z9 26 U1 3 U2 16 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2011 VL 58 IS 5 BP 436 EP 447 DI 10.1016/j.jmoneco.2011.05.006 PG 12 WC Business, Finance; Economics SC Business & Economics GA 852YR UT WOS:000297393900003 ER PT J AU Ennis, HM AF Ennis, Huberto M. TI Discussion of Acharya and Skeie: A model of liquidity hoarding and term premia in inter-bank markets SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23219 USA. EM huberto.ennis@rich.frb.org NR 12 TC 0 Z9 0 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2011 VL 58 IS 5 BP 448 EP 452 DI 10.1016/j.jmoneco.2011.05.008 PG 5 WC Business, Finance; Economics SC Business & Economics GA 852YR UT WOS:000297393900004 ER PT J AU Hancock, D Passmore, W AF Hancock, Diana Passmore, Wayne TI Did the Federal Reserve's MBS purchase program lower mortgage rates? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE MBS; Federal Reserve; GSEs; Mortgage AB On November 25, 2008, the Federal Reserve announced it would purchase mortgage-backed securities (MBS). This program affected mortgage rates through three channels: (1) improved market functioning in both primary and secondary mortgage markets, (2) clearer government backing for Fannie Mae and Freddie Mac, and (3) anticipation of portfolio rebalancing effects. We use empirical pricing models for MBS yields and for mortgage rates to measure relative importance of channels: The first two were important during the height of the financial crisis, but the effects of the third depended on market conditions. Overall, the program put significant downward pressure on mortgage rates. Published by Elsevier B.V. C1 [Hancock, Diana; Passmore, Wayne] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Passmore, W (reprint author), Fed Reserve Board, Mail Stop 66, Washington, DC 20551 USA. EM Wayne.Passmore@frb.gov RI Hancock, Diana/H-1637-2012 NR 16 TC 22 Z9 22 U1 0 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2011 VL 58 IS 5 BP 498 EP 514 DI 10.1016/j.jmoneco.2011.05.002 PG 17 WC Business, Finance; Economics SC Business & Economics GA 852YR UT WOS:000297393900009 ER PT J AU Campbell, S Covitz, D Nelson, W Pence, K AF Campbell, Sean Covitz, Daniel Nelson, William Pence, Karen TI Securitization markets and central banking: An evaluation of the term asset-backed securities loan facility SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Securitization; Financial crisis; Monetary policy; Discount window; Lender of last resort AB In response to the near collapse of US securitization markets in 2008, the Federal Reserve created the Term Asset-Backed Securities Loan Facility, which offered nonrecourse loans to finance investors' purchases of certain highly rated asset-backed securities. We study the effects of this program and find that it lowered interest rate spreads for some categories of asset-backed securities but had little impact on the pricing of individual securities. These findings suggest that the program improved conditions in securitization markets but did not subsidize individual securities. We also find that the risk of loss to the US government was small. Published by Elsevier B.V. C1 [Campbell, Sean; Covitz, Daniel; Nelson, William; Pence, Karen] Fed Reserve Board, Washington, DC 20551 USA. RP Pence, K (reprint author), Fed Reserve Board, 20th & C St NW,MS 93, Washington, DC 20551 USA. EM Karen.Pence@frb.gov NR 13 TC 11 Z9 11 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2011 VL 58 IS 5 BP 518 EP 531 DI 10.1016/j.jmoneco.2011.05.003 PG 14 WC Business, Finance; Economics SC Business & Economics GA 852YR UT WOS:000297393900011 ER PT J AU Garrett, TA Ott, LS AF Garrett, Thomas A. Ott, Lesli S. TI Crime and arrests: deterrence or resource reallocation? SO APPLIED ECONOMICS LETTERS LA English DT Article ID POLICE; RATES AB We use monthly time-series data for 20 large US cities to test the deterrence hypothesis (arrests reduce crimes) and the resource reallocation hypothesis (arrests follow from an increase in crime). We find (1) weak support for the deterrence hypothesis, (2) much stronger support for the resource reallocation hypothesis and (3) differences in city-level estimates suggest much heterogeneity in the crime and arrest relationship across regions. C1 [Garrett, Thomas A.; Ott, Lesli S.] Fed Reserve Bank, St Louis, MO 63166 USA. RP Garrett, TA (reprint author), Fed Reserve Bank, St Louis, MO 63166 USA. EM tom.a.garrett@stls.frb.org NR 15 TC 3 Z9 3 U1 0 U2 2 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1350-4851 J9 APPL ECON LETT JI Appl. Econ. Lett. PD JUL-AUG PY 2011 VL 18 IS 10-12 BP 1171 EP 1175 DI 10.1080/13504851.2010.528354 PG 5 WC Economics SC Business & Economics GA 818HM UT WOS:000294742500047 ER PT J AU Bullard, J AF Bullard, James TI Measuring Inflation: The Core Is Rotten SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY AB An earlier version of this article was delivered as a speech to the Money Marketeers of New York University, New York, New York, May 18, 2011.* C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 19 TC 5 Z9 5 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2011 VL 93 IS 4 BP 223 EP 233 PG 11 WC Business, Finance; Economics SC Business & Economics GA 806OW UT WOS:000293818500001 ER PT J AU Hotchkiss, JL Shiferaw, M AF Hotchkiss, Julie L. Shiferaw, Menbere TI Decomposing the Education Wage Gap: Everything but the Kitchen Sink SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TECHNOLOGICAL-CHANGE; RELATIVE WAGES; INEQUALITY; SKILL; WORKERS; DEMAND; RETURN; LESS AB The authors use a multitude of data sources to provide a comprehensive, multidimensional decomposition of wages across both time and educational status. Their results confirm the importance of investments in and use of technology, which has been the focus of most of the previous literature. The authors also show that demand and supply factors played very different roles in the growing wage gaps of the 1980s and 1990s. C1 [Hotchkiss, Julie L.; Shiferaw, Menbere] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hotchkiss, Julie L.] Georgia State Univ, Atlanta, GA 30303 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 36 TC 4 Z9 4 U1 1 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2011 VL 93 IS 4 BP 243 EP 271 PG 29 WC Business, Finance; Economics SC Business & Economics GA 806OW UT WOS:000293818500003 ER PT J AU Manuelli, R Peralta-Alva, A AF Manuelli, Rodolfo Peralta-Alva, Adrian TI "Frictions in Financial and Labor Markets": A Summary of the 35th Annual Economic Policy Conference SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INFORMATION AB This article contains synopses of the papers presented at the 35th Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis held October 21-22, 2010. The conference theme was "Frictions in Financial and Labor Markets." Leading participants in this field presented their research and commentary. C1 [Manuelli, Rodolfo; Peralta-Alva, Adrian] Fed Reserve Bank St Louis, St Louis, MO USA. [Manuelli, Rodolfo] Washington Univ, Dept Econ, St Louis, MO 63130 USA. RP Manuelli, R (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 19 TC 0 Z9 0 U1 1 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2011 VL 93 IS 4 BP 273 EP 292 PG 20 WC Business, Finance; Economics SC Business & Economics GA 806OW UT WOS:000293818500004 ER PT J AU Neumark, D Wascher, W AF Neumark, David Wascher, William TI DOES A HIGHER MINIMUM WAGE ENHANCE THE EFFECTIVENESS OF THE EARNED INCOME TAX CREDIT? SO INDUSTRIAL & LABOR RELATIONS REVIEW LA English DT Article ID FAMILIES; EITC; PARTICIPATION; WELFARE; WORK AB The authors estimate the effects of the interactions between the Earned Income Tax Credit (EITC) and minimum wages on labor market outcomes. They use information on policy variation from the Department of Labor's Monthly Labor Review, reports published by the Center on Budget and Policy Priorities, and data on individuals and families from the Current Population Survey to assess the economic impact of minimum wages and the EITC on families. Their results indicate that for single women with children, the EITC boosts employment and earnings, and coupling the EITC with a higher minimum wage enhances this positive effect. Conversely, for less-skilled minority men and for women without children, employment and earnings are more adversely affected by the EITC when the minimum wage is higher. Turning from individuals to families, for very poor families with children a higher minimum wage increases the positive impact of the EITC on incomes, so that a higher minimum wage appears to enhance the effects of the EITC. Whether the policy combination of a high EITC and a high minimum wage is viewed as favorable or unfavorable depends in part on whom policymakers are trying to help. C1 [Neumark, David] Univ Calif Irvine, Irvine, CA 92697 USA. [Neumark, David] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Neumark, David] IZA, Izhevsk, Russia. [Wascher, William] Fed Reserve Board, Div Res & Stat, Washington, DC USA. RP Neumark, D (reprint author), Univ Calif Irvine, Irvine, CA 92697 USA. EM dneumark@uci.edu NR 35 TC 12 Z9 12 U1 0 U2 7 PU INDUSTRIAL LABOR RELAT REV PI ITHACA PA CORNELL UNIV, ITHACA, NY 14851-0952 USA SN 0019-7939 J9 IND LABOR RELAT REV JI Ind. Labor Relat. Rev. PD JUL PY 2011 VL 64 IS 4 BP 712 EP 746 PG 35 WC Industrial Relations & Labor SC Business & Economics GA 800OD UT WOS:000293369900005 ER PT J AU Luttmer, EGJ AF Luttmer, Erzo G. J. TI On the Mechanics of Firm Growth SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Firm size distribution; Gibrat's law; Aggregate growth ID SIZE DISTRIBUTION; BUSINESS FIRMS; DYNAMICS; SELECTION; EVOLUTION; RATES AB The Pareto-like tail of the size distribution of firms can arise from random growth of productivity or stochastic accumulation of capital. If the shocks that give rise to firm growth are perfectly correlated within a firm, then the growth rates of small and large firms are equally volatile, contrary to what is found in the data. If firm growth is the result of many independent shocks within a firm, it can take hundreds of years for a few large firms to emerge. This paper describes an economy with both types of shocks that can account for the thick-tailed firm size distribution, high entry and exit rates, and the relatively young age of large firms. The economy is one in which aggregate growth is driven by the creation of new products by both new and incumbent firms. Some new firms have better ideas than others and choose to implement those ideas at a more rapid pace. Eventually, such firms slow down when the quality of their ideas reverts to the mean. As in the data, average growth rates in a cross section of firms will appear to be independent of firm size, for all but the smallest firms. C1 [Luttmer, Erzo G. J.] Univ Minnesota, Minneapolis, MN 55455 USA. [Luttmer, Erzo G. J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Luttmer, EGJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 51 TC 18 Z9 18 U1 2 U2 15 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2011 VL 78 IS 3 BP 1042 EP 1068 DI 10.1093/restud/rdq028 PG 27 WC Economics SC Business & Economics GA 792RA UT WOS:000292765400009 ER PT J AU Bodenstein, M AF Bodenstein, Martin TI Closing large open economy models SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Stationarity; Incomplete markets; Open economy; Multiple equilibria ID REAL EXCHANGE-RATES; BUSINESS-CYCLE MODELS; INCOMPLETE MARKETS; NONTRADED GOODS; 2-COUNTRY MODEL; RATE DYNAMICS; GLOBALIZATION; CONSUMPTION; TECHNOLOGY; SHOCKS AB A large class of international business cycle models admits multiple locally isolated deterministic steady states, if the elasticity of substitution between traded goods is sufficiently low. I explore the conditions under which such multiplicity occurs and characterize the dynamic properties in the neighborhood of each steady state. Models with standard incomplete markets, portfolio costs, a debt-elastic interest rate, or an overlapping generations framework allow for multiple steady states, if the model features multiple steady states under financial autarchy. If the excess demand for the foreign traded good is increasing in the good's own price in a given steady state, the equilibrium dynamics around this steady state are unbounded. Otherwise, the dynamics are bounded and unique. By contrast, with Uzawa-type preferences, the steady state is always unique and the associated equilibrium dynamics are always bounded and unique. The same results obtain under complete markets. Published by Elsevier B.V. C1 Fed Reserve Board, Washington, DC USA. RP Bodenstein, M (reprint author), Fed Reserve Board, Washington, DC USA. EM Martin.Bodenstein@gmail.com NR 33 TC 5 Z9 5 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD JUL PY 2011 VL 84 IS 2 BP 160 EP 177 DI 10.1016/j.jinteco.2011.03.010 PG 18 WC Economics SC Business & Economics GA 791LX UT WOS:000292667800003 ER PT J AU Glasserman, P Wang, ZY AF Glasserman, Paul Wang, Zhenyu TI Valuing the Treasury's Capital Assistance Program SO MANAGEMENT SCIENCE LA English DT Article DE finance; securities; financial institutions; banks; dynamic programming; applications ID LIQUIDITY; OPTIONS; MODEL; RISK AB T he Capital Assistance Program (CAP) was created by the U. S. government in February 2009 to provide backup capital to large financial institutions unable to raise sufficient capital from private investors. Under the terms of the CAP, a participating bank receives contingent capital by issuing preferred shares to the Treasury combined with embedded options for both parties: The bank gets the option to redeem the shares or convert them to common equity, with conversion mandatory after seven years; the Treasury earns dividends on the preferred shares and gets warrants on the bank's common equity. We develop a contingent claims framework in which to estimate market values of these CAP securities. The interaction between the competing options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures this strategic element of the joint valuation problem and clarifies the incentives it creates. We apply our method to the 18 publicly held bank holding companies that participated in the Supervisory Capital Assessment Program (the stress test) launched together with the CAP. On average, we estimate that compared to a market transaction, the CAP securities carry a net value of approximately 30% of the capital invested for a bank participating to the maximum extent allowed under the terms of the program. We also find that the net value varies widely across banks. We compare our estimates with abnormal stock price returns for the stress test banks at the time the terms of the CAP were announced; we find correlations between 0.78 and 0.85, depending on the precise choice of period and set of banks included. These results suggest that our valuation aligns with shareholder perception of the value of the program, prompting questions about industry reactions and the overall impact of the program. C1 [Glasserman, Paul] Columbia Univ, Grad Sch Business, New York, NY 10027 USA. [Wang, Zhenyu] Fed Reserve Bank New York, New York, NY 10045 USA. RP Glasserman, P (reprint author), Columbia Univ, Grad Sch Business, New York, NY 10027 USA. EM pg20@columbia.edu; zhenyu.wang@ny.frb.org NR 36 TC 6 Z9 6 U1 8 U2 19 PU INFORMS PI HANOVER PA 7240 PARKWAY DR, STE 310, HANOVER, MD 21076-1344 USA SN 0025-1909 J9 MANAGE SCI JI Manage. Sci. PD JUL PY 2011 VL 57 IS 7 BP 1195 EP 1211 DI 10.1287/mnsc.1110.1351 PG 17 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 791WD UT WOS:000292697700002 ER PT J AU Ivashina, V Kovner, A AF Ivashina, Victoria Kovner, Anna TI The Private Equity Advantage: Leveraged Buyout Firms and Relationship Banking SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID LENDING RELATIONSHIPS; INFORMATION PRODUCTION; MARKET; LOANS; PERFORMANCE; INVESTMENT; REPUTATION; BENEFITS; CHOICE; DEBT AB This article examines the impact of leveraged buyout firms' bank relationships on the terms of their syndicated loans. We examine a sample of 1,590 loans financing private equity sponsored leveraged buyouts between 1993 and 2005, and find that private equity firms' bank relationships are an important factor in cross-sectional variation in the loan interest rate and covenant structure. Our results indicate that bank relationships formed through repeated interactions reduce inefficiencies from information asymmetry and allow leveraged buyouts sponsored by private equity firms to occur on favorable loan terms. A one-standard-deviation increase in bank relationship strength is associated with an 8-basis-point (3%) decrease in the spread and a 0.21-basis-point (4%) increase in the maximum debt to EBITDA covenant. We also find evidence that banks price loans to cross-sell other fee business. A one-standard-deviation increase in both bank relationship strength and cross-selling potential translates into as much as a 4-percentage-point increase in equity return to the leveraged buyout firm. (JEL G20, G21, G23, G24, G32) C1 [Ivashina, Victoria] Harvard Univ, Sch Business, Boston, MA 02163 USA. [Kovner, Anna] Fed Reserve Bank New York, New York, NY 10045 USA. [Ivashina, Victoria] NBER, Cambridge, MA 02138 USA. RP Ivashina, V (reprint author), Harvard Univ, Sch Business, Baker Lib 233, Boston, MA 02163 USA. EM vivashina@hbs.edu; anna.kovner@ny.frb.org NR 44 TC 22 Z9 22 U1 7 U2 38 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JUL PY 2011 VL 24 IS 7 BP 2462 EP 2498 DI 10.1093/rfs/hhr024 PG 37 WC Business, Finance; Economics SC Business & Economics GA 790FL UT WOS:000292573800008 ER PT J AU Hamilton, JD Pruitt, S Borger, S AF Hamilton, James D. Pruitt, Seth Borger, Scott TI Estimating the Market-Perceived Monetary Policy Rule SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID REAL-TIME DATA; INTEREST-RATES; TERM STRUCTURE; MACROECONOMIC ANNOUNCEMENTS; FUTURES PRICES; INFLATION; FREQUENCY; FORECASTS; EXCHANGE; SHOCKS AB We introduce a novel method for estimating a monetary policy rule using macroeconomic news. We estimate directly the policy rule agents use to form their expectations by linking news' effects on forecasts of both economic conditions and monetary policy. Evidence between 1994 and 2007 indicates that the market-perceived Federal Reserve policy rule changed: the output response vanished, and the inflation response path became more gradual but larger in long-run magnitude. These response coefficient estimates are robust to measurement and theoretical issues with both potential output and the inflation target. (JEL C51, E31, E43, E52, E58) C1 [Hamilton, James D.] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. [Pruitt, Seth] Fed Reserve Board, Washington, DC 20551 USA. [Borger, Scott] Off Immigrat Stat, Washington, DC 20001 USA. RP Hamilton, JD (reprint author), Univ Calif San Diego, Dept Econ, 9500 Gilman Dr, La Jolla, CA 92093 USA. EM jhamilton@ucsd.edu; seth.j.pruitt@frb.gov; scott.borger@dhs.gov NR 45 TC 12 Z9 12 U1 3 U2 7 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2011 VL 3 IS 3 BP 1 EP 28 DI 10.1257/mac.3.3.1 PG 28 WC Economics SC Business & Economics GA 789TP UT WOS:000292539500001 ER PT J AU Billi, RM AF Billi, Roberto M. TI Optimal Inflation for the US Economy SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID OPTIMAL MONETARY-POLICY; NOMINAL INTEREST-RATES; EXPECTATIONS; COMMITMENT; FRAMEWORK AB This paper studies the optimal long-run inflation rate (OIR) in a small New Keynesian model, where the only policy instrument is a short-term nominal interest rate that may occasionally run against a zero lower bound (ZLB). The model allows for worst-case scenarios of misspecification. The analysis shows first, if the government optimally commits, the OIR is below 1 percent annually. Second, if the government re-optimizes each period, the OIR rises markedly to 17 percent. Third, if the government commits only to an inertial Taylor rule, the inflation bias is eliminated at very low cost in terms of welfare for the representative household. (JEL E12, E31, E43, E52, E58) C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Billi, RM (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM Roberto.Billi@kc.frb.org NR 35 TC 13 Z9 13 U1 0 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2011 VL 3 IS 3 BP 29 EP 52 DI 10.1257/mac.3.3.29 PG 24 WC Economics SC Business & Economics GA 789TP UT WOS:000292539500002 ER PT J AU Eusepi, S Hobijn, B Tambalotti, A AF Eusepi, Stefano Hobijn, Bart Tambalotti, Andrea TI CONDI: A Cost-of-Nominal-Distortions Index SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID OPTIMAL MONETARY-POLICY; MULTISECTOR ECONOMY; CORE INFLATION; CURRENCY AREA; PRICE CHANGES; WELFARE; MODEL; ADJUSTMENT; STATE; FACTS AB We construct a PCE-based price index whose weights minimize the welfare costs of nominal distortions: a cost-of-nominal-distortions index. We compute these weights in a multi-sector New Keynesian model, calibrated to match US data on price stickiness, labor shares, and inflation across sectors. The CONDI weights mostly depend on price stickiness. Moreover, CONDI stabilization leads to negligible welfare losses compared to the optimal policy and is better approximated by core rather than headline inflation targeting. An even better approximation can be obtained with an adjusted core index. (JEL C14, E12, E25, E31, E52). C1 [Eusepi, Stefano; Tambalotti, Andrea] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10012 USA. [Hobijn, Bart] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Eusepi, S (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10012 USA. EM Stefano.Eusepi@ny.frb.org; Bart.Hobijn@sf.frb.org; Andrea.Tambalotti@ny.frb.org OI Tambalotti, Andrea/0000-0002-9323-2470 NR 66 TC 6 Z9 6 U1 1 U2 14 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2011 VL 3 IS 3 BP 53 EP 91 DI 10.1257/mac.3.3.53 PG 39 WC Economics SC Business & Economics GA 789TP UT WOS:000292539500003 ER PT J AU Clark, TE Davig, T AF Clark, Todd E. Davig, Troy TI Decomposing the declining volatility of long-term inflation expectations SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Surveys; Stochastic volatility; Bayesian econometrics ID US MONETARY-POLICY; VECTOR AUTOREGRESSIONS; GREAT-MODERATION; FLUCTUATIONS; MODELS AB The level and volatility of survey-based measures of long-term inflation expectations have come down dramatically over the past several decades. To capture these changes in inflation dynamics, we embed both short- and long-term expectations into a medium-scale VAR model with stochastic volatility. The model estimates attribute most of the marked decline in the volatility of expectations to smaller shocks to long-run inflation expectations. According to our estimates, the volatility of shocks plummeted in the early to mid-1980s, moved to a somewhat higher level that prevailed for much of the 1990s, and then declined to and remained at very low levels. (C) 2010 Elsevier B.V. All rights reserved. C1 [Clark, Todd E.] Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH 44101 USA. [Davig, Troy] Barclays Capital, US Econ Res, New York, NY 10019 USA. RP Clark, TE (reprint author), Fed Reserve Bank Cleveland, Econ Res Dept, POB 6387, Cleveland, OH 44101 USA. EM todd.clark@clev.frb.org; troy.davig@barclayscapital.com NR 28 TC 5 Z9 5 U1 2 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUL PY 2011 VL 35 IS 7 BP 981 EP 999 DI 10.1016/j.jedc.2010.12.008 PG 19 WC Economics SC Business & Economics GA 779HY UT WOS:000291769900001 ER PT J AU Koop, G Potter, SM AF Koop, Gary Potter, Simon M. TI Time varying VARs with inequality restrictions SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Bayesian; State space model; Markov chain Monte Carlo; Metropolis-Hastings ID STATE-SPACE MODELS; MONETARY-POLICY; SIMULATION SMOOTHER AB In many applications involving time-varying parameter VARs, it is desirable to restrict the VAR coefficients at each point in time to be non-explosive. This is an example of a problem where inequality restrictions are imposed on states in a state space model. In this paper, we describe how existing MCMC algorithms for imposing such inequality restrictions can work poorly (or not at all) and suggest alternative algorithms which exhibit better performance. Furthermore, we show that previous algorithms involve an approximation relating to a key prior integrating constant. Our algorithms are exact, not involving this approximation. In an application involving a commonly used U.S. data set, we present evidence that the algorithms proposed in this paper work well. (C) 2011 Elsevier B.V. All rights reserved. C1 [Koop, Gary] Univ Strathclyde, Dept Econ, Glasgow G4 0GE, Lanark, Scotland. [Potter, Simon M.] Fed Reserve Bank New York, New York, NY USA. RP Koop, G (reprint author), Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. EM Gary.Koop@strath.ac.uk; simon.potter@ny.frb.org OI Koop, Gary/0000-0002-6091-378X NR 20 TC 11 Z9 11 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUL PY 2011 VL 35 IS 7 BP 1126 EP 1138 DI 10.1016/j.jedc.2011.02.001 PG 13 WC Economics SC Business & Economics GA 779HY UT WOS:000291769900009 ER PT J AU Afonso, G AF Afonso, Gara TI Liquidity and congestion SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Liquidity; Search; Congestion; Asset pricing ID THE-COUNTER MARKETS; ASSET MARKETS; SEARCH EQUILIBRIUM; WELFARE AB This paper studies the relationship between the endogenous arrival of investors to a market and liquidity in a search-based model of asset trading. Entry of investors causes two contradictory effects. First, it reduces trading costs, which attracts new investors (externality effect). But secondly, as investors concentrate on one side of the market, the market becomes "congested," decreasing the returns to investing and discouraging new investors from entering (congestion effect). The equilibrium level of liquidity depends on which of the two effects dominates. When congestion is the leading effect, some interesting results arise. In particular, diminishing trading costs can deteriorate liquidity and welfare. (C) 2011 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Afonso, G (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Gara.Afonso@ny.frb.org NR 32 TC 2 Z9 2 U1 1 U2 13 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JUL PY 2011 VL 20 IS 3 BP 324 EP 360 DI 10.1016/j.jfi.2010.11.002 PG 37 WC Business, Finance SC Business & Economics GA 778ON UT WOS:000291714100003 ER PT J AU Bandyopadhyay, S Sandler, T Younas, J AF Bandyopadhyay, Subhayu Sandler, Todd Younas, Javed TI Foreign aid as counterterrorism policy SO OXFORD ECONOMIC PAPERS-NEW SERIES LA English DT Article DE H40; O10; D74 ID TERRORISM; EDUCATION; WAR AB This paper presents a model where foreign aid bolsters a developing country's proactive counterterrorism efforts against a resident transnational terrorist group. In stage 1 of the game, the donor country allocates resources to terrorism-fighting tied aid, general assistance, and defensive actions at home. The recipient country then decides its proactive campaign against the common terrorist threat in stage 2, while the terrorists direct their attacks against the donor and recipient countries in stage 3. Terrorists' choices in the final stage provide a solid microfoundation for the terrorists' likelihood of success function. In stage 2, greater tied aid raises the recipient country's proactive measures and regime instability, while increased general aid reduces these proactive efforts and regime instability. In stage 1, a donor's homeland security decisions are interdependent with its aid package to a recipient country, hosting resident transnational terrorists. This interdependency and its implications have gone unrecognized to date. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. [Sandler, Todd] Univ Texas Dallas, Sch Econ Polit & Policy Sci, Richardson, TX 75080 USA. [Younas, Javed] Amer Univ Sharjah, Sharjah, U Arab Emirates. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. EM tsandler@utdallas.edu RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 26 TC 23 Z9 23 U1 8 U2 27 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0030-7653 J9 OXFORD ECON PAP JI Oxf. Econ. Pap.-New Ser. PD JUL PY 2011 VL 63 IS 3 BP 423 EP 447 DI 10.1093/oep/gpq030 PG 25 WC Economics SC Business & Economics GA 779BC UT WOS:000291752100001 ER PT J AU Fogli, A Veldkamp, L AF Fogli, Alessandra Veldkamp, Laura TI NATURE OR NURTURE? LEARNING AND THE GEOGRAPHY OF FEMALE LABOR FORCE PARTICIPATION SO ECONOMETRICA LA English DT Article DE Female labor force participation; information diffusion; economic geography ID TECHNOLOGY DIFFUSION; EMPLOYMENT; WORK; REVOLUTION; DYNAMICS; OUTCOMES; CULTURE; CYCLE; GAP AB One of the most dramatic economic transformations of the past century has been the entry of women into the labor force. While many theories explain why this change took place, we investigate the process of transition itself. We argue that local information transmission generates changes in participation that are geographically heterogeneous, locally correlated, and smooth in the aggregate, just like those observed in our data. In our model, women learn about the effects of maternal employment on children by observing nearby employed women. When few women participate in the labor force, data are scarce and participation rises slowly. As information accumulates in some regions, the effects of maternal employment become less uncertain and more women in that region participate. Learning accelerates, labor force participation rises faster, and regional participation rates diverge. Eventually, information diffuses throughout the economy, beliefs converge to the truth, participation flattens out, and regions become more similar again. To investigate the empirical relevance of our theory, we use a new county-level data set to compare our calibrated model to the time series and geographic patterns of participation. C1 [Fogli, Alessandra] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Fogli, Alessandra] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Veldkamp, Laura] NYU, Stern Sch Business, New York, NY 10012 USA. [Veldkamp, Laura] NBER, Cambridge, MA 02138 USA. RP Fogli, A (reprint author), Univ Minnesota, Dept Econ, 1925 4th St S, Minneapolis, MN 55455 USA. EM afogli@umn.edu; lveldkam@stern.nyu.edu FU Princeton University FX We thank seminar participants at Northwestern, the World Bank, Chicago GSB, University of Wisconsin-Madison, Minneapolis Federal Reserve, Princeton University, European University in Florence, University of Southern California, New York University, Boston University, Bocconi, Universite Pompeu Fabra, Ente Einaudi, Boston Federal Reserve, and Harvard University and conference participants at the 2009 winter NBER EF&G Meetings, 2008 AEA, SITE, the 2007 NBER Summer Institute, the SED Conference, LAEF Households, Gender and Fertility Conference, the NBER Group on Macroeconomics across Time and Space, Midwest Macro Meetings, the NY/Philadelphia Workshop on Quantitative Macro, IZA/SOLE, and Ammersee. We especially thank Stefania Marcassa for excellent research assistance and Stefania Albanesi, Roland Benabou, Raquel Bernal, Jason Faberman, Jeremy Greenwood, Luigi Guiso, Larry Jones, Patrick Kehoe, Narayana Kocherlakota, Ellen McGrattan, Fabrizio Perri, Harald Uhlig, and the anonymous referees for comments and suggestions. Laura Veldkamp thanks Princeton University for their hospitality and financial support through the Kenen fellowship. NR 43 TC 30 Z9 31 U1 3 U2 22 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD JUL PY 2011 VL 79 IS 4 BP 1103 EP 1138 DI 10.3982/ECTA7767 PG 36 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 786SN UT WOS:000292328300005 ER PT J AU Allgood, S Bosshardt, W van der Klaauw, W Watts, M AF Allgood, Sam Bosshardt, William van der Klaauw, Wilbert Watts, Michael TI ECONOMICS COURSEWORK AND LONG-TERM BEHAVIOR AND EXPERIENCES OF COLLEGE GRADUATES IN LABOR MARKETS AND PERSONAL FINANCE SO ECONOMIC INQUIRY LA English DT Article ID CURRICULUM MANDATES; LSAT SCORES; EDUCATION; EARNINGS; WORKPLACE; RETURNS; MAJORS; MODELS; BIAS AB Using survey data from over 2,000 students who attended one of four large public universities in 1976, 1986, or 1996, we investigate the relationship between taking more coursework in economics, or choosing economics as an undergraduate major, and a wide range of later decisions and outcomes in labor markets and personal finance, many of which have not been analyzed in earlier research. Generally, economics coursework and majoring in economics are significantly related to higher levels of earnings, home equity, and savings. They are also associated with working more hours and negatively related to completing graduate degrees (except the MBA). Among graduates with positive savings, those with more economics coursework invest more in individual stocks and money market accounts, and are more likely to have employer-provided life insurance. They have fewer credit cards, which are more often paid in full each month. Most of these findings also hold for graduates who majored in business, but on average economics majors worked more hours and earned more than business majors, were more likely to have been self-employed, and expected to retire at an older age. Business majors were more likely to have experienced a layoff, and were even less likely than economics majors to complete graduate degrees (except the MBA). Economics majors expected to save even more than business majors by retirement, and viewed short-term and precautionary motives for saving as more important. Finally, our results suggest that exposure to economics through course-taking is more important for later outcomes than actual performance in those courses. C1 [Allgood, Sam] Univ Nebraska, Dept Econ, Lincoln, NE 68588 USA. [Bosshardt, William] Florida Atlantic Univ, Dept Econ, Boca Raton, FL 33431 USA. [van der Klaauw, Wilbert] Fed Reserve Bank New York, New York, NY 10045 USA. [Watts, Michael] Purdue Univ, Dept Econ, W Lafayette, IN 47907 USA. RP Allgood, S (reprint author), Univ Nebraska, Dept Econ, Lincoln, NE 68588 USA. EM sallgood@UNLnotes.UNL.edu; wbosshar@FAU.edu; Wilbert.Vanderklaauw@ny.frb.org; mwatts@purdue.edu RI Kim, Moon Jung/D-3519-2014 NR 47 TC 7 Z9 7 U1 1 U2 15 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JUL PY 2011 VL 49 IS 3 BP 771 EP 794 DI 10.1111/j.1465-7295.2009.00270.x PG 24 WC Economics SC Business & Economics GA 784OS UT WOS:000292167200009 ER PT J AU Clark, TE AF Clark, Todd E. TI Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Bayesian methods; Steady-state prior ID STEADY-STATE PRIORS; MONETARY-POLICY; INTEREST-RATES; TERM STRUCTURE; MODELS; INFLATION; INFERENCE; ACCURACY; TESTS; VARS AB Central banks and other forecasters are increasingly interested in various aspects of density forecasts. However, recent sharp changes in macroeconomic volatility, including the Great Moderation and the more recent sharp rise in volatility associated with increased variation in energy prices and the deep global recession-pose significant challenges to density forecasting. Accordingly, this paper examines, with real-time data, density forecasts of U. S. GDP growth, unemployment, inflation, and the federal funds rate from Bayesian vector autoregression (BVAR) models with stochastic volatility. The results indicate that adding stochastic volatility to BVARs materially improves the real-time accuracy of density forecasts. This article has supplementary material online. C1 Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH 44101 USA. RP Clark, TE (reprint author), Fed Reserve Bank Cleveland, Econ Res Dept, POB 6387, Cleveland, OH 44101 USA. EM todd.clark@clev.frb.org NR 40 TC 43 Z9 43 U1 2 U2 8 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JUL PY 2011 VL 29 IS 3 BP 327 EP 341 DI 10.1198/jbes.2010.09248 PG 15 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 786NZ UT WOS:000292316500001 ER PT J AU Ammer, J Cai, F AF Ammer, John Cai, Fang TI Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter? SO JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY LA English DT Article DE Credit default swaps; Sovereign bonds; Emerging markets; Liquidity; Cheapest-to-deliver option AB We examine the relationships between credit default swap (CDS) premiums and bond yield spreads for nine emerging market sovereign borrowers. We find that these two measures of credit risk deviate considerably in the short run, due to factors such as liquidity and contract specifications, but we estimate a stable long-term equilibrium relationship for most countries. In particular, CDS premiums tend to move more than one-for-one with yield spreads, which we show is broadly consistent with the presence of a significant "cheapest-to-deliver" (CTD) option. In addition, we find a variety of cross-sectional evidence of a CTD option being incorporated into CDS premiums. In our analysis of the short-term dynamics, we find that CDS premiums often move ahead of the bond market. However, we also find that bond spreads lead CDS premiums for emerging market sovereigns more often than has been found for investment-grade corporate credits, consistent with the CTD option impeding CDS liquidity for our riskier set of borrowers. Furthermore, the CDS market is less likely to lead for sovereigns that have issued more bonds, suggesting that the relative liquidity of the two markets is a key determinant of where price discovery occurs. Published by Elsevier B.V. C1 [Ammer, John; Cai, Fang] Board Governors Fed Reserve Syst, Div Int Finance, Washington, DC USA. RP Cai, F (reprint author), Board Governors Fed Reserve Syst, Div Int Finance, Washington, DC USA. EM john.ammer@frb.gov; fang.cai@frb.gov NR 19 TC 15 Z9 15 U1 3 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1042-4431 J9 J INT FINANC MARK I JI J. Int. Financ. Mark. Inst. Money PD JUL PY 2011 VL 21 IS 3 BP 369 EP 387 DI 10.1016/j.intfin.2011.01.001 PG 19 WC Business, Finance; Economics SC Business & Economics GA V29SV UT WOS:000208769000004 ER PT J AU Liu, Z Waggoner, DF Zha, T AF Liu, Zheng Waggoner, Daniel F. Zha, Tao TI Sources of macroeconomic fluctuations: A regime-switching DSGE approach SO QUANTITATIVE ECONOMICS LA English DT Article DE Regime switch; depreciation shock; financial shock; Mueller method; volatility changes; inflation target AB We examine the sources of macroeconomic fluctuations by estimating a variety of richly parameterized DSGE models within a unified framework that incorporates regime switching both in shock variances and in the inflation target. We propose an efficient methodology for estimating regime-switching DSGE models. Our counterfactual exercises show that changes in the inflation target are not the main driving force of high inflation in the 1970s. The model that best fits the U. S. time-series data is the one with synchronized shifts in shock variances across two regimes, and the fit does not rely on strong nominal rigidities. We provide evidence that a shock to the capital depreciation rate, which resembles a financial shock, plays a crucial role in accounting for macroeconomic fluctuations. C1 [Liu, Zheng] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Waggoner, Daniel F.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Zha, Tao] Emory Univ, Fed Reserve Bank Atlanta, Atlanta, GA USA. [Zha, Tao] NBER, Cambridge, MA 02138 USA. RP Liu, Z (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM zheng.liu@sf.frb.org; Daniel.F.Waggoner@atl.frb.org; tzha@frbatlanta.org NR 64 TC 39 Z9 39 U1 3 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 EI 1759-7331 J9 QUANT ECON JI Quant. Econ. PD JUL PY 2011 VL 2 IS 2 BP 251 EP 301 DI 10.3982/QE71 PG 51 WC Economics SC Business & Economics GA V28LG UT WOS:000208681700004 ER PT J AU Lutz, B Molloy, R Shan, H AF Lutz, Byron Molloy, Raven Shan, Hui TI The housing crisis and state and local government tax revenue: Five channels SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE State and local taxation; Housing crisis; Property tax; Sales tax; State income tax AB State and local government tax revenues dropped steeply following the most severe housing market contraction since the Great Depression. We identify five main channels through which the housing market affects state and local tax revenues: property tax revenues, transfer tax revenues, sales tax revenues (including a direct effect through construction materials and an indirect effect through the link between housing wealth and consumption), and personal income tax revenues. We find that property tax revenues do not tend to decrease following house price declines. We conclude that the resilience of property tax receipts is due to significant lags between market values and assessed values of housing and the tendency of policy makers to offset declines in the tax base with higher tax rates. The other four channels have had a relatively modest effect on state tax revenues. We calculate that these channels jointly reduced tax revenues by $22 billion from 2006 to 2009. which is about 3% of total state own-source revenues in 2006. We conclude that the recent contraction in state and local tax revenues has been driven primarily by the general economic recession, rather than the housing market per-se. Published by Elsevier B.V. C1 [Lutz, Byron; Molloy, Raven; Shan, Hui] Fed Reserve Board Governors, Washington, DC USA. RP Lutz, B (reprint author), Fed Reserve Board Governors, Washington, DC USA. EM Byron.F.Lutz@frb.gov NR 15 TC 18 Z9 18 U1 0 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD JUL PY 2011 VL 41 IS 4 SI SI BP 306 EP 319 DI 10.1016/j.regsciurbeco.2011.03.009 PG 14 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 780ZF UT WOS:000291899700002 ER PT J AU Bandyopadhyay, S Sandler, T AF Bandyopadhyay, Subhayu Sandler, Todd TI The Interplay Between Preemptive and Defensive Counterterrorism Measures: A Two-stage Game SO ECONOMICA LA English DT Article ID CONTEST SUCCESS FUNCTIONS; TRANSNATIONAL TERRORISM AB A two-stage game depiction of counterterrorism is presented, emphasizing the interaction between preemptive and defensive measures taken by two commonly targeted countries. The preemptor is apt to be the high-cost defender with the greater foreign interests. A prime-target country may also assume the preemptor role. The analysis identifies key factors-cost comparisons, foreign interests, targeting risks and domestic terrorism losses-that determine counterterrorism allocations. Market failures associated with preemptive and defensive measures may be jointly ameliorated by a disadvantaged defender. Nevertheless, the subgame perfect equilibrium will still be suboptimal since externalities are not fully internalized. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Bonn, Germany. [Bandyopadhyay, Subhayu] IZA, Bonn, Germany. [Sandler, Todd] Univ Texas Dallas, Dallas, TX 75230 USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Bonn, Germany. RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 20 TC 23 Z9 24 U1 0 U2 5 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0427 J9 ECONOMICA JI Economica PD JUL PY 2011 VL 78 IS 311 BP 546 EP 564 DI 10.1111/j.1468-0335.2009.00823.x PG 19 WC Economics SC Business & Economics GA 774PW UT WOS:000291399600008 ER PT J AU Love, DA Smith, PA Wilcox, DW AF Love, David A. Smith, Paul A. Wilcox, David W. TI The effect of regulation on optimal corporate pension risk SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Pensions; Bankruptcy; Risk; Portfolio choice ID IDIOSYNCRATIC RISK; PLANS; LIABILITIES; POLICY; STATE AB We study firms' pension prefunding and portfolio allocation choices in a model in which firms trade off the need to compensate workers for the financial risk in their pension benefit against the cost advantage that may be gained by exploiting underpriced pension insurance. In the absence of pension insurance, the firm minimizes costs by rendering promised benefits free of risk to workers, who are assumed to be unable to hedge firm-specific risk. Various forms of government intervention, such as benefit guarantees, can alter this outcome dramatically by providing the firm with an incentive to shift risk to other parties. In this case, we find that the firm's decisions depend on, among other influences, the degree of insurance mispricing, the amount of guaranteed benefits, the stringency of minimum funding requirements, and the costs of financial distress. (C) 2011 Elsevier B.V. All rights reserved. C1 [Love, David A.] Williams Coll, Williamstown, MA 01267 USA. [Smith, Paul A.; Wilcox, David W.] Fed Reserve Board, Washington, DC 20551 USA. RP Love, DA (reprint author), Williams Coll, Williamstown, MA 01267 USA. EM dlove@williams.edu; paul.a.smith@frb.gov; dwilcox@frb.gov NR 36 TC 2 Z9 2 U1 2 U2 10 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD JUL PY 2011 VL 101 IS 1 BP 18 EP 35 DI 10.1016/j.jfineco.2011.02.016 PG 18 WC Business, Finance; Economics SC Business & Economics GA 770DS UT WOS:000291067800002 ER PT J AU Rose, AK Spiegel, MM AF Rose, Andrew K. Spiegel, Mark M. TI The Olympic Effect SO ECONOMIC JOURNAL LA English DT Article ID LIBERALIZATION; TRADE AB Why should countries offer to host costly 'mega-events' such as the Olympic Games? We show that hosting a mega-event increases exports. This effect is statistically robust, permanent and large; trade is over 20% higher for host countries. Interestingly, unsuccessful bids to host the Olympics have a similar impact on exports. We conclude that the Olympic effect on trade is attributable to the signal a country sends when bidding to host the games, rather than the act of actually holding a mega-event. We develop an appropriate formal model and derive conditions under which liberalising countries will signal through a mega-event bid. C1 [Rose, Andrew K.] Univ Calif Berkeley, Haas Sch Business, Fed Reserve Bank San Francisco, Berkeley, CA 94720 USA. RP Rose, AK (reprint author), Univ Calif Berkeley, Haas Sch Business, Fed Reserve Bank San Francisco, Berkeley, CA 94720 USA. EM arose@haas.berkeley.edu RI Rose, Andrew/I-1578-2014 OI Rose, Andrew/0000-0003-1100-1212 NR 16 TC 45 Z9 45 U1 3 U2 22 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0133 J9 ECON J JI Econ. J. PD JUN PY 2011 VL 121 IS 553 BP 652 EP 677 DI 10.1111/j.1468-0297.2010.02407.x PG 26 WC Economics SC Business & Economics GA 772JO UT WOS:000291230400002 ER PT J AU Coulibaly, B Millar, J AF Coulibaly, Brahima Millar, Jonathan TI Investment Dynamics in the Aftermath of the Asian Financial Crisis: A Firm-Level Analysis SO INTERNATIONAL FINANCE LA English DT Article ID CONSTRAINTS; DETERMINANTS; INFORMATION; IMBALANCES; DECISIONS; MODEL; DEBT AB Using panel data encompassing nearly 3,750 firms from 1991 to 2005, we study the dynamics of corporate fixed investment in the emerging Asian economies that were most affected by the financial crisis of the late 1990s. Our analysis indicates that post-crisis corporate fixed investment rates have fallen by about 12 percentage points relative to pre-crisis levels, a decline that is remarkably broad-based across industries and countries. We explore the factors behind this lower post-crisis investment. Although weaker post-crisis fundamentals contributed to the decline, the most important factor appears to be balance sheet restructuring in the aftermath of the excessive debt accumulation and excess investment that occurred during the run-up to the crisis. The dragon investment from this adjustment remained significant through 2005 - nearly a decade after the financial crisis. C1 [Coulibaly, Brahima] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Coulibaly, B (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Mail Stop 24, Washington, DC 20551 USA. EM brahima.coulibaly@frb.gov NR 49 TC 2 Z9 2 U1 0 U2 1 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1367-0271 J9 INT FINANC JI Int. Financ. PD SUM PY 2011 VL 14 IS 2 BP 331 EP 359 DI 10.1111/j.1468-2362.2011.01284.x PG 29 WC Business, Finance; Economics SC Business & Economics GA 818CX UT WOS:000294728600005 ER PT J AU Molloy, R Smith, CL Wozniak, A AF Molloy, Raven Smith, Christopher L. Wozniak, Abigail TI Internal Migration in the United States SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID RESIDENTIAL-MOBILITY; UNEMPLOYMENT; RETURN; LABOR C1 [Molloy, Raven; Smith, Christopher L.] Fed Reserve Board Governors, Macroecon Anal Sect, Washington, DC USA. [Wozniak, Abigail] Univ Notre Dame, Notre Dame, IN 46556 USA. [Wozniak, Abigail] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Wozniak, Abigail] Inst Study Labor IZA, Bonn, Germany. RP Molloy, R (reprint author), Fed Reserve Board Governors, Macroecon Anal Sect, Washington, DC USA. EM raven.s.molloy@frb.gov; christopher.l.smith@frb.gov; a_wozniak@nd.edu NR 47 TC 61 Z9 61 U1 2 U2 22 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SUM PY 2011 VL 25 IS 3 BP 173 EP 196 DI 10.1257/jep.25.3.173 PG 24 WC Economics SC Business & Economics GA 810FO UT WOS:000294111300009 ER PT J AU Chordia, T Sarkar, A Subrahmanyam, A AF Chordia, Tarun Sarkar, Asani Subrahmanyam, Avanidhar TI Liquidity Dynamics and Cross-Autocorrelations SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID US TREASURY MARKET; STOCK RETURNS; TRADING VOLUME; ORDER FLOW; INFORMATION; PRICES; VOLATILITY; EFFICIENCY; ARBITRAGE; SPREADS AB This paper examines the relation between information transmission and cross-autocorrelations. We present a simple Model, where informed trading is transmitted from large to small stocks with a lag. In equilibrium, large stock illiquidity induced by informed trading portends stronger cross-autocorrelations. Empirically, we find that the lead-lag relation increases with lagged large stock illiquidity. Further, the lead from large stock order flows to small stock returns is stronger when large stock spreads are higher. In addition, this lead-lag relation is stronger before macro announcements (when information-based trading is more likely) and weaker afterward (when information asymmetries are lower). C1 [Chordia, Tarun] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA. [Sarkar, Asani] Fed Reserve Bank New York, New York, NY 10038 USA. [Subrahmanyam, Avanidhar] Univ Calif Los Angeles, Anderson Grad Sch Management, Los Angeles, CA 90095 USA. RP Chordia, T (reprint author), Emory Univ, Goizueta Business Sch, 1300 Clifton Rd, Atlanta, GA 30322 USA. EM tarun_chordia@bus.emory.edu; asani.sarkar@ny.frb.org; subra@anderson.ucla.edu NR 49 TC 11 Z9 11 U1 5 U2 20 PU UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION PI SEATTLE PA C/O OFFICE MANAGER, 115 LEWIS HALL, BOX 353200, SEATTLE, WA 98195-3200 USA SN 0022-1090 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD JUN PY 2011 VL 46 IS 3 BP 709 EP 736 DI 10.1017/S0022109011000081 PG 28 WC Business, Finance; Economics SC Business & Economics GA 793AQ UT WOS:000292793200005 ER PT J AU Gehrig, T Shy, O Stenbacka, R AF Gehrig, Thomas Shy, Oz Stenbacka, Rune TI History-based price discrimination and entry in markets with switching costs: A welfare analysis SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE History-based pricing; Price discrimination; Entry; Switching costs; Abuse of market dominance; Exclusionary abuse; Exploitative abuse; Ban on price discrimination ID COMPETITION AB We analyze history-based price discrimination in an asymmetric industry, where an incumbent, protected by switching costs, faces an entrant who does not have access to information about consumers' purchase histories. We demonstrate that consumer surplus is higher with uniform pricing than with history-based price discrimination. We find that the entry decision is invariant to whether the incumbent implements history-based pricing or uniform pricing. This implies that the potential abuse of market dominance imposed by history-based price discrimination is exploitation, not exclusion. Finally, we establish that the profit gain to the incumbent from history-based pricing exceeds the associated loss to consumers. (C) 2010 Elsevier B.V. All rights reserved. C1 [Stenbacka, Rune] Hanken Sch Econ, Helsinki 00101, Finland. [Shy, Oz] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Gehrig, Thomas] Univ Vienna, Dept Finance, A-1210 Vienna, Austria. [Gehrig, Thomas] CEPR, A-1210 Vienna, Austria. RP Stenbacka, R (reprint author), Hanken Sch Econ, POB 479, Helsinki 00101, Finland. EM thomas.gehrig@univie.ac.at; oz.shy@bos.frb.org; Rune.Stenbacka@hanken.fi RI Gehrig, Thomas/M-4589-2015 OI Gehrig, Thomas/0000-0003-1464-5742 NR 17 TC 14 Z9 14 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD JUN PY 2011 VL 55 IS 5 BP 732 EP 739 DI 10.1016/j.euroecorev.2010.09.001 PG 8 WC Economics SC Business & Economics GA 792AN UT WOS:000292713000010 ER PT J AU Calem, P Henderson, C Liles, J AF Calem, Paul Henderson, Christopher Liles, Jonathan TI "Cherry picking" in subprime mortgage securitizations: Which subprime mortgage loans were sold by depository institutions prior to the crisis of 2007? SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Subprime mortgages; Securitization; Credit risk ID MARKET; MODEL AB Depository institutions may utilize securitization to "cherry pick," meaning to transfer risk to investors along dimensions that the investors tend to disregard or misperceive. Using Home Mortgage Disclosure Act data merged with data on subprime loan delinquency by ZIP code, this paper examines sale of "high cost" mortgages by depository institutions during the subprime lending boom of 2005 and 2006. We find that the likelihood of sale increases with risk along dimensions viewed as indicative of cherry picking: for instance, it is positively associated with future, subprime delinquency rates across neighborhoods. In contrast, along the dimension of mutually observed and priced risk as represented by APR spread, likelihood of sale decreases with risk. Thus, the paper reinforces the view, increasingly prevalent in the literature, that inattention to or misperception of risk by the securitization market played a significant role in the subprime lending boom and subsequent market collapse. Published by Elsevier Inc. C1 [Calem, Paul] Fed Reserve Syst, Board Governors, Div Banking Supervis & Regulat, Washington, DC 20551 USA. [Henderson, Christopher] Fed Reserve Bank Philadelphia, Dept Supervis Regulat & Credit, Philadelphia, PA 19106 USA. [Liles, Jonathan] Freddie Mac, Mission Div, Mclean, VA 22102 USA. RP Calem, P (reprint author), Fed Reserve Syst, Board Governors, Div Banking Supervis & Regulat, Mail Stop 1813,20th & C St NW, Washington, DC 20551 USA. EM paul.calem@frb.gov; chris.henderson@phil.frb.org; jonathan_liles@freddiemac.com NR 37 TC 3 Z9 3 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD JUN PY 2011 VL 20 IS 2 SI SI BP 120 EP 140 DI 10.1016/j.jhe.2011.04.002 PG 21 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 787GP UT WOS:000292364900005 ER PT J AU Demyanyk, Y Van Hemert, O AF Demyanyk, Yuliya Van Hemert, Otto TI Understanding the Subprime Mortgage Crisis SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE D12; G01; G12; G20; G21 ID HETEROGENEITY; TERMINATIONS; STANDARDS; BANKING; MODELS; EQUITY; MARKET; SALE AB Using loan-level data, we analyze the quality of subprime mortgage loans by adjusting their performance for differences in borrower characteristics, loan characteristics, and macroeconomic conditions. We find that the quality of loans deteriorated for six consecutive years before the crisis and that securitizers were, to some extent, aware of it. We provide evidence that the rise and fall of the subprime mortgage market follows a classic lending boom-bust scenario, in which unsustainable growth leads to the collapse of the market. Problems could have been detected long before the crisis, but they were masked by high house price appreciation between 2003 and 2005. C1 [Demyanyk, Yuliya] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. [Van Hemert, Otto] NYU, Stern Sch Business, New York, NY 10003 USA. RP Demyanyk, Y (reprint author), Fed Reserve Bank Cleveland, POB 6387, Cleveland, OH 44101 USA. EM Yuliya.Demyanyk@clev.frb.org NR 41 TC 145 Z9 145 U1 9 U2 69 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JUN PY 2011 VL 24 IS 6 BP 1848 EP 1880 DI 10.1093/rfs/hhp033 PG 33 WC Business, Finance; Economics SC Business & Economics GA 766WQ UT WOS:000290817700005 ER PT J AU Ackert, LF Church, BK Jayaraman, N AF Ackert, Lucy F. Church, Bryan K. Jayaraman, Narayanan TI Is There a Link Between Money Illusion and Homeowners' Expectations of Housing Prices? SO REAL ESTATE ECONOMICS LA English DT Article ID MARKET AB Money illusion is a behavioral bias in which a person thinks in terms of nominal rather than real values. This article reports homeowners' responses to a survey designed to measure the extent of money illusion as well as homeowners' expectations regarding home valuations. Our survey respondents suffer from money illusion, yet they have reasonable expectations of home prices. Our analysis did not identify any unique individual characteristic that correlates with homeowners' choices and suggests that the relationship between money illusion and mispricing is subtle and multifaceted. C1 [Ackert, Lucy F.] Kennesaw State Univ, Coles Coll Business, Dept Econ & Finance, Kennesaw, GA 30144 USA. [Ackert, Lucy F.] Fed Reserve Bank Atlanta, Atlanta, GA 30303 USA. [Church, Bryan K.; Jayaraman, Narayanan] Georgia Inst Technol, Coll Management, Atlanta, GA 30332 USA. RP Ackert, LF (reprint author), Kennesaw State Univ, Coles Coll Business, Dept Econ & Finance, Kennesaw, GA 30144 USA. EM lackert@kennesaw.edu; bryan.church@mgt.gatech.edu; narayanan.jayaraman@mgt.gatech.edu NR 11 TC 2 Z9 2 U1 0 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD SUM PY 2011 VL 39 IS 2 BP 251 EP 275 DI 10.1111/j.1540-6229.2010.00295.x PG 25 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 768TV UT WOS:000290962200003 ER PT J AU Santos, JAC AF Santos, Joao A. C. TI Bank Corporate Loan Pricing Following the Subprime Crisis SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE E51; G21; G32 ID RISK AB The massive losses that banks incurred with the meltdown of the subprime mortgage market have raised concerns about their ability to continue lending to corporations. We investigate these concerns. We find that firms paid higher loan spreads during the subprime crisis. Importantly, the increase in loan spreads was higher for firms that borrowed from banks that incurred larger losses. These results hold after we control for firm-, bank-, and loan-specific factors, and account for endogeneity of bank losses. These findings, together with our evidence that borrowers took out smaller loans during the crisis when they borrowed from banks that incurred larger losses, lend support to the concerns about bank lending following their subprime losses. C1 [Santos, Joao A. C.] Fed Reserve Bank New York, New York, NY USA. RP Santos, JAC (reprint author), 33 Liberty St, New York, NY 10045 USA. EM joao.santos@ny.frb.org RI nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 24 TC 54 Z9 54 U1 3 U2 19 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JUN PY 2011 VL 24 IS 6 BP 1916 EP 1943 DI 10.1093/rfs/hhq115 PG 28 WC Business, Finance; Economics SC Business & Economics GA 766WQ UT WOS:000290817700007 ER PT J AU Acharya, VV Shin, HS Yorulmazer, T AF Acharya, Viral V. Shin, Hyun Song Yorulmazer, Tanju TI Crisis Resolution and Bank Liquidity SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE G21; G28; G32; E58; D61 ID DEBT; COSTS; ILLIQUIDITY; GOVERNANCE; OWNERSHIP; VALUATION; CONTAGION; FAILURES; RETURNS; MARKETS AB What is the effect of financial crises and their resolution on banks' choice of liquidity? When banks have relative expertise in employing risky assets, the market for these assets clears only at fire-sale prices following a large number of bank failures. The gains from acquiring assets at fire-sale prices make it attractive for banks to hold liquid assets. The resulting choice of bank liquidity is countercyclical, inefficiently low during economic booms but excessively high during crises. We present evidence consistent with these predictions. While interventions to resolve banking crises may be desirable ex post, they affect bank liquidity in subtle ways: Liquidity support to failed banks or unconditional support to surviving banks reduces incentives to hold liquidity, whereas support to surviving banks conditional on their liquid asset holdings has the opposite effect. C1 [Acharya, Viral V.] NYU, Stern Sch Business, Dept Finance, New York, NY 10012 USA. [Shin, Hyun Song] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08540 USA. [Yorulmazer, Tanju] Fed Reserve Bank New York, New York, NY 10045 USA. RP Acharya, VV (reprint author), NYU, Stern Sch Business, Dept Finance, 44 W 4th St,Room 9-84, New York, NY 10012 USA. EM vacharya@stern.nyu.edu; hsshin@princeton.edu; Tanju.Yorulmazer@ny.frb.org NR 64 TC 31 Z9 31 U1 7 U2 30 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JUN PY 2011 VL 24 IS 6 BP 2166 EP 2205 DI 10.1093/rfs/hhq073 PG 40 WC Business, Finance; Economics SC Business & Economics GA 766WQ UT WOS:000290817700001 ER PT J AU Luo, FJ Florence, CS Quispe-Agnoli, M Ouyang, LJ Crosby, AE AF Luo, Feijun Florence, Curtis S. Quispe-Agnoli, Myriam Ouyang, Lijing Crosby, Alexander E. TI Impact of Business Cycles on US Suicide Rates, 1928-2007 SO AMERICAN JOURNAL OF PUBLIC HEALTH LA English DT Article ID SEVERE ECONOMIC RECESSION; CRISIS HOTLINE OUTCOMES; SOUTH-KOREA; TIME-SERIES; UNEMPLOYMENT; MORTALITY; TAIWAN; TRENDS; CALLERS; HEALTH AB Objectives. We examined the associations of overall and age-specific suicide rates with business cycles from 1928 to 2007 in the United States. Methods. We conducted a graphical analysis of changes in suicide rates during business cycles, used nonparametric analyses to test associations between business cycles and suicide rates, and calculated correlations between the national unemployment rate and suicide rates. Results. Graphical analyses showed that the overall suicide rate generally rose during recessions and fell during expansions. Age-specific suicide rates responded differently to recessions and expansions. Nonparametric tests indicated that the overall suicide rate and the suicide rates of the groups aged 25 to 34 years, 35 to 44 years, 45 to 54 years, and 55 to 64 years rose during contractions and fell during expansions. Suicide rates of the groups aged 15 to 24 years, 65 to 74 years, and 75 years and older did not exhibit this behavior. Correlation results were concordant with all nonparametric results except for the group aged 65 to 74 years. Conclusions. Business cycles may affect suicide rates, although different age groups responded differently. Our findings suggest that public health responses are a necessary component of suicide prevention during recessions. (Am J Public Health. 2011;101:1139-1146. doi:10.2105/AJPH.2010.300010) C1 [Luo, Feijun; Florence, Curtis S.; Crosby, Alexander E.] Ctr Dis Control & Prevent, Div Violence Prevent, Natl Ctr Injury Prevent & Control, Atlanta, GA 30341 USA. [Quispe-Agnoli, Myriam] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Ouyang, Lijing] Ctr Dis Control & Prevent, Div Birth Defects & Dev Disabil, Natl Ctr Birth Defects & Dev Disabil, Atlanta, GA 30341 USA. RP Luo, FJ (reprint author), Ctr Dis Control & Prevent, Div Violence Prevent, Natl Ctr Injury Prevent & Control, 4770 Buford Hwy NE,Mailstop F-64, Atlanta, GA 30341 USA. EM FLuo@cdc.gov NR 57 TC 43 Z9 45 U1 2 U2 11 PU AMER PUBLIC HEALTH ASSOC INC PI WASHINGTON PA 800 I STREET, NW, WASHINGTON, DC 20001-3710 USA SN 0090-0036 J9 AM J PUBLIC HEALTH JI Am. J. Public Health PD JUN PY 2011 VL 101 IS 6 BP 1139 EP 1146 DI 10.2105/AJPH.2010.300010 PG 8 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA 767VQ UT WOS:000290887000036 PM 21493938 ER PT J AU Agarwal, S Ambrose, BW Chomsisengphet, S Liu, CL AF Agarwal, Sumit Ambrose, Brent W. Chomsisengphet, Souphala Liu, Chunlin TI The Role of Soft Information in a Dynamic Contract Setting: Evidence from the Home Equity Credit Market SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE D1; D8; G21; information; contract frictions; screening; banking; home equity lending ID SMALL BUSINESS DATA; IMPERFECT INFORMATION; MORTGAGE TERMINATIONS; LENDING RELATIONSHIPS; EMPIRICAL-ANALYSIS; DISTANCE; BANKING; LOANS; PERFORMANCE; CONSUMPTION AB Credit underwriting is a dynamic process involving multiple interactions between borrower and lender. During this process, lenders have the opportunity to obtain hard and soft information from the borrower. We analyze more than 108,000 home equity loans and lines-of-credit applications to study the role of soft and hard information during underwriting. Our data set allows us to distinguish lender actions that are based strictly on hard information from decisions that involve the collection of soft information. Our analysis confirms the importance of soft information and suggests that its use can be effective in reducing overall portfolio credit losses ex post. C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL USA. [Ambrose, Brent W.] Penn State Univ, University Pk, PA 16802 USA. [Liu, Chunlin] Univ Nevada, Reno, NV 89557 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM ushakri@yahoo.com; bwa10@psu.edu; souphala.chomsisengphet@occ.treas.gov; cliu1235@yahoo.com RI Agarwal, Sumit/F-4836-2012; Ambrose, Brent/C-8531-2017 OI Ambrose, Brent/0000-0001-5977-3663 NR 43 TC 11 Z9 11 U1 3 U2 7 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2011 VL 43 IS 4 BP 633 EP 655 DI 10.1111/j.1538-4616.2011.00390.x PG 23 WC Business, Finance; Economics SC Business & Economics GA 765SW UT WOS:000290729900003 ER PT J AU Bandyopadhyay, S Pinto, SM Wheeler, CH AF Bandyopadhyay, Subhayu Pinto, Santiago M. Wheeler, Christopher H. TI Urban Crime and Labor Mobility SO JOURNAL OF PUBLIC ECONOMIC THEORY LA English DT Article ID TAX COMPETITION; UNEMPLOYMENT; SPILLOVERS; INEQUALITY; BEHAVIOR; POVERTY; CITIES; MODEL AB Two municipalities within a metropolitan statistical area (MSA) determine the level of local law enforcement. Enforcement reduces and diverts crime. The former confers a spillover benefit; the latter a spillover cost. When labor is mobile, welfare necessarily declines: if enforcement is too high (low) under labor immobility, it is raised (reduced) further under mobility. If municipalities have different enforcement costs, mobility reduces welfare for the high-cost municipality and for the MSA, but the effect is ambiguous on the low-cost municipality. Finally, when residents choose between productive and criminal activities, enforcement is more likely to be overprovided. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. [Bandyopadhyay, Subhayu] IZA, Iowa City, IA USA. [Pinto, Santiago M.] W Virginia Univ, Dept Econ, Morgantown, WV 26506 USA. [Wheeler, Christopher H.] Fed Trade Commiss, Washington, DC 20580 USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. EM Bandyopadhyay@stls.frb.org; smpinto@mail.wvu.edu; cwheeler@ftc.gov RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 31 TC 0 Z9 0 U1 2 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1097-3923 J9 J PUBLIC ECON THEORY JI J. Public. Econ. Theory. PD JUN PY 2011 VL 13 IS 3 BP 443 EP 462 DI 10.1111/j.1467-9779.2011.01507.x PG 20 WC Economics SC Business & Economics GA 762MU UT WOS:000290484100006 ER PT J AU Bracha, A Menietti, M Vesterlund, L AF Bracha, Anat Menietti, Michael Vesterlund, Lise TI Seeds to succeed? Sequential giving to public projects SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article; Proceedings Paper CT Workshop on Philanthropy CY APR 24-26, 2009 CL Middlebury Coll, Middlebury, VT HO Middlebury Coll DE Fundraising; Seed money; Sequential giving; Charitable giving; Coordination; Public goods ID VOLUNTARY CONTRIBUTION GAMES; GOODS; BEHAVIOR; COOPERATION; INFORMATION; PROVISION; MECHANISM; REFUNDS AB The public phase of a capital campaign is typically launched with the announcement of a large seed donation. Andreoni (1998) argues that such a fundraising strategy may be particularly effective when funds are being raised for projects that have fixed production costs. The reason is that when there are fixed costs of production simultaneous giving may result in both positive and zero provision equilibria. Thus absent announcements donors may get stuck in an equilibrium that fails to provide a desirable public project Andreoni (1998) demonstrates that such inferior outcomes can be eliminated when the fundraiser initially secures a sufficiently large seed donation. We investigate this model experimentally to determine whether announcements of seed money eliminate the inefficiencies that may result under fixed costs and simultaneous provision. To assess the strength of the theory we examine the effect of announcements in both the presence and absence of fixed costs. Our findings are supportive of the theory for sufficiently high fixed costs. (C) 2010 Elsevier B.V. All rights reserved. C1 [Menietti, Michael; Vesterlund, Lise] Univ Pittsburgh, Pittsburgh, PA 15260 USA. [Bracha, Anat] Fed Reserve Bank Boston, Boston, MA USA. RP Vesterlund, L (reprint author), Univ Pittsburgh, Pittsburgh, PA 15260 USA. NR 34 TC 10 Z9 10 U1 2 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD JUN PY 2011 VL 95 IS 5-6 SI SI BP 416 EP 427 DI 10.1016/j.jpubeco.2010.10.007 PG 12 WC Economics SC Business & Economics GA 765WF UT WOS:000290739400009 ER PT J AU Shy, O Wang, Z AF Shy, Oz Wang, Zhu TI Why Do Payment Card Networks Charge Proportional Fees? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INTERCHANGE FEES; SYSTEMS; ECONOMICS C1 [Shy, Oz] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Wang, Zhu] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. RP Shy, O (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM oz.shy@bos.frb.org; zhu.wang@kc.frb.org NR 20 TC 11 Z9 11 U1 0 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD JUN PY 2011 VL 101 IS 4 BP 1575 EP 1590 DI 10.1257/aer.101.4.1575 PG 16 WC Economics SC Business & Economics GA 784VO UT WOS:000292186600021 ER PT J AU Crump, R Goda, GS Mumford, KJ AF Crump, Richard Goda, Gopi Shah Mumford, Kevin J. TI Fertility and the Personal Exemption: Comment SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INCOME-TAX CREDIT; UNIT-ROOT TESTS; SPURIOUS REGRESSIONS; STATIONARY SERIES; INCENTIVES; CANADA; FAMILY; STATES; EITC; NULL C1 [Crump, Richard] Fed Reserve Bank New York, New York, NY 10045 USA. [Goda, Gopi Shah] Stanford Univ, Stanford Inst Econ Policy Res, Stanford, CA 94305 USA. [Mumford, Kevin J.] Purdue Univ, Dept Econ, W Lafayette, IN 47907 USA. RP Crump, R (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM richard.crump@ny.frb.org; gopi@stanford.edu; mumford@purdue.edu OI Mumford, Kevin/0000-0003-0315-8471 NR 26 TC 7 Z9 7 U1 0 U2 9 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD JUN PY 2011 VL 101 IS 4 BP 1616 EP 1628 DI 10.1257/aer.101.4.1616 PG 13 WC Economics SC Business & Economics GA 784VO UT WOS:000292186600024 ER PT J AU Hannan, T Adams, RM AF Hannan, TimothyH. Adams, Robert M. TI CONSUMER SWITCHING COSTS AND FIRM PRICING: EVIDENCE FROM BANK PRICING OF DEPOSIT ACCOUNTS SO JOURNAL OF INDUSTRIAL ECONOMICS LA English DT Article ID COMPETITION; MARKET AB We employ extensive information on bank deposit rates and area migration patterns to examine pricing relationships implied by switching costs. We argue that, because of the trade-off between attracting new customers and exploiting old ones, banks offer higher deposit rates in areas experiencing more in-migration. Further, because greater out-migration implies that a locked-in customer will not be with the bank for as many periods, banks will offer lower deposit rates in areas exhibiting greater out-migration. Also, because this effect of out-migration logically depends on the extent of in-migration, an interaction effect exists. We find evidence strongly supporting these relationships. C1 [Hannan, TimothyH.; Adams, Robert M.] Fed Reserve Board, Washington, DC 20551 USA. RP Hannan, T (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM hannan.timothy@gmail.com; robert.m.adams@frb.gov NR 19 TC 4 Z9 4 U1 0 U2 4 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-1821 J9 J IND ECON JI J. Indust. Econ. PD JUN PY 2011 VL 59 IS 2 BP 296 EP 320 DI 10.1111/j.1467-6451.2011.00456.x PG 25 WC Business, Finance; Economics SC Business & Economics GA 783TA UT WOS:000292105700006 ER PT J AU Guerron-Quintana, PA AF Guerron-Quintana, Pablo A. TI The implications of inflation in an estimated new Keynesian model SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE DSGE model; Inflation; Welfare ID OPTIMAL MONETARY-POLICY; WELFARE COST; MONEY DEMAND; DSGE MODELS; PRICES; WAGE AB This paper studies the steady state and dynamic consequences of inflation in an estimated dynamic stochastic general equilibrium model of the U.S. economy. It is found that 10 percentage points of inflation entail a steady state welfare cost as high as 13% of annual consumption. This large cost is mainly driven by staggered price contracts and price indexation. The transition from high to low inflation inflicts a welfare loss equivalent to 0.53% of annual consumption. The role of nominal/real frictions as well as that of parameter uncertainty is also addressed. (C) 2011 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Guerron-Quintana, PA (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Pablo.Guerron@phil.frb.org NR 48 TC 2 Z9 2 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2011 VL 35 IS 6 BP 947 EP 962 DI 10.1016/j.jedc.2011.01.008 PG 16 WC Economics SC Business & Economics GA 757FK UT WOS:000290070700010 ER PT J AU Berkelmans, L AF Berkelmans, Leon TI Imperfect information, multiple shocks, and policy's signaling role SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID OPTIMAL MONETARY-POLICY; TIME-SERIES FACTS; PRICE PUZZLE; COMMON KNOWLEDGE; MODELS; COORDINATION; COUNTRIES; RULES AB In multiple shock models, when agents have imperfect information they attempt to infer a shock's type, in addition to its size. In this environment, monetary policy plays an important signaling role. This paper highlights this signaling role by showing that conclusions from imperfect information monetary models are sensitive to the number of shocks included. With multiple shocks, contractionary monetary policy can initially increase inflation and delay the eventual disinflation. Moreover, multiple shocks can result in destabilizing price flexibility, while optimal policy's response to one shock will depend on the existence of other shocks, contrary to a typical linear-quadratic framework. (C) 2011 Elsevier B.V. All rights reserved. C1 [Berkelmans, Leon] Reserve Bank Australia, Sydney, NSW 2000, Australia. [Berkelmans, Leon] Fed Reserve Board, Washington, DC 20551 USA. RP Berkelmans, L (reprint author), Reserve Bank Australia, 65 Martin Pl, Sydney, NSW 2000, Australia. EM BerkelmansL@rba.gov.au NR 42 TC 1 Z9 1 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2011 VL 58 IS 4 BP 373 EP 386 DI 10.1016/j.jmoneco.2011.07.002 PG 14 WC Business, Finance; Economics SC Business & Economics GA 837DI UT WOS:000296170900005 ER PT J AU Freeman, RB Nakamura, AO Nakamura, LI Prud'homme, M Pyman, A AF Freeman, Richard B. Nakamura, Alice O. Nakamura, Leonard I. Prud'homme, Marc Pyman, Amanda TI Wal-Mart innovation and productivity: a viewpoint SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article DE J2; L5; L11; L25; L81 ID EXPANSION; GROWTH; ISSUES AB P>Technology effects, business process development, and productivity growth are considered in the context of a single company: Wal-Mart. The starting point is the 2001 McKinsey Global Institute report, which finds that over 1995-2000, a quarter of U.S. productivity growth is attributable to the retail industry, and almost a sixth of that is attributable to Wal-Mart. Wal-Mart is interesting as well because of its rapid growth in Canada. This is now Canada's largest private sector employer. We also consider other evidence relevant to public policy formation concerning Wal-Mart and conclude with a discussion of options for partially filling important data gaps.On considere les effets de la technologie, le developpement des processus d'affaires, et la croissance de la productivite dans le contexte d'une seule compagnie : Wal-Mart. Le point de depart est le rapport de 2001 du McKinsey Global Institute qui revelait que, pour la periode 1995-2000, le quart de la croissance de la productivite aux Etats-Unis etait attribuable au commerce de detail, et un sixieme a Wal-Mart. Le cas Wal-Mart est aussi interessant a cause de sa croissance rapide au Canada. C'est maintenant le plus grand employeur prive au Canada. On considere certains resultats pertinents pour la formation de la politique publique en ce qui concerne Wal-Mart, et on conclut par une discussion des options ouvertes pour resoudre des problemes de trous importants dans les donnees. C1 [Freeman, Richard B.] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. [Nakamura, Alice O.] Univ Alberta, Sch Business, Edmonton, AB T6G 2M7, Canada. [Nakamura, Leonard I.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Freeman, RB (reprint author), Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. EM rbfreeman@gmail.com; alice.nakamura@ualberta.ca; Leonard.Nakamura@phil.frb.org; prudmar@statcan.ca; A.Pyman@kent.ac.uk NR 73 TC 7 Z9 7 U1 1 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0008-4085 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD MAY PY 2011 VL 44 IS 2 BP 486 EP 508 DI 10.1111/j.1540-5982.2011.01641.x PG 23 WC Economics SC Business & Economics GA 759GL UT WOS:000290228600005 ER PT J AU Ashcraft, A Goldsmith-Pinkham, P Hull, P Vickery, J AF Ashcraft, Adam Goldsmith-Pinkham, Paul Hull, Peter Vickery, James TI Credit Ratings and Security Prices in the Subprime MBS Market SO AMERICAN ECONOMIC REVIEW LA English DT Article C1 [Ashcraft, Adam; Hull, Peter; Vickery, James] Fed Reserve Bank New York, New York, NY 10045 USA. [Goldsmith-Pinkham, Paul] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. RP Ashcraft, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM adam.ashcraft@ny.frb.org; pgoldsm@fas.harvard.edu; peter.hull@ny.frb.org; james.vickery@ny.frb.org NR 11 TC 8 Z9 8 U1 0 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2011 VL 101 IS 3 BP 115 EP 119 DI 10.1257/aer.101.3.115 PG 5 WC Economics SC Business & Economics GA 771IL UT WOS:000291150300021 ER PT J AU Ahn, J Amiti, M Weinstein, DE AF Ahn, JaeBin Amiti, Mary Weinstein, David E. TI Trade Finance and the Great Trade Collapse SO AMERICAN ECONOMIC REVIEW LA English DT Article C1 [Ahn, JaeBin; Weinstein, David E.] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Amiti, Mary] Fed Reserve Bank New York, New York, NY 10045 USA. RP Ahn, J (reprint author), Columbia Univ, Dept Econ, 1022 Int Affairs Bldg,420 W 118th St, New York, NY 10027 USA. EM ja2264@columbia.edu; mary.amiti@ny.frb.org; david.weinstein@columbia.edu NR 13 TC 29 Z9 29 U1 2 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2011 VL 101 IS 3 BP 298 EP 302 DI 10.1257/aer.101.3.298 PG 5 WC Economics SC Business & Economics GA 771IL UT WOS:000291150300058 ER PT J AU Alessandria, G Kaboski, JP Midrigan, V AF Alessandria, George Kaboski, Joseph P. Midrigan, Virgiliu TI US Trade and Inventory Dynamics SO AMERICAN ECONOMIC REVIEW LA English DT Article ID COLLAPSE C1 [Alessandria, George] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Kaboski, Joseph P.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Midrigan, Virgiliu] NYU, Dept Econ, New York, NY 10012 USA. RP Alessandria, G (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM George.Alessandria@phil.frb.org; jkaboski@nd.edu; Virgiliu.Midrigan@nyu.edu NR 10 TC 4 Z9 5 U1 1 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2011 VL 101 IS 3 BP 303 EP 307 DI 10.1257/aer.101.3.303 PG 5 WC Economics SC Business & Economics GA 771IL UT WOS:000291150300059 ER PT J AU Bems, R Johnson, RC Yi, KM AF Bems, Rudolfs Johnson, Robert C. Yi, Kei-Mu TI Vertical Linkages and the Collapse of Global Trade SO AMERICAN ECONOMIC REVIEW LA English DT Article ID WORLD-TRADE; SPECIALIZATION; GROWTH C1 [Bems, Rudolfs] Int Monetary Fund, Washington, DC 20431 USA. [Johnson, Robert C.] Dartmouth Coll, Dept Econ, Hanover, NH 03755 USA. [Yi, Kei-Mu] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Bems, R (reprint author), Int Monetary Fund, 700 19th St NW, Washington, DC 20431 USA. EM rbems@imf.org; robert.c.johnson@dartmouth.edu; kei-mu.yi@mpls.frb.org NR 4 TC 27 Z9 27 U1 1 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2011 VL 101 IS 3 BP 308 EP 312 DI 10.1257/aer.101.3.308 PG 5 WC Economics SC Business & Economics GA 771IL UT WOS:000291150300060 ER PT J AU Duca, JV Muellbauer, J Murphy, A AF Duca, John V. Muellbauer, John Murphy, Anthony TI House Prices and Credit Constraints: Making Sense of the US Experience SO ECONOMIC JOURNAL LA English DT Article ID LONG-RUN RELATIONSHIP; COINTEGRATION; MARKET; INCOME AB Most US house price models break down in the mid-2000s, due to the omission of exogenous changes in mortgage credit supply (associated with the sub-prime mortgage boom) from house price-to-rent ratio and inverted housing demand models. Previous models lack data on credit constraints facing first-time home-buyers. Incorporating a measure of credit conditions - the cyclically adjusted loan-to-value ratio for first-time buyers - into house price-to-rent ratio models yields stable long-run relationships, more precisely estimated effects, reasonable speeds of adjustment and improved model fits. C1 [Murphy, Anthony] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. So Methodist Univ, Nuffield Coll, Dallas, TX 75275 USA. RP Murphy, A (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM anthony.murphy@dal.frb.org NR 27 TC 35 Z9 35 U1 2 U2 12 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0133 J9 ECON J JI Econ. J. PD MAY PY 2011 VL 121 IS 552 BP 533 EP 551 DI 10.1111/j.1468-0297.2011.02424.x PG 19 WC Economics SC Business & Economics GA 763FI UT WOS:000290540200009 ER PT J AU French, E Jones, JB AF French, Eric Jones, John Bailey TI The Effects of Health Insurance and Self-Insurance on Retirement Behavior SO ECONOMETRICA LA English DT Article DE Retirement behavior; saving; health insurance; Medicare ID SOCIAL-SECURITY; OLDER MEN; LIFE-CYCLE; WEALTH; DECISION; SAVINGS; COSTS; WAGES; MODEL AB This paper provides an empirical analysis of the effects of employer-provided health insurance, Medicare, and Social Security on retirement behavior. Using data from the Health and Retirement Study, we estimate a dynamic programming model of retirement that accounts for both saving and uncertain medical expenses. Our results suggest that Medicare is important for understanding retirement behavior, and that uncertainty and saving are both important for understanding the labor supply responses to Medicare. Half the value placed by a typical worker on his employer-provided health insurance is the value of reduced medical expense risk. Raising the Medicare eligibility age from 65 to 67 leads individuals to work an additional 0.074 years over ages 60-69. In comparison, eliminating 2 years worth of Social Security benefits increases years of work by 0.076 years. C1 [French, Eric] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Jones, John Bailey] SUNY Albany, Dept Econ, Albany, NY 12222 USA. RP French, E (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM efrench@frbchi.org; jbjones@albany.edu FU Center for Retirement Research at Boston College (CRR); Michigan Retirement Research Center (MRRC) from the U.S. Social Security Administration (SSA) as a part of the Retirement Research Consortium FX We thank Joe Altonji, Peter Arcidiacono, Gadi Barlevy, David Blau, John Bound, Chris Carroll, Mariacristina De Nardi, Tim Erikson, Hanming Fang, Donna Gilleskie, Lars Hansen, John Kennan, Spencer Krane, Hamp Lankford, Guy Laroque, John Rust, Dan Sullivan, Chris Taber, the editors and referees, students of Econ 751 at Wisconsin, and participants at numerous seminars for helpful comments. We received advice on the HRS pension data from Gary Engle-hardt and Tom Steinmeier, and excellent research assistance from Kate Anderson, Olesya Baker, Diwakar Choubey, Phil Doctor, Ken Housinger, Kirti Kamboj, Tina Lam, Kenley Peltzer, and Santadarshan Sadhu. The research reported herein was supported by the Center for Retirement Research at Boston College (CRR) and the Michigan Retirement Research Center (MRRC) pursuant to grants from the U.S. Social Security Administration (SSA) funded as part of the Retirement Research Consortium. The opinions and conclusions are solely those of the authors, and should not be construed as representing the opinions or policy of the SSA or any agency of the Federal Government, the CRR, the MRRC, or the Federal Reserve System. NR 42 TC 44 Z9 44 U1 2 U2 20 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD MAY PY 2011 VL 79 IS 3 BP 693 EP 732 DI 10.3982/ECTA7560 PG 40 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 759FD UT WOS:000290225200002 ER PT J AU Wheelock, DC AF Wheelock, David C. TI Have Acquisitions of Failed Banks Increased the Concentration of US Banking Markets? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID COMPETITION AB During 2007-10, failures eliminated 318 U.S. commercial banks and savings institutions, about 4 percent of the total number of banks operating at the end of 2006. The assets and deposits of many failed banks were acquired by institutions that already had offices in markets served by the failed banks. This article investigates the impact of in-market acquisitions of failed banks on the concentration of local U.S. banking markets. Most banks that failed during 2007-10 were small, and their acquisitions generally had little impact on market concentration. Acquisitions of larger banks that failed, such as the acquisition of Washington Mutual Bank by JPMorgan Chase Bank, also had only limited impact on the concentration of most banking markets. Among large metropolitan statistical area markets, the Houston and New York City banking markets were most affected by the acquisition of Washington Mutual, but these markets remained relatively unconcentrated after the acquisition. Hence, the article finds that except for a few rural banking markets, acquisitions of failed banks by in-market competitors generally had only a small impact on market concentration. (JEL G21, G28, G34, L11, L41) C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 9 TC 3 Z9 3 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2011 VL 93 IS 3 BP 155 EP 168 PG 14 WC Business, Finance; Economics SC Business & Economics GA 767DS UT WOS:000290836100001 ER PT J AU Hernandez-Murillo, R Ott, LS Owyang, MT Whalen, D AF Hernandez-Murillo, Ruben Ott, Lesli S. Owyang, Michael T. Whalen, Denise TI Patterns of Interstate Migration in the United States from the Survey of Income and Program Participation SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID GEOGRAPHIC-MOBILITY; WELFARE-REFORM AB The authors describe the Survey of Income and Program Participation (SIPP) as a data source for migration studies. The SIPP is a panel dataset that provides information on income, employment outcomes, and participation in government programs. Survey participants are interviewed for up to four years even if they move to a new household or that household migrates within the United States. This unique longitudinal design gives the survey a strong advantage over traditional data sources. The authors illustrate differences in the propensity for interstate migration among different demographic groups over the 12-year period from 1996 to 2008. They also analyze the relationship between migration choices and life-changing events, such as becoming jobless or dissolution of a marriage. Their findings suggest that future research should consider the migration choices of individuals near retirement age. (JEL J11, J24, J61, R23) C1 [Hernandez-Murillo, Ruben; Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. [Ott, Lesli S.] Yale Univ, Yale New Haven Hosp, Ctr Outcomes Res & Evaluat, New Haven, CT 06520 USA. RP Hernandez-Murillo, R (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 25 TC 3 Z9 3 U1 1 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2011 VL 93 IS 3 BP 169 EP 185 PG 17 WC Business, Finance; Economics SC Business & Economics GA 767DS UT WOS:000290836100002 ER PT J AU Wen, Y Wu, HB AF Wen, Yi Wu, Huabin TI Dynamics of Externalities: A Second-Order Perspective SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID REAL-BUSINESS-CYCLE; INCREASING RETURNS; CONVERGENCE PROPERTIES; EQUILIBRIUM-MODELS; INDETERMINACY; TIME; OIL; FLUCTUATIONS; LIKELIHOOD; ASYMMETRY AB First-order approximation methods are a standard technique for analyzing the local dynamics of dynamic stochastic general equilibrium (DSGE) models. Although linear methods yield quite accurate solutions for a broad class of DSGE models, some important economic issues (e.g., portfolio choice and welfare) cannot be adequately addressed by first-order methods. This paper provides yet another case when first-order methods may be inadequate for capturing the business cycle properties of a DSGE model. In particular, the authors show that increasing returns to scale (due to production externalities) may induce asymmetric business cycles and nonlinear income effects that are not fully captured by linear approximation methods. For example, hump-shaped output dynamics can emerge even when externalities are below the threshold level required for indeterminacy, and output expansion tends to be smoother and longer, whereas contraction tends to be deeper but shorter-lived, as observed in the U.S. economy. (JEL C63, E0, E32) C1 [Wen, Yi] Fed Reserve Bank St Louis, St Louis, MO USA. [Wen, Yi] Tsinghua Univ, Beijing, Peoples R China. [Wu, Huabin] Shanghai Univ Finance & Econ, Shanghai, Peoples R China. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 32 TC 0 Z9 0 U1 0 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2011 VL 93 IS 3 BP 187 EP 205 PG 19 WC Business, Finance; Economics SC Business & Economics GA 767DS UT WOS:000290836100003 ER PT J AU Engemann, KM Hernandez-Murillo, R Owyang, MT AF Engemann, Kristie M. Hernandez-Murillo, Ruben Owyang, Michael T. TI Regional Aggregation in Forecasting: An Application to the Federal Reserve's Eighth District SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID ECONOMETRIC-MODEL AB Hernandez-Murillo and Owyang (2006) showed that accounting for spatial correlations in regional data can improve forecasts of national employment. This paper considers whether the predictive advantage of disaggregate models remains when forecasting subnational data. The authors conduct horse races among several forecasting models in which the objective is to forecast regional- or state-level employment. For some models, the objective is to forecast using the sum of further disaggregated employment (i.e., forecasts of metropolitan statistical area [MSA]-level data are summed to yield state-level forecasts). The authors find that the spatial relationships between states have sufficient predictive content to overcome small increases in the number of estimated parameters when forecasting regional-level data; this is not always true when forecasting state- and regional-level data using the sum of MSA-level forecasts. (JEL C31, C53) C1 [Engemann, Kristie M.; Hernandez-Murillo, Ruben; Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Engemann, KM (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 18 TC 0 Z9 0 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2011 VL 93 IS 3 BP 207 EP 222 PG 16 WC Business, Finance; Economics SC Business & Economics GA 767DS UT WOS:000290836100004 ER PT J AU Hale, G Long, C AF Hale, Galina Long, Cheryl TI ARE THERE PRODUCTIVITY SPILLOVERS FROM FOREIGN DIRECT INVESTMENT IN CHINA? SO PACIFIC ECONOMIC REVIEW LA English DT Article ID TECHNOLOGY-TRANSFER; UNITED-STATES; MANUFACTURING SECTOR; MULTINATIONAL FIRMS; DOMESTIC FIRMS; FDI; LOCATION; IMPACT; DETERMINANTS; PERFORMANCE AB We review previous literature on productivity spillovers of foreign direct investment (FDI) in China and conduct our own analysis using a firm-level data set from a World Bank survey. We find that the evidence of FDI spillovers on the productivity of Chinese domestic firms is mixed, with many positive results largely due to aggregation bias or failure to control for endogeneity of FDI. Attempting over 6000 specifications that take into account forward and backward linkages, we fail to find evidence of systematic positive productivity spillovers from FDI in China. C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Long, Cheryl] Univ Elect Sci & Technol China, Hefei, Peoples R China. [Long, Cheryl] Colgate Univ, Hamilton, NY 13346 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, Market St,MS 1130, San Francisco, CA 94105 USA. EM galina.b.hale@sf.frb.org OI Hale, Galina/0000-0002-5604-9730 NR 46 TC 27 Z9 30 U1 2 U2 23 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1361-374X J9 PAC ECON REV JI Pac. Econ. Rev. PD MAY PY 2011 VL 16 IS 2 BP 135 EP 153 DI 10.1111/j.1468-0106.2011.00539.x PG 19 WC Economics SC Business & Economics GA 758MY UT WOS:000290170100001 ER PT J AU Gabe, T Abel, JR AF Gabe, Todd Abel, Jaison R. TI Agglomeration of Knowledge SO URBAN STUDIES LA English DT Article ID MANUFACTURING-INDUSTRIES; GEOGRAPHIC CONCENTRATION; ECONOMIC-DEVELOPMENT; CREATIVE CLASS; CITIES; SPILLOVERS; INNOVATION; LOCATION; GROWTH; PRODUCTIVITY AB This paper examines the agglomeration of people working in jobs with similar knowledge requirements, ranging from groups of artists and scientists to service providers and low-skilled labourers. Empirical results from the US suggest that agglomeration enhances earnings in innovation- and creative-based occupations such as artists, engineers, financial executives and information technology workers. In contrast, medical workers, personal service providers and low-skilled labourers do not appear to benefit from agglomeration. Positive agglomeration effects, however, need not lead to a high geographical concentration of economic activity. Rather, an occupation's ability to concentrate in a few places also depends on the way in which knowledge is disseminated to people outside the occupational cluster. C1 [Gabe, Todd] Univ Maine, Sch Econ, Orono, ME 04469 USA. [Abel, Jaison R.] Fed Reserve Bank New York, Res & Stat Grp, Buffalo, NY USA. RP Gabe, T (reprint author), Univ Maine, Sch Econ, 5782 Winslow Hall, Orono, ME 04469 USA. EM todd.gabe@umit.maine.edu; jaison.abel@ny.frb.org NR 56 TC 10 Z9 10 U1 4 U2 24 PU SAGE PUBLICATIONS LTD PI LONDON PA 1 OLIVERS YARD, 55 CITY ROAD, LONDON EC1Y 1SP, ENGLAND SN 0042-0980 J9 URBAN STUD JI Urban Stud. PD MAY PY 2011 VL 48 IS 7 BP 1353 EP 1371 DI 10.1177/0042098010371988 PG 19 WC Environmental Studies; Urban Studies SC Environmental Sciences & Ecology; Urban Studies GA 761GF UT WOS:000290384500003 ER PT J AU Lutz, B AF Lutz, Byron TI The End of Court-Ordered Desegregation SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID SCHOOL-DESEGREGATION; FINANCE REFORM; SEGREGATION; EDUCATION; BROWN AB In response to three Supreme Court rulings in the early 1990s, numerous court-ordered desegregation plans have been terminated. Using a unique dataset and an event study research design, this paper explores the impact of these terminations. The results suggest that termination produces a moderate increase in racial segregation. Outside of the south, dismissal also increases the rate at which black students drop out of school and attend private school. In the south, in contrast, there is no change in the school attendance patterns of blacks. Finally, evidence is presented that whites re-enter dismissed districts in large numbers in the south. (JEL H75, I21, I28, J15, K10) C1 Fed Reserve Board, Washington, DC 20551 USA. RP Lutz, B (reprint author), Fed Reserve Board, 20th & C Sts NW,Stop 83, Washington, DC 20551 USA. EM Byron.F.Lutz@frb.gov NR 58 TC 16 Z9 16 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD MAY PY 2011 VL 3 IS 2 BP 130 EP 168 DI 10.1257/pol.3.2.130 PG 39 WC Economics SC Business & Economics GA 755MJ UT WOS:000289935600005 ER PT J AU Lin, J AF Lin, Jeffrey TI TECHNOLOGICAL ADAPTATION, CITIES, AND NEW WORK SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID SKILLED LABOR; DEMAND; EXPLORATION; GROWTH AB Where does adaptation to innovation take place? I present evidence on the role of agglomeration economies in the application of new knowledge to production. All else equal, workers are more likely to be observed in new work in locations initially dense in college graduates and industry variety. This pattern is consistent with economies from the geographic concentration of factors and markets related to technological adaptation. A main contribution is a new measure, based on revisions to occupation classifications, that characterizes cross-sectional differences across cities in technological adaptation. Worker-level results also provide new evidence on the skill bias of recent innovations. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Lin, J (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 66 TC 10 Z9 10 U1 1 U2 3 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2011 VL 93 IS 2 BP 554 EP 574 DI 10.1162/REST_a_00079 PG 21 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 755KB UT WOS:000289927800012 ER PT J AU Brevoort, KP AF Brevoort, Kenneth P. TI CREDIT CARD REDLINING REVISITED SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article AB Using a proprietary data set of credit bureau records, Cohen-Cole (2011) finds evidence that lenders are using the racial composition of a borrower's neighborhood to set credit limits on revolving accounts. Using the same credit bureau data, I revisit this work and reach two main findings. First, an undocumented decision in constructing the variables appears to have introduced a distortion that is highly correlated with neighborhood racial composition and appears to increase the size of the reported disparity. Second, when neighborhood income is controlled for, the results presented as evidence of redlining disappear. C1 Fed Reserve Syst, Board Governors, Washington, DC USA. RP Brevoort, KP (reprint author), Fed Reserve Syst, Board Governors, Washington, DC USA. NR 9 TC 3 Z9 3 U1 2 U2 5 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2011 VL 93 IS 2 BP 714 EP 724 DI 10.1162/REST_a_00173 PG 11 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 755KB UT WOS:000289927800024 ER PT J AU Holmes, TJ Snider, JT AF Holmes, Thomas J. Snider, Julia Thornton TI A Theory of Outsourcing and Wage Decline SO AMERICAN ECONOMIC JOURNAL-MICROECONOMICS LA English DT Article ID INTEGRATION; ECONOMY AB This paper develops a theory of outsourcing in which the circumstances under which factors of production can grab rents play the leading role. One factor has monopoly power (call this labor) while a second factor does not (call this capital). There are two kinds of production tasks: labor-intensive and capital-intensive. We show that if frictions limiting outsourcing are not too large, in equilibrium labor-intensive tasks are separated from capital-intensive tasks into distinct firms. When a capital-intensive country is opened to free trade, outsourcing increases and labor rents decline. A decrease in outsourcing frictions lowers labor rents. (JEL J31, L22, L24) C1 [Holmes, Thomas J.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Holmes, Thomas J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Holmes, Thomas J.] NBER, Cambridge, MA 02138 USA. [Snider, Julia Thornton] UCLA Anderson Sch Management, UCLA Anderson Forecast, Los Angeles, CA 90095 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Dept Econ, 4-101 Hanson Hall,1925 4th St S, Minneapolis, MN 55455 USA. EM holmes@umn.edu; julia.snider@anderson.ucla.edu NR 18 TC 2 Z9 2 U1 0 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7669 J9 AM ECON J-MICROECON JI Am. Econ. J.-Microecon. PD MAY PY 2011 VL 3 IS 2 BP 38 EP 59 DI 10.1257/mic.3.2.38 PG 22 WC Economics SC Business & Economics GA 752DS UT WOS:000289669600002 ER PT J AU Kopecky, KA AF Kopecky, Karen A. TI THE TREND IN RETIREMENT SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID LABOR-FORCE PARTICIPATION; SOCIAL-SECURITY; CONSUMPTION; LEISURE; GROWTH; WEALTH AB A model with leisure production and endogenous retirement is used to explain declining labor force participation rates of elderly males. The model is calibrated to cross-sectional data on labor force participation rates of U.S. males by age, their drop in consumption, and leisure good expenditure share in 2000. Running the calibrated model for the period 1850-2000, a prediction of the evolution of the cross-section is obtained. The model accounts for more than 87% of the increase in retirement of men over 65. The increase in retirement is driven by rising wages and falling prices of leisure goods. C1 [Kopecky, Karen A.] Univ Western Ontario, London, ON N6A 3K7, Canada. RP Kopecky, KA (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM karen.kopecky@atl.frb.org NR 39 TC 5 Z9 6 U1 0 U2 10 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2011 VL 52 IS 2 BP 287 EP 316 DI 10.1111/j.1468-2354.2011.00629.x PG 30 WC Economics SC Business & Economics GA 754XS UT WOS:000289891800001 ER PT J AU Cheung, R Cunningham, C AF Cheung, Ron Cunningham, Chris TI Who supports portable assessment caps: The role of lock-in, mobility and tax share SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Property tax; Voting; Assessment cap; Lock-in; Mobility; Local public finance; Local political economy ID PROPOSITION 13; MASSACHUSETTS; HOMEOWNERS; PROVISION AB Popular support for property assessment caps has been explained as attempts to protect long-time home owners and to constrain local public expenditures. However, in the absence of a binding cap on millage rates, an assessment limit simply lowers the tax share of low-mobility homeowners at the expense of high-mobility homeowners. A recent amendment in Florida made existing exemptions portable, lowering the tax share of high mobility households and raising the tax share of low mobility households. Examining vote share by precinct, we find that more mobile households support portability but that precincts with larger exemptions do not. We also find evidence that voters understood how the amendment impacts their tax share. Support for portability is higher when a city has many out-of-state and thus "exemption-less" immigrants and support is lower when mobility in the rest of the tax jurisdiction is high. These findings suggest that voters alter assessment rules to minimize their own tax share. (C) 2011 Elsevier B.V. All rights reserved. C1 [Cheung, Ron] Oberlin Coll, Dept Econ, Oberlin, OH 44074 USA. [Cunningham, Chris] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Cheung, R (reprint author), Oberlin Coll, Dept Econ, 233 Rice Hall,10 N Prof St, Oberlin, OH 44074 USA. EM rcheung@oberlin.edu; chris.cunningham@atl.frb.org NR 29 TC 1 Z9 1 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD MAY PY 2011 VL 41 IS 3 BP 173 EP 186 DI 10.1016/j.regsciurbeco.2011.01.001 PG 14 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 753IK UT WOS:000289765300001 ER PT J AU Adams, RM Amel, DF AF Adams, Robert M. Amel, Dean F. TI Market structure and the pass-through of the federal funds rate SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Market structure; Monetary policy; Federal funds rate ID MONETARY-POLICY; BANKING INDUSTRY; LENDING CHANNEL; TRANSMISSION; COMPETITION; RIGIDITY AB We study the effect of local market bank concentration on business loan originations and on the pass-through of the federal funds rate to business loan originations. Economic theory on the relationship between concentration and the pass-through of input prices to quantity (or price) is ambiguous. We find that more concentrated markets have lower business loan originations and experience smaller changes in business loan originations in response to changes in the federal funds rate. Our results support the idea that market concentration dampens quantity reactions to input price changes. Published by Elsevier B.V. C1 [Adams, Robert M.; Amel, Dean F.] Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Adams, RM (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. EM Robert.m.adams@frb.gov; damel@frb.gov NR 31 TC 9 Z9 9 U1 2 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAY PY 2011 VL 35 IS 5 BP 1087 EP 1096 DI 10.1016/j.jbankfin.2010.09.020 PG 10 WC Business, Finance; Economics SC Business & Economics GA 748KQ UT WOS:000289389900005 ER PT J AU Buera, FJ Shin, Y AF Buera, Francisco J. Shin, Yongseok TI Self-insurance vs. self-financing: A welfare analysis of the persistence of shocks SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Incomplete market; Self-insurance; Self-financing; Shock persistence ID LIQUIDITY CONSTRAINTS; RISK; WEALTH AB We study the welfare cost of market incompleteness in a generalized Bewley model where idiosyncratic risk takes the form of entrepreneurial productivity shocks. Market incompleteness in our framework has two dimensions. First, in the Bewley tradition, only a limited set of instruments for consumption smoothing is available. Second, entrepreneurs' capital rental is subject to collateral constraints. As is well known, it is harder to self-insure against more persistent shocks, and the welfare cost of missing consumption insurance increases with shock persistence. On the other hand, with collateral constraints, an increase in shock persistence leads to better allocation of production factors through entrepreneurs' self-financing, and the welfare cost of imperfect capital rental markets decreases with shock persistence. The overall welfare cost of market incompleteness can be increasing, decreasing, or even non-monotone in shock persistence, depending on the relative strengths of its two components the cost of missing insurance and the cost of imperfect capital markets. (C) 2011 Elsevier Inc. All rights reserved. C1 [Shin, Yongseok] Washington Univ, St Louis, MO 63130 USA. [Buera, Francisco J.] Univ Calif Los Angeles, Los Angeles, CA USA. [Buera, Francisco J.] NBER, Cambridge, MA 02138 USA. [Shin, Yongseok] Fed Reserve Bank St Louis, St Louis, MO USA. RP Shin, Y (reprint author), Washington Univ, St Louis, MO 63130 USA. EM fjbuera@econ.ucla.edu; yshin@wustl.edu NR 22 TC 9 Z9 9 U1 4 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2011 VL 146 IS 3 BP 845 EP 862 DI 10.1016/j.jet.2011.01.003 PG 18 WC Economics SC Business & Economics GA 783HP UT WOS:000292072400004 ER PT J AU Krueger, D Perri, F AF Krueger, Dirk Perri, Fabrizio TI Public versus private risk sharing SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Incomplete markets; Progressive taxation; Insurance; Limited enforcement ID UNEMPLOYMENT-INSURANCE; LIMITED COMMITMENT; MORAL HAZARD; ECONOMIES; TAXATION; MARKETS; INCOME; TRADE; EFFICIENCY; DEFAULT AB Can public income insurance through progressive income taxation improve the allocation of risk in an economy where private risk sharing is incomplete? The answer depends crucially on the fundamental friction that limits private risk sharing in the first place. If risk sharing is limited because insurance markets are missing for model-exogenous reasons (as in Bewley (1986) [8]) publicly provided risk sharing improves on the allocation of risk. If instead private insurance markets exist but their use is limited by limited enforcement (as in Kehoe and Levine (1993) [23]) then the provision of public insurance interacts with equilibrium private insurance, as, by providing risk sharing, the government affects the value of exclusion from private insurance markets and thus the enforcement mechanism of these contracts. We characterize consumption allocations in an economy with limited enforcement and a continuum of agents facing plausible income risk and tax systems with various degrees of progressivity (public risk sharing). We provide conditions under which more publicly provided insurance actually reduces total insurance for agents (excess crowding-out), or under which more public insurance increases total insurance (partial crowding-out). C1 [Krueger, Dirk] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Krueger, Dirk; Perri, Fabrizio] NBER, Cambridge, MA 02138 USA. [Perri, Fabrizio] Univ Minnesota, Minneapolis, MN 55455 USA. [Perri, Fabrizio] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Krueger, D (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM dkrueger@econ.upenn.edu; fperri@umn.edu NR 43 TC 25 Z9 25 U1 0 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2011 VL 146 IS 3 BP 920 EP 956 DI 10.1016/j.jet.2010.08.013 PG 37 WC Economics SC Business & Economics GA 783HP UT WOS:000292072400007 ER PT J AU Krusell, P Mukoyama, T Rogerson, R Sahin, A AF Krusell, Per Mukoyama, Toshihiko Rogerson, Richard Sahin, Ayseguel TI A three state model of worker flows in general equilibrium SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Labor supply; Labor market frictions ID LABOR-MARKET; INDIVISIBLE LABOR; INCOMPLETE MARKETS; IDIOSYNCRATIC RISK; BUSINESS-CYCLE; LIFE-CYCLE; UNEMPLOYMENT; SEARCH; INSURANCE; PARTICIPATION AB We develop a simple model featuring search frictions and a nondegenerate labor supply decision along the extensive margin. The model is a standard version of the neoclassical growth model with indivisible labor and idiosyncratic productivity shocks and frictions characterized by employment loss and employment opportunity arrival shocks. We argue that it is able to account for the key features of observed labor market flows for reasonable parameter values. Persistent idiosyncratic productivity shocks play a key role in allowing the model to match the persistence of the employment and out of the labor force states found in individual labor market histories. (C) 2010 Elsevier Inc. All rights reserved. C1 [Rogerson, Richard] Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. [Krusell, Per; Rogerson, Richard] NBER, Cambridge, MA 02138 USA. [Mukoyama, Toshihiko] Univ Virginia, Charlottesville, VA 22903 USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. RP Rogerson, R (reprint author), Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. EM Per.Krusell@iies.su.se; tm5hs@virginia.edu; Richard.Rogerson@asu.edu; Aysegul.Sahin@ny.frb.org NR 53 TC 13 Z9 13 U1 2 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2011 VL 146 IS 3 BP 1107 EP 1133 DI 10.1016/j.jet.2010.09.003 PG 27 WC Economics SC Business & Economics GA 783HP UT WOS:000292072400013 ER PT J AU Kilian, L Vega, C AF Kilian, Lutz Vega, Clara TI DO ENERGY PRICES RESPOND TO U.S. MACROECONOMIC NEWS? A TEST OF THE HYPOTHESIS OF PREDETERMINED ENERGY PRICES SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID SYSTEMATIC MONETARY-POLICY; FOREIGN-EXCHANGE; OIL SHOCKS; STOCK; ANNOUNCEMENTS; DISCOVERY; BEHAVIOR; INDUSTRY; MARKETS AB We propose a formal test of the hypothesis that energy prices are predetermined with respect to U.S. macroeconomic aggregates. The test is based on regressing changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and consistent with the commonly used identifying assumption that there is no feedback from U.S. macroeconomic aggregates to monthly innovations in energy prices. C1 [Kilian, Lutz] Univ Michigan, Ann Arbor, MI 48109 USA. [Vega, Clara] Fed Reserve Board, Washington, DC USA. RP Kilian, L (reprint author), Univ Michigan, Ann Arbor, MI 48109 USA. NR 31 TC 71 Z9 73 U1 1 U2 5 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2011 VL 93 IS 2 BP 660 EP 671 DI 10.1162/REST_a_00086 PG 12 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 755KB UT WOS:000289927800019 ER PT J AU Cai, BL Cameron, TA Gerdes, GR AF Cai, Beilei Cameron, Trudy Ann Gerdes, Geoffrey R. TI Distal order effects in stated preference surveys SO ECOLOGICAL ECONOMICS LA English DT Article DE Survey design; Order effects; Stated preference; Non-market valuation; Conjoint choice; Payment vehicle ID CONTINGENT VALUATION SURVEYS; QUESTION-ORDER; CLIMATE-CHANGE; RESPONSES; VALUES; HEALTH; GOODS AB Stated preference researchers have previously demonstrated that a good's placement among a sequence of goods in a set of valuation questions (i.e. proximal order effects) can have a substantial impact on people's valuations of these different goods. However, the economic consequences of potential order effects stemming from other questions in a survey, prior to the valuation tasks, have received surprisingly little attention. Using an online climate change survey, we identify order effects created by prior attitude-elicitation questions, and we assess the potential impact of these distal order effects on willingness to pay (WTP) estimates for stylized climate change policies. We find that the order used in prior questions may change people's opinions toward various attributes of the good to be valued, and thereby change WTP by a substantial amount. This paper emphasizes the significance of order effects stemming from preliminary survey questions, and supports a call for diligence in the random ordering of all potentially influential preliminary information in stated preference surveys to minimize inadvertent effects from any single arbitrary ordering. (C) 2011 Elsevier B.V. All rights reserved. C1 [Cai, Beilei; Cameron, Trudy Ann] 1285 Univ Oregon, Dept Econ, PLC 435, Eugene, OR 97403 USA. [Gerdes, Geoffrey R.] Board Governors Fed Reserve Syst, Washington, DC USA. RP Cameron, TA (reprint author), 1285 Univ Oregon, Dept Econ, PLC 435, Eugene, OR 97403 USA. EM cblbud@hotmail.com; cameron@uoregon.edu; Geoffrey.R.Gerdes@frb.gov RI Cameron, Trudy Ann/A-2952-2008 OI Cameron, Trudy Ann/0000-0001-9605-7770 FU National Science Foundation [SES-9818875]; University of Oregon FX The data for this study were collected with funding from the National Science Foundation (SES-9818875). This research was supported in part by the endowment of the R.F. Mikesell Chair in Environmental and Resource Economics at the University of Oregon. We are grateful to Vilija Gulbinas for assistance with survey development and implementation at UCLA. We are also grateful for the very generous cooperation of 114 instructors at 92 different colleges and universities in the U.S. and Canada who announced our survey to their classes and encouraged participation. Brian Vander Naald has provided helpful comments. The opinions expressed in this paper are those of the authors and do not necessarily reflect the opinions of the Federal Reserve Board of Governors or its staff. NR 31 TC 6 Z9 6 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0921-8009 J9 ECOL ECON JI Ecol. Econ. PD APR 15 PY 2011 VL 70 IS 6 BP 1101 EP 1108 DI 10.1016/j.ecolecon.2010.12.018 PG 8 WC Ecology; Economics; Environmental Sciences; Environmental Studies SC Environmental Sciences & Ecology; Business & Economics GA 758UO UT WOS:000290192700010 ER PT J AU Dokko, J Doyle, BM Kiley, MT Kim, J Sherlund, S Sim, J Van Den Heuvel, S AF Dokko, Jane Doyle, Brian M. Kiley, Michael T. Kim, Jinill Sherlund, Shane Sim, Jae Van Den Heuvel, Skander TI Monetary policy and the global housing bubble SO ECONOMIC POLICY LA English DT Article ID CAPITAL ADEQUACY REQUIREMENTS; INTEREST-RATES; ASSET BUBBLES; DSGE MODEL; PRICES; CONSUMPTION; FORECASTS; CREDIT; CRISIS; STATES AB P>What caused the housing boom of the 2000s? A number of researchers have suggested that loose monetary policy during the first half of the 2000s was a primary cause of the substantial run-up in house prices in many countries. However, using a common statistical approach, we find that monetary policy was not the main factor. That should not be surprising: Although low interest rates raise house prices, the increase in prices during the mid-2000s was much larger than the historical relationship between the two variables would suggest. Instead, we investigate further the link between the marked loosening in terms and standards for mortgage credit and the most rapid increases in house prices. This link provides some evidence for a story where credit provision and the demand for housing fed on each other and helped spur the housing boom. Our work suggests a greater role for macroprudential regulation rather than monetary policy in managing asset price booms. - Jane Dokko, Brian M. Doyle, Michael T. Kiley, Jinill Kim, Shane Sherlund, Jae Sim and Skander Van Den Heuvel. C1 [Dokko, Jane] Fed Reserve Board, Washington, DC USA. Korea Univ, Seoul, South Korea. RP Dokko, J (reprint author), Fed Reserve Board, Washington, DC USA. RI Kiley, Michael/H-1132-2012; OI Kiley, Michael/0000-0003-0427-0131 NR 100 TC 11 Z9 11 U1 3 U2 30 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0266-4658 J9 ECON POLICY JI Econ. Policy PD APR PY 2011 IS 66 BP 233 EP 283 DI 10.1111/j.1468-0327.2011.00262.x PG 51 WC Economics SC Business & Economics GA 745FK UT WOS:000289151100004 ER PT J AU Rocheteau, G AF Rocheteau, Guillaume TI Payments and liquidity under adverse selection SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID COMPETITIVE SEARCH EQUILIBRIUM; ASSET PRICES; PRIVATE INFORMATION; SIGNALING GAMES; MONETARY-POLICY; MONEY; EXCHANGE; CREDIT; MODEL; MARKETS AB Informational asymmetries regarding the future value of assets affect their role in exchange. I construct a random-matching economy composed of two assets: a risk-free bond and a Lucas tree whose terminal value is privately known to its holder. No restrictions are imposed on payment arrangements. The main finding supports a pecking-order theory of payments: Agents use their risk-free bonds first in order to finance their spending shocks, and they use their information-sensitive assets only if their holdings of bonds are depleted. The theory has implications for the optimal provision of risk-free bonds, the structure of asset returns, and liquidity. (C) 2011 Elsevier B.V. All rights reserved. C1 [Rocheteau, Guillaume] Univ Calif Irvine, Irvine, CA 92717 USA. [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Rocheteau, G (reprint author), Univ Calif Irvine, Irvine, CA 92717 USA. EM grochete@uci.edu NR 52 TC 19 Z9 19 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2011 VL 58 IS 3 BP 191 EP 205 DI 10.1016/j.jmoneco.2011.06.005 PG 15 WC Business, Finance; Economics SC Business & Economics GA 827PF UT WOS:000295439700001 ER PT J AU Alquist, R Chabot, B AF Alquist, Ron Chabot, Benjamin TI Did gold-standard adherence reduce sovereign capital costs? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID RETURNS; RISK; PERFORMANCE; LESSONS; FUNDS AB A commonly cited benefit of the classical gold standard is that it reduced borrowing costs by signaling a country's commitment to financial probity. Using a new dataset, this paper tests whether gold-standard adherence was negatively correlated with the cost of capital. Conditional on UK risk factors, there is no evidence that the bonds issued by countries off gold earned systematically higher excess returns than the bonds issued by countries on gold. This conclusion is robust to allowing betas to differ across exchange-rate regimes; to including other determinants of the country risk premium; and to controlling for the British Empire effect. (C) 2011 Elsevier B.V. All rights reserved. C1 [Alquist, Ron] Bank Canada, Ottawa, ON K1A 0G9, Canada. [Chabot, Benjamin] Fed Reserve Bank Chicago, Chicago, IL USA. [Chabot, Benjamin] NBER, Cambridge, MA 02138 USA. RP Alquist, R (reprint author), Bank Canada, 234 Wellington St, Ottawa, ON K1A 0G9, Canada. EM ralquist@bankofcanada.ca NR 21 TC 4 Z9 4 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2011 VL 58 IS 3 BP 262 EP 272 DI 10.1016/j.jmoneco.2011.03.006 PG 11 WC Business, Finance; Economics SC Business & Economics GA 827PF UT WOS:000295439700006 ER PT J AU Martin, A Monnet, C AF Martin, Antoine Monnet, Cyril TI MONETARY POLICY IMPLEMENTATION FRAMEWORKS: A COMPARATIVE ANALYSIS SO MACROECONOMIC DYNAMICS LA English DT Article DE Monetary Policy Implementation; Corridor System; Standing Facilities; Open-Market Operations ID LIQUIDITY; MONEY; MARKET; SYSTEM; MODEL AB We compare two stylized frameworks for the implementation of monetary policy. The first framework relies only on standing facilities, whereas the second framework relies only on open-market operations. We show that the Friedman rule cannot be implemented when the central bank uses standing facilities only. For a given rate of inflation, we show that standing facilities unambiguously achieve higher welfare than just conducting open-market operations. We conclude that elements of both frameworks should be combined. Also, our results suggest that any monetary policy implementation framework should remunerate both required and excess reserves. Keywords: Monetary Policy Implementation, Corridor C1 [Monnet, Cyril] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Martin, Antoine] Fed Reserve Bank New York, New York, NY USA. RP Monnet, C (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM cyril.monnet@gmail.com NR 25 TC 2 Z9 2 U1 1 U2 11 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2011 VL 15 SU 1 BP 145 EP 189 DI 10.1017/S1365100510000660 PG 45 WC Economics SC Business & Economics GA 754ID UT WOS:000289847400007 ER PT J AU Agarwal, S Ambrose, BW Huang, HM Yildirim, Y AF Agarwal, Sumit Ambrose, Brent W. Huang, Hongming Yildirim, Yildiray TI The Term Structure of Lease Rates with Endogenous Default Triggers and Tenant Capital Structure: Theory and Evidence SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID CORPORATE-DEBT; CREDIT RISK; VALUATION; CONTRACTS; DETERMINANTS; SUBSTITUTES; BANKRUPTCY; TAXES; MODEL AB This paper focuses on the defaultable lease rate term structure with endogenous default. We combine the competitive lease market argument proposed by Grenadier (1996) and the endogenous default structural model proposed by Leland and Toft (1996) to examine the interaction between the lessee's capital structure and the equilibrium lease rate. Under this framework, determining the lease rate is a simultaneous equation problem that captures the trade-off between debt and lease financing. Using data on 2,482 real estate lease transactions, we empirically confirm the predictions derived from the numerical analysis of the model. C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Ambrose, Brent W.] Penn State Univ, Inst Real Estate Studies, University Pk, PA 16802 USA. [Huang, Hongming] Natl Cent Univ, Dept Finance, Jhongli 320, Taiwan. [Yildirim, Yildiray] Syracuse Univ, Whitman Sch Management, Syracuse, NY 13244 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM ushakri@yahoo.com; bwa10@psu.edu; hongming@ncu.edu.tw; yildiray@syr.edu RI Agarwal, Sumit/F-4836-2012; Ambrose, Brent/C-8531-2017; OI Ambrose, Brent/0000-0001-5977-3663; Huang, Hongren/0000-0002-6655-8301 NR 28 TC 5 Z9 6 U1 0 U2 9 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-1090 EI 1756-6916 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD APR PY 2011 VL 46 IS 2 BP 553 EP 584 DI 10.1017/S0022109010000839 PG 32 WC Business, Finance; Economics SC Business & Economics GA 761BH UT WOS:000290369100009 ER PT J AU Covas, F Den Haan, WJ AF Covas, Francisco Den Haan, Wouter J. TI The Cyclical Behavior of Debt and Equity Finance SO AMERICAN ECONOMIC REVIEW LA English DT Article ID CAPITAL STRUCTURE CHOICE; MACROECONOMIC CONDITIONS; MONETARY-POLICY C1 [Covas, Francisco] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. [Den Haan, Wouter J.] Univ Amsterdam, Amsterdam Sch Econ, NL-1018 WB Amsterdam, Netherlands. RP Covas, F (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Mail Stop 155-B,20th & Constitut Ave NW, Washington, DC 20551 USA. EM francisco.b.covas@frb.gov; wdenhaan@uva.nl RI nipe, cef/A-4218-2010 NR 16 TC 31 Z9 33 U1 1 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD APR PY 2011 VL 101 IS 2 BP 877 EP 899 DI 10.1257/aer.101.2.877 PG 23 WC Economics SC Business & Economics GA 748QO UT WOS:000289405800015 ER PT J AU Brown, M Flinn, CJ Schotter, A AF Brown, Meta Flinn, Christopher J. Schotter, Andrew TI Real-Time Search in the Laboratory and the Market SO AMERICAN ECONOMIC REVIEW LA English DT Article ID JOB-SEARCH; UNEMPLOYMENT DURATION; RESERVATION WAGES; MODEL; INSURANCE C1 [Brown, Meta] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [Flinn, Christopher J.; Schotter, Andrew] NYU, Dept Econ, New York, NY 10012 USA. RP Brown, M (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM Meta.Brown@ny.frb.org; Christopher.Flinn@nyu.edu; Andrew.Schotter@nyu.edu OI Flinn, Christopher/0000-0002-7904-1782 NR 37 TC 9 Z9 9 U1 0 U2 9 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD APR PY 2011 VL 101 IS 2 BP 948 EP 974 DI 10.1257/aer.101.2.948 PG 27 WC Economics SC Business & Economics GA 748QO UT WOS:000289405800018 ER PT J AU Nosal, E Waller, CJ Wright, R AF Nosal, Ed Waller, Christopher J. Wright, Randall TI INTRODUCTION TO THE MACROECONOMIC DYNAMICS SPECIAL ISSUES ON MONEY, CREDIT, AND LIQUIDITY SO MACROECONOMIC DYNAMICS LA English DT Editorial Material DE Exchange; Money; Credit; Liquidity ID THE-COUNTER MARKETS; MONETARY-POLICY; FIAT MONEY; SEARCH; MODEL; INFLATION; PRICES; EQUILIBRIUM; ECONOMICS; FRICTIONS AB We motivate and provide an overview to New Monetarist Economics. We then briefly describe the individual contributions to the Macroeconomics Dynamics special issues on money, credit, and liquidity. C1 [Nosal, Ed] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. [Waller, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO USA. [Wright, Randall] Univ Wisconsin Madison, Madison, WI USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Nosal, E (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S La Salle St, Chicago, IL 60604 USA. EM ed.nosal@chi.frb.org RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 46 TC 0 Z9 0 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2011 VL 15 SU 1 BP 1 EP 9 DI 10.1017/S1365100510000982 PG 9 WC Economics SC Business & Economics GA 754ID UT WOS:000289847400001 ER PT J AU Redish, A Weber, WE AF Redish, Angela Weber, Warren E. TI COIN SIZES AND PAYMENTS IN COMMODITY MONEY SYSTEMS SO MACROECONOMIC DYNAMICS LA English DT Article DE Commodity Money; Random Matching; Gresham's Law; Optimal Denominations ID MODEL AB Contemporaries and economic historians have noted several features of medieval and early modern European monetary systems that are hard to analyze using models of centralized exchange. For example, contemporaries complained of recurrent shortages of small change and argued that an abundance/dearth of money had real effects on exchange, especially for the poor. To confront these facts, we build a random-matching monetary model with two indivisible coins with different intrinsic values. The model shows that small change shortages can exist, in the sense that adding small coins to an economy with only large coins is welfare-improving. This effect is amplified by increases in trading opportunities. Further, changes in the quantity of monetary metals affect the real economy and the amount of exchange as well as the optimal denomination size. Finally, the model shows that replacing full-bodied small coins with tokens is not necessarily welfare-improving. C1 [Weber, Warren E.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Redish, Angela] Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. [Weber, Warren E.] Univ Minnesota, Minneapolis, MN 55455 USA. RP Weber, WE (reprint author), Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. EM wew@minneapolisfed.org NR 19 TC 2 Z9 2 U1 1 U2 6 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2011 VL 15 SU 1 BP 62 EP 82 DI 10.1017/S1365100510000593 PG 21 WC Economics SC Business & Economics GA 754ID UT WOS:000289847400004 ER PT J AU Altig, D Christiano, LJ Eichenbaum, M Linde, J AF Altig, David Christiano, Lawrence J. Eichenbaum, Martin Linde, Jesper TI Firm-specific capital, nominal rigidities and the business cycle SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Sticky prices and wages; Inflation inertia; Monetary policy shocks; Neutral and investment-specific technology shocks; Structural vector autoregressive (VAR) model ID STICKY PRICES; MONETARY-POLICY; RATIONAL INATTENTION; INFLATION DYNAMICS; TECHNOLOGY SHOCKS; REAL RIGIDITIES; PHILLIPS CURVES; PERSISTENCE; MODELS; FLUCTUATIONS AB This paper formulates and estimates a three-shock U.S. business cycle model. The estimated model accounts for a substantial fraction of the cyclical variation in output and is consistent with the observed inertia in inflation. This is true even though firms in the model re-optimize prices on average once every 1.8 quarters. The key feature of our model underlying this result is that capital is firm-specific. If we adopt the standard assumption that capital is homogeneous and traded in economy-wide rental markets, we find that firms re-optimize their prices on average once every 9 quarters. We argue that the micro implications of the model strongly favor the firm-specific capital specification. Published by Elsevier Inc. C1 [Linde, Jesper] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. [Linde, Jesper] CEPR, Washington, DC USA. [Altig, David; Christiano, Lawrence J.; Eichenbaum, Martin] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Christiano, Lawrence J.; Eichenbaum, Martin] Northwestern Univ, Natl Bur Econ Res, Evanston, IL 60208 USA. [Christiano, Lawrence J.; Eichenbaum, Martin] Fed Reserve Bank Chicago, Chicago, IL USA. [Christiano, Lawrence J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Linde, J (reprint author), Board Governors Fed Reserve Syst, Washington, DC 20551 USA. EM Jesper.L.Linde@frb.gov NR 64 TC 87 Z9 87 U1 10 U2 19 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2011 VL 14 IS 2 BP 225 EP 247 DI 10.1016/j.red.2010.01.001 PG 23 WC Economics SC Business & Economics GA 734SX UT WOS:000288359600001 ER PT J AU Whitaker, S AF Whitaker, Stephan TI The impact of legalized abortion on high school graduation through selection and composition SO ECONOMICS OF EDUCATION REVIEW LA English DT Article DE Human capital; Demand for schooling; Selection effects; Composition effects; Abortion; High school attainment (Graduation) ID EDUCATIONAL-ATTAINMENT; FAMILY-STRUCTURE; UNITED-STATES; DEMAND; CRIME; EMPLOYMENT; FERTILITY; TEENAGERS; EARNINGS; RETURNS AB This analysis examines whether the legalization of abortion changed high school graduation rates among the children selected into birth. Unless women in all socio-economic circumstances sought abortions to the same extent, increased use of abortion must have changed the distribution of child development inputs. I find that higher abortion ratios are associated with higher graduation rates for black males, but not other demographic groups. In a pooled analysis, I find that abortion has a significant negative impact on graduation rates. The effect disappears when I control for ethnicity. The cohorts born between 1965 and 1979 contained falling shares of whites, who have relatively high graduation rates. Regression results indicate abortion ratios are linked with the fertility differences between ethnicities which suggests this is a channel of influence. Overall, the relationship between abortion exposure and educational attainment is small. A standard deviation change in abortion might move the national graduation rate by less than three-tenths of a percentage point. (C) 2010 Elsevier Ltd. All rights reserved C1 [Whitaker, Stephan] Univ Chicago, Harris Sch Publ Policy Studies, Chicago, IL 60637 USA. RP Whitaker, S (reprint author), Fed Reserve Bank Cleveland, Res Dept, 1455 E 6th St, Cleveland, OH 44114 USA. EM stephan.whitaker@clev.frb.org NR 51 TC 2 Z9 2 U1 1 U2 18 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0272-7757 J9 ECON EDUC REV JI Econ. Educ. Rev. PD APR PY 2011 VL 30 IS 2 BP 228 EP 246 DI 10.1016/j.econedurev.2010.09.001 PG 19 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA 747MJ UT WOS:000289323800003 ER PT J AU Cetorelli, N Goldberg, LS AF Cetorelli, Nicola Goldberg, Linda S. TI Global Banks and International Shock Transmission: Evidence from the Crisis SO IMF ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Conference on Economic Linkages, Spillovers, and the Financial Crisis CY JAN 28-29, 2010 CL Paris, FRANCE SP Paris Sch Econom ID MONETARY-POLICY; CAPITAL-MARKETS; GLOBALIZATION; SECTOR AB Global banks played a significant role in the transmission of the 2007 to 2009 crisis to emerging market economies. This paper examines the relationships between adverse liquidity shocks on main developed-country banking systems to emerging markets across Europe, Asia, and Latin America, isolating loan supply from loan demand effects. Loan supply in emerging markets was significantly affected through three separate channels: a contraction in direct, cross-border lending by foreign banks; a contraction in local lending by foreign banks' affiliates in emerging markets; and a contraction in loan supply by domestic banks resulting from the funding shock to their balance sheet induced by the decline in interbank, cross-border lending. Policy interventions, such as the Vienna Initiative introduced in Europe, influenced the lending channel effects on emerging markets of head office balance sheet shocks. Moreover, openness to international funding was not the main vehicle of propagation. Rather, it was exposure to international funding from source country banking systems that were ex ante more likely to suffer from the liquidity shock. [JEL E44, F36, G32] IMF Economic Review (2011) 59, 41-76. doi:10.1057/imfer.2010.9; published online 28 September 2010 C1 [Cetorelli, Nicola; Goldberg, Linda S.] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. [Goldberg, Linda S.] NBER, Cambridge, MA 02138 USA. RP Cetorelli, N (reprint author), Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. NR 30 TC 105 Z9 106 U1 3 U2 38 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PD APR PY 2011 VL 59 IS 1 BP 41 EP 76 DI 10.1057/imfer.2010.9 PG 36 WC Business, Finance; Economics SC Business & Economics GA 745FR UT WOS:000289151800003 ER PT J AU Allen, F Fulghieri, P Mehran, H AF Allen, Franklin Fulghieri, Paolo Mehran, Hamid TI The Value of Bank Capital and the Structure of the Banking Industry SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID FINANCIAL INTERMEDIATION; MUTUAL FUNDS; LIQUIDITY; MODELS AB The critical role played by financial institutions in the recent financial crises has generated renewed interest on the corporate finance of the banking firm and the impact of the banking sector on the real economy. This paper introduces the special issue of the Review of Financial Studies dedicated to "The Value of Bank Capital and the Structure of the Banking Industry." The special issue combines papers presented at the conference on "Corporate Finance of Financial Intermediaries" in September 2006, which was jointly organized by the Federal Reserve Bank of New York, the Wharton Financial Institutions Center of the University of Pennsylvania, and the Review of Financial Studies, with other related papers. (JEL G21) C1 [Fulghieri, Paolo] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA. [Allen, Franklin] Univ Penn, Philadelphia, PA 19104 USA. [Mehran, Hamid] Fed Reserve Bank New York, New York, NY USA. RP Fulghieri, P (reprint author), Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA. EM Paolo_Fulghieri@unc.edu NR 19 TC 3 Z9 3 U1 4 U2 16 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD APR PY 2011 VL 24 IS 4 SI SI BP 971 EP 982 DI 10.1093/rfs/hhr003 PG 12 WC Business, Finance; Economics SC Business & Economics GA 744JQ UT WOS:000289091100001 ER PT J AU Mehran, H Thakor, A AF Mehran, Hamid Thakor, Anjan TI Bank Capital and Value in the Cross-Section SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID FINANCIAL INTERMEDIATION; LIQUIDITY CREATION; REQUIREMENTS; INVESTMENT; FIRMS; RISK; INFORMATION; COMPETITION; FRAGILITY; COST AB We develop a dynamic model of bank capital structure in an acquisitions context which predicts: (i) total bank value and the bank's equity capital are positively correlated in the cross-section, and (ii) the various components of bank value are also positively cross-sectionally related to bank capital. Our empirical tests provide strong support for these predictions. The results are robust to a variety of alternative explanations-growth prospects, desire to acquire toe-hold positions, desire of capital-starved acquirers to buy capital-rich targets, market timing, pecking order, the effect of banks with binding capital requirements, Too Big To Fail, target profitability, risk, and mechanical effects. (JEL G21, G28, G32, G34) C1 [Thakor, Anjan] Washington Univ, St Louis, MO 63130 USA. [Thakor, Anjan] ECGI, Brussels, Belgium. [Mehran, Hamid] Fed Reserve Bank New York, New York, NY USA. RP Thakor, A (reprint author), Washington Univ, St Louis, MO 63130 USA. EM thakor@wustl.edu NR 58 TC 39 Z9 41 U1 4 U2 30 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD APR PY 2011 VL 24 IS 4 SI SI BP 1019 EP 1067 DI 10.1093/rfs/hhq022 PG 49 WC Business, Finance; Economics SC Business & Economics GA 744JQ UT WOS:000289091100003 ER PT J AU Fernald, J Neiman, B AF Fernald, John Neiman, Brent TI Growth Accounting with Misallocation: Or, Doing Less with More in Singapore SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID AGGREGATE PRODUCTIVITY; POLICY; TECHNOLOGY; MARKETS; INPUT; CHINA AB We show that in a two-sector economy with heterogeneous capital subsidies and monopoly power, primal and dual measures of TFP growth can diverge from each other as well as from true technology. These distortions give rise to dynamic reallocation effects that imply technology growth needs to be measured from the bottom up rather than from the top down. Using Singapore as an example, we show how incomplete data can be used to estimate aggregate and sectoral technology growth as well as reallocation effects. Our framework can reconcile divergent TFP estimates in Singapore and can resolve other empirical puzzles regarding Asian development. (JEL E22, E23, E25, O33, O41, O47) C1 [Fernald, John] San Francisco Res Dept, Fed Reserve Bank, San Francisco, CA 94105 USA. [Neiman, Brent] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Neiman, Brent] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Fernald, J (reprint author), San Francisco Res Dept, Fed Reserve Bank, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. EM john.fernald@sf.frb.org; brent.nei-man@chicagobooth.edu NR 64 TC 15 Z9 15 U1 1 U2 7 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD APR PY 2011 VL 3 IS 2 BP 29 EP 74 DI 10.1257/mac.3.2.29 PG 46 WC Economics SC Business & Economics GA 741VP UT WOS:000288893900002 ER PT J AU Beechey, MJ Johannsen, BK Levin, AT AF Beechey, Meredith J. Johannsen, Benjamin K. Levin, Andrew T. TI Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area than in the United States? SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID COVARIANCE-MATRIX ESTIMATOR; INTEREST-RATES; HETEROSKEDASTICITY; MARKET; POLICY; NEWS AB This paper compares the evolution of long-run inflation expectations in the euro area and the United States, using evidence from financial markets and surveys of professional forecasters. Survey data indicate that long-run inflation expectations are reasonably well anchored in both economies but reveal substantially greater dispersion across forecasters' long-horizon projections of US inflation. Analysis of daily data on inflation swaps and nominal-indexed bond spreads, which gauge compensation for expected inflation and inflation risk, also suggests that long-run inflation expectations are more firmly anchored in the euro area than in the United States. (JEL D84, E31, E37, E52, E58) C1 [Beechey, Meredith J.] Sveriges Riksbank, S-10337 Stockholm, Sweden. [Johannsen, Benjamin K.] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. [Levin, Andrew T.] Fed Reserve Board, Washington, DC 20551 USA. RP Beechey, MJ (reprint author), Sveriges Riksbank, Brunkebergsfaret 11, S-10337 Stockholm, Sweden. EM meredith.beechey@riksbank.se; benjohannsen@u.northwestern.edu; andrew.levin@frb.gov NR 24 TC 19 Z9 19 U1 0 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD APR PY 2011 VL 3 IS 2 BP 104 EP 129 DI 10.1257/mac.3.2.104 PG 26 WC Economics SC Business & Economics GA 741VP UT WOS:000288893900004 ER PT J AU Fang, L Rogerson, R AF Fang, Lei Rogerson, Richard TI Product Market Regulation and Market Work: A Benchmark Analysis SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID HOUSEHOLD PRODUCTION; MACROECONOMICS; FLUCTUATIONS; ENTRY; CYCLE AB Recent empirical work finds a negative correlation between product market regulation and aggregate employment. We examine the effect of product market regulations on hours worked in a benchmark model of time allocation. Product market regulations affect market work in effectively the same fashion as labor or consumption taxes. For product market regulations to affect aggregate market work, the key driving force is the size of income transfers associated with the regulations, and the key propagation mechanism is the labor supply elasticity. We show that industry level analysis is of little help in assessing the aggregate effects of product market regulation. (JEL E24, J22, L51) C1 [Fang, Lei] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Rogerson, Richard] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. [Rogerson, Richard] Princeton Univ, Woodrow Wilson Sch, Princeton, NJ 08544 USA. RP Fang, L (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM lei.fang@atl.frb.org; rdr@princeton.edu NR 32 TC 4 Z9 4 U1 0 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD APR PY 2011 VL 3 IS 2 BP 163 EP 188 DI 10.1257/mac.3.2.163 PG 26 WC Economics SC Business & Economics GA 741VP UT WOS:000288893900006 ER PT J AU Adrian, T Etula, E Groen, JJJ AF Adrian, Tobias Etula, Erkko Groen, Jan J. J. TI Financial amplification of foreign exchange risk premia SO EUROPEAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Conference on Advances in International Macroeconomics - Lessions from the Crisis CY JUL 23-24, 2010 CL Brussels, BELGIUM DE Foreign exchange risk premium; Financial stability monitoring; Financial intermediaries; Asset pricing ID MARKET; COMPONENTS AB Theories of financial frictions in international capital markets suggest that financial intermediaries' balance sheet constraints amplify fundamental shocks. We present empirical evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals, and a component associated with financial intermediary balance sheets. Relative to the benchmark model with only macroeconomic state variables, balance sheets amplify the U.S. dollar risk premium. We discuss applications to financial stability monitoring. (C) 2010 Elsevier B.V. All rights reserved. C1 [Adrian, Tobias; Etula, Erkko; Groen, Jan J. J.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org; erkko.etula@ny.frb.org; jan.groen@ny.frb.org OI Adrian, Tobias/0000-0001-9379-9592 NR 31 TC 1 Z9 1 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD APR PY 2011 VL 55 IS 3 SI SI BP 354 EP 370 DI 10.1016/j.euroecorev.2010.12.001 PG 17 WC Economics SC Business & Economics GA 743OI UT WOS:000289027400005 ER PT J AU De Bruin, WB Manski, CF Topa, G van der Klaauw, W AF De Bruin, Waendi Bruine Manski, Charles F. Topa, Giorgio van der Klaauw, Wilbert TI MEASURING CONSUMER UNCERTAINTY ABOUT FUTURE INFLATION SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID SIGNIFICANT LIFE EVENTS; EMPIRICAL-ANALYSIS; EXPECTATIONS; EARNINGS; RETIREMENT; HEALTH; INCOME AB We introduce a survey-based measure of uncertainty about future inflation, asking consumers for density forecasts across inflation outcomes. Consumers are willing and able to express uncertainty, showing high response rates and response patterns that are reliably related to qualitative measures of uncertainty. Heterogeneity in expressed uncertainty is associated with demographic characteristics and financial literacy, and measures of central tendency derived from density forecasts are strongly correlated with point forecasts. Furthermore, expressed uncertainty is positively related to point forecast levels and to larger revisions in point forecasts over time. Copyright (C) 2011 John Wiley & Sons, Ltd. C1 [Topa, Giorgio; van der Klaauw, Wilbert] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [De Bruin, Waendi Bruine] Carnegie Mellon Univ, Dept Social & Decis Sci, Pittsburgh, PA 15213 USA. [De Bruin, Waendi Bruine] Carnegie Mellon Univ, Dept Engn & Publ Policy, Pittsburgh, PA 15213 USA. [Manski, Charles F.] Northwestern Univ, Dept Econ, Evanston, IL USA. [Manski, Charles F.] Northwestern Univ, Inst Policy Res, Evanston, IL USA. RP van der Klaauw, W (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM Wilbert.vanderklaauw@ny.frb.org RI Ramalho, Thiago/E-4525-2016 NR 28 TC 14 Z9 14 U1 2 U2 12 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD APR-MAY PY 2011 VL 26 IS 3 BP 454 EP 478 PG 25 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 740TJ UT WOS:000288817000007 ER PT J AU Zafar, B AF Zafar, Basit TI CAN SUBJECTIVE EXPECTATIONS DATA BE USED IN CHOICE MODELS? EVIDENCE ON COGNITIVE BIASES SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID RETURNS; PROBABILITIES; EARNINGS AB A pervasive concern with the use of subjective data in choice models is that they are biased and endogenous. This paper examines the extent to which cognitive biases plague subjective data, and specifically addresses the questions of: (1) whether cognitive dissonance affects the reporting of beliefs; and (2) whether individuals exert sufficient mental effort when probed about their subjective beliefs. For this purpose, I collect a unique panel dataset of Northwestern University undergraduates which contains their subjective expectations about major-specific outcomes for their chosen major as well as for other alternatives in their choice set. I do not find evidence of cognitive biases systematically affecting the reporting of beliefs. By analyzing patterns of belief updating, I can rule out cognitive dissonance being of serious concern in the current setting. There does not seem to be any systematic (non-classical) measurement error in the reporting of beliefs: I do not find systematic patterns in mental recall of previous responses, or in the extent of rounding in the reported beliefs for the various majors. Comparison of subjective beliefs with objective measures suggests that students have well-formed expectations. Overall, the results paint a favorable picture for the use of subjective expectations data in choice models. Copyright (C) 2011 John Wiley & Sons, Ltd. C1 Fed Reserve Bank New York, Dept Res & Stat, New York, NY 10045 USA. RP Zafar, B (reprint author), Fed Reserve Bank New York, Dept Res & Stat, 33 Liberty St, New York, NY 10045 USA. EM basit.zafar@ny.frb.org NR 29 TC 7 Z9 7 U1 3 U2 11 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD APR-MAY PY 2011 VL 26 IS 3 BP 520 EP 544 DI 10.1002/jae.1236 PG 25 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 740TJ UT WOS:000288817000010 ER PT J AU Baliga, S Lucca, DO Sjostrom, T AF Baliga, Sandeep Lucca, David O. Sjoestroem, Tomas TI Domestic Political Survival and International Conflict: Is Democracy Good for Peace? SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Schelling's dilemma; Limited democracy; Democratic peace; D74; D78 ID CIVIL-WAR; COOPERATION; LIKELIHOOD; DISPUTES; LEADERS; DILEMMA; MODELS AB We build a game-theoretic model where aggression can be triggered by domestic political concerns as well as the fear of being attacked. In the model, leaders of full and limited democracies risk losing power if they do not stand up to threats from abroad. In addition, the leader of a fully democratic country loses the support of the median voter if he attacks a non-hostile country. The result is a non-monotonic relationship between democracy and peace. Using Polity data, we classify countries as full democracies, limited democracies, and dictatorships. For the period 1816-2000, Correlates of War data suggest that limited democracies are more aggressive than other regime types, including dictatorships, and not only during periods when the political regime is changing. In particular, a dyad of limited democracies is more likely to be involved in a militarized dispute than any other dyad (including "mixed" dyads, where the two countries have different regime types). Thus, while full democratization might advance the cause of peace, limited democratization might advance the cause of war. We also find that as the environment becomes more hostile, fully democratic countries become more aggressive faster than other regime types. C1 [Baliga, Sandeep] Northwestern Univ, Evanston, IL 60208 USA. [Lucca, David O.] Fed Reserve Board, Washington, DC USA. [Sjoestroem, Tomas] Rutgers State Univ, Piscataway, NJ 08855 USA. RP Baliga, S (reprint author), Northwestern Univ, Evanston, IL 60208 USA. NR 78 TC 11 Z9 11 U1 1 U2 12 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD APR PY 2011 VL 78 IS 2 BP 458 EP 486 DI 10.1093/restud/rdq027 PG 29 WC Economics SC Business & Economics GA 740NO UT WOS:000288801800002 ER PT J AU Huang, R Ratnovski, L AF Huang, Rocco Ratnovski, Lev TI The dark side of bank wholesale funding SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article ID SWITCHING COSTS; CONTRACTS; MARKET AB Banks increasingly use short-term wholesale funds to supplement traditional retail deposits. Existing literature mainly points to the "bright side" of wholesale funding: sophisticated financiers can monitor banks, disciplining bad but refinancing good ones. This paper models a "dark side" of wholesale funding. In an environment with a costless but noisy public signal on bank project quality, short-term wholesale financiers have lower incentives to conduct costly monitoring, and instead may withdraw based on negative public signals, triggering inefficient liquidations. Comparative statics suggest that such distortions of incentives are smaller when public signals are less relevant and project liquidation costs are higher, e.g., when banks hold mostly relationship-based small business loans. (C) 2010 Elsevier Inc. All rights reserved. C1 [Huang, Rocco] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Ratnovski, Lev] Int Monetary Fund, Washington, DC 20431 USA. RP Huang, R (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM rocco.huang@phil.frb.org; lratnovski@imf.org NR 22 TC 67 Z9 67 U1 3 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2011 VL 20 IS 2 BP 248 EP 263 DI 10.1016/j.jfi.2010.06.003 PG 16 WC Business, Finance SC Business & Economics GA 729YI UT WOS:000287990100006 ER PT J AU Berger, AN Cowan, AM Frame, WS AF Berger, Allen N. Cowan, Adrian M. Frame, W. Scott TI The Surprising Use of Credit Scoring in Small Business Lending by Community Banks and the Attendant Effects on Credit Availability, Risk, and Profitability SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Banks; Small business; Credit scoring ID DISTANCE; INFORMATION AB The literature has documented a positive relationship between the use of credit scoring for small business loans and small business credit availability, broadly defined. However, this literature is hampered by the fact that all of the studies are based on a single 1998 survey of the very largest U.S. banking organizations. This paper addresses a number of deficiencies in the extant literature by employing data from a new survey of the use of credit scoring in small business lending, primarily by community banks. The survey evidence suggests that the use of credit scores in small business lending by community banks is surprisingly widespread. Moreover, the scores employed tend to be the consumer credit scores of the small business owners, rather than the more encompassing small business credit scores that include data on the firms as well as on the owners. Our empirical analysis suggests that credit scoring is associated with an initial increase in small business lending activity that moderates over time and no change in the quality of the loan portfolio. Supplementary analysis suggests that the use of credit scores for small business lending has a negative initial effect on community bank profitability that moderates over time. C1 [Berger, Allen N.] Univ S Carolina, Moore Sch Business, Columbia, SC 29208 USA. [Berger, Allen N.] Tilburg Univ, CentER, NL-5000 LE Tilburg, Netherlands. [Cowan, Adrian M.] St Marys Univ, San Antonio, TX USA. [Frame, W. Scott] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Berger, AN (reprint author), Univ S Carolina, Moore Sch Business, 1705 Coll St, Columbia, SC 29208 USA. EM aberger@moore.sc.edu; acowan@stmarytx.edu; scott.frame@atl.frb.org NR 17 TC 16 Z9 16 U1 2 U2 26 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD APR PY 2011 VL 39 IS 1-2 BP 1 EP 17 DI 10.1007/s10693-010-0088-1 PG 17 WC Business, Finance SC Business & Economics GA 729DD UT WOS:000287927700001 ER PT J AU DeYoung, R Frame, WS Glennon, D Nigro, P AF DeYoung, Robert Frame, W. Scott Glennon, Dennis Nigro, Peter TI The Information Revolution and Small Business Lending: The Missing Evidence SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Borrower-lender distance; Credit scoring; Information technology; Small business lending ID DISTANCE AB This paper provides empirical confirmation for Petersen and Rajan's (J Finance 57:2533-2570, 2002) widely accepted conjecture that information technology was the primary driver of the observed increase in small business borrower-lender distances in the U.S. in recent years. Using a different data source for small business loans, we show that annual increases in borrower-lender distances were slow and steady prior to 1993 (the end point in Petersen and Rajan's data) but accelerated rapidly after that. Importantly, we are able to assign at least half of this acceleration to the adoption of credit scoring technologies by the lending banks. Our tests also reveal strong statistical associations between lending distances and borrower characteristics, lender characteristics, market conditions, regulatory constraints, moral hazard incentives, and principal-agent incentives. C1 [DeYoung, Robert] Univ Kansas, Lawrence, KS 66045 USA. [Frame, W. Scott] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Glennon, Dennis] Off Comptroller Currency, Washington, DC USA. [Nigro, Peter] Bryant Univ, Smithfield, RI USA. RP DeYoung, R (reprint author), Univ Kansas, 1300 Sunnyside Ave, Lawrence, KS 66045 USA. EM rdeyoung@ku.edu; Scott.Frame@atl.frb.org; Dennis.Glennon@occ.treas.org; pnigro@bryant.edu NR 10 TC 7 Z9 7 U1 1 U2 10 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD APR PY 2011 VL 39 IS 1-2 BP 19 EP 33 DI 10.1007/s10693-010-0087-2 PG 15 WC Business, Finance SC Business & Economics GA 729DD UT WOS:000287927700002 ER PT J AU Zafar, B AF Zafar, Basit TI How Do College Students Form Expectations? SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID EARNINGS; INFORMATION; RETURNS; WOMEN; MEN; GAP AB This study focuses on how college students form expectations about various major-specific outcomes. For this purpose, I collect a panel data set of Northwestern University undergraduates that contains their subjective expectations about major-specific outcomes. Although students tend to be overconfident about their future academic performance, they revise their expectations in expected ways. The updating process is found to be consistent with a Bayesian learning model. I show that learning plays a role in the decision to switch majors and that major switchers respond to information from their own major. I also present evidence that learning is general and not entirely major specific. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Zafar, B (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM Basit.Zafar@ny.frb.org NR 41 TC 30 Z9 30 U1 0 U2 17 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X J9 J LABOR ECON JI J. Labor Econ. PD APR PY 2011 VL 29 IS 2 BP 301 EP 348 DI 10.1086/658091 PG 48 WC Economics; Industrial Relations & Labor SC Business & Economics GA 728CJ UT WOS:000287851300004 ER PT J AU Berger, AN Frame, WS Ioannidou, V AF Berger, Allen N. Frame, W. Scott Ioannidou, Vasso TI Tests of ex ante versus ex post theories of collateral using private and public information SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Collateral; Asymmetric Information; Banks ID LENDING RELATIONSHIPS; SMALL BUSINESS; FINANCIAL INTERMEDIATION; ASYMMETRIC INFORMATION; IMPERFECT INFORMATION; CREDIT MARKETS; BANK BEHAVIOR; MORAL HAZARD; SECURED DEBT; EQUILIBRIUM AB Collateral is a widely used, but not well understood, debt contracting feature. Two broad strands of theoretical literature explain collateral as arising from the existence of either ex ante private information or ex post incentive problems between borrowers and lenders. However, the extant empirical literature has been unable to isolate each of these effects. This paper attempts to do so using a credit registry that is unique in that it allows the researcher to have access to some private information about borrower risk that is unobserved by the lender. The data also include public information about borrower risk, loan contract terms, and ex post performance for both secured and unsecured loans. The results suggest that the ex post theories of collateral are empirically dominant, although the ex ante theories are also valid for customers with short borrower-lender relations that are relatively unknown to the lender. (C) 2010 Elsevier B.V. All rights reserved. C1 [Berger, Allen N.] Univ S Carolina, Moore Sch Business, Columbia, SC 29208 USA. [Berger, Allen N.] Wharton Financial Inst Ctr, Philadelphia, PA USA. [Frame, W. Scott] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Berger, Allen N.; Ioannidou, Vasso] Tilburg Univ, CentER, Tilburg, Netherlands. RP Berger, AN (reprint author), Univ S Carolina, Moore Sch Business, 1705 Coll St, Columbia, SC 29208 USA. EM aberger@moore.sc.edu; scottframe@atl.frb.org; v.p.ioannidou@uvt.nl NR 55 TC 24 Z9 24 U1 1 U2 16 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD APR PY 2011 VL 100 IS 1 BP 85 EP 97 DI 10.1016/j.jfineco.2010.10.014 PG 13 WC Business, Finance; Economics SC Business & Economics GA 724BC UT WOS:000287550100005 ER PT J AU Nalewaik, JJ AF Nalewaik, Jeremy J. TI Incorporating vintage differences and forecasts into Markov switching models SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Business cycles; Recession probabilities; Markov switching models; Real-time data analysis ID ANNOUNCEMENTS; RECESSIONS AB This paper incorporates vintage differences and forecasts into the Markov switching models described by Hamilton (1994). The vintage differences and forecasts induce parameter breaks close to the end of the sample, too close for standard maximum likelihood techniques to produce precise parameter estimates. A supplementary procedure estimates the statistical properties of the end-of-sample observations that behave differently from the rest, allowing inferred probabilities to reflect the breaks. Empirical results using real-time data show that these techniques improve the ability of a Markov switching model based on GDP and GDI to recognize the stall of the 2001 recession. Published by Elsevier B.V. on behalf of International Institute of Forecasters. C1 Board Governors Fed Reserve Syst, Washington, DC 20015 USA. RP Nalewaik, JJ (reprint author), Board Governors Fed Reserve Syst, 5400 41st St NW, Washington, DC 20015 USA. EM jeremy.j.nalewaik@frb.gov NR 22 TC 2 Z9 2 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD APR-JUN PY 2011 VL 27 IS 2 BP 281 EP 307 DI 10.1016/j.ijforecast.2010.05.017 PG 27 WC Economics; Management SC Business & Economics GA 720GR UT WOS:000287269300007 ER PT J AU Swanson, ET AF Swanson, Eric T. TI Let's Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2 SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID INTEREST-RATES; MARKET; POLICY AB This paper undertakes a modern event-study analysis of Operation Twist and uses its estimated effects to assess what should be expected for the recent policy of quantitative easing by the Federal Reserve, dubbed "QE2." The paper first shows that Operation Twist and QE2 are similar in magnitude. It then identifies six significant, discrete announcements in the course of Operation Twist that could have had a major effect on financial markets and shows that four did have statistically significant effects. The cumulative effect of these six announcements on longer-term Treasury yields is highly statistically significant but moderate, amounting to about 15 basis points (bp). This estimate is consistent both with time-series analysis undertaken not long after the event and with the lower end of empirical estimates of Treasury supply effects in the literature. The effects of Operation Twist on long-term agency and corporate bond yields are also statistically significant but smaller, about 13 bp for agency securities and 2 to 4 bp for corporates. Thus, the effects of Operation Twist seem to diminish substantially as one moves from Treasury securities toward private sector credit instruments. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Swanson, ET (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 29 TC 47 Z9 47 U1 1 U2 10 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD SPR PY 2011 BP 151 EP 207 PG 57 WC Economics SC Business & Economics GA 863WT UT WOS:000298199700004 ER PT J AU Mallach, A AF Mallach, Alan TI THE MOUNT LAUREL DOCTRINE AND THE UNCERTAINTIES OF SOCIAL POLICY IN A TIME OF RETRENCHMENT SO RUTGERS LAW REVIEW LA English DT Article C1 [Mallach, Alan] Brookings Inst, Washington, DC 20036 USA. RP Mallach, A (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 39 TC 1 Z9 1 U1 0 U2 1 PU RUTGERS UNIV PI NEWARK PA SCHOOL LAW 123 WASHINGTON ST, NEWARK, NJ 07102 USA SN 0036-0465 J9 RUTGERS LAW REV JI Rutgers Law Rev. PD SPR PY 2011 VL 63 IS 3 BP 849 EP 866 PG 18 WC Law SC Government & Law GA 820BK UT WOS:000294880300010 ER PT J AU Bandyopadhyay, S Lahiri, S Roy, S AF Bandyopadhyay, Subhayu Lahiri, Sajal Roy, Suryadipta TI POLITICAL ASYMMETRY AND COMMON EXTERNAL TARIFFS IN A CUSTOMS UNION SO ECONOMICS & POLITICS LA English DT Article ID TRADE AGREEMENTS; DELEGATION; MODEL AB This paper examines the effect of political and economic asymmetries in the formation of common external tariffs (CETs) in a customs union (CU). We do so by introducing possible cross-border lobbying and by endogenizing tariff formation in a political economic model for the determination of CETs. The latter allows us to consider asymmetries among the member nations in their susceptibilities to lobbying. We also consider asymmetries in the influence of the member nations in CU-wide decision-making. A central finding of this paper is that, in the absence of economic asymmetry, the CET rises monotonically with the degree of asymmetry in country influences if the two countries are equally susceptible to lobbying. If influences are the same, the CET also rises monotonically with the degree of asymmetry in susceptibilities. These results hold irrespective of whether the lobby groups in the two member countries cooperate or work non-cooperatively. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Bandyopadhyay, Subhayu] IZA, Bonn, Germany. [Lahiri, Sajal] So Illinois Univ Carbondale, Carbondale, IL USA. [Roy, Suryadipta] High Point Univ, High Point, NC USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM subhayu.bandyopadhyay@stls.frb.org RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 25 TC 0 Z9 0 U1 0 U2 2 PU WILEY PERIODICALS, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN STREET, MALDEN, MA 02148-529 USA SN 0954-1985 J9 ECON POLIT-OXFORD JI Econ. Polit. PD MAR PY 2011 VL 23 IS 1 BP 88 EP 106 DI 10.1111/j.1468-0343.2010.00376.x PG 19 WC Economics; Political Science SC Business & Economics; Government & Law GA 812QC UT WOS:000294307000005 ER PT J AU Aruoba, SB Waller, CJ Wright, R AF Aruoba, S. Boragan Waller, Christopher J. Wright, Randall TI Money and capital SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID SEARCH EQUILIBRIUM; BUSINESS-CYCLE; GENERAL EQUILIBRIUM; MONETARY-ECONOMICS; WELFARE COST; LONG-RUN; MODEL; INFLATION; POLICY; GROWTH AB The effects of money (anticipated inflation) on capital formation is a classic issue in macroeconomics. Previous papers adopt reduced-form approaches, putting money in the utility function, or imposing cash in advance, but using otherwise frictionless models. We follow instead a literature that tries to be explicit about the frictions making money essential. This introduces new elements, including a two-sector structure with centralized and decentralized markets, stochastic trading opportunities, and bargaining. These elements matter quantitatively and numerical results differ from findings in the reduced-form literature. The analysis also reduces a gap between microfounded monetary economics and mainstream macro. (C) 2011 Elsevier B.V. All rights reserved. C1 [Aruoba, S. Boragan] Univ Maryland, College Pk, MD 20742 USA. [Waller, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO USA. [Waller, Christopher J.] Univ Notre Dame, Notre Dame, IN 46556 USA. [Wright, Randall] Univ Wisconsin, Madison, WI 53706 USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Aruoba, SB (reprint author), Univ Maryland, College Pk, MD 20742 USA. EM aruoba@econ.umd.edu RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 75 TC 18 Z9 18 U1 3 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2011 VL 58 IS 2 BP 98 EP 116 DI 10.1016/j.jmoneco.2011.03.003 PG 19 WC Business, Finance; Economics SC Business & Economics GA 787GV UT WOS:000292365500002 ER PT J AU Rabanal, P Rubio-Ramirez, JF Tuesta, V AF Rabanal, Pau Rubio-Ramirez, Juan F. Tuesta, Vicente TI Cointegrated TFP processes and international business cycles SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID REAL EXCHANGE-RATES; INCOMPLETE MARKETS; RATE FLUCTUATIONS; NONTRADED GOODS; PASS-THROUGH; UNIT-ROOT; MODEL; PERSISTENCE; PRICES; CONSUMPTION AB A puzzle in international macroeconomics is that real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. This paper provides evidence that TFP processes for the U.S. and the "rest of the world" are characterized by a vector error correction model (VECM) and that adding cointegrated technology shocks to the standard IRBC model helps to explain the observed high real exchange rate volatility. Also, the model can explain the observed increase in real exchange rate volatility with respect to output in the last 20 years by changes in the parameters of the VECM. (C) 2011 Elsevier B.V. All rights reserved. C1 [Rubio-Ramirez, Juan F.] Duke Univ, Durham, NC 27708 USA. [Rabanal, Pau] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. [Rubio-Ramirez, Juan F.] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Rubio-Ramirez, JF (reprint author), Duke Univ, POB 90097, Durham, NC 27708 USA. EM juan.rubio-ramirez@duke.edu NR 41 TC 14 Z9 14 U1 3 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2011 VL 58 IS 2 BP 156 EP 171 DI 10.1016/j.jmoneco.2011.03.005 PG 16 WC Business, Finance; Economics SC Business & Economics GA 787GV UT WOS:000292365500006 ER PT J AU Houseman, S Kurz, C Lengermann, P Mandel, B AF Houseman, Susan Kurz, Christopher Lengermann, Paul Mandel, Benjamin TI Offshoring Bias in US Manufacturing SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID CONSUMER PRICE-INDEX; GROWTH; PRODUCTIVITY; RESURGENCE; GOODS C1 [Houseman, Susan] Upjohn Inst Employment Res, Kalamazoo, MI USA. [Kurz, Christopher; Lengermann, Paul] Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. [Mandel, Benjamin] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Houseman, S (reprint author), Upjohn Inst Employment Res, Kalamazoo, MI USA. EM houseman@upjohn.org; christopher.j.kurz@frb.gov; paul.a.lengermann@frb.gov; benjamin.r.mandel@frb.gov NR 50 TC 19 Z9 19 U1 1 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SPR PY 2011 VL 25 IS 2 BP 111 EP 132 DI 10.1257/jep.25.2.111 PG 22 WC Economics SC Business & Economics GA 764GW UT WOS:000290618900006 ER PT J AU Mandelman, FS AF Mandelman, Federico S. TI Business Cycles and the Role of Imperfect Competition in the Banking System SO INTERNATIONAL FINANCE LA English DT Article ID FINANCIAL INTERMEDIATION; REGULATORY REFORM; PANEL-DATA; INDUSTRY; PRICE; MODEL; DETERMINANTS; DYNAMICS; RIGIDITY; BEHAVIOR AB This study shows that the entry of new competitors in the banking system tends to occur during economic expansions. In addition, it provides evidence that established banks react by lowering the interest rates that borrowers pay, thus reducing bank system profits. In contrast, banks are able to sustain higher bank profit margins during recessions. These findings suggest that this pricing strategy is aimed at deterring the entry of new bank competitors into highly segmented regional retail niches. Consequently, monopolistic banking not only creates an inefficient wedge between lenders and borrowers but, as credit becomes cheaper in booms and more expensive during recessions, it further contributes to macroeconomic volatility. Empirical evidence for 124 countries and a general equilibrium model suitable to quantify the welfare losses of this monopolistic framework are provided. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Mandelman, FS (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM federico.mandelman@atl.frb.org NR 56 TC 7 Z9 7 U1 1 U2 6 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1367-0271 J9 INT FINANC JI Int. Financ. PD SPR PY 2011 VL 14 IS 1 BP 103 EP 133 DI 10.1111/j.1468-2362.2011.01278.x PG 31 WC Business, Finance; Economics SC Business & Economics GA 756CH UT WOS:000289988800004 ER PT J AU Wang, X Wen, Y AF Wang, Xin Wen, Yi TI Can Rising Housing Prices Explain China's High Household Saving Rate? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB China's average household saving rate is one of the highest in the world. One popular view attributes the high saving rate to fast-rising housing prices and other living costs in China. This article uses simple economic logic to show that rising housing prices and living costs per se cannot explain China's persistently high household saving rate. Although borrowing constraints and demographic changes can help translate housing prices to the aggregate saving rate, quantitative simulations using Chinese data on household income, housing prices, and demographics indicate that rising mortgage costs contribute at most 5 percentage points to the Chinese aggregate household saving rate, given the clown payment structure of China's mortgage markets. (JEL D14, D91, E21, 131, R21) C1 [Wang, Xin] Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R China. [Wen, Yi] Fed Reserve Bank St Louis, St Louis, MO USA. RP Wang, X (reprint author), Tsinghua Univ, Sch Econ & Management, Beijing 100084, Peoples R China. RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 22 TC 5 Z9 5 U1 2 U2 11 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2011 VL 93 IS 2 BP 67 EP 87 PG 21 WC Business, Finance; Economics SC Business & Economics GA 740TX UT WOS:000288818400001 ER PT J AU Bandyopadhyay, S Roy, S AF Bandyopadhyay, Subhayu Roy, Suryadipta TI Political Economy Determinants of Non-agricultural Trade Policy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RESTRICTIVENESS INDEXES; INEQUALITY; IDEOLOGY; LABOR AB The authors investigate several existing political economy hypotheses on trade policy using cross-country trade-protection data for non-agricultural goods. The authors find that a left-leaning political regime leads to pro-labor trade policies only for a subset of trade policy measures. In addition, they find that income inequality and country-level corruption appear to be important determinants of trade policy. For various measures of trade protection, it appears that corruption tends to hurt labor interests by increasing trade protection in labor-abundant countries and reducing trade protection in capital-abundant countries. This finding suggests that corruption, among other factors, may move trade policy away from the desires of the median voter. (JEL F10, F11, F13, D73) C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Roy, Suryadipta] High Point Univ, High Point, NC USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 22 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2011 VL 93 IS 2 BP 89 EP 104 PG 16 WC Business, Finance; Economics SC Business & Economics GA 740TX UT WOS:000288818400002 ER PT J AU Contessi, S Francis, JL AF Contessi, Silvio Francis, Johanna L. TI TARP Beneficiaries and Their Lending Patterns During the Financial Crisis SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TRANSMISSION AB This paper provides a systematic analysis of the lending performance of U.S. commercial banks and savings institutions that received financial support through the Capital Purchase Program (C:PP) established in October 2008. The authors combine U.S. Treasury data on recipients of the CPP with quarterly financial data for the entire population of depository institutions to reconstruct aggregate lending and gross credit flows (expansion and contraction). CPP institutions experienced a less severe lending contraction than non-CPP institutions for all types of loans and bank asset levels. The authors find no evidence of unusual reallocation of lending across depository institutions. (JEL E44, E51, G21) C1 [Contessi, Silvio] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Francis, Johanna L.] Fordham Univ, Bronx, NY 10458 USA. RP Contessi, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. NR 21 TC 4 Z9 4 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2011 VL 93 IS 2 BP 105 EP 125 PG 21 WC Business, Finance; Economics SC Business & Economics GA 740TX UT WOS:000288818400003 ER PT J AU Sengupta, R Faccio, M AF Sengupta, Rajdeep Faccio, Mara TI Corporate Response to Distress: Evidence from the Asian Financial Crisis SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MANAGEMENT TURNOVER; FIRMS; OWNERSHIP; BANKS; REORGANIZATION; RESTRUCTURINGS; PERFORMANCE; GOVERNANCE; BANKRUPTCY; DEFAULT AB This paper provides a comprehensive examination of corporate responses to financial distress during an economy-wide crisis, specifically through the restructuring of assets (through asset sales, mergers, or liquidations) and/or liabilities. Using firm-level data from five countries hardest hit by the East Asian financial crisis of 1997-98, this study contrasts the effects that financial and corporate governance variables have on restructuring choices. The study finds that, during a crisis, financial constraints and corporate governance each have a large effect on restructuring choices. (JEL G33, G34) C1 [Sengupta, Rajdeep] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Faccio, Mara] Purdue Univ, Krannert Sch Management, W Lafayette, IN 47907 USA. RP Sengupta, R (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. NR 33 TC 2 Z9 2 U1 1 U2 5 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2011 VL 93 IS 2 BP 127 EP 154 PG 28 WC Business, Finance; Economics SC Business & Economics GA 740TX UT WOS:000288818400004 ER PT J AU Nakamura, AO Nakamura, E Nakamura, LI AF Nakamura, Alice O. Nakamura, Emi Nakamura, Leonard I. TI Price dynamics, retail chains and inflation measurement SO JOURNAL OF ECONOMETRICS LA English DT Article DE Price rigidity; Inflation measurement; Menu costs; Price indexes; CPI ID COST; INDEX; SALES; DEMAND AB We use a large scanner price dataset to study grocery price dynamics. Previous analyses based on store scanner data emphasize differences in price dynamics across products. However, we also document large differences in price movements across different grocery store chains. A variance decomposition indicates that characteristics at the level of the chains (as opposed to individual stores) explain a large fraction of the total variation in price dynamics. Thus, retailer characteristics are found to be crucial determinants of heterogeneity in pricing dynamics, in addition to product characteristics. We empirically explore how the price dynamics we document affect price index measures. Keywords: (c) 2010 Elsevier B.V. All rights reserved. C1 [Nakamura, Alice O.] Univ Alberta, Edmonton, AB T6G 2M7, Canada. [Nakamura, Emi] Columbia Univ, New York, NY 10027 USA. [Nakamura, Leonard I.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Nakamura, AO (reprint author), Univ Alberta, Edmonton, AB T6G 2M7, Canada. EM alice.nakamura@ualberta.ca; enakamura@columbia.edu; Leonard.Nakamura@phil.frb.org FU Social Sciences and Humanities Research Council of Canada FX We thank Erwin Diewert for inspiring us to write this paper and for comments that helped us improve it. We also thank John Green lees, Jan de Haan, Lorraine Ivancic, Mick Silver, Randall Verbrugge, and two referees for very helpful comments, and Paul R. Flora, an Economic Analyst with the Research Department of the Federal Reserve Bank of Philadelphia, for his outstanding research assistance. This research was partially supported by a grant to Alice Nakamura and Erwin Diewert from the Social Sciences and Humanities Research Council of Canada. NR 46 TC 10 Z9 10 U1 0 U2 6 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAR PY 2011 VL 161 IS 1 SI SI BP 47 EP 55 DI 10.1016/j.jeconom.2010.09.005 PG 9 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 740YY UT WOS:000288831500005 ER PT J AU Bodenstein, M Erceg, CJ Guerrieri, L AF Bodenstein, Martin Erceg, Christopher J. Guerrieri, Luca TI Oil shocks and external adjustment SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Oil shocks; Trade; DSGE models ID ENERGY PRICE-INCREASES; BUSINESS CYCLES; DUTCH DISEASE; ECONOMIC-ACTIVITY; MONETARY-POLICY; BOOMING SECTOR; SUPPLY SHOCKS; EXCHANGE-RATE; PUTTY-CLAY; TRADE AB We examine the effects of endogenously determined oil price fluctuations in a two-country DSGE model. Under incomplete financial markets, an oil market-specific shock that boosts the oil price results in a wealth transfer toward oil exporters, depresses the oil importer's consumption, and causes the oil importer's real exchange rate to depreciate. Although the oil importer experiences a deterioration in the oil component of its trade balance, an improvement in the nonoil balance substantially dampens the effects on the overall trade balance. Published by Elsevier B.V. C1 [Bodenstein, Martin; Erceg, Christopher J.; Guerrieri, Luca] Fed Reserve Board, Washington, DC USA. RP Guerrieri, L (reprint author), Fed Reserve Board, Washington, DC USA. EM Luca.Guerrieri@frb.gov NR 49 TC 36 Z9 36 U1 1 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAR PY 2011 VL 83 IS 2 BP 168 EP 184 DI 10.1016/j.jinteco.2010.10.006 PG 17 WC Economics SC Business & Economics GA 742XL UT WOS:000288978500006 ER PT J AU Wolman, AL AF Wolman, Alexander L. TI The Optimal Rate of Inflation with Trending Relative Prices SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E31; E52; E58; relative price trends; sticky prices; optimal rate of inflation; state-dependent pricing; optimal monetary policy ID OPTIMAL MONETARY-POLICY; STICKY; MONEY; GOODS AB Relative price trends mean that monetary policy cannot stabilize the nominal prices of all consumption categories. If prices are sticky, monetary policy must then trade off distortions within different categories; more weight should be placed on stabilizing prices for which adjustment entails greater distortions. With exogenous price stickiness, a simple model calibrated to U.S. data implies that slight deflation is optimal even absent money-demand considerations. If price stickiness is endogenous (because of fixed costs of adjustment), small inflation or small deflation can be optimal, depending on whether demand conditions or price adjustment costs vary across sectors. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Wolman, AL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. EM alexander.wolman@rich.frb.org NR 17 TC 6 Z9 6 U1 0 U2 2 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2011 VL 43 IS 2-3 BP 355 EP 384 DI 10.1111/j.1538-4616.2010.00377.x PG 30 WC Business, Finance; Economics SC Business & Economics GA 739HJ UT WOS:000288705200005 ER PT J AU Shy, O AF Shy, Oz TI A Short Survey of Network Economics SO REVIEW OF INDUSTRIAL ORGANIZATION LA English DT Article DE Survey; Network economics; Network industries; Network effects; Network externalities ID TECHNOLOGY ADOPTION; 2-SIDED MARKETS; DEADWEIGHT LOSS; UNAUTHORIZED REPRODUCTION; INFORMATIONAL CASCADES; PRODUCT COMPATIBILITY; INTELLECTUAL PROPERTY; SOFTWARE PROTECTION; SYSTEMS COMPETITION; EMPIRICAL-ANALYSIS AB This article surveys a variety of topics that are related to network economics. Topics covered include: consumer demand under network effects, compatibility decisions and standardization, technology advances in network industries, two-sided markets, information networks and intellectual property, and social influence. C1 Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Shy, O (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM oz.shy@bos.frb.org NR 133 TC 19 Z9 22 U1 9 U2 50 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0889-938X EI 1573-7160 J9 REV IND ORGAN JI Rev. Ind. Organ. PD MAR PY 2011 VL 38 IS 2 BP 119 EP 149 DI 10.1007/s11151-011-9288-6 PG 31 WC Economics; Management SC Business & Economics GA 741XN UT WOS:000288900400002 ER PT J AU Briggeman, BC Lusk, JL AF Briggeman, Brian C. Lusk, Jayson L. TI Preferences for fairness and equity in the food system SO EUROPEAN REVIEW OF AGRICULTURAL ECONOMICS LA English DT Article DE altruism; experiment; fairness; inequity; organic food ID CONSUMER PREFERENCES; PERCEPTIONS; COMPETITION; ATTITUDES; PRODUCE; DEMAND AB Consumers have shown an increasing interest in not only how their food is produced, but also who benefits from their food purchase. In some cases, such as organics, food is marketed as being produced in an 'equitable' food system. But are consumers willing to pay for a fair food system? Using a model of inequality aversion and a set of real-money experiments, we find that about 15 per cent of consumers' willingness-to-pay a premium for organic foods is attributable to altruism and inequality aversion. The fairness premium is significantly influenced by who receives this premium, how much the consumer earns, and how the experiment is framed. C1 [Briggeman, Brian C.] Fed Reserve Bank Kansas City, Omaha Branch, Omaha, NE 68132 USA. [Lusk, Jayson L.] Oklahoma State Univ, Stillwater, OK 74078 USA. RP Briggeman, BC (reprint author), Fed Reserve Bank Kansas City, Omaha Branch, 2201 Farnam, Omaha, NE 68132 USA. EM brian.briggeman@kc.frb.org FU National Research Initiative of the Cooperative State Research, Education and Extension Service, USDA [2007-04447] FX This project was supported by the National Research Initiative of the Cooperative State Research, Education and Extension Service, USDA, Grant # 2007-04447. NR 31 TC 11 Z9 11 U1 1 U2 12 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0165-1587 EI 1464-3618 J9 EUR REV AGRIC ECON JI Eur. Rev. Agric. Econ. PD MAR PY 2011 VL 38 IS 1 BP 1 EP 29 DI 10.1093/erae/jbq033 PG 29 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 730GO UT WOS:000288022000001 ER PT J AU Gagnon, J Raskin, M Remache, J Sack, B AF Gagnon, Joseph Raskin, Matthew Remache, Julie Sack, Brian TI The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID INTEREST-RATES; BUDGET DEFICITS; EQUILIBRIUM; POLICY; DEBT AB Since December 2008, the Federal Reserve's traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial quantities of assets with medium and long maturities. In this paper, we explain how these purchases were implemented and discuss the mechanisms through which they can affect the economy. We present evidence that the purchases led to economically meaningful and long-lasting reductions in longer-term interest rates on a range of securities, including securities that were not included in the purchase programs. These reductions in interest rates primarily reflect lower risk premiums, including term premiums, rather than lower expectations of future short-term interest rates. C1 [Gagnon, Joseph] Peterson Inst Int Econ, Washington, DC USA. [Raskin, Matthew; Remache, Julie; Sack, Brian] Fed Reserve Bank New York, Markets Grp, New York, NY USA. RP Gagnon, J (reprint author), Peterson Inst Int Econ, Washington, DC USA. NR 37 TC 107 Z9 108 U1 2 U2 23 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2011 VL 7 IS 1 BP 3 EP 43 PG 41 WC Business, Finance SC Business & Economics GA 734WM UT WOS:000288372100002 ER PT J AU Williams, JC AF Williams, John C. TI Monetary Policy and Housing Booms SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID PRICES AB A multitude of factors contributed to the housing booms and crashes experienced in many countries and the ensuing global financial crisis. Much of the existing research on these issues assumes that agents have complete information about the economic environment and form rational expectations. This commentary argues that models with imperfect knowledge and learning provide a potentially rich avenue of research on issues related to housing bubbles and monetary policy. Such models open up an avenue for the endogenous emergence of bubble-like behavior and also provide channels by which monetary and supervisory policies can influence the development of bubbles. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 14 TC 4 Z9 4 U1 0 U2 1 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2011 VL 7 IS 1 BP 345 EP 355 PG 11 WC Business, Finance SC Business & Economics GA 734WM UT WOS:000288372100016 ER PT J AU Kitao, S AF Kitao, Sagiri TI MACROECONOMIC AND REDISTRIBUTIONAL EFFECTS OF CONSUMPTION TAXES IN THE USA SO JAPANESE ECONOMIC REVIEW LA English DT Article DE E62; H24; H31 ID EFFICIENCY; INCOME; TAXATION; MODEL AB This paper studies the effect of an increase in consumption taxes using a dynamic general equilibrium model of overlapping generations calibrated to the US economy. When the proceeds are used to reduce income taxes, the reform raises the aggregate capital and labour supply in the long run. Workers increase labour supply immediately in response to the reform, while consumption rises only gradually. The tax reform also transfers wealth from old consumers to young consumers. As a result, while future generations experience significant welfare gains, current generations, particularly old consumers, tend to experience sizable welfare losses. When the proceeds are used for a lump-sum transfer, the aggregate capital and labour both decrease in the long run. This reform is welfare-improving for the current low-income households. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Kitao, S (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 19 TC 1 Z9 1 U1 0 U2 2 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1352-4739 J9 JPN ECON REV JI Jpn. Econ. Rev. PD MAR PY 2011 VL 62 IS 1 BP 63 EP 81 DI 10.1111/j.1468-5876.2010.00522.x PG 19 WC Economics SC Business & Economics GA 726EE UT WOS:000287700800004 ER PT J AU Lusk, JL Briggeman, BC AF Lusk, Jayson L. Briggeman, Brian C. TI Selfishness, altruism, and inequality aversion toward consumers and farmers SO AGRICULTURAL ECONOMICS LA English DT Article DE Altruism; Experimental economics; Farm policy; Inequality aversion ID MEASURING SOCIAL PREFERENCES; MAXIMIN PREFERENCES; DICTATOR GAMES; COOPERATION; COMPETITION; EFFICIENCY; ANONYMITY; FAIRNESS AB One hypothesis explaining the persistence of farm programs in the United States is the public's altruism toward farmers. We utilize economic experiments to identify the motivations of selfishness, altruism, and inequality aversion toward anonymous members of the general population and toward different types of farmers. We find that people are generally less selfish and more altruistic toward small farmers than other members of the population. We also find that (i) people are more averse to inequality in a market-like setting as compared to a nonmarket setting, (ii) there is significant heterogeneity across people in terms of other-regarding preferences, and (iii) experimental choices accurately predict preferences for "real-world" income re-distribution policies that entail giving up one's own money to benefit farmers, but fail to predict preferences for policies that redistribute others' incomes. C1 [Lusk, Jayson L.] Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. [Briggeman, Brian C.] Fed Reserve Bank Kansas City, Omaha, NE 68102 USA. RP Lusk, JL (reprint author), Oklahoma State Univ, Dept Agr Econ, 411 Agr Hall, Stillwater, OK 74078 USA. EM jayson.lusk@okstate.edu FU National Research Initiative of the Cooperative State Research, Education and Extension Service, USDA [2007-04447] FX The views expressed are those of the authors and do not necessarily reflect the positions of the Federal Reserve Bank of Kansas City or the Federal Reserve System. This project was supported by the National Research Initiative of the Cooperative State Research, Education and Extension Service, USDA, Grant # 2007-04447. NR 30 TC 4 Z9 4 U1 2 U2 15 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0169-5150 J9 AGR ECON-BLACKWELL JI Agric. Econ. PD MAR PY 2011 VL 42 IS 2 BP 121 EP 139 DI 10.1111/j.1574-0862.2010.00478.x PG 19 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 722AC UT WOS:000287399800001 ER PT J AU Hansen, PR Lunde, A Nason, JM AF Hansen, Peter R. Lunde, Asger Nason, James M. TI The Model Confidence Set SO ECONOMETRICA LA English DT Article DE Model confidence set; model selection; forecasting; multiple comparisons ID CONSISTENT COVARIANCE-MATRIX; LONG-HORIZON REGRESSIONS; MONETARY-POLICY RULES; ECONOMIC TIME-SERIES; PREDICTIVE ABILITY; BUSINESS CYCLES; EXCHANGE-RATES; ERROR RATE; SELECTION; TESTS AB This paper introduces the model confidence set (MCS) and applies it to the selection of models. A MCS is a set of models that is constructed such that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The MCS acknowledges the limitations of the data, such that uninformative data yield a MCS with many models, whereas informative data yield a MCS with only a few models. The MCS procedure does not assume that a particular model is the true model; in fact, the MCS procedure can be used to compare more general objects, beyond the comparison of models. We apply the MCS procedure to two empirical problems. First, we revisit the inflation forecasting problem posed by Stock and Watson (1999), and compute the MCS for their set of inflation forecasts. Second, we compare a number of Taylor rule regressions and determine the MCS of the best regression in terms of in-sample likelihood criteria. C1 [Hansen, Peter R.] Stanford Univ, Dept Econ, Stanford, CA 94305 USA. [Lunde, Asger] Aarhus Univ, Sch Econ & Management, Aarhus, Denmark. [Nason, James M.] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Hansen, PR (reprint author), Stanford Univ, Dept Econ, 579 Serra Mall, Stanford, CA 94305 USA. EM peter.hansen@stanford.edu; alunde@econ.au.dk; Jim.Nason@phil.frb.org FU Danish Research Agency [24-00-0363]; Federal Reserve Bank of Atlanta; Danish National Research Foundation FX The authors thank Joe Romano, Barbara Rossi, Jim Stock, Michael Wolf, and seminar participants at several institutions and the NBER Summer Institute for valuable comments, and Thomas Trimbur for sharing his code for the Baxter-King filter. The Ox language of Doornik (2006) was used to perform the calculations reported here. The first two authors are grateful for financial support from the Danish Research Agency, Grant 24-00-0363, and thank the Federal Reserve Bank of Atlanta for its support and hospitality during several visits. The views in this paper should not be attributed to either the Federal Reserve Bank of Philadelphia or the Federal Reserve System, or any of its staff. The Center for Research in Econometric Analysis of Time Series (CREATES) is a research center at Aarhus University funded by the Danish National Research Foundation. NR 67 TC 134 Z9 141 U1 5 U2 29 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD MAR PY 2011 VL 79 IS 2 BP 453 EP 497 DI 10.3982/ECTA5771 PG 45 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 720YI UT WOS:000287318200004 ER PT J AU Gowrisankaran, G Krainer, J AF Gowrisankaran, Gautam Krainer, John TI Entry and pricing in a differentiated products industry: evidence from the ATM market SO RAND JOURNAL OF ECONOMICS LA English DT Article ID STOCHASTIC EQUICONTINUITY; MODELS; ASYMPTOTICS; COMPETITION; ESTIMATORS; GAMES AB We estimate a structural equilibrium model of the automatic teller machine market (ATM) to evaluate the implications of regulating ATM surcharges. We use data on bank characteristics, potential and actual ATM locations, and consumer locations; identify the model parameters with a regression discontinuity design; and develop methods to estimate the model without computing equilibria. A surcharge ban reduces ATM entry 12% and consumer welfare 24% but increases firm profits 27%. Total welfare under either regime is 4% lower than the surplus maximizing level. The article can help shed light on the implications of unregulated entry for differentiated products industries. C1 [Gowrisankaran, Gautam] Univ Arizona, HEC Montreal, Tucson, AZ 85721 USA. [Gowrisankaran, Gautam] NBER, Cambridge, MA 02138 USA. [Krainer, John] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Gowrisankaran, G (reprint author), Univ Arizona, HEC Montreal, Tucson, AZ 85721 USA. EM gautamg2@gmail.com; john.krainer@sf.frb.org NR 35 TC 5 Z9 5 U1 3 U2 12 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0741-6261 J9 RAND J ECON JI Rand J. Econ. PD SPR PY 2011 VL 42 IS 1 BP 1 EP 22 DI 10.1111/j.1756-2171.2010.00123.x PG 22 WC Economics SC Business & Economics GA 721OP UT WOS:000287364600001 ER PT J AU Copeland, A Dunn, W Hall, G AF Copeland, Adam Dunn, Wendy Hall, George TI Inventories and the automobile market SO RAND JOURNAL OF ECONOMICS LA English DT Article ID DISCRETE-CHOICE MODELS; PRODUCT DIFFERENTIATION; PRICE-DISCRIMINATION; BEHAVIOR; INDUSTRY; DEMAND; DEALER; CYCLES; SALES; COSTS AB This article studies the within-model-year pricing, production, and inventory management of new automobiles. Using new monthly data on U.S. transaction prices, we document that, for the typical vehicle, prices fall over the model year at a 9.0% annual rate. Concurrently, both sales and inventories are hump shaped. To explain these time series, we formulate an industry model for new automobiles in which inventory and pricing decisions are made simultaneously. The model predicts that automakers' build-to-stock inventory management policy substantially influences the time series of prices and sales, accounting for four tenths of the price decline observed over the model year. C1 [Copeland, Adam] Fed Reserve Bank New York, New York, NY 10045 USA. [Hall, George] Brandeis Univ, Waltham, MA 02254 USA. RP Copeland, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM adam.copeland@gmail.com; wendy.e.dunn@frb.gov; ghall@brandeis.edu NR 45 TC 14 Z9 14 U1 1 U2 8 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0741-6261 J9 RAND J ECON JI Rand J. Econ. PD SPR PY 2011 VL 42 IS 1 BP 121 EP 149 DI 10.1111/j.1756-2171.2010.00128.x PG 29 WC Economics SC Business & Economics GA 721OP UT WOS:000287364600006 ER PT J AU Kim, J Levin, AT Yun, T AF Kim, Jinill Levin, Andrew T. Yun, Tack TI Bifurcation in Perturbation Analysis:Calvo Pricing Examples SO COMPUTATIONAL ECONOMICS LA English DT Article DE Bifurcation; Perturbation; Relative price distortion; Relative price dispersion ID MONETARY; RULES AB In recent macro models with staggered price and wage settings, the presence of variables such as relative price and wage dispersion is prevalent, which leads to the source of bifurcations. In this paper, we illustrate how to detect the existence of a bifurcation in stylized macroeconomic models with Calvo (J Monet Econ 12(3):383-398, 1983) pricing. Following the general approach of Judd (Numerical methods in economics, 1998), we employ l'Hospital's rule to characterize the first-order dynamics of relative price distortion in terms of its higher-order derivatives. We also show that, as in the usual practice in the literature, the bifurcation can be eliminated through renormalization of model variables. Furthermore, we demonstrate that the second-order approximate solutions under this renormalization and under bifurcations can differ significantly. C1 [Kim, Jinill; Levin, Andrew T.; Yun, Tack] Fed Reserve Board, Washington, DC USA. [Kim, Jinill] Korea Univ, Seoul, South Korea. [Yun, Tack] Seoul Natl Univ, Seoul, South Korea. RP Kim, J (reprint author), Fed Reserve Board, Washington, DC USA. EM jinill.kim@frb.gov; andrew.levin@frb.gov; tack.yun@frb.gov FU Korea University FX We have benefited from the comments by the referee and discussion with Gary Anderson, Jean Boivin, Chris Sims, and participants at the 2006 Canadian Macroeconomics Study Group meeting and the 2007 Society of Computational Economics conference. The first author thanks the support by a Korea University grant. The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or any other person associated with the Federal Reserve System. NR 10 TC 0 Z9 0 U1 0 U2 6 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0927-7099 EI 1572-9974 J9 COMPUT ECON JI Comput. Econ. PD MAR PY 2011 VL 37 IS 3 BP 221 EP 236 DI 10.1007/s10614-010-9251-x PG 16 WC Economics; Management; Mathematics, Interdisciplinary Applications SC Business & Economics; Mathematics GA 719KT UT WOS:000287204300001 ER PT J AU Canzoneri, M Cumby, R Diba, B Lopez-Salido, D AF Canzoneri, Matthew Cumby, Robert Diba, Behzad Lopez-Salido, David TI The role of liquid government bonds in the great transformation of American monetary policy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Price determinacy ID INTEREST-RATE RULES; MACROECONOMIC STABILITY; RIGIDITY; DEBT AB A fundamental shift in monetary policy occurred around 1980: the Fed went from a "passive" policy to an "active" policy. We study a model in which government bonds provide transactions services. We present two calibrations of our model, using pre- and post-1980 data. We show that estimates of pre- and post-1980 policy rules all lie within our determinacy regions. But, the pre-1980 policy was a very bad monetary policy, even if it avoided sunspot equilibria. Model simulations suggest that household welfare would have increased by 3.3 percent of permanent consumption in this period under an active policy. (C) 2010 Elsevier B.V. All rights reserved. C1 [Canzoneri, Matthew; Cumby, Robert; Diba, Behzad] Georgetown Univ, Dept Econ, Washington, DC 20057 USA. [Lopez-Salido, David] Fed Reserve Board, Washington, DC USA. RP Canzoneri, M (reprint author), Georgetown Univ, Dept Econ, Washington, DC 20057 USA. EM canzonem@georgetown.edu; cumbyr@georgetown.edu; dibab@georgetown.edu; david.j.lopez-salido@frb.gov NR 25 TC 2 Z9 2 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2011 VL 35 IS 3 BP 282 EP 294 DI 10.1016/j.jedc.2010.10.008 PG 13 WC Economics SC Business & Economics GA 716EQ UT WOS:000286952300004 ER PT J AU Tutino, A AF Tutino, Antonella TI Rationally inattentive macroeconomic wedges SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Finite Shannon capacity; Macroeconomic wedges; Savings decision ID MATHEMATICAL-THEORY; COMMUNICATION AB This paper argues that the solution to a dynamic optimization problem of consumption and labor under finite information-processing capacity can simultaneously explain the intertemporal and intratemporal labor wedges. It presents a partial equilibrium model where a representative risk adverse consumer chooses information about wealth with limited attention. The paper compares ex-post realizations of models with finite and infinite capacity. The model produces macroeconomic wedges and measures of elasticity consistent with the literature. These findings suggest that aconsumption-labor model with information-processing constraints can explain the difference between predicted and observed consumption and employment behavior. Published by Elsevier B.V. C1 Fed Reserve Bank Dallas, Dallas, TX 75204 USA. RP Tutino, A (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75204 USA. EM tutino.antonella@gmail.com NR 15 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2011 VL 35 IS 3 BP 344 EP 362 DI 10.1016/j.jedc.2010.08.006 PG 19 WC Economics SC Business & Economics GA 716EQ UT WOS:000286952300008 ER PT J AU Akyol, A Athreya, K AF Akyol, Ahmet Athreya, Kartik TI Credit and self-employment SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Self-employment; Bankruptcy ID PRIVATE EQUITY PREMIUM; ENTREPRENEURSHIP; BANKRUPTCY; WEALTH; RISK AB The US personal bankruptcy system allows debtors to discharge uncollateralized debts if they give up assets in excess of a threshold known as an "exemption". However, since exemptions erode repayment incentives, they may increase borrowing costs. Our paper evaluates the tradeoff between credit costs and the insurance against failure created by bankruptcy exemptions. We find that exemptions change self-employment rates and the timing, size, and financing of projects. We also find that the positive relationship between wealth and self-employment rates may not arise from credit constraints: such a relationship is present even when credit is plentiful at low interest rates. (C) 2010 Elsevier B.V. All rights reserved. C1 [Athreya, Kartik] Fed Reserve Bank Richmond, Richmond, VA 23219 USA. [Akyol, Ahmet] York Univ, Dept Econ, N York, ON M3J 1P3, Canada. RP Athreya, K (reprint author), Fed Reserve Bank Richmond, 701 E Byrd St, Richmond, VA 23219 USA. EM aakyol@econ.yorku.ca; kartik.athreya@rich.frb.org NR 49 TC 6 Z9 6 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2011 VL 35 IS 3 BP 363 EP 385 DI 10.1016/j.jedc.2010.09.005 PG 23 WC Economics SC Business & Economics GA 716EQ UT WOS:000286952300009 ER PT J AU Aldrich, EM Fernandez-Villaverde, J Gallant, AR Rubio-Ramirez, JF AF Aldrich, Eric M. Fernandez-Villaverde, Jesus Gallant, A. Ronald Rubio-Ramirez, Juan F. TI Tapping the supercomputer under your desk: Solving dynamic equilibrium models with graphics processors SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE CUDA; Dynamic programming; Parallelization; Growth model; Business cycles AB This paper shows how to build algorithms that use graphics processing units (GPUs) installed in most modem computers to solve dynamic equilibrium models in economics. In particular, we rely on the compute unified device architecture (CUDA) of NVIDIA CPUs. We illustrate the power of the approach by solving a simple real business cycle model with value function iteration. We document improvements in speed of around 200 times and suggest that even further gains are likely. (C) 2010 Elsevier B.V. All rights reserved. C1 [Aldrich, Eric M.; Rubio-Ramirez, Juan F.] Fed Reserve Bank Atlanta, Atlanta, GA 30030 USA. [Fernandez-Villaverde, Jesus] Univ Penn, Philadelphia, PA 19104 USA. [Fernandez-Villaverde, Jesus] NBER, Cambridge, MA 02138 USA. [Aldrich, Eric M.; Gallant, A. Ronald; Rubio-Ramirez, Juan F.] Duke Univ, Durham, NC 27706 USA. [Gallant, A. Ronald] NYU, New York, NY 10003 USA. RP Aldrich, EM (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30030 USA. EM ealdrich@gmail.com; jesusfv@econ.upenn.edu; aronaldg@gmail.com; jfr23@duke.edu NR 5 TC 20 Z9 20 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2011 VL 35 IS 3 BP 386 EP 393 DI 10.1016/j.jedc.2010.10.001 PG 8 WC Economics SC Business & Economics GA 716EQ UT WOS:000286952300010 ER PT J AU Berger, AN Black, LK AF Berger, Allen N. Black, Lamont K. TI Bank size, lending technologies, and small business finance SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT 22nd Australasian Finance and Banking Conference CY DEC, 2009 CL Sydney, AUSTRALIA DE Banks; Lending technologies; Relationship lending; Small business ID CREDIT; INFORMATION; BORROWERS; AVAILABILITY; DISTANCE; ABILITY; LOANS; RISK AB Under the current paradigm in small business lending research, large banks tend to specialize in lending to relatively large, informationally transparent firms using "hard" information, while small banks have advantages in lending to smaller, less transparent firms using "soft" information. We go beyond this paradigm to analyze the comparative advantages of large and small banks in specific lending technologies. Our analysis begins with the identification of fixed-asset lending technologies used to make small business loans. Our results suggest that large banks do not have equal advantages in all of these hard lending technologies and these advantages are not all increasing monotonically in firm size, contrary to the predictions of the current paradigm. We also analyze lines of credit without fixed-asset collateral to focus on relationship lending. We confirm that small banks have a comparative advantage in relationship lending, but this appears to be strongest for lending to the largest firms. (C) 2010 Elsevier B.V. All rights reserved. C1 [Berger, Allen N.] Univ S Carolina, Moore Sch Business, Columbia, SC 29208 USA. [Berger, Allen N.] Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. [Berger, Allen N.] Tilburg Univ, CentER, Tilburg, Netherlands. [Black, Lamont K.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Berger, AN (reprint author), Univ S Carolina, Moore Sch Business, Columbia, SC 29208 USA. EM aberger@moore.sc.edu; lamont.black@frb.gov NR 30 TC 46 Z9 46 U1 8 U2 63 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2011 VL 35 IS 3 SI SI BP 724 EP 735 DI 10.1016/j.jbankfin.2010.09.004 PG 12 WC Business, Finance; Economics SC Business & Economics GA 717PF UT WOS:000287059200018 ER PT J AU Croushore, D AF Croushore, Dean TI Frontiers of Real-Time Data Analysis SO JOURNAL OF ECONOMIC LITERATURE LA English DT Article ID MONETARY-POLICY; DATA REVISIONS; DATA SET; MEASUREMENT ERRORS; DATA UNCERTAINTY; EXCHANGE-RATE; SERIES DATA; INFORMATION; MONEY; MACROECONOMISTS AB In the past ten years, researchers have explored the impact of data revisions in many different contexts. Researchers have examined the properties of data revisions, how structural modeling is affected by data revisions, how data revisions affect forecasting, the impact of data revisions on monetary policy analysis, and the use of real-time data in current analysis. This paper summarizes many of the questions for which real-time data analysis has provided answers. In addition, researchers and institutions have developed better real-time data sets around the world. Still, additional research is needed in key areas and research to date has uncovered even more fruitful areas worth exploring. (JEL C52, C53, C80, E01) C1 [Croushore, Dean] Univ Richmond, Richmond, VA 23173 USA. [Croushore, Dean] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Croushore, D (reprint author), Univ Richmond, Richmond, VA 23173 USA. NR 108 TC 51 Z9 51 U1 0 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD MAR PY 2011 VL 49 IS 1 BP 72 EP 100 DI 10.1257/jel.49.1.72 PG 29 WC Economics SC Business & Economics GA 738NP UT WOS:000288646800002 ER PT J AU Han, S Li, G AF Han, Song Li, Geng TI Household Borrowing after Personal Bankruptcy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE J22; K35; personal bankruptcy; financial distress; credit access; consumer finance ID CONSUMER BANKRUPTCY; MARKET; CONSUMPTION; DECISION AB A large body of literature has examined factors leading to filing for personal bankruptcy, but little is known about household borrowing after bankruptcy. This paper augments the existing literature with a comprehensive analysis of postbankruptcy borrowing using data from the Survey of Consumer Finances. We find that filers generally have more limited access to unsecured credit, but borrow more secured debt after bankruptcy, than comparable households that have never filed for bankruptcy. Filers also pay higher interest rates on all types of debt. In addition, as more time passes after filing, credit access and borrowing costs improve. However, filers remain more prone than comparable nonfilers to experience financial distress, accumulate less wealth, and use expensive credit sources like payday loans, even more than 10 years after filing. C1 [Han, Song] Fed Reserve Board, Capital Markets Sect, Washington, DC USA. [Li, Geng] Fed Reserve Board, Household & Real Estate Finance Sect, Washington, DC USA. RP Han, S (reprint author), Fed Reserve Board, Capital Markets Sect, Washington, DC USA. EM Song.Han@frb.gov; Geng.Li@frb.gov NR 36 TC 15 Z9 15 U1 3 U2 11 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2011 VL 43 IS 2-3 BP 491 EP 517 DI 10.1111/j.1538-4616.2010.00382.x PG 27 WC Business, Finance; Economics SC Business & Economics GA 739HJ UT WOS:000288705200010 ER PT J AU Burnside, C Eichenbaum, M Kleshchelski, I Rebelo, S AF Burnside, Craig Eichenbaum, Martin Kleshchelski, Isaac Rebelo, Sergio TI Do Peso Problems Explain the Returns to the Carry Trade? SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE F31 ID CONSUMPTION-BASED EXPLANATION; FOREIGN-EXCHANGE MARKETS; EXPECTED STOCK RETURNS; EXCESS RETURNS; RISK; PREMIUM; IMPLICIT; OPTIONS; EQUITY; HABIT AB We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average large and uncorrelated with traditional risk factors. We argue that these payoffs reflect a peso problem. The underlying peso event features high values of the stochastic discount factor rather than very large negative payoffs. C1 [Rebelo, Sergio] Northwestern Univ, JL Kellogg Grad Sch Management, Evanston, IL 60208 USA. [Burnside, Craig] Duke Univ, Durham, NC 27706 USA. [Burnside, Craig; Eichenbaum, Martin; Rebelo, Sergio] NBER, Cambridge, MA 02138 USA. [Eichenbaum, Martin] Fed Reserve Bank Chicago, Chicago, IL USA. [Kleshchelski, Isaac] Washington Univ, St Louis, MO 63130 USA. RP Rebelo, S (reprint author), Northwestern Univ, JL Kellogg Grad Sch Management, Leverone Hall, Evanston, IL 60208 USA. EM s-rebelo@kellogg.northwestern.edu RI nipe, cef/A-4218-2010 NR 29 TC 75 Z9 75 U1 7 U2 19 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD MAR PY 2011 VL 24 IS 3 BP 853 EP 891 DI 10.1093/rfs/hhq138 PG 39 WC Business, Finance; Economics SC Business & Economics GA 726UT UT WOS:000287752600007 ER PT J AU Foerster, AT Sarte, PDG Watson, MW AF Foerster, Andrew T. Sarte, Pierre-Daniel G. Watson, Mark W. TI Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID BUSINESS-CYCLE; FACTOR MODELS; ARBITRAGE; NUMBER; REAL AB Using factor methods, we decompose industrial production (IP) into components arising from aggregate and sector-specific shocks. An approximate factor model finds that nearly all of IP variability is associated with common factors. We then use a multisector growth model to adjust for the effects of input-output linkages in the factor analysis. Thus, a structural factor analysis indicates that the Great Moderation was characterized by a fall in the importance of aggregate shocks while the volatility of sectoral shocks was essentially unchanged. Consequently, the role of idiosyncratic shocks increased considerably after the mid-1980s, explaining half of the quarterly variation in IP. C1 [Foerster, Andrew T.] Duke Univ, Durham, NC 27706 USA. [Sarte, Pierre-Daniel G.] Fed Reserve Bank Richmond, Richmond, VA USA. [Watson, Mark W.] Princeton Univ, Princeton, NJ 08544 USA. [Watson, Mark W.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Foerster, AT (reprint author), Duke Univ, Durham, NC 27706 USA. NR 20 TC 32 Z9 32 U1 1 U2 12 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD FEB PY 2011 VL 119 IS 1 BP 1 EP 38 DI 10.1086/659311 PG 38 WC Economics SC Business & Economics GA 754IE UT WOS:000289847500001 ER PT J AU Kan, R Robotti, C AF Kan, Raymond Robotti, Cesare TI On the estimation of asset pricing models using univariate betas SO ECONOMICS LETTERS LA English DT Article DE Asset pricing models; Risk premia; Univariate betas; Model misspecification ID RETURNS AB We derive asymptotic standard errors of risk premia estimates based on the popular two-pass cross-sectional regression methodology developed by Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973) when univariate betas are used as regressors. Our standard errors are robust to model misspecification and allow for general distributional assumptions. In testing whether the beta risk of a given factor is priced, our misspecification robust standard error can lead to economically different conclusions from those based on the Jagannathan and Wang (1998) standard error which is derived under the correctly specified model. (C) 2010 Elsevier B.V. All rights reserved. C1 [Robotti, Cesare] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Kan, Raymond] Univ Toronto, Toronto, ON M5S 1A1, Canada. RP Robotti, C (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM cesare.robotti@atl.frb.org NR 9 TC 4 Z9 4 U1 0 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD FEB PY 2011 VL 110 IS 2 BP 117 EP 121 DI 10.1016/j.econlet.2010.11.004 PG 5 WC Economics SC Business & Economics GA 734BW UT WOS:000288309200014 ER PT J AU Armenter, R Ortega, F AF Armenter, Roc Ortega, Francesc TI Credible redistribution policy and skilled migration SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Agglomeration; Migration; Redistribution ID INTERNATIONAL MIGRATION; IMMIGRATION; TAXATION AB We analyze the joint determination of income redistribution and migration flows across fiscally independent regions. In our model, regional governments lack commitment so their policy announcements must be credible, and redistribution between skilled and unskilled workers is bounded by informational constraints. In any given region, the welfare of all workers is increasing in the share of skilled workers, as after-tax incomes increase for both skilled and unskilled workers. When skilled workers are more geographically mobile than unskilled ones, the endogenous response of redistribution policy can induce regional agglomeration of skilled workers. We also find that the equilibrium features symmetry-breaking if migration costs are relatively low; and that worker mobility tends to amplify pre-existing welfare differences in income and welfare across regions. (C) 2010 Elsevier B.V. All rights reserved. C1 [Armenter, Roc] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Ortega, Francesc] Univ Pompeu Fabra, Barcelona, Spain. RP Armenter, R (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM roc.armenter@phil.frb.org NR 27 TC 1 Z9 1 U1 3 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD FEB PY 2011 VL 55 IS 2 BP 228 EP 245 DI 10.1016/j.euroecorev.2010.04.005 PG 18 WC Economics SC Business & Economics GA 734CC UT WOS:000288309800005 ER PT J AU Butsic, V Hanak, E Valletta, RG AF Butsic, Van Hanak, Ellen Valletta, Robert G. TI Climate Change and Housing Prices: Hedonic Estimates for Ski Resorts in Western North America SO LAND ECONOMICS LA English DT Article ID US AGRICULTURE; IMPACT AB We apply a hedonic framework to estimate and simulate the impact of global warming on real estate prices near ski resorts in the western United States and Canada. Using data on housing values far selected U.S. Census tracts and individual home sales in four locations, combined with detailed weather data and characteristics of nearby ski resorts, we find precise and consistent estimates of positive snowfall effects on housing values. Sitnulations based on these estimates reveal substantial heterogeneity in the likely impact of climate change across regions, including large reductions in home prices near resorts where snow reliability already is low (JEL Q54, R21) C1 [Butsic, Van] Univ Wisconsin, Dept Forestry & Wildlife Ecol, Madison, WI 53706 USA. [Hanak, Ellen] Publ Policy Inst California, San Francisco, CA USA. [Valletta, Robert G.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Butsic, V (reprint author), Univ Wisconsin, Dept Forestry & Wildlife Ecol, Madison, WI 53706 USA. NR 34 TC 11 Z9 11 U1 6 U2 22 PU UNIV WISCONSIN PI MADISON PA SOCIAL SCIENCE BLDG, MADISON, WI 53706 USA SN 0023-7639 J9 LAND ECON JI Land Econ. PD FEB PY 2011 VL 87 IS 1 BP 75 EP 91 PG 17 WC Economics; Environmental Studies SC Business & Economics; Environmental Sciences & Ecology GA 720NC UT WOS:000287286400006 ER PT J AU Song, Z Storesletten, K Zilibotti, F AF Song, Zheng Storesletten, Kjetil Zilibotti, Fabrizio TI Growing Like China SO AMERICAN ECONOMIC REVIEW LA English DT Article ID DEVELOPMENT ECONOMICS; GLOBAL IMBALANCES; CAPITAL FLOWS; GROWTH; WEALTH; NATIONS; ENTREPRENEURSHIP; FRICTIONS; TRADE; INDIA AB We construct a growth model consistent with China's economic transition: high output growth, sustained returns on capital, reallocation within the manufacturing sector, and a large trade surplus. Entrepreneurial firms use more productive technologies, but due to financial imperfections they must finance investments through internal savings. State-owned firms have low productivity but survive because of better access to credit markets. High-productivity firms outgrow low-productivity firms if entrepreneurs have sufficiently high savings. The downsizing of financially integrated firms forces domestic savings to be invested abroad, generating a foreign surplus. A calibrated version of the theory accounts quantitatively for China's economic transition. (JEL E21, E22, E23, F43, L60, O16, O53, P23, P24, P31) C1 [Song, Zheng] Fudan Univ, Sch Econ, Shanghai 200433, Peoples R China. [Song, Zheng] China & Chinese Univ Hong Kong, Shatin, Hong Kong, Peoples R China. [Storesletten, Kjetil] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. [Zilibotti, Fabrizio] Univ Zurich, Dept Econ, CH-8008 Zurich, Switzerland. RP Song, Z (reprint author), Fudan Univ, Sch Econ, 618-600 GuoQuan Rd, Shanghai 200433, Peoples R China. EM zheng.michael.song@gmail.com; kjetil.storesletten@gmail.com; fabrizio.zilibotti@econ.uzh.ch NR 56 TC 105 Z9 106 U1 18 U2 106 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD FEB PY 2011 VL 101 IS 1 BP 196 EP 233 DI 10.1257/aer.101.1.196 PG 38 WC Economics SC Business & Economics GA 717WD UT WOS:000287077200010 ER PT J AU Chu, CS Leslie, P Sorensen, A AF Chu, Chenghuan Sean Leslie, Phillip Sorensen, Alan TI Bundle-Size Pricing as an Approximation to Mixed Bundling SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INFORMATION GOODS; DISCRIMINATION; DEMAND; PROFITABILITY; OPTIMIZATION; SIMULATION; EFFICIENCY; PRODUCTS; MONOPOLY; PRICES AB Multiproduct firms can set separate prices for all possible bundled combinations of its products ("mixed bundling"). However, this is impractical for firms with more than a few products, because the number of prices increases exponentially with the number of products. We find that simple pricing strategies are often nearly optimal. Specifically, we show that bundle-size pricing-setting prices that depend only on the size of bundle purchased-tends to be more profitable than offering the individual products priced separately and tends to closely approximate the profits from mixed bundling. (JEL D24, D42, L11, L13, L25) C1 [Chu, Chenghuan Sean] Fed Reserve Board Governors, Washington, DC 20551 USA. [Leslie, Phillip; Sorensen, Alan] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA. RP Chu, CS (reprint author), Fed Reserve Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM sean.chu@frb.gov; pleslie@stanford.edu; asorensen@stanford.edu NR 34 TC 21 Z9 22 U1 0 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD FEB PY 2011 VL 101 IS 1 BP 263 EP 303 DI 10.1257/aer.101.1.263 PG 41 WC Economics SC Business & Economics GA 717WD UT WOS:000287077200012 ER PT J AU Andolfatto, D AF Andolfatto, David TI A note on the societal benefits of illiquid bonds SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article ID MONETARY-POLICY; MONEY AB Kocherlakota (2003) provides an example of a monetary economy where efficiency is enhanced with the introduction of a nominally risk-free bond that is specifically designed to be illiquid. The societal benefit of an illiquid bond in his example, however, is transitory, and he does not characterize an optimal policy. I use an analytically tractable framework to characterize an optimal intervention and to show that the purported benefits of an illiquid bond market persist in a steady state. JEL classification: E41, E42 C1 [Andolfatto, David] Fed Reserve Bank St Louis, St Louis, MO USA. [Andolfatto, David] Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. RP Andolfatto, D (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 12 TC 3 Z9 3 U1 0 U2 0 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0008-4085 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD FEB PY 2011 VL 44 IS 1 BP 133 EP 147 DI 10.1111/j.1540-5982.2010.01626.x PG 15 WC Economics SC Business & Economics GA 717HE UT WOS:000287033500005 ER PT J AU Shan, H AF Shan, Hui TI The effect of capital gains taxation on home sales: Evidence from the Taxpayer Relief Act of 1997 SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Housing; Taxation; Capital gains ID MOBILITY; POLICY AB The Taxpayer Relief Act of 1997 (TRA97) significantly changed the tax treatment of housing capital gains in the United States. Before 1997, homeowners were subject to capital gains taxation when they sold their houses unless they purchased replacement homes of equal or greater value. Since 1997, homeowners can exclude capital gains of $500,000 (or $250,000 for single filers) when they sell their houses. Such dramatic changes provide a good opportunity to study the lock-in effect of capital gains taxation on home sales. Using 1982-2008 transaction data on single-family houses in 16 affluent towns within the Boston metropolitan area, I find that TRA97 reversed the lock-in effect of capital gains taxes on houses with low and moderate capital gains. Specifically, the semiannual sales rate of houses with positive gains up to $500,000 increased by 0.40-0.62 percentage points after TRA97, representing a 19-24% increase from the pre-TRA97 baseline sales rate. In contrast, I do not find TRA97 to have a significant effect on houses with gains above $500,000. Moreover, the short-term effect of TRA97 is much larger than the long-term effect, suggesting that many previously locked-in homeowners took advantage of the exclusions immediately after TRA97. In addition, I exploit the 2001 and 2003 legislative changes in the capital gains tax rate to estimate the tax elasticity of home sales during the post-TRA97 period. The estimation results suggest that a $10,000 increase in capital gains taxes reduces the semiannual home sales rate by about 0.1-0.2 percentage points, or 6-13% from the post-TRA97 average sales rate. Published by Elsevier B.V. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Shan, H (reprint author), Fed Reserve Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM hui.shan@frb.gov FU NIA NIH HHS [P01 AG005842, P01 AG005842-22] NR 14 TC 6 Z9 6 U1 1 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD FEB PY 2011 VL 95 IS 1-2 BP 177 EP 188 DI 10.1016/j.jpubeco.2010.10.006 PG 12 WC Economics SC Business & Economics GA 718JG UT WOS:000287116600016 PM 21170145 ER PT J AU Kollmann, R Maliar, S Malin, BA Pichler, P AF Kollmann, Robert Maliar, Serguei Malin, Benjamin A. Pichler, Paul TI Comparison of solutions to the multi-country Real Business Cycle model SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Numerical solutions; Simulations; Approximations; Algorithms ID GROWTH-MODELS AB We compare the performance of perturbation, projection, and stochastic simulation algorithms for solving the multi-country RBC model described in Den Haan et al. (this issue). The main challenge of solving this model comes from its large number of continuous-valued state variables, ranging between four and 20 in the specifications we consider. The algorithms differ substantially in terms of speed and accuracy, and a clear trade-off exists between the two. Perturbation methods are very fast but invoke large approximation errors except at points close to the steady state; the projection methods considered are accurate on a large area of the state space but are very slow for specifications with many state variables; stochastic simulation methods have lower accuracy than projection methods, but their computational cost increases only moderately with the state-space dimension. Simulated series generated by different methods can differ noticeably, but only small differences are found in unconditional moments of simulated variables. On the basis of our comparison, we identify the factors that account for differences in accuracy and speed across methods, and we suggest directions for further improvement of some approaches. (C) 2010 Elsevier B.V. All rights reserved. C1 [Kollmann, Robert] Univ Libre Bruxelles, ECARES, B-1050 Brussels, Belgium. [Kollmann, Robert] Univ Paris Est, Fac Sci Econ, F-94000 Creteil, France. [Kollmann, Robert] CEPR, London EC1V 0DG, England. [Maliar, Serguei] Stanford Univ, Hoover Inst, Stanford, CA 94305 USA. [Maliar, Serguei] Univ Alicante, Dept Fundamentos Anal Econ, E-03080 Alicante, Spain. [Malin, Benjamin A.] Fed Reserve Board, Washington, DC 20551 USA. [Pichler, Paul] Oesterreich Nationalbank, Econ Studies Div, A-1011 Vienna, Austria. RP Kollmann, R (reprint author), Univ Libre Bruxelles, ECARES, CP 114,50 Av F Roosevelt, B-1050 Brussels, Belgium. EM robert_kollmann@yahoo.com; maliars@stanford.edu; Benjamin.A.Malin@frb.gov; paul.pichler@oenb.at RI Pichler, Paul/C-6799-2017 OI Pichler, Paul/0000-0001-9620-2958 NR 12 TC 8 Z9 8 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD FEB PY 2011 VL 35 IS 2 SI SI BP 186 EP 202 DI 10.1016/j.jedc.2010.09.013 PG 17 WC Economics SC Business & Economics GA 710TE UT WOS:000286539100003 ER PT J AU Kollmann, R Kim, J Kim, SH AF Kollmann, Robert Kim, Jinill Kim, Sunghyun H. TI Solving the multi-country Real Business Cycle model using a perturbation method SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE First- and second-order perturbation method; Real Business Cycle model ID EQUILIBRIUM-MODELS; POLICY RULES; WELFARE; MONETARY AB This paper solves the multi-country RBC model described in den Haan et al. (this issue) and Juillard and Villemot (this issue), using a perturbation method. We explain how to apply first- and second-order versions of the gensys2.m algorithm to this model. The perturbation method is computationally cheap and can easily be applied to large models with possibly hundreds of state variables. (C) 2010 Elsevier B.V. All rights reserved. C1 [Kollmann, Robert] Univ Libre Bruxelles, ECARES, B-1050 Brussels, Belgium. [Kollmann, Robert] Univ Paris Est, Fac Sci Econ, F-94000 Creteil, France. [Kollmann, Robert] CEPR, London EC1V 0DG, England. [Kim, Jinill] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. [Kim, Jinill] Korea Univ, Dept Econ, Seoul 136075, South Korea. [Kim, Sunghyun H.] Suffolk Univ, Dept Econ, Boston, MA 02108 USA. RP Kollmann, R (reprint author), Univ Libre Bruxelles, ECARES, CP 114,50 Av F Roosevelt, B-1050 Brussels, Belgium. EM robert_kollmann@yahoo.com; jinill.Kim@frb.gov; henry.kim@suffolk.edu NR 20 TC 6 Z9 6 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD FEB PY 2011 VL 35 IS 2 SI SI BP 203 EP 206 DI 10.1016/j.jedc.2010.09.012 PG 4 WC Economics SC Business & Economics GA 710TE UT WOS:000286539100004 ER PT J AU Ehrmann, M Fratzscher, M Gurkaynak, RS Swanson, ET AF Ehrmann, Michael Fratzscher, Marcel Guerkaynak, Refet S. Swanson, Eric T. TI CONVERGENCE AND ANCHORING OF YIELD CURVES IN THE EURO AREA SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID MONETARY-POLICY; INTEREST-RATES; LIQUIDITY; BOND; SPREADS; MARKET AB We study the convergence of European bond markets and the anchoring of inflation expectations in the euro area from 1993 to 2008, using high-frequency bond yield data for France, Germany, Italy, and Spain; some smaller euro-area countries; and a control group comprising the United Kingdom, Denmark, and Sweden. We find that Economic and Monetary Union (EMU) led to substantial convergence in euro-area sovereign bond markets in terms of interest rate levels, unconditional daily fluctuations, and conditional responses to major macroeconomic announcements. Our findings also suggest a substantial increase in the anchoring of long-term inflation expectations since EMU, particularly for Italy and Spain. Finally, we present evidence that the elimination of exchange rate risk and the adoption of a common monetary policy were the primary drivers of bond market convergence in the euro area, as opposed to fiscal policy and the loose exchange rate peg of the 1990s. C1 [Ehrmann, Michael; Fratzscher, Marcel] European Cent Bank, Frankfurt, Germany. [Guerkaynak, Refet S.] Bilkent Univ, Ankara, Turkey. [Swanson, Eric T.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Ehrmann, M (reprint author), European Cent Bank, Frankfurt, Germany. NR 31 TC 21 Z9 21 U1 0 U2 10 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD FEB PY 2011 VL 93 IS 1 BP 350 EP 364 DI 10.1162/REST_a_00055 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 709QD UT WOS:000286455100023 ER PT J AU Berentsen, A Menzio, G Wright, R AF Berentsen, Aleksander Menzio, Guido Wright, Randall TI Inflation and Unemployment in the Long Run SO AMERICAN ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; SEARCH; MONEY; FLUCTUATIONS; LIQUIDITY; ECONOMICS; VACANCIES; MARKETS C1 [Berentsen, Aleksander] Univ Basel, Fac Business & Econ, CH-4002 Basel, Switzerland. [Menzio, Guido] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Wright, Randall] Univ Wisconsin, Dept Finance, Madison, WI 53706 USA. [Wright, Randall] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. RP Berentsen, A (reprint author), Univ Basel, Fac Business & Econ, Peter Merian Weg 6, CH-4002 Basel, Switzerland. EM aleksander.berentsen@unibas.ch; gmenzio@econ.upenn.edu; rwright@bus.wisc.edu NR 47 TC 28 Z9 28 U1 4 U2 19 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD FEB PY 2011 VL 101 IS 1 BP 371 EP 398 DI 10.1257/aer.101.1.371 PG 28 WC Economics SC Business & Economics GA 717WD UT WOS:000287077200015 ER PT J AU Davig, T Leeper, EM AF Davig, Troy Leeper, Eric M. TI Monetary-fiscal policy interactions and fiscal stimulus SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Fiscal policy; Monetary-fiscal policy interactions; Multipliers; Regime change ID PRIVATE CONSUMPTION; BUSINESS CYCLES; GOVERNMENT; SHOCKS; MODEL; DEBT AB Increases in government spending trigger substitution effects-both inter- and intra-temporal-and a wealth effect. The ultimate impacts on the economy hinge on current and expected monetary and fiscal policy behavior. Studies that impose active monetary policy and passive fiscal policy typically find that government consumption crowds out private consumption: higher future taxes create a strong negative wealth effect, while the active monetary response increases the real interest rate. This paper estimates Markov-switching policy rules for the United States and finds that monetary and fiscal policies fluctuate between active and passive behavior. When the estimated joint policy process is imposed on a conventional new Keynesian model, government spending generates positive consumption multipliers in some policy regimes and in simulated data in which all policy regimes are realized. The paper reports the model's predictions of the macroeconomic impacts of the American Recovery and Reinvestment Act's implied path for government spending under alternative monetary-fiscal policy combinations. (C) 2010 Elsevier B.V. All rights reserved. C1 [Leeper, Eric M.] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. [Leeper, Eric M.] NBER, Cambridge, MA 02138 USA. [Davig, Troy] Fed Reserve Bank Kansas City, Res Dept, Kansas City, MO USA. RP Leeper, EM (reprint author), Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. EM troy.davig@kc.frb.org; eleeper@indiana.edu NR 41 TC 49 Z9 52 U1 8 U2 26 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 EI 1873-572X J9 EUR ECON REV JI Eur. Econ. Rev. PD FEB PY 2011 VL 55 IS 2 BP 211 EP 227 DI 10.1016/j.euroecorev.2010.04.004 PG 17 WC Economics SC Business & Economics GA 734CC UT WOS:000288309800004 ER PT J AU Da, Z Schaumburg, E AF Da, Zhi Schaumburg, Ernst TI Relative valuation and analyst target price forecasts SO JOURNAL OF FINANCIAL MARKETS LA English DT Article DE Target price; Relative valuation; Return reversal ID STOCK RETURNS; SECURITY RETURNS; CROSS-SECTION; LIQUIDITY; RECOMMENDATIONS; INVESTORS; MOMENTUM; MARKET; VOLUME; RISK AB We document that within industry relative valuations implicit in analyst target prices do provide investors with valuable information although the implied absolute valuations themselves are much less informative. Importantly, our findings are not merely a small stock phenomenon but apply to the sample of S&P 500 stocks and do not rely on trading at the exact time of announcement. Using a large database of target price announcements from 1997 to 2004, we construct a simple strategy based on target price implied relative valuations and show that the resulting abnormal return is both economically and statistically significant and not easily explained by transaction costs alone. (C) 2010 Elsevier B.V. All rights reserved. C1 [Schaumburg, Ernst] Fed Reserve Bank New York, New York, NY 10045 USA. [Da, Zhi] Univ Notre Dame, Mendoza Coll Business 239, Notre Dame, IN 46556 USA. RP Schaumburg, E (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM zda@nd.edu; Ernst.Schaumburg@ny.frb.org NR 29 TC 10 Z9 10 U1 4 U2 17 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1386-4181 J9 J FINANC MARK JI J. Financ. Mark. PD FEB PY 2011 VL 14 IS 1 BP 161 EP 192 DI 10.1016/j.finmar.2010.09.001 PG 32 WC Business, Finance SC Business & Economics GA 679SE UT WOS:000284180300006 ER PT S AU Hale, G Long, C AF Hale, Galina Long, Cheryl BE Cheung, YW Kakkar, V Ma, G TI What are the Sources of Financing for Chinese Firms? SO EVOLVING ROLE OF ASIA IN GLOBAL FINANCE SE Frontiers of Economics and Globalization LA English DT Article; Book Chapter DE Formal and informal financing; financial constraints; China; firm ownership ID STATE-OWNED ENTERPRISES; CREDIT; BUREAUCRATS; GROWTH; BANKS AB In this chapter we study internal and external, formal and informal, financing sources of Chinese firms during the period 1997-2006, by analyzing balance sheet data from the Chinese Industrial Surveys of Medium-sized and Large Firms for 2000-2006 and survey data from the Large-Scale Survey of Private Enterprises in China conducted in 1997, 2000, 2002, 2004, and 2006. The following stylized facts emerge from our analysis: (1) State-owned firms continue to enjoy more generous external finances than other types of Chinese firms. (2) Chinese private firms have resorted to various ways of overcoming financial constraints, including reliance on the increasingly more mature informal financial markets, cost savings through lower inventory and other working capital requirements, and greater reliance on retained earnings. (3) Substantial variations exist in financial access among private firms, with small private firms facing more financial constraints whereas more established firms having financial access more equal to their SOE counterparts. (4) Although not as accessible as for SOEs, the Chinese formal financial sector does provide Chinese private firms with substantial financial resources, especially for their short-term needs during daily operations. (5) The most pressing financial constraint facing Chinese private firms is their limited ability to secure long-term funds to invest for growth, and resolving this issue should be one of the top goals of financial reforms in China. C1 [Hale, Galina] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94105 USA. [Long, Cheryl] Colgate Univ, Dept Econ, Hamilton, NY 13346 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, Res Dept, 101 Markeet St, San Francisco, CA 94105 USA. EM galina.b.hale@sf.frb.org; cxlong@colgate.edu NR 26 TC 6 Z9 6 U1 0 U2 4 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 1574-8715 BN 978-0-85724-745-2 J9 FRONT ECON GLOBAL PY 2011 VL 9 BP 313 EP 339 DI 10.1108/S1574-8715(2011)0000009018 PG 27 WC Business, Finance; International Relations SC Business & Economics; International Relations GA BZJ60 UT WOS:000301781400014 ER PT S AU Ammer, J Cai, F Scotti, C AF Ammer, John Cai, Fang Scotti, Chiara BE Batten, JA Szilagyi, PG TI HAS INTERNATIONAL FINANCIAL CO-MOVEMENT CHANGED? EMERGING MARKETS IN THE 2007-2009 FINANCIAL CRISIS SO IMPACT OF THE GLOBAL FINANCIAL CRISIS ON EMERGING FINANCIAL MARKETS SE Contemporary Studies in Economic and Financial Analysis LA English DT Article; Book Chapter ID STOCK MARKETS; CONTAGION; VOLATILITY AB Emerging-market (EM) assets have historically been regarded as inherently risky and particularly vulnerable to international shocks that result in a general increase in investor risk perceptions. In this chapter, we assess the ongoing relevance of this view by examining the linkages between EM and non-EM stock and bond markets in the past two decades, with a focus on how these relationships played out during the global financial crisis of 2007-2009. We evaluate how these linkages have evolved over the period 1992-2009, through statistical tests of whether the volatility of EM financial markets changed - either in their response to international shocks originating in advanced-economy markets or in their independent fluctuations. We find that over a longer period EM, bond and stock prices have on average moved in the same direction as the prices of non-EM risky assets, and this co-movement has persisted. However, these relationships have evolved somewhat over time. Both EM sensitivity to international shocks and EM-specific volatility in EM sovereign-bond spreads appear to have decreased over time, consistent with the greater fundamental stability of EM economies and perhaps a reduced inclination by investors to sell off EM assets in response to a rise in risk perceptions. Somewhat in contrast, while an upward trend in co-variation between EM and non-EM stock prices suggests an increasing degree of global market integration, idiosyncratic volatility has declined, consistent with a diminished level of locally driven risk in these markets. In addition, the response of EM asset prices to the latest financial crisis appears to be moderate in comparison to historical experience. This evidence may reflect reduced EM vulnerability to external shocks in general, which is consistent with some encouraging improvements in the underlying fundamentals of EM economies over the decade preceding the onset of the crisis. C1 [Ammer, John; Cai, Fang; Scotti, Chiara] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Ammer, J (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. NR 18 TC 1 Z9 1 U1 1 U2 2 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 1569-3759 BN 978-0-85724-753-7 J9 CONTEMP STUD ECON FI PY 2011 VL 93 BP 231 EP 253 DI 10.1108/S1569-3759(2011)0000093009 PG 23 WC Business, Finance; Economics SC Business & Economics GA BBK85 UT WOS:000307228600007 ER PT J AU Carpenter, A Montoya, N AF Carpenter, Ann Montoya, Nancy BE Liu, A Anglin, RV Mizelle, RM Plyer, A TI Plugging into the Power of Community: How Social Networks Energize Recovery SO RESILIENCE AND OPPORTUNITY: LESSONS FROM THE U.S. GULF COAST AFTER KATRINA AND RITA SE James A Johnson Metro Series LA English DT Article; Book Chapter ID HEALTH C1 [Carpenter, Ann; Montoya, Nancy] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Carpenter, A (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 21 TC 0 Z9 0 U1 0 U2 0 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA BN 978-0-81572-150-5 J9 J A JOHNSON METRO S PY 2011 BP 220 EP 234 PG 15 WC Public Administration SC Public Administration GA BAU23 UT WOS:000305524900015 ER PT J AU Fang, YW Hasan, I Mester, LJ AF Fang, Yiwei Hasan, Iftekhar Mester, Loretta J. BE Eijffinger, S Masciandaro, D TI Institutional Structure and Effectiveness of Central Banks during the Financial Crisis: An Empirical Analysis SO HANDBOOK OF CENTRAL BANKING, FINANCIAL REGULATION AND SUPERVISION: AFTER THE FINANCIAL CRISIS LA English DT Article; Book Chapter ID MARKET POWER; RISK-TAKING; INDEPENDENCE; EFFICIENCY; COUNTRIES; SUPERVISION; PERFORMANCE; COMPETITION; GOVERNANCE; INFLATION C1 [Fang, Yiwei] Rensselaer Polytech Inst, Lally Sch Management, Troy, NY 12181 USA. [Mester, Loretta J.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Mester, Loretta J.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Fang, YW (reprint author), Rensselaer Polytech Inst, Lally Sch Management, Troy, NY 12181 USA. NR 52 TC 0 Z9 0 U1 0 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84980-313-7 PY 2011 BP 180 EP 207 PG 28 WC Business, Finance; Economics SC Business & Economics GA BYX49 UT WOS:000300685000008 ER PT B AU Smith, MM Wachter, SM AF Smith, Marvin M. Wachter, Susan M. BE Wachter, SM Smith, MM TI The American Mortgage System Crisis and Reform Introduction SO AMERICAN MORTGAGE SYSTEM: CRISIS AND REFORM SE City in the Twenty-First Century LA English DT Editorial Material; Book Chapter C1 [Smith, Marvin M.] Fed Reserve Bank Philadelphia, Community Dev Studies & Educ Dept, Program Consumer Credit & Payments, Philadelphia, PA USA. [Smith, Marvin M.] Congress Budget Off, Washington, DC USA. [Smith, Marvin M.] Brookings Inst, Washington, DC 20036 USA. [Wachter, Susan M.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Smith, MM (reprint author), Fed Reserve Bank Philadelphia, Community Dev Studies & Educ Dept, Program Consumer Credit & Payments, Philadelphia, PA USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4351-2 J9 CITY 21ST CENTURY PY 2011 BP 1 EP 4 PG 4 WC Economics; Management; Urban Studies SC Business & Economics; Urban Studies GA BWB35 UT WOS:000293362900001 ER PT J AU Wyss, D AF Wyss, David BE McIntyre, DH Hancock, WI TI Terror and the economy SO BUSINESS CONTINUITY AND HOMELAND SECURITY, VOL 1: THE CHALLENGE OF THE NEW AGE LA English DT Article; Book Chapter C1 [Wyss, David] Data Resources Inc, European Econ Serv, London, England. [Wyss, David] Standard & Poor, DRI, New York, NY USA. [Wyss, David] Fed Reserve Board, Washington, DC USA. [Wyss, David] Bank England, London, England. [Wyss, David] Presidents Council Econ Advisers, Washington, DC USA. [Wyss, David] Standard & Poor, Econ Forecasts & Publicat, New York, NY USA. RP Wyss, D (reprint author), SIMFA, New York, NY 10271 USA. NR 19 TC 0 Z9 0 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84720-250-5 PY 2011 BP 5 EP 12 PG 8 WC Business; Economics SC Business & Economics GA BYJ45 UT WOS:000299042100004 ER PT J AU Clark, W AF Clark, Will TI An Announced Regime Switch: Optimal Policy for the Transition Period Discussion SO FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE LA English DT Editorial Material C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Clark, W (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. EM will.clark@kc.frb.org NR 0 TC 0 Z9 0 U1 0 U2 0 PU CHARLES UNIV-PRAGUE PI PRAGUE 2 PA C/O DATAKONEKT S R O, VINOHRADSKA 49, PO BOX 6, PRAGUE 2 120 00, CZECH REPUBLIC SN 0015-1920 J9 FINANC UVER JI Financ. Uver PY 2011 VL 61 IS 5 BP 432 EP 433 PG 2 WC Business, Finance SC Business & Economics GA 846MZ UT WOS:000296909200003 ER PT J AU Fukac, M Havlena, V AF Fukac, Martin Havlena, Vladimir TI A Note on the Role of the Natural Condition of Control in the Estimation of DSGE Models SO FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE LA English DT Article DE natural condition of control; Bayesian estimation; DSGE model; model adaptability AB This paper is written by authors from the technical and economic fields who are motivated to find a common language and views on the problem of the optimal use of information in model estimation. The center of our interest is the natural condition of control a common assumption in Bayesian estimation in the technical sciences, and one which may be violated in economic applications. In estimating dynamic stochastic general equilibrium (DSGE) models, typically only a subset of endogenous variables is treated as measured even if additional data sets are available. The natural condition of control dictates the exploitation of all available information, which improves model adaptability and estimate efficiency. We illustrate our points on a basic RBC model. C1 [Fukac, Martin] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Havlena, Vladimir] Czech Tech Univ Prague CVUT, Prague, Czech Republic. RP Fukac, M (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. EM martin.fukac@kc.frb.org; vladimir.havlena@honeywell.com NR 5 TC 0 Z9 0 U1 0 U2 0 PU CHARLES UNIV-PRAGUE PI PRAGUE 2 PA C/O DATAKONEKT S R O, VINOHRADSKA 49, PO BOX 6, PRAGUE 2 120 00, CZECH REPUBLIC SN 0015-1920 J9 FINANC UVER JI Financ. Uver PY 2011 VL 61 IS 5 BP 453 EP 466 PG 14 WC Business, Finance SC Business & Economics GA 846MZ UT WOS:000296909200006 ER PT J AU Struby, E AF Struby, Ethan TI The Impact of Early Retirement Incentives on Labor Market Participation: Evidence from a Parametric Change in the Czech Republic Discussion SO FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE LA English DT Editorial Material C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Struby, E (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. EM Ethan.Struby@kc.frb.org NR 0 TC 0 Z9 0 U1 0 U2 0 PU CHARLES UNIV-PRAGUE PI PRAGUE 2 PA C/O DATAKONEKT S R O, VINOHRADSKA 49, PO BOX 6, PRAGUE 2 120 00, CZECH REPUBLIC SN 0015-1920 J9 FINANC UVER JI Financ. Uver PY 2011 VL 61 IS 5 BP 484 EP 485 PG 2 WC Business, Finance SC Business & Economics GA 846MZ UT WOS:000296909200008 ER PT J AU Mazumder, B AF Mazumder, Bhashkar TI Family and Community Influences on Health and Socioeconomic Status: Sibling Correlations Over the Life Course SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article DE sibling correlations; health; SES ID BROTHER CORRELATIONS; EARNINGS AB This paper presents new estimates of sibling correlations in health and socioeconomic outcomes over the life course in the U.S. Sibling correlations provide an omnibus measure of the importance of all family and community influences. I find that sibling correlations in a range of health and socioeconomic outcomes start quite high at birth and remain high over the life course. The sibling correlation in birth weight is estimated to be 0.5. Sibling correlations in test scores during childhood are as high as 0.6. Sibling correlations in adult men's wages are also around 0.5. Decompositions provide suggestive evidence on which pathways may account for the gradients in health and SES by family background. For example, sibling correlations in cognitive skills and non-cognitive skills during childhood are lower controlling for family income. Similarly, parent education levels can account for a sizable portion of the correlation in adult health status among brothers. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Mazumder, B (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM bmazumder@frbchi.org NR 20 TC 6 Z9 6 U1 0 U2 2 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1682 J9 BE J ECON ANAL POLI JI B E J. Econ. Anal. Policy PY 2011 VL 11 IS 3 AR 1 PG 22 WC Economics SC Business & Economics GA 828EL UT WOS:000295484200003 ER PT J AU Coulibaly, B Millar, JN AF Coulibaly, Brahima Millar, Jonathan N. TI The "Elusive" Capital-User Cost Elasticity Revisited SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE user cost elasticity; fixed investment; capital accumulation; price of capital; interest rate; South Africa ID UNIT-ROOT TESTS; FINITE-SAMPLE PROPERTIES; HETEROGENEOUS PANELS; INVESTMENT; COINTEGRATION; SELECTION; POLICY; POWER; BIAS; LAG AB This paper sheds new light on the estimation of the long-run elasticity of the demand for business capital-for a measure of capital that includes both equipment and structures-to changes in its user cost using a quarterly panel of two-digit manufacturing industries from South Africa from 1970 to 2000. Highly significant estimates of the user cost elasticity that are in the vicinity of the -1.0 benchmark implied by a Cobb-Douglas production function are obtained using a variety of specifications, including panel cointegration techniques that correct for small sample bias. Unlike most previous studies, meaningful elasticity estimates are also obtained using stationary panel specifications. The robustness of these estimates may be due, in part, to the possibility that the capital demand curve is better identified in a small open economy where shocks to capital supply are more likely to be exogenous. The economic embargo imposed on South Africa from 1985 to early 1994 temporarily forced its economy to become more closed and therefore provides a unique opportunity to assess the importance of identification in the estimation of the user cost elasticity. User cost elasticity estimates using embargo and non-embargo period data are consistent with a substantial bias from endogeneity. C1 [Coulibaly, Brahima] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. [Millar, Jonathan N.] Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Coulibaly, B (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. EM brahima.coulibaly@frb.gov; jonathan.n.millar@frb.gov NR 29 TC 0 Z9 0 U1 0 U2 1 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2011 VL 11 IS 1 PG 40 WC Economics SC Business & Economics GA 828EP UT WOS:000295484600001 ER PT J AU Rosen, RJ AF Rosen, Richard J. BE LaBrosse, JR OlivaresCaminal, R Singh, D TI Investor behaviour in the period before the 2007-08 financial crisis SO MANAGING RISK IN THE FINANCIAL SYSTEM LA English DT Article; Book Chapter ID MUTUAL FUND FLOWS; CEO OVERCONFIDENCE; INATTENTION; MARKETS; MONEY C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Rosen, RJ (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM rrosen@frbchi.org NR 33 TC 0 Z9 0 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-0-85793-381-2 PY 2011 BP 3 EP 18 PG 16 WC Business, Finance SC Business & Economics GA BWF90 UT WOS:000293830700004 ER PT J AU Wall, LD Nieto, MJ Mayes, DG AF Wall, Larry D. Nieto, Maria J. Mayes, David G. BE LaBrosse, JR OlivaresCaminal, R Singh, D TI Creating an EU-level supervisor for cross-border banking groups: issues raised by the US experience with dual banking SO MANAGING RISK IN THE FINANCIAL SYSTEM LA English DT Article; Book Chapter C1 [Wall, Larry D.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Mayes, David G.] Univ Auckland, Auckland 1, New Zealand. RP Wall, LD (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 16 TC 0 Z9 0 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-0-85793-381-2 PY 2011 BP 333 EP 348 PG 16 WC Business, Finance SC Business & Economics GA BWF90 UT WOS:000293830700021 ER PT B AU Gerardi, KS Foote, CL Willen, PS AF Gerardi, Kristopher S. Foote, Christopher L. Willen, Paul S. BE Wachter, SM Smith, MM TI Reasonable People Did Disagree: Optimism and Pessimism About the US Housing Market Before the Crash SO AMERICAN MORTGAGE SYSTEM: CRISIS AND REFORM SE City in the Twenty-First Century LA English DT Article; Book Chapter ID ASSET MARKETS; BUBBLES; EXPECTATIONS; PRICES C1 [Gerardi, Kristopher S.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. [Foote, Christopher L.; Willen, Paul S.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Foote, Christopher L.] Harvard Univ, Cambridge, MA 02138 USA. [Foote, Christopher L.] Coalit Provis Author, Baghdad, Iraq. [Willen, Paul S.] Princeton Univ, Princeton, NJ 08544 USA. [Willen, Paul S.] Univ Chicago, Chicago, IL 60637 USA. RP Gerardi, KS (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. NR 32 TC 2 Z9 2 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4351-2 J9 CITY 21ST CENTURY PY 2011 BP 26 EP 59 PG 34 WC Economics; Management; Urban Studies SC Business & Economics; Urban Studies GA BWB35 UT WOS:000293362900003 ER PT B AU Calem, PS Nakamura, L Wachter, SM AF Calem, Paul S. Nakamura, Leonard Wachter, Susan M. BE Wachter, SM Smith, MM TI Implications of the Housing Market Bubble for Sustainable Homeownership SO AMERICAN MORTGAGE SYSTEM: CRISIS AND REFORM SE City in the Twenty-First Century LA English DT Article; Book Chapter ID PRICES C1 [Nakamura, Leonard] Fed Reserve Bank Philadelphia, Econ Res Dept, Philadelphia, PA USA. [Nakamura, Leonard] Rutgers State Univ, Piscataway, NJ 08855 USA. [Wachter, Susan M.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. NR 36 TC 4 Z9 4 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4351-2 J9 CITY 21ST CENTURY PY 2011 BP 87 EP 111 PG 25 WC Economics; Management; Urban Studies SC Business & Economics; Urban Studies GA BWB35 UT WOS:000293362900005 ER PT B AU Engel, K Fitzpatrick, TJ AF Engel, Kathleen Fitzpatrick, Thomas J. BE Wachter, SM Smith, MM TI A Framework for Consumer Protection in Home Mortgage Lending SO AMERICAN MORTGAGE SYSTEM: CRISIS AND REFORM SE City in the Twenty-First Century LA English DT Article; Book Chapter C1 [Engel, Kathleen] Suffolk Univ, Sch Law, Boston, MA 02108 USA. [Fitzpatrick, Thomas J.] Fed Reserve Bank Cleveland, Community Dev Dept, Cleveland, OH USA. [Fitzpatrick, Thomas J.] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH USA. RP Engel, K (reprint author), Suffolk Univ, Sch Law, Boston, MA 02108 USA. NR 11 TC 0 Z9 0 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4351-2 J9 CITY 21ST CENTURY PY 2011 BP 112 EP 133 PG 22 WC Economics; Management; Urban Studies SC Business & Economics; Urban Studies GA BWB35 UT WOS:000293362900006 ER PT B AU Fisher, L Lambie-Hanson, L Willen, PS AF Fisher, Lynn Lambie-Hanson, Lauren Willen, Paul S. BE Wachter, SM Smith, MM TI A Profile of the Mortgage Crisis in a Low- and Moderate-Income Community SO AMERICAN MORTGAGE SYSTEM: CRISIS AND REFORM SE City in the Twenty-First Century LA English DT Article; Book Chapter ID MARKET C1 [Fisher, Lynn] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27515 USA. [Fisher, Lynn] MIT, Dept Urban Studies & Planning, Cambridge, MA 02139 USA. [Fisher, Lynn] MIT, CRE, Cambridge, MA 02139 USA. [Fisher, Lynn] MIT, CRE Housing Affordabil Initiat, Cambridge, MA 02139 USA. [Lambie-Hanson, Lauren] Univ Calif Berkeley, Berkeley, CA 94720 USA. [Lambie-Hanson, Lauren] City Boston, Dept Neighborhood Dev, Boston, MA USA. [Willen, Paul S.] Fed Reserve Bank Boston, Res Dept, Boston, MA USA. [Willen, Paul S.] Princeton Univ, Princeton, NJ 08544 USA. [Willen, Paul S.] Univ Chicago, Chicago, IL 60637 USA. RP Fisher, L (reprint author), Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27515 USA. NR 12 TC 1 Z9 1 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4351-2 J9 CITY 21ST CENTURY PY 2011 BP 137 EP 158 PG 22 WC Economics; Management; Urban Studies SC Business & Economics; Urban Studies GA BWB35 UT WOS:000293362900007 ER PT B AU Reid, C Laderman, E AF Reid, Carolina Laderman, Elizabeth BE Wachter, SM Smith, MM TI Constructive Credit: Revisiting the Performance of Community Reinvestment Act Lending During the Subprime Crisis SO AMERICAN MORTGAGE SYSTEM: CRISIS AND REFORM SE City in the Twenty-First Century LA English DT Article; Book Chapter ID PREPAYMENT; BORROWERS; DEFAULT C1 [Reid, Carolina] Fed Reserve Bank San Francisco, Res Grp, Community Dev Dept, San Francisco, CA USA. [Laderman, Elizabeth] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA USA. RP Reid, C (reprint author), Fed Reserve Bank San Francisco, Res Grp, Community Dev Dept, San Francisco, CA USA. NR 34 TC 4 Z9 4 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4351-2 J9 CITY 21ST CENTURY PY 2011 BP 159 EP 186 PG 28 WC Economics; Management; Urban Studies SC Business & Economics; Urban Studies GA BWB35 UT WOS:000293362900008 ER PT B AU Dechario, T Mosser, PC Tracy, J Vickery, J Wright, J AF Dechario, Toni Mosser, Patricia C. Tracy, Joseph Vickery, James Wright, Joshua BE Wachter, SM Smith, MM TI A Private Lender Cooperative Model for Residential Mortgage Finance SO AMERICAN MORTGAGE SYSTEM: CRISIS AND REFORM SE City in the Twenty-First Century LA English DT Article; Book Chapter ID OWNERSHIP STRUCTURE; INDUSTRY C1 [Dechario, Toni] Fed Reserve Bank New York, Supervisory & Regulatory Policy Dept, New York, NY USA. [Mosser, Patricia C.; Wright, Joshua] Fed Reserve Bank New York, Markets Grp, New York, NY USA. [Mosser, Patricia C.] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Tracy, Joseph] Fed Reserve Bank New York, Domest Res Dept, New York, NY USA. [Vickery, James] NYU, Leonard N Stern Sch Business, New York, NY 10003 USA. [Wright, Joshua] Harvard Univ, Kennedy Sch Govt, Cambridge, MA 02138 USA. RP Dechario, T (reprint author), Fed Reserve Bank New York, Supervisory & Regulatory Policy Dept, New York, NY USA. NR 11 TC 1 Z9 1 U1 2 U2 2 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4351-2 J9 CITY 21ST CENTURY PY 2011 BP 286 EP 304 PG 19 WC Economics; Management; Urban Studies SC Business & Economics; Urban Studies GA BWB35 UT WOS:000293362900013 ER PT B AU Reinhart, V AF Reinhart, Vincent BE Wachter, SM Smith, MM TI The Road Not Taken: Our Failure in Redoing the Financial Architecture SO AMERICAN MORTGAGE SYSTEM: CRISIS AND REFORM SE City in the Twenty-First Century LA English DT Article; Book Chapter C1 [Reinhart, Vincent] Fed Reserve Board, Div Monetary Affairs, Washington, DC USA. [Reinhart, Vincent] Fed Reserve Board, Fed Open Market Comm, Washington, DC USA. RP Reinhart, V (reprint author), Fed Reserve Board, Div Monetary Affairs, Washington, DC USA. NR 2 TC 0 Z9 0 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4351-2 J9 CITY 21ST CENTURY PY 2011 BP 358 EP 367 PG 10 WC Economics; Management; Urban Studies SC Business & Economics; Urban Studies GA BWB35 UT WOS:000293362900016 ER PT S AU Barlevy, G AF Barlevy, Gadi BE Arrow, KJ Bresnahan, TF TI Robustness and Macroeconomic Policy SO ANNUAL REVIEW OF ECONOMICS, VOL 3 SE Annual Review of Economics LA English DT Article; Book Chapter DE robust control; uncertainty; ambiguity; attenuation principle ID AMBIGUITY AVERSION LITERATURE; MONETARY-POLICY; UNCERTAINTY; MODEL AB This review considers the design of macroeconomic policies in the face of uncertainty. In recent years, several economists have advocated that, when policy makers are uncertain about the environment they face and find it difficult to assign precise probabilities to the alternative scenarios that may characterize this environment, they should design policies to be robust in the sense that they minimize the worst-case loss these policies could ever impose. I review and evaluate the objections cited by critics of this approach. I argue further that, contrary to what some have inferred, concern about worst-case scenarios does not always lead to policies that respond more aggressively to incoming news than the optimal policy would respond absent any uncertainty. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Barlevy, G (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM gbarlevy@frbchi.org NR 40 TC 7 Z9 8 U1 0 U2 1 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4603-4 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2011 VL 3 BP 1 EP 24 DI 10.1146/annurev-economics-061109-080355 PG 24 WC Economics SC Business & Economics GA BWW36 UT WOS:000295144200001 ER PT S AU Mayer, C AF Mayer, Christopher BE Arrow, KJ Bresnahan, TF TI Housing Bubbles: A Survey SO ANNUAL REVIEW OF ECONOMICS, VOL 3 SE Annual Review of Economics LA English DT Article; Book Chapter DE housing cycles; housing market efficiency ID LOSS AVERSION; PRICES; MARKET; INCOME; CONSTRUCTION; CONSTRAINTS; EQUITY; TAXES; CYCLE; MODEL AB The past 25 years have represented two periods of extreme movements in U.S. and global house prices that appear to be much larger than can be easily explained by changes in fundamentals. These episodes spurred research on housing bubbles that focused attention on the role of outsized expectations in excessive house price appreciation. By contrast, some economists pointed to alternative explanations for excess volatility, including liquidity constraints, lending cycles, search externalities, and zoning delays. Empirical work supports the role of these factors in explaining at least: some of the cyclical variation of house prices and inventories of homes for sale. Existing research does not yet provide a crisp definition of a housing bubble nor does it allow researchers to predict where or when bubbles can occur. C1 [Mayer, Christopher] Columbia Univ, Columbia Business Sch, New York, NY 10027 USA. [Mayer, Christopher] NBER, Cambridge, MA 02138 USA. RP Mayer, C (reprint author), Fed Reserve Bank New York, New York, NY 10005 USA. EM cm310@columbia.edu NR 59 TC 15 Z9 16 U1 0 U2 10 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4603-4 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2011 VL 3 BP 559 EP 577 DI 10.1146/annurev.economics.012809.103822 PG 19 WC Economics SC Business & Economics GA BWW36 UT WOS:000295144200022 ER PT J AU Eisenbeis, RA Kaufman, GG AF Eisenbeis, Robert A. Kaufman, George G. BE Green, CJ Pentecost, EJ WeymanJones, T TI The world of unintended consequences: a post-mortem on Regulation Q and prologue for the future SO FINANCIAL CRISIS AND THE REGULATION OF FINANCE LA English DT Article; Book Chapter C1 [Eisenbeis, Robert A.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Kaufman, George G.] Loyola Univ, Chicago, IL 60611 USA. NR 11 TC 1 Z9 1 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84980-870-5 PY 2011 BP 175 EP 192 PG 18 WC Business, Finance; Economics SC Business & Economics GA BVB86 UT WOS:000290994700011 ER PT S AU Ashcraft, A Garleanu, N Pedersen, LH AF Ashcraft, Adam Garleanu, Nicolae Pedersen, Lasse Heje BE Acemoglu, D Woodford, M TI Two Monetary Tools: Interest Rates and Haircuts SO NBER MACROECONOMICS ANNUAL 2010 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter AB We study a production economy with multiple sectors financed by issuing securities to agents who face capital constraints. Binding capital constraints propagate business cycles, and a reduction of the interest rate can increase the required return of high-haircut assets since it can increase the shadow cost of capital for constrained agents. The required return can be lowered by easing funding constraints through lowering haircuts. To assess empirically the power of the haircut tool, we study the introduction of the legacy Term Asset-Backed Securities Loan Facility (TALF). By considering unpredictable rejections of bonds from TALF, we estimate that haircuts had a significant effect on prices. Further, unique survey evidence suggests that lowering haircuts could reduce required returns by more than 3% and provides broader evidence on the demand sensitivity to haircuts. C1 [Ashcraft, Adam] Fed Reserve Bank New York, New York, NY 10045 USA. [Garleanu, Nicolae] Univ Calif Berkeley, NBER, Berkeley, CA 94720 USA. [Pedersen, Lasse Heje] NYU, NBER, New York, NY 10003 USA. RP Ashcraft, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 12 TC 9 Z9 9 U1 1 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00212-5 J9 NBER MACROECON ANNU PY 2011 VL 25 BP 143 EP + PG 67 WC Economics SC Business & Economics GA BUT51 UT WOS:000290284300004 ER PT S AU Comin, D Hobijn, B AF Comin, Diego Hobijn, Bart BE Acemoglu, D Woodford, M TI Technology Diffusion and Postwar Growth SO NBER MACROECONOMICS ANNUAL 2010 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter ID PRODUCTIVITY GROWTH; CONVERGENCE; WELFARE; WAR AB In the aftermath of World War II, the world's economies exhibited very different rates of economic recovery. We provide evidence that those countries that caught up the most with the United States in the postwar period are those that also saw an acceleration in the speed of adoption of new technologies. This acceleration is correlated with the incidence of U.S. economic aid and technical assistance in the same period. We interpret this as supportive of the interpretation that technology transfers from the United States to Western European countries and Japan were an important factor in driving growth in these recipient countries during the postwar decades. C1 [Comin, Diego] Harvard Univ, Cambridge, MA 02138 USA. [Comin, Diego] NBER, Cambridge, MA 02138 USA. [Hobijn, Bart] Fed Reserve Bank San Franciso, San Francisco, CA USA. [Hobijn, Bart] Free Univ Amsterdam, NL-1081 HV Amsterdam, Netherlands. RP Comin, D (reprint author), Harvard Univ, Cambridge, MA 02138 USA. NR 49 TC 2 Z9 2 U1 0 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00212-5 J9 NBER MACROECON ANNU PY 2011 VL 25 BP 209 EP + PG 52 WC Economics SC Business & Economics GA BUT51 UT WOS:000290284300005 ER PT S AU Ramey, VA Vine, DJ AF Ramey, Valerie A. Vine, Daniel J. BE Acemoglu, D Woodford, M TI Oil, Automobiles, and the US Economy: How Much Have Things Really Changed? SO NBER MACROECONOMICS ANNUAL 2010 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter ID AGGREGATE MACROECONOMIC BEHAVIOR; SYSTEMATIC MONETARY-POLICY; PRICE SHOCKS; CAPACITY UTILIZATION; ENERGY; INDUSTRY; DEMAND AB This paper studies the impact of oil shocks on the U.S. economy-and on the motor vehicle industry in particular-and reexamines whether the relationship has changed over time. We find remarkable stability in the response of aggregate real variables to oil shocks once we account for the extra costs imposed on the economy in the 1970s by price controls and a complex system of entitlements that led to some rationing and shortages. To investigate further why the response of real variables to oil shocks has not declined over time, we focus on the motor vehicle industry, which is considered the most important channel through which oil shocks affect the economy. We find that, contrary to common perceptions, the share of motor vehicles in total U.S. goods production has shown little decline over time. Moreover, within the motor vehicle industry, the effects of oil shocks on the mix of vehicles sold and on capacity utilization appear to have been proportional in recent decades to the effects observed in the 1970s. C1 [Ramey, Valerie A.] Univ Calif San Diego, San Diego, CA 92093 USA. [Ramey, Valerie A.] NBER, Cambridge, MA 02138 USA. [Vine, Daniel J.] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Ramey, VA (reprint author), Univ Calif San Diego, San Diego, CA 92093 USA. NR 48 TC 10 Z9 10 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00212-5 J9 NBER MACROECON ANNU PY 2011 VL 25 BP 333 EP + PG 54 WC Economics SC Business & Economics GA BUT51 UT WOS:000290284300007 ER PT J AU Flowers, B AF Flowers, Barbara BE Schug, MC Wood, WC TI ENTREPRENEURSHIP EDUCATION, WHEN AND WHERE IT COUNTS The American Dream Youthpreneurship Program SO TEACHING ECONOMICS IN TROUBLED TIMES: THEORY AND PRACTICE FOR SECONDARY SOCIAL STUDIES LA English DT Article; Book Chapter C1 [Flowers, Barbara] Univ Missouri St Louis, Ctr Entrepreneurship & Econ Educ, St Louis, MO USA. RP Flowers, B (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 5 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-415-87771-8 PY 2011 BP 135 EP 152 PG 18 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA BVA53 UT WOS:000290899100010 ER PT J AU Amiti, M AF Amiti, Mary BE Jovanovic, MN TI How the sequence of trade liberalisation affects industrial location SO INTERNATIONAL HANDBOOK ON THE ECONOMICS OF INTEGRATION, VOLUME II: COMPETITION, SPATIAL LOCATION OF ECONOMIC ACTIVITY AND FINANCIAL ISSUES LA English DT Article; Book Chapter DE Agglomeration; upstream firms; downstream firms; vertical links; trade liberalisation; tariffs C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Amiti, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 14 TC 0 Z9 0 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84980-426-4 PY 2011 BP 207 EP 223 PG 17 WC Economics SC Business & Economics GA BTV35 UT WOS:000288164300013 ER PT J AU Covas, F Fujita, S AF Covas, Francisco Fujita, Shigeru TI Private Equity Premium and Aggregate Uncertainty in a Model of Uninsurable Investment Risk SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE approximate aggregation; private equity premium; uninsurable investment risk ID IDIOSYNCRATIC PRODUCTION RISK; ENTREPRENEURSHIP; DYNAMICS; RETURNS; GROWTH; WEALTH; PRICES AB This paper studies the quantitative properties of a general equilibrium model where a continuum of heterogeneous entrepreneurs are subject to aggregate as well as idiosyncratic risks under the presence of a borrowing constraint. The calibrated model matches the highly skewed wealth and income distributions of entrepreneurs. We provide an accurate solution to the model despite significant nonlinearities that are absent in the economy with uninsurable labor income risk. The model is capable of generating the average private equity premium of roughly 3% and a low risk-free rate. The model also produces procyclicality of the risk-free rate and countercyclicality of the private equity premium. The countercyclicality of the equity premium is largely driven by tightening (loosening) of financing constraints during recessions (booms). C1 [Covas, Francisco] Fed Reserve Board, Washington, DC USA. [Fujita, Shigeru] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Covas, F (reprint author), Fed Reserve Board, Washington, DC USA. EM francisco.b.covas@frb.gov; shigeru.fujita@phil.frb.org RI nipe, cef/A-4218-2010 NR 31 TC 1 Z9 1 U1 1 U2 5 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2011 VL 11 IS 1 AR 20 PG 35 WC Economics SC Business & Economics GA 801CV UT WOS:000293414900004 ER PT J AU Guerron, PA Grennes, TJ Leblebicioglu, A AF Guerron, Pablo A. Grennes, Thomas J. Leblebicioglu, Asli TI Economic Development and Heterogeneity in the Great Moderation among the States SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE Great Moderation; economic development; specialization ID BUSINESS-CYCLE; UNITED-STATES; FINANCIAL-MARKETS; US STATES; VOLATILITY; RISK; FLUCTUATIONS; GROWTH; INCOME; DIVERSIFICATION AB Using state level personal income, we document the substantial heterogeneity in the magnitude and timing of the Great Moderation. Low income states experienced remarkable moderation, but some richer states experienced significant increases in volatility. We evaluate the findings from a development perspective, and discuss how differences in income per capita and the structure of production can determine the heterogeneity in income volatility across states. C1 [Guerron, Pablo A.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Grennes, Thomas J.; Leblebicioglu, Asli] N Carolina State Univ, Raleigh, NC 27695 USA. RP Guerron, PA (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM pguerron@gmail.com; tom_grennes@ncsu.edu; alebleb@ncsu.edu NR 38 TC 0 Z9 0 U1 1 U2 2 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2011 VL 11 IS 1 AR 21 PG 20 WC Economics SC Business & Economics GA 801CV UT WOS:000293414900003 ER PT J AU Abel, JR Gabe, TM AF Abel, Jaison R. Gabe, Todd M. TI Human Capital and Economic Activity in Urban America SO REGIONAL STUDIES LA English DT Article DE Human capital; Knowledge; New economy; Productivity ID CREATIVE CLASS; PRODUCTIVITY; GROWTH; CITIES; RETURNS; METROPOLITAN; TECHNOLOGY; KNOWLEDGE; SERVICES; COUNTIES AB ABEL J. R. and GABE T. M. Human capital and economic activity in urban America, Regional Studies. The relationship between human capital and economic activity in US metropolitan areas is examined, extending the literature in two ways. First, new data on metropolitan area gross domestic product are utilized to measure economic activity. Results show that a 1 percentage point increase in the proportion of residents with a college degree is associated with about a 2% increase in metropolitan area gross domestic product per capita. Second, measures of human capital are developed that reflect the types of knowledge within US metropolitan areas. Regional knowledge stocks related to the provision of producer services and information technology are important determinants of economic vitality. C1 [Abel, Jaison R.] Fed Reserve Bank New York, Res & Stat Grp, Buffalo, NY 14203 USA. [Gabe, Todd M.] Univ Maine, Sch Econ, Orono, ME 04469 USA. RP Abel, JR (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 237 Main St,Suite 1200, Buffalo, NY 14203 USA. EM jaison.abel@ny.frb.org; todd.gabe@umit.maine.edu NR 40 TC 12 Z9 12 U1 0 U2 14 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0034-3404 J9 REG STUD JI Reg. Stud. PY 2011 VL 45 IS 8 BP 1079 EP 1090 DI 10.1080/00343401003713431 PG 12 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 794TE UT WOS:000292923400004 ER PT J AU Kashyap, AK Berner, R Goodhart, CAE AF Kashyap, Anil K. Berner, Richard Goodhart, Charles A. E. TI The Macroprudential Toolkit SO IMF ECONOMIC REVIEW LA English DT Article ID EQUILIBRIUM; MARKETS AB Most treatments of financial regulation worry about threats to the banking system and the economy from defaults or credit crunches. This paper argues that the recent crisis points to fire sales through capital markets as another source of financial and economic instability. Accounting for fire sales implies several changes to the standard approach. First, if there are three channels of instability, then three regulatory tools are needed to deliver stability. Second, if only a single capital tool and a single liquidity tool are available, then there is a risk that using them pushes activity into the shadow banking system. Third, liquidity requirements on the asset side of bank balance sheets are conceptually different from liquidity requirements on the liability side. The paper starts with a review of the recent theoretical work on fire sales that farm the building blocks jar a next generation of models of the financial system. A summary of some evidence suggesting that fire sales were present in the crisis is offered. Next, the paper outlines a general equilibrium framework that can be used to think about A financial system in which default, credit crunches, and fire sales are all possible. The paper concludes with a discussion of the regulatory options and some speculation on how such a framework could be extended. [JEL G1, G2] IMF Economic Review (2011) 59, 145-161. doi:10.1057/imfer.2011.4 C1 [Kashyap, Anil K.] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Kashyap, Anil K.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Kashyap, Anil K.] Fed Reserve Bank Chicago, Chicago, IL USA. [Goodhart, Charles A. E.] London Sch Econ, London, England. RP Kashyap, AK (reprint author), Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. NR 28 TC 14 Z9 14 U1 1 U2 18 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 J9 IMF ECON REV JI IMF Econ. Rev. PY 2011 VL 59 IS 2 BP 145 EP 161 DI 10.1057/imfer.2011.4 PG 17 WC Business, Finance; Economics SC Business & Economics GA 789PA UT WOS:000292526600002 ER PT J AU Davig, T Leeper, EM AF Davig, Troy Leeper, Eric M. TI Temporarily Unstable Government Debt and Inflation SO IMF ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; PRICE-LEVEL; PASSIVE MONETARY; FISCAL THEORY; FRAMEWORK; STABILITY AB Many advanced economies are heading into an era of fiscal stress: populations are aging and governments have made substantially more promises of old-age benefits than they have made provisions to finance. This paper models the era of fiscal stress as stemming from growing promised government transfers that initially are fully honored, being financed by new sales of government debt that bring forth higher Attire income taxes. As debt levels and tax rates rise, the population's tolerance for taxation declines and the probability of reaching the fiscal limit increases. At the limit a,fixed tax rate is adopted, adjustments in taxes no longer stabilize debt, and, temporarily, debt grows rapidly. Eventually, a new stabilizing combination of policies is adopted. We examine how, in the period before the fiscal limit, rapidly rising debt interacts with expectations of how and when policies will adjust. If households believe it is possible that in the future monetary policy will shift from targeting inflation to stabilizing debt, then temporarily explosive debt feeds directly into the path of inflation. News that reduces expected primary surpluses can bring future inflation into the present, well before the news shows up in fiscal measures. This paper makes the point that even if long-run policies give monetary policy perfect control over inflation, in the transition to that long run, monetary policy can spectacularly lose control. [JEL H60, E30, E62, H30] IMF Economic Review (2011) 59, 233-270. doi :10.1057/imfer.2011.7 C1 [Davig, Troy] Barclays Capital, New York, NY USA. [Davig, Troy] Fed Reserve Bank Kansas City, Kansas City, MO USA. [Davig, Troy] Coll William & Mary, Williamsburg, VA 23187 USA. [Leeper, Eric M.] Indiana Univ, Bloomington, IN 47405 USA. [Leeper, Eric M.] Monash Univ, Clayton, Vic 3800, Australia. [Leeper, Eric M.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Davig, T (reprint author), Barclays Capital, New York, NY USA. NR 44 TC 4 Z9 4 U1 0 U2 4 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PY 2011 VL 59 IS 2 BP 233 EP 270 DI 10.1057/imfer.2011.7 PG 38 WC Business, Finance; Economics SC Business & Economics GA 789PA UT WOS:000292526600005 ER PT J AU McElroy, T Trimbur, TM AF McElroy, Tucker Trimbur, Thomas M. TI On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series SO ECONOMETRIC REVIEWS LA English DT Article DE Continuous time processes; Hodrick-Prescott filter; Interpolation; Linear filtering; Signal extraction ID BUSINESS CYCLES; TRENDS AB This article discusses the discretization of continuous-time filters for application to discrete time series sampled at any fixed frequency. In this approach, the filter is first set up directly in continuous-time; since the filter is expressed over a continuous range of lags, we also refer to them as continuous-lag filters. The second step is to discretize the filter itself. This approach applies to different problems in signal extraction, including trend or business cycle analysis, and the method allows for coherent design of discrete filters for observed data sampled as a stock or a flow, for nonstationary data with stochastic trend, and for different sampling frequencies. We derive explicit formulas for the mean squared error (MSE) optimal discretization filters. We also discuss the problem of optimal interpolation for nonstationary processes - namely, how to estimate the values of a process and its components at arbitrary times in-between the sampling times. A number of illustrations of discrete filter coefficient calculations are provided, including the local level model (LLM) trend filter, the smooth trend model (STM) trend filter, and the Band Pass (BP) filter. The essential methodology can be applied to other kinds of trend extraction problems. Finally, we provide an extended demonstration of the method on CPI flow data measured at monthly and annual sampling frequencies. C1 [Trimbur, Thomas M.] Fed Reserve Board, Washington, DC 20551 USA. [McElroy, Tucker] US Bur Census, Washington, DC 20233 USA. RP Trimbur, TM (reprint author), Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM thomas.m.trimbur@frb.gov NR 32 TC 2 Z9 2 U1 0 U2 2 PU TAYLOR & FRANCIS INC PI PHILADELPHIA PA 325 CHESTNUT ST, SUITE 800, PHILADELPHIA, PA 19106 USA SN 0747-4938 J9 ECONOMET REV JI Econom. Rev. PY 2011 VL 30 IS 5 BP 475 EP 513 AR PII 936582166 DI 10.1080/07474938.2011.553554 PG 39 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 754GE UT WOS:000289842200001 ER PT J AU Moench, E Ng, S AF Moench, Emanuel Ng, Serena TI A hierarchical factor analysis of U.S. housing market dynamics SO ECONOMETRICS JOURNAL LA English DT Article DE FAVAR; Hierarchical factor models; Mixed sampling frequency; Missing values ID TURNOVER; HOMES AB This paper studies the linkages between housing and consumption in the United States taking into account regional variation. We estimate national and regional housing factors from a comprehensive set of U. S. price and quantity data available at mixed frequencies and over different time spans. Our housing factors pick up the common components in the data and are less affected by the idiosyncratic noise in individual series. This allows us to get more reliable estimates of the consumption effects of housing market shocks. We find that shocks at the national level have large cumulative effects on retail sales in all regions. Though the effects of regional shocks are smaller, they are also significant. We analyse the driving forces of housing market activity by means of factor-augmented vector autoregressions. Our results show that lowering mortgage rates has a larger effect than a similar reduction of the federal funds rate. Moreover, lower consumer confidence and stock prices can slow the recovery in the housing market. C1 [Moench, Emanuel] Fed Reserve Bank New York, New York, NY 10045 USA. [Ng, Serena] Columbia Univ, New York, NY 10025 USA. RP Moench, E (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM emanuel.moench@ny.frb.org; serena.ng@columbia.edu FU National Science Foundation [SES 0549978] FX This paper was presented at The Econometrics Journal Special Session of the 2009 RES Conference in Surrey, and the 2009 Summer Meeting of the Econometrics Society in Boston. The authors are grateful to Chris Otrok, Dan Copper, seminar participants at Columbia University and the Bundesbank for helpful comments and discussions. Evan LeFlore provided valuable research assistance. The second author would like to acknowledge financial support from the National Science Foundation under grant SES 0549978. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of New York or the Federal Reserve System. NR 18 TC 15 Z9 15 U1 2 U2 10 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1368-4221 J9 ECONOMET J JI Econom. J. PY 2011 VL 14 IS 1 SI SI BP C1 EP C24 DI 10.1111/j.1368-423X.2010.00319.x PG 24 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 721OK UT WOS:000287364100002 ER PT J AU Cohen, A AF Cohen, Andrew TI Identifying Price Discrimination When Product Menus Are Endogenous SO SOUTHERN ECONOMIC JOURNAL LA English DT Article ID EAT CEREAL INDUSTRY; DIFFERENTIATED PRODUCTS; MARKET; COMPETITION; OLIGOPOLY; MONOPOLY; WELFARE AB A well-known approach to identifying second-degree price discrimination is based on examining correlations between product menus and prices. When product menus are endogenous, however, tests for price discrimination may be biased by the fact that unobservables affecting costs or demand may jointly determine product menus and prices, leading one to falsely infer price discrimination. Using observed product characteristics or fixed effects to control for these unobservables confounds inference on the nature of price discrimination by potentially "overcorrecting" the original bias. I propose a difference-indifferences approach that is robust to this critique. An application to the pricing of different package sizes of paper towels is presented. C1 [Cohen, Andrew] Fed Reserve Board, Washington, DC 20551 USA. RP Cohen, A (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM andrew.m.cohen@frb.gov NR 26 TC 2 Z9 2 U1 1 U2 4 PU UNIV NORTH CAROLINA PI CHAPEL HILL PA SOUTHERN ECONOMIC JOURNAL, CHAPEL HILL, NC 27514 USA SN 0038-4038 J9 SOUTH ECON J JI South. Econ. J. PD JAN PY 2011 VL 77 IS 3 BP 674 EP 691 PG 18 WC Economics SC Business & Economics GA 723YC UT WOS:000287542300008 ER PT J AU Engel, C Wang, JA AF Engel, Charles Wang, Jian TI International trade in durable goods: Understanding volatility, cyclicality, and elasticities SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Durable goods; International real business cycles; Elasticity puzzle; Backus-Smith puzzle ID REAL EXCHANGE-RATES; OPEN-ECONOMY MODELS; BUSINESS CYCLES; CONSUMER DURABLES; NONDURABLE CONSUMPTION; NONTRADED GOODS; CAPITAL GOODS; NET EXPORTS; ADJUSTMENT; TERMS AB Data for OECD countries document: 1. imports and exports are about three times as volatile as GDP; 2. imports and exports are pro-cyclical, and positively correlated with each other; 3. net exports are counter-cyclical. Standard models fail to replicate the behavior of imports and exports, though they can match net exports relatively well. Inspired by the fact that a large fraction of international trade is in durable goods, we propose a two-country two-sector model in which durable goods are traded across countries. Our model can match the business cycle statistics on the volatility and comovement of the imports and exports relatively well. The model is able to match many dimensions of the data, which suggests that trade in durable goods may be an important element in open-economy macro models. (C) 2010 Elsevier B.V. All rights reserved. C1 [Wang, Jian] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Engel, Charles] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. RP Wang, JA (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM cengel@ssc.wisc.edu; jian.wang@dal.frb.org NR 53 TC 37 Z9 38 U1 4 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD JAN PY 2011 VL 83 IS 1 BP 37 EP 52 DI 10.1016/j.jinteco.2010.08.007 PG 16 WC Economics SC Business & Economics GA 717TQ UT WOS:000287070700004 ER PT J AU Nekarda, CJ Ramey, VA AF Nekarda, Christopher J. Ramey, Valerie A. TI Industry Evidence on the Effects of Government Spending SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID INCREASING RETURNS; IMPROVEMENTS; EQUILIBRIUM; PRICE; COST AB This paper investigates the effects of government purchases at the industry level in order to shed light on the transmission mechanism for government spending on the aggregate economy. We create a new panel dataset that matches output and labor variables to industry-specific shifts in government demand. An increase in government demand raises output and hours, lowers real product wages and labor productivity, and has no effect on the markup. The estimates also imply approximately constant returns to scale. The findings are more consistent with the effects of government spending in the neoclassical model than the textbook New Keynesian model. (JEL El 2, E23, E62, H50) C1 [Nekarda, Christopher J.] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. [Ramey, Valerie A.] Univ Calif San Diego, La Jolla, CA 92093 USA. [Ramey, Valerie A.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Nekarda, CJ (reprint author), Board Governors Fed Reserve Syst, 20th St & C St NW,Mailstop 80, Washington, DC 20551 USA. EM christopher.j.nekarda@frb.gov; vramey@ucsd.edu NR 31 TC 17 Z9 17 U1 1 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2011 VL 3 IS 1 BP 36 EP 59 DI 10.1257/mac.3.1.36 PG 24 WC Economics SC Business & Economics GA 712YP UT WOS:000286702500002 ER PT J AU Alessandria, G Kaboski, JP AF Alessandria, George Kaboski, Joseph P. TI Pricing-to-Market and the Failure of Absolute PPP SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID REAL EXCHANGE-RATE; INTERNATIONAL-TRADE; PRODUCT DIFFERENTIATION; RELATIVE PRICES; RATES; EQUILIBRIUM; BUSINESS; POWER; US; FLUCTUATIONS AB We show that deviations from the law of one price in tradable goods are an important source of violations of absolute purchasing power parity. Using highly disaggregated export data, we document systematic international price discrimination: at the US dock, low-income countries pay lower prices. This pricing-to-market is about twice as important as local nontraded inputs for differences in tradable prices. We propose a model of consumer search and pricing-to-market in which consumers in low-income countries have a comparative advantage in nontraded, nonmarket search activities. Evidence from cross-country time-use studies and US export prices supports the model. (JEL E31, F14) C1 [Alessandria, George] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Kaboski, Joseph P.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. RP Alessandria, G (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM george.alessandria@phil.frb.org; jkaboski@nd.edu NR 52 TC 24 Z9 24 U1 2 U2 15 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2011 VL 3 IS 1 BP 91 EP 127 DI 10.1257/mac.3.1.91 PG 37 WC Economics SC Business & Economics GA 712YP UT WOS:000286702500004 ER PT J AU Krane, SD AF Krane, Spencer D. TI Professional Forecasters' Views of Permanent and Transitory Shocks to GDP SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID TIME-SERIES; BUSINESS-CYCLE; STOCK-PRICES; FLUCTUATIONS; COMPONENTS; TRENDS; GNP AB This paper examines how the professional forecasters comprising the Blue Chip Economic Consensus view shocks to GDP. I use an unobserved components model of the forecast revisions to identify forecasters' perceptions of permanent and transitory shocks to GDP The model indicates forecasters: attribute about two-thirds of the variance in current-period revisions to permanent shocks; view the relative importance of permanent shocks similar to the estimates of some simple univariate econometric models; see high-frequency indicators of economic activity as being informative about both permanent and transitory shocks; and react to incoming data differently during periods of economic weakness. (JEL C51, C53, E23, E27, E32, E37) C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Krane, SD (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM spencer.krane@chi.frb.org NR 29 TC 3 Z9 3 U1 0 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2011 VL 3 IS 1 BP 184 EP 211 DI 10.1257/mac.3.1.184 PG 28 WC Economics SC Business & Economics GA 712YP UT WOS:000286702500007 ER PT J AU Terry, SJ Knotek, ES AF Terry, Stephen J. Knotek, Edward S., II TI Markov-chain approximations of vector autoregressions: Application of general multivariate-normal integration techniques SO ECONOMICS LETTERS LA English DT Article DE Markov approximation; Non-diagonal; Singular covariance AB Discrete Markov chains are helpful for approximating vector autoregressive processes in computational work. We relax G. Tauchen (1986) [Finite state Markov-chain approximations to univariate and vector autoregressions. Economics Letters 20, 177-181] in practice using multivariate-normal integration techniques to allow for arbitrary positive-semidefinite covariance structures. Examples are provided for non-diagonal and singular nondiagonal error covariances. (C) 2010 Elsevier B.V. All rights reserved. C1 [Terry, Stephen J.; Knotek, Edward S., II] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Terry, Stephen J.] Stanford Univ, Stanford, CA 94305 USA. RP Knotek, ES (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. EM edward.knotek@kc.frb.org NR 5 TC 4 Z9 4 U1 0 U2 0 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD JAN PY 2011 VL 110 IS 1 BP 4 EP 6 DI 10.1016/j.econlet.2010.09.008 PG 3 WC Economics SC Business & Economics GA 711BU UT WOS:000286561500002 ER PT J AU Garrett, TA Rhine, RM AF Garrett, Thomas A. Rhine, Russell M. TI Economic Freedom and Employment Growth in US States SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PUBLIC-EDUCATION EXPENDITURES; CROSS-COUNTRY; AMERICAN-STATES; UNEMPLOYMENT; INSTITUTIONS; CONVERGENCE; PROXIES AB The authors extend earlier models of economic growth and development by exploring the effect of economic freedom on U.S. state employment growth. They find that states with greater economic freedom-defined as the protection of private property and private markets operating with minimal government interference-experienced greater rates of employment growth. In addition, they find that less-restrictive state and national government labor market policies have the greatest impact on employment growth in U.S. states. Beyond labor market policies, state employment growth is influenced by state and local government policies, but not the policies of all levels of government, including the national government. Their results suggest that policymakers concerned with employment should seriously consider the degree to which their own labor market policies and those of the national government may be limiting economic growth and development in their respective states. (JEL H70, O20, O51, R58) C1 [Rhine, Russell M.] St Marys Coll Maryland, St Marys City, MD USA. [Garrett, Thomas A.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 40 TC 14 Z9 14 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2011 VL 93 IS 1 BP 1 EP 18 PG 18 WC Business, Finance; Economics SC Business & Economics GA 708FE UT WOS:000286346900001 ER PT J AU Aubuchon, CP Conesa, JC Garriga, C AF Aubuchon, Craig P. Conesa, Juan C. Garriga, Carlos TI A Primer on Social Security Systems and Reforms SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID FISCAL-POLICY; MODEL AB This article reviews the characteristics of different social security systems. Many configurations arise depending on the nature of a system's funding and determination of benefits. Many reforms propose changing the social security systems. The authors focus their analysis of the transition from a pay-as-you-go to a fully funded system. They argue that the key component of any reform is the treatment of the implicit liabilities of a country's social security system. The welfare gains accruing to some cohorts as a result of such reforms usually stem from either a partial or complete default on the implicit debt of the system, and in that sense the gains imply only a redistribution of welfare across agents. In contrast, the elimination of existing distortions in social security financing can generate efficiency gains, allowing for welfare improvements for all agents. This result shifts the focus from the nature of the system itself and centers the debate on the distortions associated with social security. (JEL H2, E62, D31) C1 [Aubuchon, Craig P.; Garriga, Carlos] Fed Reserve Bank St Louis, St Louis, MO USA. [Conesa, Juan C.] Univ Autonoma Barcelona, Dept Econ, E-08193 Barcelona, Spain. RP Aubuchon, CP (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 38 TC 0 Z9 0 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2011 VL 93 IS 1 BP 19 EP 35 PG 17 WC Business, Finance; Economics SC Business & Economics GA 708FE UT WOS:000286346900002 ER PT J AU Basu, P Gavin, WT AF Basu, Parantap Gavin, William T. TI What Explains the Growth in Commodity Derivatives? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID FUTURES AB This article documents the massive increase in trading in commodity derivatives over the past decade-growth that far outstrips the growth in commodity production and the need for derivatives to hedge risk by commercial producers and users of commodities. During the past decade, many institutional portfolio managers added commodity derivatives as an asset class to their portfolios. This addition was part of a larger shift in portfolio strategy away from traditional equity investment and toward derivatives based on assets such as real estate and commodities. Institutional investors' use of commodity futures to hedge against stock market risk is a relatively recent phenomenon. Trading in commodity derivatives also increased along with the rapid expansion of trading in all derivative markets. This trading was directly related to the search for higher yields in a low interest rate environment. The growth was both in organized exchanges and over-the-counter (OTC) trading, but the gross market value of OTC trading was an order of magnitude greater. This growth is important to note because a critical factor in the recent crisis was counterparty failure in OTC trading of mortgage derivatives. (JEL G120, G130, G180) C1 [Gavin, William T.] Fed Reserve Bank St Louis, St Louis, MO USA. [Basu, Parantap] Univ Durham, Durham, England. RP Basu, P (reprint author), Univ Durham, Durham, England. NR 17 TC 16 Z9 16 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2011 VL 93 IS 1 BP 37 EP 48 PG 12 WC Business, Finance; Economics SC Business & Economics GA 708FE UT WOS:000286346900003 ER PT J AU Banternghansa, C McCracken, MW AF Banternghansa, Chanont McCracken, Michael W. TI Real-Time Forecast Averaging with ALFRED SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INFLATION AB This paper presents empirical evidence on the efficacy of forecast averaging using the ALFRED (ArchivaL Federal Reserve Economic Data) real-time database. The authors consider averages over a variety of bivariate vector autoregressive models. These models are distinguished from one another based on at least one of the following factors: (i) the choice of variables used as predictors, (ii) the number of lags, (iii) use of all available data or only data after the Great Moderation, (iv) the observation window used to estimate the model parameters and construct averaging weights, and (v) the use of either iterated multistep or direct multistep methods for forecast horizons greater than one. A variety of averaging methods are considered. The results indicate that the benefits of model averaging relative to Bayesian information criterion-based model selection are highly dependent on the class of models averaged The authors provide a novel decomposition of the forecast improvements that allows determination of the most (and least) helpful types of averaging methods and models averaged across. (JEL E52, E58, C53) C1 [Banternghansa, Chanont; McCracken, Michael W.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Banternghansa, C (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 16 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2011 VL 93 IS 1 BP 49 EP 66 PG 18 WC Business, Finance; Economics SC Business & Economics GA 708FE UT WOS:000286346900004 ER PT B AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline BE Leal, DL Trejo, SJ TI The Minimum Wage and Latino Workers SO LATINOS AND THE ECONOMY: INTEGRATION AND IMPACT IN SCHOOLS, LABOR MARKETS, AND BEYOND LA English DT Proceedings Paper CT Inter University Program for Latino Research Conference CY APR 14, 2007 CL Univ Texas, Austin, TX HO Univ Texas ID FAST-FOOD INDUSTRY; UNITED-STATES; EMPLOYMENT; IMMIGRANTS; MINORITY; LAWS AB Latinos comprise a large and growing share of the low-skilled labor force in the US and may be disproportionately affected by minimum wage laws as a result. We compare the effects of minimum wage laws on employment and earnings among Hispanic immigrants and natives with effects among non-Hispanic whites and blacks. We focus on adults who have not finished high school and on teenagers, groups likely to earn low wages. Conventional economic theory predicts that higher minimum wages lead to higher hourly earnings among people who are employed but lower employment rates. Data from the Current Population Survey during the period 1994-2007 indicate that there is a significant disemployment effect of higher minimum wages on Latino teenagers, although it is smaller for foreign- than native-born Latinos. Adult Latino immigrants' earnings are less affected by minimum wage laws than other low-education natives, and their employment rates appear to increase when the minimum wage rises. We investigate whether skill levels and undocumented status help explain these findings. C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Dallas, TX USA. [Zavodny, Madeline] Agnes Scott Coll, IZA, D-53072 Bonn, Germany. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. EM pia.orrenius@dal.frb.org; mzavodny@agnesscott.edu NR 32 TC 0 Z9 0 U1 0 U2 3 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES BN 978-1-4419-6681-0 PY 2011 BP 169 EP + DI 10.1007/978-1-4419-6682-7_9 PG 3 WC Economics; Ethnic Studies SC Business & Economics; Ethnic Studies GA BTU03 UT WOS:000288059300009 ER PT J AU Justiniano, A Primiceri, GE Tambalotti, A AF Justiniano, Alejandro Primiceri, Giorgio E. Tambalotti, Andrea TI Investment shocks and the relative price of investment SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Business cycles; Financial factors; Investment-specific technology; Credit spread; DSGE model ID OPTIMAL MONETARY-POLICY; BUSINESS-CYCLE; TECHNOLOGICAL-CHANGE; AGENCY COSTS; NET WORTH; FLUCTUATIONS; FRICTIONS; MODELS; NEWS AB We estimate a New-Neoclassical Synthesis business cycle model with two investment shocks. The first, an investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the relative price of investment. The second shock affects the production of installed capital from investment goods or. more broadly, the transformation of savings into the future capital input. We find that this shock is the most important driver of U.S. business cycle fluctuations in the post-war period and that it is likely to proxy for more fundamental disturbances to the functioning of the financial sector. To corroborate this interpretation, we show that it is closely related to interest rate spreads and that it played a particularly important role in the recession of 2008-2009. (C) 2010 Elsevier Inc. All rights reserved. C1 [Primiceri, Giorgio E.] Northwestern Univ, Evanston, IL 60208 USA. [Justiniano, Alejandro] Fed Reserve Bank Chicago, Chicago, IL USA. [Primiceri, Giorgio E.] NBER, Cambridge, MA 02138 USA. [Tambalotti, Andrea] Fed Reserve Bank New York, New York, NY USA. RP Primiceri, GE (reprint author), Northwestern Univ, Evanston, IL 60208 USA. EM ajustiniano@frbchi.org; g-primiceri@northwestern.edu; andrea.tambalotti@ny.frb.org OI Tambalotti, Andrea/0000-0002-9323-2470 NR 44 TC 33 Z9 33 U1 0 U2 16 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2011 VL 14 IS 1 SI SI BP 102 EP 121 DI 10.1016/j.red.2010.08.004 PG 20 WC Economics SC Business & Economics GA 704WI UT WOS:000286085900007 ER PT J AU Arce, O Lopez-Salido, D AF Arce, Oscar Lopez-Salido, David TI Housing Bubbles SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID OVERLAPPING GENERATIONS; MARKET; MODEL; EQUILIBRIUM; CONSUMPTION; ECONOMY AB We use the notion of a housing bubble as an equilibrium in which some investors hold houses for resale purposes only and not with the expectation of receiving a dividend, either in the form of rent or utility. We show that an economy with looser collateral constraints is less prone to bubbles, which, in turn, have smaller size, but are more fragile in the face of credit-crunch shocks. Our environment also allows for the existence of pure bubbles on unproductive assets. We find that multiple equilibria, in which the economy moves endogenously from a pure bubble to a housing bubble and vice versa, are possible. (JEL G12, R21, R31) C1 [Arce, Oscar] CNMV, Madrid 28010, Spain. [Lopez-Salido, David] Fed Reserve Board, Washington, DC 20551 USA. RP Arce, O (reprint author), CNMV, Miguel Angel 11, Madrid 28010, Spain. EM oarce@cnmv.es; david.j.lopez-salido@frb.gov NR 21 TC 13 Z9 13 U1 0 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2011 VL 3 IS 1 BP 212 EP 241 DI 10.1257/mac.3.1.212 PG 30 WC Economics SC Business & Economics GA 712YP UT WOS:000286702500008 ER PT J AU Smith, MM Hevener, CC AF Smith, Marvin M. Hevener, Christy Chung TI The Impact of Housing Rehabilitation on Local Neighborhoods: The Case of Small Community Development Organizations SO AMERICAN JOURNAL OF ECONOMICS AND SOCIOLOGY LA English DT Article ID HOMEOWNERSHIP; PRICES; BENEFITS; CHILDREN AB P>Across the nation, nonprofit organizations located in poor and declining neighborhoods are promoting homeownership in the hopes that their efforts will stave off decline and contribute to neighborhood stability. A common homeownership strategy among nonprofits is to acquire boarded-up or deteriorated homes at a low price, rehabilitate them, and then sell them at an affordable price. As these programs continue, nonprofit organizations want to show quantitatively that neighborhood revitalization works-that the funds devoted to an area stabilize neighborhoods or, even more, that they initiate a surge of continued upward progress. But, unlike their larger counterparts, smaller community development organizations are usually at a disadvantage in undertaking such an evaluation. This study will help illustrate what might be done. It focuses on the case of St. Joseph's Carpenter Society (SJCS) in Camden, New Jersey and assesses the quantitative impact that SJCS has on its target neighborhoods. A three-tiered approach is adopted that ranges from a target and comparison area analysis, to regression analysis of SJCS's impact on local housing prices, and finally to an examination of the relative market performance of SJCS's houses. All told, the analysis suggests that SJCS's rehabilitation and homeownership education activities appear to have a positive influence on the neighborhoods in its target area. C1 [Smith, Marvin M.; Hevener, Christy Chung] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Smith, MM (reprint author), 10 Independence Mall, Philadelphia, PA 19106 USA. EM marty.smith@phil.frb.org NR 22 TC 4 Z9 4 U1 1 U2 13 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0002-9246 J9 AM J ECON SOCIOL JI Am. J. Econ. Sociol. PD JAN PY 2011 VL 70 IS 1 BP 50 EP 85 DI 10.1111/j.1536-7150.2010.00763.x PG 36 WC Economics; Sociology SC Business & Economics; Sociology GA 703IQ UT WOS:000285972000004 PM 21322894 ER PT S AU McAndrews, J Nosal, E Rocheteau, G AF McAndrews, James Nosal, Ed Rocheteau, Guillaume BE Lo, AW Merton, RC TI Payment Systems SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 3 SE Annual Review of Financial Economics LA English DT Article; Book Chapter ID MONETARY EXCHANGE; 2-SIDED MARKETS; SEARCH MODEL; CREDIT; MONEY AB Modern payment instruments can be complex. Yet, many of these can be interpreted as a form of money or credit, which are rather primitive instruments. We use a simple model of a monetary economy to provide an overview of some of the fundamental questions in the literature on payments. Why do agents pay? What are the frictions that prevent or limit the use of credit arrangements? Why is fiat money valued? Why do money and credit coexist? Our simple model can address these basic and important questions, and can be extended to address a variety of issues related to payments. C1 [McAndrews, James] Fed Reserve Bank New York, New York, NY 10045 USA. [Nosal, Ed] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Rocheteau, Guillaume] Univ Calif Irvine, Irvine, CA 92697 USA. RP McAndrews, J (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM jamie.mcandrews@ny.frb.org; ed.nosal@chi.frb.org; grochete@uci.edu NR 26 TC 0 Z9 0 U1 1 U2 5 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4803-8 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2011 VL 3 BP 259 EP 287 DI 10.1146/annurev-financial-102710-144903 PG 29 WC Business, Finance; Economics SC Business & Economics GA BYL93 UT WOS:000299297500012 ER PT S AU Adrian, T Shin, HS AF Adrian, Tobias Shin, Hyun Song BE Lo, AW Merton, RC TI Financial Intermediary Balance Sheet Management SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 3 SE Annual Review of Financial Economics LA English DT Article; Book Chapter ID CORPORATE-DEBT AB Conventional discussions of balance sheet management by nonfinancial firms take the set of positive net present value (NPV) projects as given, which in turn determines the size of the firms assets. The focus is on the composition of equity and debt in funding such assets. In contrast, the balance sheet management of financial intermediaries reveals that it is equity that behaves like the predetermined variable, and the asset size of the bank or financial intermediary is determined by the degree of leverage that is permitted by market conditions. The relative stickiness of equity reveals possible nonpecuniary benefits to bank owners so that they are reluctant to raise new equity, even during boom periods when raising equity is associated with less stigma and, hence, smaller discounts. We explore the empirical evidence for both market-based financial intermediaries such as the Wall Street investment banks, as well as the commercial bank subsidiaries of the large U.S. bank holding companies. We further explore the aggregate consequences of such behavior by the banking sector for the propagation of the financial cycle and securitization. C1 [Adrian, Tobias] Fed Reserve Bank New York, New York, NY 10045 USA. [Shin, Hyun Song] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08540 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org; hsshin@princeton.edu OI Adrian, Tobias/0000-0001-9379-9592 NR 26 TC 4 Z9 4 U1 0 U2 10 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4803-8 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2011 VL 3 BP 289 EP 307 DI 10.1146/annurev-financial-102710-14491.5 PG 19 WC Business, Finance; Economics SC Business & Economics GA BYL93 UT WOS:000299297500013 ER PT S AU Burnside, C Eichenbaum, M Rebelo, S AF Burnside, Craig Eichenbaum, Martin Rebelo, Sergio BE Lo, AW Merton, RC TI Carry Trade and Momentum in Currency Markets SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 3 SE Annual Review of Financial Economics LA English DT Article; Book Chapter DE uncovered interest parity; exchange rates; currency speculation; rare disaster; peso problem; price pressure ID COVERED INTEREST ARBITRAGE; EXCESS RETURNS; RISK; STRATEGIES; EFFICIENCY; SAMPLE; MODELS; STOCKS AB We examine the empirical properties of the payoffs to two popular currency speculation strategies: the carry trade and momentum. We review three possible explanations for the apparent profitability of these strategies. The first is that speculators are being compensated for bearing risk. The second is that these strategies are vulnerable to rare disasters or peso problems. The third is that there is price pressure in currency markets. C1 [Burnside, Craig; Eichenbaum, Martin; Rebelo, Sergio] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Burnside, Craig] Duke Univ, Dept Econ, Durham, NC 27708 USA. [Eichenbaum, Martin; Rebelo, Sergio] Northwestern Univ, Kellogg Sch Management, Dept Econ, Evanston, IL 60208 USA. [Eichenbaum, Martin] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Rebelo, Sergio] Ctr Econ Policy Res, London EC1V 3PZ, England. RP Rebelo, S (reprint author), Natl Bur Econ Res, Cambridge, MA 02138 USA. EM burnside@econ.duke.edu; eich@northwestern.edu; s-rebelo@kellogg.northwestern.edu NR 44 TC 20 Z9 20 U1 1 U2 10 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4803-8 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2011 VL 3 BP 511 EP 535 DI 10.1146/annurev-financial-102710-144913 PG 25 WC Business, Finance; Economics SC Business & Economics GA BYL93 UT WOS:000299297500021 ER PT S AU Klier, T Linn, J AF Klier, Thomas Linn, Joshua BE Rausser, GC Smith, VK Zilberman, D TI Corporate Average Fuel Economy Standards and the Market for New Vehicles SO ANNUAL REVIEW OF RESOURCE ECONOMICS, VOL 3 SE Annual Review of Resource Economics LA English DT Article; Book Chapter DE CAFE; costs; structural estimation ID GASOLINE TAXES; POLICY WATCH; EFFICIENCY; US; IMPACTS AB This article presents an overview of the economics literature on the effect of corporate average fuel economy (CAFE) standards on the new vehicle market. Since 1978, CAFE has imposed fuel economy standards for cars and light trucks sold in the U.S. market. This article reviews the history of the standards, followed by a discussion of the major upcoming changes in implementation and stringency. It describes strategies that firms can use to meet the standards and reviews the CAFE literature as it applies to the new vehicle market. The review concludes by highlighting areas for future research in light of the upcoming changes to CAFE. C1 [Linn, Joshua] Resources Future Inc, Washington, DC 20036 USA. [Klier, Thomas] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Linn, J (reprint author), Resources Future Inc, 1616 P St NW, Washington, DC 20036 USA. EM Thomas.Klier@chi.frb.org; linn@rff.org NR 36 TC 0 Z9 0 U1 1 U2 10 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1340 BN 978-0-8243-4703-1 J9 ANNU REV RESOUR ECON JI Annu. Rev. Resour. Econ PY 2011 VL 3 BP 445 EP 462 DI 10.1146/annurev-resource-083110-120023 PG 18 WC Economics SC Business & Economics GA BYL87 UT WOS:000299294300021 ER PT J AU Starr, MA AF Starr, Martha A. BE Starr, MA TI Beyond the Usual Economics SO CONSEQUENCES OF ECONOMIC DOWNTURN: BEYOND THE USUAL ECONOMICS SE Perspectives from Social Economics LA English DT Article; Book Chapter C1 [Starr, Martha A.] American Univ, Washington, DC 20016 USA. [Starr, Martha A.] Fed Reserve Board Governors, Washington, DC USA. OI Stark, Miriam/0000-0003-1700-4406 NR 32 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-11835-5 J9 PERSP SOC ECON PY 2011 BP 1 EP 21 PG 21 WC Economics SC Business & Economics GA BFB70 UT WOS:000319119400001 ER PT J AU Bansak, C Starr, MA AF Bansak, Cynthia Starr, Martha A. BE Starr, MA TI Who Pays the Price When Housing Bubbles Burst? Evidence from the American Community Survey SO CONSEQUENCES OF ECONOMIC DOWNTURN: BEYOND THE USUAL ECONOMICS SE Perspectives from Social Economics LA English DT Article; Book Chapter ID CYCLE; INCOME C1 [Bansak, Cynthia] St Lawrence Univ Upstate New York, New York, NY USA. [Bansak, Cynthia] San Diego State Univ, San Diego, CA 92182 USA. [Starr, Martha A.] American Univ, Washington, DC 20016 USA. [Starr, Martha A.] Fed Reserve Board Governors, Washington, DC USA. RP Bansak, C (reprint author), St Lawrence Univ Upstate New York, New York, NY USA. NR 46 TC 2 Z9 2 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-11835-5 J9 PERSP SOC ECON PY 2011 BP 139 EP 165 PG 27 WC Economics SC Business & Economics GA BFB70 UT WOS:000319119400008 ER PT J AU Starr, MA AF Starr, Martha A. BE Starr, MA TI Recession and the Social Economy SO CONSEQUENCES OF ECONOMIC DOWNTURN: BEYOND THE USUAL ECONOMICS SE Perspectives from Social Economics LA English DT Article; Book Chapter ID HEALTH C1 [Starr, Martha A.] Fed Reserve Board Governors, Washington, DC USA. NR 36 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-11835-5 J9 PERSP SOC ECON PY 2011 BP 189 EP 214 PG 26 WC Economics SC Business & Economics GA BFB70 UT WOS:000319119400010 ER PT J AU Holmes, TJ AF Holmes, Thomas J. TI The Diffusion of Wal-Mart and Economies of Density SO ECONOMETRICA LA English DT Article DE Economies of density; moment inequalities; dynamics ID ECONOMETRIC-MODELS; MARKET-STRUCTURE; COMPETITION; PARAMETERS; INFERENCE; GROWTH; SCALE; ENTRY; COSTS AB The rollout of Wal-Mart store openings followed a pattern that radiated from the center outward, with Wal-Mart maintaining high store density and a contiguous store network all along the way. This paper estimates the benefits of such a strategy to Wal-Mart, focusing on the savings in distribution costs afforded by a dense network of stores. The paper takes a revealed preference approach, inferring the magnitude of density economies from how much sales cannibalization of closely packed stores Wal-Mart is willing to suffer to achieve density economies. The model is dynamic with rich geographic detail on the locations of stores and distribution centers. Given the enormous number of possible combinations of store-opening sequences, it is difficult to directly solve Wal-Mart's problem, making conventional approaches infeasible. The moment inequality approach is used instead and works well. The estimates show the benefits to Wal-Mart of high store density are substantial and likely extend significantly beyond savings in trucking costs. C1 [Holmes, Thomas J.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Holmes, Thomas J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Holmes, Thomas J.] NBER, Cambridge, MA 02138 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Dept Econ, 4-101 Hansen Hall,1925 4th St S, Minneapolis, MN 55455 USA. EM holmes@umn.edu FU National Science Foundation [0551062] FX I have benefited from the comments of many seminar participants. In particular, I thank Glenn Ellison, Gautam Gowrisankaran, and Avi Goldfarb for their comments as discussants, Pat Bajari and Kyoo-il Kim for suggestions, and Ariel Pakes for advice on how to think about this problem. I thank the referees and the editor for comments that substantially improved the paper. I thank Junichi Suzuki, Julia Thornton Snider, David Molitor, and Ernest Berkas for research assistance. I thank Emek Basker for sharing data. I am grateful to the National Science Foundation under Grant 0551062 for support of this research. The views expressed herein are those of the author and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. NR 47 TC 57 Z9 57 U1 2 U2 21 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD JAN PY 2011 VL 79 IS 1 BP 253 EP 302 DI 10.3982/ECTA7699 PG 50 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 706JM UT WOS:000286214700007 ER PT J AU Basu, S Inklaar, R Wang, JC AF Basu, Susanto Inklaar, Robert Wang, J. Christina TI THE VALUE OF RISK: MEASURING THE SERVICE OUTPUT OF U.S. COMMERCIAL BANKS SO ECONOMIC INQUIRY LA English DT Article ID VALUATION; ARBITRAGE; DEPOSITS; COST AB Banks often charge implicitly for their services via interest spreads, instead of explicit fees. Much of bank output thus has to be estimated indirectly. In contrast to current statistical practice, dynamic optimizing models of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find that in the U.S. National Accounts between 1997 and 2007, bank output was overestimated by 21% and gross domestic product (GDP) by 0.3%. Compared with current methods, our new estimates imply more plausible estimates of the income share of capital and the return on fixed capital of the banking industry. (JEL E01, E44, O47). C1 [Basu, Susanto] Boston Coll, Dept Econ, Chestnut Hill, MA 02467 USA. [Inklaar, Robert] Univ Groningen, Fac Econ & Business, NL-9700 AV Groningen, Netherlands. [Wang, J. Christina] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Basu, S (reprint author), Boston Coll, Dept Econ, 140 Commonwealth Ave, Chestnut Hill, MA 02467 USA. EM susanto.basu@bc.edu; r.c.inklaar@rug.nl; christina.wang@bos.frb.org RI Inklaar, Robert/G-8253-2011 OI Inklaar, Robert/0000-0003-3852-067X NR 29 TC 11 Z9 11 U1 2 U2 8 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2011 VL 49 IS 1 BP 226 EP 245 DI 10.1111/j.1465-7295.2010.00304.x PG 20 WC Economics SC Business & Economics GA 702FE UT WOS:000285879200016 ER PT S AU French, E Taber, C AF French, Eric Taber, Christopher BE Ashenfelter, O Card, D TI Identification of Models of the Labor Market SO HANDBOOK OF LABOR ECONOMICS, VOL 4A SE Handbooks in Economics LA English DT Article; Book Chapter DE Identification; Roy model; Discrete choice; Selection; Treatment effects ID DYNAMIC DISCRETE-CHOICE; MONOTONE INSTRUMENTAL VARIABLES; PROPORTIONAL HAZARD MODEL; COMPETING RISKS MODEL; NONPARAMETRIC IDENTIFICATION; PROGRAM EVALUATIONS; DECISION-PROCESSES; STRUCTURAL MODELS; POLICY EVALUATION; IDENTIFIABILITY AB This chapter discusses identification of common selection models of the labor market. We start with the classic Roy model and show how it can be identified with exclusion restrictions. We then extend the argument to the generalized Roy model, treatment effect models, duration models, search models, and dynamic discrete choice models. In all cases, key ingredients for identification are exclusion restrictions and support conditions. C1 [French, Eric] Fed Reserve Bank Chicago, Chicago, IL USA. [Taber, Christopher] Univ Wisconsin Madison, Dept Econ, Madison, WI USA. [Taber, Christopher] NBER, Cambridge, MA 02138 USA. RP French, E (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 88 TC 10 Z9 10 U1 0 U2 0 PU NORTH HOLLAND, ELSEVIER SCIENCE PUBL BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-7218 BN 978-0-444-53451-4 J9 HBK ECON PY 2011 VL 4 BP 537 EP 617 DI 10.1016/S0169-7218(11)00412-6 PG 81 WC Economics; Industrial Relations & Labor SC Business & Economics GA BFZ70 UT WOS:000321984100006 ER PT S AU Glomm, G Ravikumar, B Schiopu, IC AF Glomm, Gerhard Ravikumar, B. Schiopu, Ioana C. BE Hanushek, EA Machin, S Woessmann, L TI The Political Economy of Education Funding SO HANDBOOK OF THE ECONOMICS OF EDUCATION, VOL 4 SE Handbooks in Economics LA English DT Article; Book Chapter DE Education Funding; Political Economy; Majority Voting; Opting Out; Tiebout Sorting; Human Capital Accumulation ID PRIVATE SCHOOL ENROLLMENT; INCOME-DISTRIBUTION; PUBLIC-EDUCATION; FINANCE REFORM; STUDENT-ACHIEVEMENT; UNIVERSAL VOUCHERS; ENDOGENOUS GROWTH; LOCAL-GOVERNMENTS; RATIONAL THEORY; PROPERTY TAXES AB In most countries, the government is the main provider of education services. Even when a private education sector exists, it is often subsidized. Given the substantial involvement of governments in the education sector and the importance of skill acquisition for individual and national welfare, understanding how societies allocate public resources for education is a crucial issue. The purpose of this chapter is to review positive models of public funding for education. Models reviewed in this chapter consist of a private layer and a political economy layer. In the private layer, firms and households make their decisions taking as given the public policies. In the political economy layer, voters or groups with conflicting interests determine the public policy, taking into account the private sector response to the policy. The questions addressed by the models in this chapter include: What is the majority preferred level of funding for public education when private options are available? How do various dimensions of household heterogeneity (e.g., income, age, ability, tastes) alter the political equilibrium? What is the level of public funding in each community when households can sort themselves into multiple communities? Why are large-scale vouchers in education so rare across the world? Why are public education expenditures as a fraction of GDP rising along the development path? The focus of this chapter is theory, but calibrated versions of the theory that rely on empirical work are also included. We also review the empirical evidence that has bearing on the theoretical models in this chapter. C1 [Glomm, Gerhard] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. [Ravikumar, B.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Schiopu, Ioana C.] Univ Ramon Llull, Dept Econ, ESADE, Barcelona, Spain. RP Glomm, G (reprint author), Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. NR 160 TC 5 Z9 5 U1 4 U2 10 PU NORTH HOLLAND, ELSEVIER SCIENCE PUBL BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-7218 BN 978-0-44-453535-1; 978-0-44-453444-6 J9 HBK ECON PY 2011 VL 4 BP 615 EP 680 PG 66 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA BFZ34 UT WOS:000321956800011 ER PT J AU Glick, R Hutchison, M AF Glick, Reuven Hutchison, Michael TI The illusive quest: Do international capital controls contribute to currency stability? SO INTERNATIONAL REVIEW OF ECONOMICS & FINANCE LA English DT Article DE Currency crises; Capital controls ID ACCOUNT LIBERALIZATION; CRISES AB We investigate the effectiveness of capital controls in insulating economies from currency crises, focusing in particular on both direct and indirect effects of capital controls and how these relationships may have changed over time in response to global financial liberalization and the greater mobility of international capital. We predict the likelihood of currency crises using standard macroeconomic variables and a probit equation estimation methodology with random effects. We employ a comprehensive panel data set comprised of 69 emerging market and developing economies over 1975-2004. Both standard and duration-adjusted measures of capital control intensity (allowing controls to "depreciate" over time) suggest that capital controls have not effectively insulated economies from currency crises at any time during our sample period. Maintaining real GDP growth and limiting real overvaluation are critical factors preventing currency crises, not capital controls. However, the presence of capital controls greatly increases the sensitivity of currency crises to changes in real GDP growth and real exchange rate overvaluation, making countries more vulnerable to changes in fundamentals. Our model suggests that emerging markets weathered the 2007-2008 crisis relatively well because of strong output growth and exchange rate flexibility that limited overvaluation of their currencies. Published by Elsevier Inc. C1 [Glick, Reuven] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. [Hutchison, Michael] Univ Calif Santa Cruz, Dept Econ, E2, Santa Cruz, CA 95064 USA. RP Glick, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA USA. EM reuven.glick@sf.frb.org; hutch@ucsc.edu NR 35 TC 6 Z9 6 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1059-0560 J9 INT REV ECON FINANC JI Int. Rev. Econ. Financ. PD JAN PY 2011 VL 20 IS 1 SI SI BP 59 EP 70 DI 10.1016/j.iref.2010.07.006 PG 12 WC Business, Finance; Economics SC Business & Economics GA 691ZU UT WOS:000285122100006 ER PT J AU Fujita, S AF Fujita, Shigeru TI DYNAMICS OF WORKER FLOWS AND VACANCIES: EVIDENCE FROM THE SIGN RESTRICTION APPROACH SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID LABOR-MARKET SEARCH; EQUILIBRIUM UNEMPLOYMENT; TECHNOLOGY SHOCKS; CYCLICAL BEHAVIOR; BUSINESS CYCLES; JOB DESTRUCTION; MONETARY-POLICY; FLUCTUATIONS; EMPLOYMENT; PROPAGATION AB This paper establishes robust dynamic features of the worker reallocation process in the US labor market. I use structural VARs with sign restrictions, which take the form of restricting the short-run negative relationship between vacancies and unemployment (i.e., Beveridge curve). Despite the 'weakness' of these restrictions, they reveal a clear, unambiguous pattern that, when unemployment increases and vacancies drop, (i) both the separation rate and gross separations rise quickly and remain persistently high, (ii) the job finding rate and vacancies drop in a hump-shaped manner, and (iii) gross hires respond little initially, but eventually rise. These results point to the importance of job loss in understanding US labor market dynamics. This pattern also holds with respect to different kinds of shocks that induce the same Beveridge curve relationship. This paper also considers the 'disaggregate model', which uses data disaggregated into six demographic groups and incorporates transitions into and out of the labor force. I show that the separation rate continues to play a dominant role among prime-age male workers, while, for other groups, changes in the job finding rate are more important. Copyright (C) 2009 John Wiley & Sons, Ltd. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Fujita, S (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM shigeru.fujita@phil.frb.org NR 51 TC 15 Z9 15 U1 1 U2 3 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD JAN-FEB PY 2011 VL 26 IS 1 BP 89 EP 121 DI 10.1002/jae.1111 PG 33 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 714YO UT WOS:000286847800004 ER PT J AU D'Amico, S Farka, M AF D'Amico, Stefania Farka, Mira TI The Fed and the Stock Market: An Identification Based on Intraday Futures Data SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Identification; Monetary policy; Stock market; Structural VAR ID FEDERAL-RESERVE POLICY; US TREASURY MARKET; MONETARY-POLICY; INTEREST-RATES; OPTION PRICES; FUNDS; RETURNS; INFORMATION; SENSE; NEWS AB This article develops a new identification procedure to estimate the contemporaneous relation between monetary policy and the stock market within a vector autoregression (VAR) framework. The approach combines high-frequency data from the futures market with the VAR methodology to circumvent exclusion restrictions and achieve identification. Our analysis casts doubt on VAR models imposing a recursive structure between innovations in policy rates and stock returns. We find that a tightening in policy rates has a negative impact on stock prices and that the Federal Reserve (Fed) has responded significantly to movements in the stock market. Estimates are robust to various model specifications. C1 [D'Amico, Stefania] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Farka, Mira] Calif State Univ Fullerton, Dept Econ, Mihaylo Coll Business & Econ, Fullerton, CA 92834 USA. RP D'Amico, S (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM stefania.d'amico@frb.gov; efarka@fullerton.edu FU Department of Economics, Columbia University; California State University, Fullerton FX The authors thank Jean Boivin, Jonathan Wright, Refet Gurkaynak, Serena Ng, two associate editors, and two reviewers for numerous comments and suggestions. They also thank Kenneth Kuttner, Frederic Mishkin, Brian Sack, seminar participants of the 2003 Royal Economic Society, and the 2006 European Financial Management Association International (FMA). Part of the research was supported by the Department of Economics, Columbia University. Mira Farka acknowledges the support of California State University, Fullerton, Faculty Development Research Grant Program. The opinions expressed in this article do not necessarily reflect those of the Federal Reserve Board or of the Federal Reserve System. NR 43 TC 15 Z9 15 U1 0 U2 6 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2011 VL 29 IS 1 BP 126 EP 137 DI 10.1198/jbes.2009.08019 PG 12 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 709AJ UT WOS:000286407200011 ER PT J AU Tauchen, G Zhou, H AF Tauchen, George Zhou, Hao TI Realized jumps on financial markets and predicting credit spreads SO JOURNAL OF ECONOMETRICS LA English DT Article DE Jump-diffusion process; Realized variance; bipower variation; Realized jumps; Jump volatility; Credit risk premium ID VOLATILITY MODELS; STOCK RETURNS; RISK; DIFFUSION; EXCHANGE; BONDS AB This paper extends the jump detection method based on bipower variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that the jump parameters can be accurately estimated and that the statistical inferences are reliable under the assumption that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate data reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. The jump volatility risk factor seems to capture the low frequency movements in credit spreads and comoves countercyclically with the price-dividend ratio and corporate default rate. (C) 2010 Published by Elsevier B.V. C1 [Tauchen, George] Duke Univ, Dept Econ, Durham, NC 27708 USA. [Zhou, Hao] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Tauchen, G (reprint author), Duke Univ, Dept Econ, Box 90097, Durham, NC 27708 USA. EM get@econ.duke.edu; hao.zhou@frb.gov NR 54 TC 35 Z9 36 U1 5 U2 11 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD JAN PY 2011 VL 160 IS 1 BP 102 EP 118 DI 10.1016/j.jeconom.2010.03.023 PG 17 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 707OS UT WOS:000286296500011 ER PT J AU Bollerslev, T Gibson, M Zhou, H AF Bollerslev, Tim Gibson, Michael Zhou, Hao TI Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities SO JOURNAL OF ECONOMETRICS LA English DT Article DE Stochastic volatility risk premium; Model-free implied volatility; Model-free realized volatility; Black-Scholes; GMM estimation; Return predictability ID MARKET MICROSTRUCTURE NOISE; EXPECTED STOCK RETURNS; STOCHASTIC VOLATILITY; PREDICTIVE REGRESSIONS; PRICES; VARIANCE; MODELS; CONSUMPTION; COVARIANCE; MOMENTS AB This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method is intuitive and simple to implement, relying on the sample moments of the recently popularized model-free realized and option-implied volatility measures. A small-scale Monte Carlo experiment confirms that the procedure works well in practice. Implementing the procedure with actual S&P500 option-implied volatilities and high-frequency five-minute-based realized volatilities indicates significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn relate to a set of macro-finance state variables. We also find that the extracted volatility risk premium helps predict future stock market returns. (C) 2010 Elsevier B.V. All rights reserved. C1 [Bollerslev, Tim] Duke Univ, Dept Econ, Durham, NC 27708 USA. [Bollerslev, Tim] NBER, Cambridge, MA 02138 USA. [Gibson, Michael; Zhou, Hao] Fed Reserve Board, Risk Anal Sect, Washington, DC 20551 USA. RP Bollerslev, T (reprint author), Duke Univ, Dept Econ, POB 90097, Durham, NC 27708 USA. EM boller@econ.duke.edu; michael.s.gibson@frb.gov; hao.zhou@frb.gov FU National Science Foundation; Danish National Research Foundation FX The work of Boilerslev was supported by a grant from the National Science Foundation to the NBER and CREATES funded by the Danish National Research Foundation. We would also like to thank three anonymous referees, Alain Chaboud, N.K. Chidambaran, Hui Guo, George Jiang, Chris Jones, Nellie Liang, Nour Meddahi, Nagpurnanand R. Prabhala, Patricia White, and seminar participants at the Venice Conference on Time-Varying Financial Structures 2005, the Federal Reserve Conference on Financial Market Risk Premia 2005, Peking University, the Bank for International Settlement, and the AFA 2006 Annual Meeting for useful comments and suggestions. The views presented here are solely those of the authors and do not necessarily represent those of the Federal Reserve Board or its staff. Matthew Chesnes and Stephen Saroki provided excellent research assistance. NR 64 TC 60 Z9 61 U1 4 U2 27 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD JAN PY 2011 VL 160 IS 1 BP 235 EP 245 DI 10.1016/j.jeconom.2010.03.033 PG 11 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 707OS UT WOS:000286296500020 ER PT J AU Berger, AN Espinosa-Vega, MA Frame, WS Miller, NH AF Berger, Allen N. Espinosa-Vega, Marco A. Frame, W. Scott Miller, Nathan H. TI Why do borrowers pledge collateral? New empirical evidence on the role of asymmetric information SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Collateral; Asymmetric information; Banks; Small business; Credit scoring ID SMALL BUSINESS CREDIT; IMPERFECT INFORMATION; DEBT MATURITY; LENDING RELATIONSHIPS; MARKETS; CONTRACTS; RISK; EQUILIBRIUM; CHOICE; MODEL AB An important theoretical literature motivates collateral as a mechanism that mitigates adverse selection, credit rationing, and other inefficiencies that arise when borrowers have ex ante private information. There is no clear empirical evidence regarding the central implication of this literature - that a reduction in asymmetric information reduces the incidence of collateral. We exploit exogenous variation in lender information related to the adoption of an information technology that reduces ex ante private information, and compare collateral outcomes before and after adoption. Our results are consistent with this central implication of the private-information models and support the economic importance of this theory. (C) 2010 Elsevier Inc. All rights reserved. C1 [Berger, Allen N.] Univ S Carolina, Moore Sch Business, Wharton Financial Inst Ctr, Columbia, SC 29208 USA. [Espinosa-Vega, Marco A.] Int Monetary Fund, Washington, DC 20431 USA. [Frame, W. Scott] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Miller, Nathan H.] US Dept Justice, Econ Anal Grp, Washington, DC 20530 USA. [Berger, Allen N.] CentER Tilburg Univ, Tilburg, Netherlands. RP Berger, AN (reprint author), Univ S Carolina, Moore Sch Business, Wharton Financial Inst Ctr, 1705 Coll St, Columbia, SC 29208 USA. EM aberger@moore.sc.edu; mespinosa@imf.org; scott.frame@atl.frb.org; nathan.miller@usdoj.gov NR 63 TC 27 Z9 28 U1 2 U2 24 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JAN PY 2011 VL 20 IS 1 BP 55 EP 70 DI 10.1016/j.jfi.2010.01.001 PG 16 WC Business, Finance SC Business & Economics GA 693GX UT WOS:000285213700003 ER PT J AU Hu, LJ Taber, C AF Hu, Luojia Taber, Christopher TI Displacement, Asymmetric Information, and Heterogeneous Human Capital SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID ADVERSE SELECTION; LABOR-MARKETS; LAYOFFS; DISCRIMINATION; LITIGATION; LEMONS; SIZE AB Gibbons and Katz's asymmetric information model of the labor market predicts that wage losses following displacement should be larger for layoffs than for plant closings. This was borne out in their empirical work. In this article, we examine how the difference in wage losses across plant closing and layoff varies with race and gender. We find that the basic prediction by Gibbons and Katz holds only for white males. We augment their asymmetric information model with heterogeneous human capital and show that this augmented model can match the data. C1 [Hu, Luojia] Fed Reserve Bank Chicago, Chicago, IL USA. [Taber, Christopher] Univ Wisconsin, Madison, WI 53706 USA. RP Hu, LJ (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM lhu@frbchi.org NR 23 TC 10 Z9 10 U1 1 U2 2 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X J9 J LABOR ECON JI J. Labor Econ. PD JAN PY 2011 VL 29 IS 1 BP 113 EP 152 DI 10.1086/656373 PG 40 WC Economics; Industrial Relations & Labor SC Business & Economics GA 689PS UT WOS:000284941100004 ER PT J AU Curdia, V Woodford, M AF Curdia, Vasco Woodford, Michael TI The central-bank balance sheet as an instrument of monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Credit policy; Quantitative easing; Zero lower bound; Interest on reserves AB We extend a standard New Keynesian model to allow an analysis of "unconventional" dimensions of policy alongside traditional interest-rate policy. We find that quantitative easing in the strict sense is likely to be ineffective, but that targeted asset purchases by a central bank can instead be effective when financial markets are sufficiently disrupted, and we discuss the conditions under which such interventions increase welfare. We also discuss optimal policy with regard to the payment of interest on reserves. Published by Elsevier B.V. C1 [Curdia, Vasco] Fed Reserve Bank New York, New York, NY 10045 USA. [Woodford, Michael] Columbia Univ, New York, NY 10027 USA. RP Curdia, V (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM vasco.curdia@ny.frb.org NR 30 TC 52 Z9 54 U1 6 U2 35 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2011 VL 58 IS 1 BP 54 EP 79 DI 10.1016/j.jmoneco.2010.09.011 PG 26 WC Business, Finance; Economics SC Business & Economics GA 736FA UT WOS:000288474900007 ER PT J AU Graves, EM AF Graves, Erin M. TI Mixed Outcome Developments SO JOURNAL OF THE AMERICAN PLANNING ASSOCIATION LA English DT Article DE housing; mixed-income developments; affordable housing ID INCOME DEVELOPMENT; COMMUNITY; NEIGHBORHOODS; POVERTY; MATTER; CRIME; TIES AB Problem: Policymakers and planners have broadly conceptualized and widely adopted the mixed-income approach to provision of low-income housing. Yet, few case studies examine the relationship between theoretical propositions about how mixed-income tenancy can help lift families out of poverty and the actual dynamics of a mixed-income housing development. Purpose: I address this gap by examining the social dynamics within a mixed-income housing development in Boston, MA, and compare the dynamics observed there to those assumed in the theoretical literature. Methods: I use qualitative data, including ethnographic methods, such as participant observation and resident interviews from a mixed-income housing development to analyze the relationship between the case presented and four theoretical propositions about how mixed-income tenancy can aid low-income families. Results and conclusions: The evidence from the field research site provides mixed support for the theoretical propositions regarding the potential benefits to low-income residents from living in mixed-income developments. First, some evidence supports the idea that residents influence one another's behavior, although such influence was not exclusively cross-class. Second, contrary to expectations in the literature, higher-income households rarely worked to improve neighborhood services, except in the cases of policing and security. Third, as expected, higher resourced individuals did promote greater informal social control, yet subsidized residents did as well. Finally, theoretically, higher-income residents can enhance low-income residents' social capital, including increasing their access to employment opportunities. Market-rate residents did provide some useful interpersonal resources, although there was no evidence that they directed their disadvantaged neighbors toward jobs. Finally, the property management company had an important influence on the outcomes for each of these propositions, suggesting that the role of management in promoting theoretical ideals needs further theoretical scrutiny and practical consideration. Takeaway for practice: Practitioners should be aware that mixed-income developments can be used to achieve the social goals of reducing negative behavior, improving local services, enhancing social control, and developing social capital, although all of these will likely be limited. Most importantly, the role of onsite management and service providers is pivotal in assuring that mixed-income developments maximize the likelihood that developments achieve the theoretical ideals. Research support: This research was partially funded by the Department of Urban Studies and Planning at the Massachusetts Institute of Technology. C1 Fed Reserve Bank Boston, Publ & Community Affairs Dept, Boston, MA USA. RP Graves, EM (reprint author), Fed Reserve Bank Boston, Publ & Community Affairs Dept, Boston, MA USA. EM Erin.M.Graves@bos.frb.org NR 35 TC 4 Z9 4 U1 0 U2 9 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0194-4363 J9 J AM PLANN ASSOC JI J. Am. Plan. Assoc. PY 2011 VL 77 IS 2 BP 143 EP 153 AR PII 936351344 DI 10.1080/01944363.2011.567921 PG 11 WC Planning & Development; Urban Studies SC Public Administration; Urban Studies GA 750VP UT WOS:000289576400003 ER PT J AU Ding, L Quercia, RG Reid, CK White, AM AF Ding, Lei Quercia, Roberto G. Reid, Carolina K. White, Alan M. TI STATE ANTIPREDATORY LENDING LAWS AND NEIGHBORHOOD FORECLOSURE RATES SO JOURNAL OF URBAN AFFAIRS LA English DT Article ID FIXED-RATE; IMPACT; MORTGAGES; HYBRID AB In this study, we examine the impact of state antipredatory lending laws (APLs) on neighborhood foreclosure and delinquency rates using a set of panel data regression models. We find strong evidence that neighborhoods have lower default rates in states with laws that extended federal coverage and/or restricted more mortgage contract terms, in states with broader coverage of subprime loans with high points and fees, and in states with more restrictive regulations on prepayment penalties. A typical APL lowers neighborhood default rates by between 3.8% and 18%, depending on the default risk measure considered. The findings remain consistent when we restrict the analysis to cross-border neighborhoods, suggesting that they are not due solely to unobservable market variation. C1 [Ding, Lei] Wayne State Univ, Dept Urban Studies & Planning, Detroit, MI 48202 USA. [Quercia, Roberto G.] Univ N Carolina, Chapel Hill, NC USA. [Reid, Carolina K.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [White, Alan M.] Valparaiso Univ, Sch Law, Valparaiso, IN 46383 USA. RP Ding, L (reprint author), Wayne State Univ, Dept Urban Studies & Planning, 3199 FAB, Detroit, MI 48202 USA. EM lei_ding@wayne.edu NR 29 TC 5 Z9 5 U1 1 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0735-2166 J9 J URBAN AFF JI J. Urban Aff. PY 2011 VL 33 IS 4 BP 451 EP 467 DI 10.1111/j.1467-9906.2011.00556.x PG 17 WC Urban Studies SC Urban Studies GA 825LK UT WOS:000295276600004 ER PT B AU Robles, BJ AF Robles, Barbara J. BE Johnson, NJ Svara, JH TI Historical and Policy Dimensions of Inequity in Income and Wealth SO JUSTICE FOR ALL: PROMOTING SOCIAL EQUITY IN PUBLIC ADMINISTRATION SE Transformational Trends in Governance and Democracy LA English DT Article; Book Chapter ID LATINOS C1 [Robles, Barbara J.] Fed Reserve Syst, Board Governors, Div Consumer & Community Affairs, Washington, DC 20551 USA. [Robles, Barbara J.] Arizona State Univ, Tempe, AZ 85287 USA. [Robles, Barbara J.] Univ Texas Austin, Austin, TX 78712 USA. [Robles, Barbara J.] Univ Colorado, Boulder, CO 80309 USA. RP Robles, BJ (reprint author), Fed Reserve Syst, Board Governors, Div Consumer & Community Affairs, Washington, DC 20551 USA. NR 14 TC 1 Z9 1 U1 0 U2 0 PU ROUTLEDGE PI ABINGDON PA 2 PARK SQ, MILTON PARK, ABINGDON OX14 4RN, OXFORD, ENGLAND BN 978-0-7656-3026-1; 978-1-317-46673-4; 978-0-7656-3025-4 J9 TRANSFORM TR GOV DEM PY 2011 BP 36 EP 55 PG 20 WC Public Administration SC Public Administration GA BF6MW UT WOS:000383343200004 ER PT J AU Pinto, E AF Pinto, Eugenio TI Firms' relative sensitivity to aggregate shocks and the dynamics of gross job flows SO LABOUR ECONOMICS LA English DT Article DE Aggregate shocks; Gross job flows; Firm heterogeneity ID DESTRUCTION; CREATION; REALLOCATION; LABOR AB We propose the coefficient of variation as a measure of the cyclical volatility of gross job flows that is immune to trends in net job creation. In addition, we show that this measure is intrinsically related to the importance of aggregate shocks for fluctuations in job flows at the firm level. Using data for the Portuguese economy, we conclude that the coefficient of variation is a more robust measure for the underlying volatility of gross job flows. We also find that large and old firms exhibit higher relative sensitivity to aggregate shocks than small and young firms, and have a disproportional influence over the dynamics of aggregate job reallocation. In particular, since large and old firms tend to reallocate jobs less procyclically than small and young firms, job reallocation is less procyclical than if all firm classes were equally sensitive to aggregate shocks. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Pinto, E (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW,Stop 80, Washington, DC 20551 USA. EM eugenio.p.pinto@frb.gov RI nipe, cef/A-4218-2010 NR 16 TC 1 Z9 1 U1 1 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5371 J9 LABOUR ECON JI Labour Econ. PD JAN PY 2011 VL 18 IS 1 BP 111 EP 119 DI 10.1016/j.labeco.2010.07.002 PG 9 WC Economics SC Business & Economics GA 751DZ UT WOS:000289599000011 ER PT S AU Eggertsson, GB AF Eggertsson, Gauti B. BE Acemoglu, D Woodford, M TI What Fiscal Policy Is Effective at Zero Interest Rates? SO NBER MACROECONOMICS ANNUAL 2010 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter AB Tax cuts can deepen a recession if the short-term nominal interest rate is zero, according to a standard New Keynesian business cycle model. An example of a contractionary tax cut is a reduction in taxes on wages. This tax cut deepens a recession because it increases deflationary pressures. Another example is a cut in capital taxes. This tax cut deepens a recession because it encourages people to save instead of spend when more spending is needed. Fiscal policies aimed directly at stimulating aggregate demand work better. These policies include (1) a temporary increase in government spending and (2) temporary tax cuts directly aimed at stimulating aggregate demand rather than aggregate supply, such as an investment tax credit or a cut in sales taxes. The results are special to an environment in which the interest rate is close to zero, as observed in large parts of the world today. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Eggertsson, GB (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 12 TC 59 Z9 59 U1 1 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00212-5 J9 NBER MACROECON ANNU PY 2011 VL 25 BP 59 EP + PG 86 WC Economics SC Business & Economics GA BUT51 UT WOS:000290284300003 ER PT J AU Mandelman, FS Rabanal, P Rubio-Ramirez, JF Vilan, D AF Mandelman, Federico S. Rabanal, Pau Rubio-Ramirez, Juan F. Vilan, Diego TI Investment-specific technology shocks and international business cycles: An empirical assessment SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE International business cycles; Cointegration; Investment-specific technology shocks ID UNIT-ROOT; COINTEGRATION; MODELS; TESTS; VOLATILITY; STICKY AB In this paper, we first introduce investment-specific technology (IST) shocks to an otherwise standard international real business cycle model and show that a thoughtful calibration of them along the lines of Raffo (2009) successfully addresses the "quantity", "international comovement", "Backus-Smith", and "price" puzzles. Second, we use OECD data for the relative price of investment to build and estimate these IST processes across the U.S. and a "rest of the world" aggregate, showing that they are cointegrated and well represented by a vector error correction model (VECM). Finally, we demonstrate that when we fit such estimated IST processes in the model instead of the calibrated ones, the shocks are actually not as powerful to explain any of the four mentioned puzzles. (C) 2010 Elsevier Inc. All rights reserved. C1 [Rubio-Ramirez, Juan F.] Duke Univ, Durham, NC 27708 USA. [Mandelman, Federico S.; Rubio-Ramirez, Juan F.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Rabanal, Pau] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. [Rubio-Ramirez, Juan F.] FEDEA, Madrid 28001, Spain. [Vilan, Diego] Univ So Calif, Los Angeles, CA 90089 USA. RP Rubio-Ramirez, JF (reprint author), Duke Univ, 213 Social Sci Bldg,POB 90097, Durham, NC 27708 USA. EM federico.mandelman@atl.frb.org; prabanal@imf.org; juan.rubio-ramirez@duke.edu; vilan@usc.edu NR 30 TC 15 Z9 15 U1 1 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2011 VL 14 IS 1 SI SI BP 136 EP 155 DI 10.1016/j.red.2010.08.001 PG 20 WC Economics SC Business & Economics GA 704WI UT WOS:000286085900009 ER PT J AU Bartolini, L Hilton, S Sundaresan, S Tonetti, C AF Bartolini, Leonardo Hilton, Spence Sundaresan, Suresh Tonetti, Christopher TI Collateral Values by Asset Class: Evidence from Primary Securities Dealers SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID SPECIAL REPO RATES; STOCHASTIC VOLATILITY; LIQUIDITY PREMIUM; BOND; OPTIONS; MARKET AB Using data on repurchase agreements by primary securities dealers, we show that three classes of securities (Treasury securities, securities issued by government-sponsored agencies, and mortgage-backed securities) can be formally ranked in terms of their collateral values in the general collateral (GC) market. We then show that GC repurchase agreement (repo) spreads across asset classes display jumps and significant temporal variation, especially at times of predictable liquidity needs, consistent with the "safe haven" properties of Treasury securities: These jumps are driven almost entirely by the behavior of the GC repo rates of Treasury securities. Estimating the "collateral rents" earned by owners of these securities, we find such rents to be sizable for Treasury securities and nearly zero for agency and mortgage-backed securities. Finally, we link collateral values to asset prices in a simple no-arbitrage framework and show that variations in collateral values explain a significant fraction of changes in short-term yield spreads but not those of longer-term spreads. Our results point to securities' role as collateral as a promising direction of research to improve understanding of the pricing of money market securities and their spreads. C1 [Bartolini, Leonardo; Hilton, Spence] Fed Reserve Bank New York, New York, NY USA. [Sundaresan, Suresh] Columbia Business Sch, New York, NY 10027 USA. [Tonetti, Christopher] NYU, New York, NY 10003 USA. RP Sundaresan, S (reprint author), Columbia Business Sch, 3022 Broadway,Uris Hall 811, New York, NY 10027 USA. EM ms122@columbia.edu NR 28 TC 7 Z9 7 U1 2 U2 11 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JAN PY 2011 VL 24 IS 1 BP 248 EP 278 DI 10.1093/rfs/hhq108 PG 31 WC Business, Finance; Economics SC Business & Economics GA 696DC UT WOS:000285421100007 ER PT J AU Pykhtin, M Rosen, D AF Pykhtin, Michael Rosen, Dan TI Pricing counterparty risk at the trade level and credit valuation adjustment allocations SO JOURNAL OF CREDIT RISK LA English DT Article AB We address the problem of allocating counterparty-level credit valuation adjustment to individual trades comprising a portfolio. We show that this problem can be reduced to calculating contributions of the trades to the counterparty-level expected exposure (EE) conditional on the counterparty's default. We propose a methodology for calculating conditional EE contributions for both collateralized and non-collateralized counterparties. The calculation of EE contributions can be easily incorporated into exposure simulation processes that already exist in a financial institution. We also derive closed-form expressions for EE contributions under the assumption that trade values are normally distributed. Analytical results are obtained for the case when the trade values and the counterparty's credit quality are independent and the case when there is a dependence between them (wrong-way risk). C1 [Pykhtin, Michael] Fed Reserve Board, Washington, DC 20551 USA. [Rosen, Dan] R2 Financial Technol, Toronto, ON M5V 1P9, Canada. [Rosen, Dan] Fields Inst Res Math Sci, Toronto, ON M5T 3J1, Canada. RP Pykhtin, M (reprint author), Fed Reserve Board, Mail Stop 1813,20th St & Constitut Ave NW, Washington, DC 20551 USA. EM michael.v.pykhtin@frb.gov; dan.rosen@R2-financial.com NR 16 TC 4 Z9 4 U1 1 U2 5 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6619 J9 J CREDIT RISK JI J. Credit Risk PD WIN PY 2010 VL 6 IS 4 BP 3 EP 38 PG 36 WC Business, Finance SC Business & Economics GA 812NI UT WOS:000294299800002 ER PT J AU Ihrig, J Kamin, SB Lindner, D Marquez, J AF Ihrig, Jane Kamin, Steven B. Lindner, Deborah Marquez, Jaime TI Some Simple Tests of the Globalization and Inflation Hypothesis SO INTERNATIONAL FINANCE LA English DT Article ID PRODUCTIVITY GROWTH; MONETARY-POLICY; TRADE AB This paper evaluates the hypothesis that globalization has increased the role of international factors and decreased the role of domestic factors in the inflation process in industrial economies. Towards that end, we estimate standard Phillips curve inflation equations for 11 industrial countries and use these estimates to test several predictions of the globalization and inflation hypothesis. Our results provide little support for this hypothesis. First, the estimated effect of foreign output gaps on domestic consumer price inflation is generally insignificant and often of the wrong sign. Second, we find no evidence that the trend decline in the sensitivity of inflation to the domestic output gap observed in many countries owes to globalization. Finally, and most surprisingly, our econometric results indicate no increase over time in the responsiveness of inflation to import prices for most countries. C1 [Ihrig, Jane; Kamin, Steven B.; Lindner, Deborah; Marquez, Jaime] Fed Reserve Board, Washington, DC 20551 USA. RP Marquez, J (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM Jaime.Marquez@frb.gov NR 42 TC 19 Z9 19 U1 0 U2 6 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1367-0271 J9 INT FINANC JI Int. Financ. PD WIN PY 2010 VL 13 IS 3 BP 343 EP 375 DI 10.1111/j.1468-2362.2010.01268.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 700NN UT WOS:000285750800001 ER PT J AU Kehoe, TJ Ruhl, KJ AF Kehoe, Timothy J. Ruhl, Kim J. TI Why Have Economic Reforms in Mexico Not Generated Growth? SO JOURNAL OF ECONOMIC LITERATURE LA English DT Article ID TRADE OPENNESS; PRODUCTIVITY; CHINA; INTEGRATION; TECHNOLOGY; GEOGRAPHY; 1980S; TERMS; INDIA AB Following its opening to trade and foreign investment in the mid-1980s, Mexico's economic growth has been modest at best, particularly in comparison with that of China. Comparing these countries and reviewing the literature, we conclude that the relation between openness and growth is not a simple one. Using standard trade theory, we find that Mexico has gained from trade, and by some measures, more so than China. We sketch out a theory in which developing countries can grow faster than the United States by reforming. As a country becomes richer, this sort of catch-up becomes more difficult. Absent continuing reforms, Chinese growth is likely to slow down sharply, perhaps leaving China at a level less than Mexico's real GDP per working-age person. (JEL E23, E65, F14, O10, O20, O47) C1 [Kehoe, Timothy J.] Univ Minnesota, Minneapolis, MN 55455 USA. [Kehoe, Timothy J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Kehoe, Timothy J.] NBER, Cambridge, MA 02138 USA. [Ruhl, Kim J.] NYU, New York, NY 10003 USA. RP Kehoe, TJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. OI Ruhl, Kim/0000-0002-5772-7396 NR 85 TC 15 Z9 18 U1 5 U2 21 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD DEC PY 2010 VL 48 IS 4 BP 1005 EP 1027 DI 10.1257/jel.48.4.1005 PG 23 WC Economics SC Business & Economics GA 700CG UT WOS:000285709300006 ER PT J AU Barnichon, R AF Barnichon, Regis TI Building a composite Help-Wanted Index SO ECONOMICS LETTERS LA English DT Article DE Vacancy posting; Help Wanted Index; Technology diffusion AB This paper builds a measure of vacancy posting over 1951-2009 that captures the behavior of total print and online- help-wanted advertising and can be used for time series analysis of the US labor market Published by Elsevier B V C1 Fed Reserve Board, Washington, DC 20551 USA. RP Barnichon, R (reprint author), Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. RI Barnichon, Regis/B-4650-2013 OI Barnichon, Regis/0000-0003-3967-1453 NR 9 TC 31 Z9 31 U1 0 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD DEC PY 2010 VL 109 IS 3 BP 175 EP 178 DI 10.1016/j.econlet.2010.08.029 PG 4 WC Economics SC Business & Economics GA 701NA UT WOS:000285823400012 ER PT J AU Comin, D Hobijn, B AF Comin, Diego Hobijn, Bart TI An Exploration of Technology Diffusion SO AMERICAN ECONOMIC REVIEW LA English DT Article ID APPROPRIATE TECHNOLOGY; ADOPTION; GROWTH AB We develop a model that, at the aggregate level, is similar to the one-sector neoclassical growth model; at the disaggregate level, it has implications for the path of observable measures of technology adoption. We estimate it using data on the diffusion of 15 technologies in 166 countries over the last two centuries. Our results reveal that, on average, countries have adopted technologies 45 years after their invention. There is substantial variation across technologies and countries. Newer technologies have been adopted faster than old ones. The cross-country variation in the adoption of technologies accounts for at least 25 percent of per capita income differences. (JEL O33, O41, O47) C1 [Comin, Diego] Harvard Univ, Sch Business, Boston, MA 02163 USA. [Hobijn, Bart] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Comin, D (reprint author), Harvard Univ, Sch Business, Morgan Hall 269, Boston, MA 02163 USA. EM dcomin@hbs.edu; bart.hobijn@sf.frb.org NR 22 TC 50 Z9 50 U1 3 U2 38 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2010 VL 100 IS 5 BP 2031 EP 2059 DI 10.1257/aer.100.5.2031 PG 29 WC Economics SC Business & Economics GA 692GQ UT WOS:000285141700004 ER PT J AU Alessandria, G Kaboski, JP Midrigan, V AF Alessandria, George Kaboski, Joseph P. Midrigan, Virgiliu TI Inventories, Lumpy Trade, and Large Devaluations SO AMERICAN ECONOMIC REVIEW LA English DT Article ID REAL EXCHANGE-RATE; BUSINESS CYCLES; INTERNATIONAL-TRADE; EXPORT DYNAMICS; EMPIRICAL-MODEL; SUNK COSTS; EQUILIBRIUM; PRICES; ENTRY; TERMS AB We document that delivery lags and transaction-level economics of scale matter for international trade, leading importers to import infrequently and hold additional inventory. In a model with these frictions calibrated to empirical measures of inventory and trade lumpiness, these frictions have a large (20 percent) tariff equivalent, mostly due to inventory carrying costs. These frictions also alter the dynamics of imports and prices. Consistent with evidence from large devaluation episodes in six developing economies, following terms-of-trade and interest rate shocks, the model generates a short-term implosion of imports and a gradual increase in the retail price of imports. (JEL D92, F14, G31, L81, M11) C1 [Alessandria, George] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Kaboski, Joseph P.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Midrigan, Virgiliu] NYU, Dept Econ, New York, NY 10012 USA. RP Alessandria, G (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM george.alessandria@phil.frb.org; jkaboski@nd.edu; virgiliu.midrigan@nyu.edu NR 41 TC 30 Z9 30 U1 2 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2010 VL 100 IS 5 BP 2304 EP 2339 DI 10.1257/aer.100.5.2304 PG 36 WC Economics SC Business & Economics GA 692GQ UT WOS:000285141700014 ER PT J AU Lansing, KJ AF Lansing, Kevin J. TI Rational and Near-Rational Bubbles Without Drift SO ECONOMIC JOURNAL LA English DT Article ID ASSET PRICING-MODELS; STOCK-PRICES; INTRINSIC BUBBLES; SPECULATIVE BUBBLES; EXCHANGE ECONOMY; EXPECTATIONS; FUNDAMENTALS; MARKET; DEVIATIONS; RETURNS AB This article derives a general class of intrinsic rational bubble solutions in a Lucas-type asset pricing model. I show that the rational bubble component of the price-dividend ratio can evolve as a geometric random walk without drift, such that the mean of the bubble growth rate is zero. Driftless bubbles are part of a continuum of equilibrium solutions that satisfy a period-by-period no-arbitrage condition. I also derive a near-rational solution in which the agent's forecast rule is under-parameterised. The near-rational solution generates intermittent bubbles and other behaviour that is quantitatively similar to that observed in long-run US stock market data. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM kevin.j.lansing@sf.frb.org NR 54 TC 18 Z9 18 U1 2 U2 11 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0133 J9 ECON J JI Econ. J. PD DEC PY 2010 VL 120 IS 549 BP 1149 EP 1174 DI 10.1111/j.1468-0297.2010.02385.x PG 26 WC Economics SC Business & Economics GA 681MO UT WOS:000284320000001 ER PT J AU Love, DA Smith, PA AF Love, David A. Smith, Paul A. TI DOES HEALTH AFFECT PORTFOLIO CHOICE? SO HEALTH ECONOMICS LA English DT Article DE household portfolios; health; risk ID RISKY ASSETS; LABOR INCOME; LIFE-CYCLE; CAUSALITY; MODELS; COSTS AB A number of recent studies find that poor health is empirically associated with a safer portfolio allocation. It is difficult to say, however, whether this relationship is truly causal. Both health status and portfolio choice are influenced by unobserved characteristics such as risk attitudes, impatience, information, and motivation, and these unobserved factors, if not adequately controlled for, can induce significant bias in the estimates of asset demand equations. Using the 1992-2006 waves of the Health and Retirement Study, we investigate how much of the connection between health and portfolio choice is causal and how much is due to the effects of unobserved heterogeneity. Accounting for unobserved heterogeneity with fixed effects and correlated random effects models, we find that health does not appear to significantly affect portfolio choice among single households. For married households, we find a small effect (about 2-3 percentage points) from being in the lowest of five self-reported health categories. Copyright (C) 2009 John Wiley & Sons, Ltd. C1 [Smith, Paul A.] Fed Reserve Board, Washington, DC 20551 USA. [Love, David A.] Williams Coll, Dept Econ, Williamstown, MA 01267 USA. RP Smith, PA (reprint author), Fed Reserve Board, Mail Stop 97,20th & C St NW, Washington, DC 20551 USA. EM paul.a.smith@frb.gov NR 36 TC 12 Z9 12 U1 0 U2 5 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 1057-9230 J9 HEALTH ECON JI Health Econ. PD DEC PY 2010 VL 19 IS 12 BP 1441 EP 1460 DI 10.1002/hec.1562 PG 20 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA 693FN UT WOS:000285210100004 PM 19937612 ER PT J AU Alessandria, G Kaboski, JP Midrigan, V AF Alessandria, George Kaboski, Joseph P. Midrigan, Virgiliu TI The Great Trade Collapse of 2008-09: An Inventory Adjustment? SO IMF ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Conference on Economic Linkages, Spillovers, and the Financial Crisis CY JAN 28-29, 2010 CL Paris, FRANCE SP Paris Sch Econom ID BUSINESS-CYCLE; TERMS AB This paper examines the role of inventories in the decline of production, trade, and expenditures in the United States in the economic crisis of late 2008 and 2009. Empirically, the paper shows that international trade declined more drastically than trade-weighted production or absorption and there was a sizable inventory adjustment. This is most clearly evident for automobile, the industry with the largest drop in trade. However, relative to the magnitude of the U.S. downturn, these movements in trade are quite typical. The paper develops a two-country general equilibrium model with endogenous inventory holdings in response to frictions in domestic and foreign transactions costs. With more severe frictions on international transactions, in a downturn, the calibrated model shows a larger decline in output and an even larger decline in international trade, relative to a more standard model without inventories. The magnitudes of production, trade, and inventory responses are quantitatively similar to those observed in the current and previous U.S. recessions. [JEL E31, F12] IMF Economic Review (2010) 58, 254-294. doi:10.1057/imfer.2010.10; published online 28 September 2010 C1 [Alessandria, George] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. [Kaboski, Joseph P.] Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. [Midrigan, Virgiliu] NYU, Dept Econ, New York, NY 10003 USA. RP Alessandria, G (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. NR 34 TC 33 Z9 33 U1 2 U2 11 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 J9 IMF ECON REV JI IMF Econ. Rev. PD DEC PY 2010 VL 58 IS 2 BP 254 EP 294 DI 10.1057/imfer.2010.10 PG 41 WC Business, Finance; Economics SC Business & Economics GA 693RD UT WOS:000285242000003 ER PT J AU Bems, R Johnson, RC Yi, KM AF Bems, Rudolfs Johnson, Robert C. Yi, Kei-Mu TI Demand Spillovers and the Collapse of Trade in the Global Recession SO IMF ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Conference on Economic Linkages, Spillovers, and the Financial Crisis CY JAN 28-29, 2010 CL Paris, FRANCE SP Paris Sch Econom ID VERTICAL SPECIALIZATION; WORLD-TRADE; GROWTH AB This paper uses a global input-output framework to quantify U. S. and European Union (EU) demand spillovers and the elasticity of world trade to GDP during the global recession of 2008-09. Cross-border intermediate goods linkages have implications for the transmission of shocks and the relationship between demand, trade, and production across countries. This paper finds that 20-30 percent of the decline in U.S. and EU final demand was borne by foreign countries, with the North American Free Trade Agreement (NAFTA) and emerging Europe hit hardest. Allowing final demand to change in all countries simultaneously, the framework presented here delivers an elasticity of world trade to GDP of 2.8. Thus, demand forces alone can account for roughly 70 percent of the trade collapse. Large changes in demand for durables play an important role in driving these results. [JEL F4, F1] IMF Economic Review (2010) 58, 295-326. doi:10.1057/imfer.2010.15; published online 9 November 2010 C1 [Bems, Rudolfs] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. [Yi, Kei-Mu] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN USA. [Johnson, Robert C.] Dartmouth Coll, Hanover, NH 03755 USA. RP Bems, R (reprint author), Int Monetary Fund, Res Dept, Washington, DC 20431 USA. NR 36 TC 34 Z9 34 U1 0 U2 11 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 J9 IMF ECON REV JI IMF Econ. Rev. PD DEC PY 2010 VL 58 IS 2 BP 295 EP 326 DI 10.1057/imfer.2010.15 PG 32 WC Business, Finance; Economics SC Business & Economics GA 693RD UT WOS:000285242000004 ER PT J AU Morgan, DP AF Morgan, Donald P. TI Discussion of "Banks' Financial Conditions and the Transmission of Monetary Policy: A FAVAR Approach" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Editorial Material C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Morgan, DP (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 8 TC 0 Z9 0 U1 1 U2 3 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD DEC PY 2010 VL 6 IS 4 SI SI BP 119 EP 124 PG 6 WC Business, Finance SC Business & Economics GA 699WO UT WOS:000285693800005 ER PT J AU Covas, F Fujita, S AF Covas, Francisco Fujita, Shigeru TI Procyclicality of Capital Requirements in a General Equilibrium Model of Liquidity Dependence SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID NET WORTH; BUSINESS FLUCTUATIONS; AGENCY COSTS; BANKS; MARKETS AB This paper quantifies the procyclical effects of bank capital requirements in a general equilibrium model where financing of capital goods production is subject to an agency problem. At the center of this problem is the interaction between entrepreneurs' moral hazard and liquidity provision by banks as analyzed by Holmstrom and Tirole (1998). We impose capital requirements under the assumption that raising funds through bank equity is more costly than raising it through deposits. We consider the time-varying capital requirement (as in Basel II) as well as the constant requirement (as in Basel I). Importantly, under both regimes, the cost of issuing equity is higher during downturns. Comparing output fluctuations under the Basel I and Basel II economies with those in the no-requirement economy, we find that the regulations have relatively minor average effects on output fluctuations (measured by the differences in the standard deviations). However, the effects are more pronounced around business cycle peaks and troughs. C1 [Fujita, Shigeru] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. EM francisco.b.covas@frb.gov; shfujita@gmail.com NR 23 TC 9 Z9 9 U1 0 U2 9 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD DEC PY 2010 VL 6 IS 4 SI SI BP 137 EP 173 PG 37 WC Business, Finance SC Business & Economics GA 699WO UT WOS:000285693800007 ER PT J AU Rose, JD AF Rose, Jonathan D. TI Hoover's Truce: Wage Rigidity in the Onset of the Great Depression SO JOURNAL OF ECONOMIC HISTORY LA English DT Article ID MANUFACTURING-INDUSTRIES; EMPLOYMENT; UNEMPLOYMENT; 1930S AB This article analyzes President Herbert Hoover's role in causing wage rigidity during the onset of the Great Depression, through two conferences in which he encouraged business leaders to maintain high wages. New data on the set of firms and trade associations attending these conferences provides evidence that Hoover's conferences delayed the cuts in hourly wages at a small number of large firms, although this result may have been due to characteristics of the particular industries the firms represented. In a cross-section of industries, there is no evidence that industry representation at the December conference affected the timing of wage cuts. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Rose, JD (reprint author), Fed Reserve Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM Jonathan.D.Rose@frb.gov NR 48 TC 7 Z9 7 U1 3 U2 6 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD DEC PY 2010 VL 70 IS 4 BP 843 EP 870 DI 10.1017/S0022050710000744 PG 28 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 685AH UT WOS:000284595900003 ER PT J AU Duca, JV Muellbauer, J Murphy, A AF Duca, John V. Muellbauer, John Murphy, Anthony TI Housing markets and the financial crisis of 2007-2009: Lessons for the future SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Financial crisis; House prices; Credit crunch; Subprime mortgages ID RESIDENTIAL CONSTRUCTION; AFFECT CONSUMPTION; PRICE ELASTICITY; SAVING BEHAVIOR; TAX SUBSIDIES; LAND; BRITAIN; EQUITY; WEALTH; IMPACT AB An unsustainable weakening of credit standards induced a US mortgage lending and housing bubble, whose consumption impact was amplified by innovations altering the collateral role of housing. In countries with more stable credit standards, any overshooting of construction and house prices owed more to traditional housing supply and demand factors. Housing collateral effects on consumption also varied, depending on the liquidity of housing wealth. Lessons for the future include recognizing the importance of financial innovation, regulation, housing policies, and global financial imbalances for fueling credit, construction, house price and consumption cycles that vary across countries. (C) 2010 Elsevier B.V. All rights reserved. C1 [Duca, John V.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. [Duca, John V.] So Methodist Univ, Dallas, TX 75275 USA. [Muellbauer, John] Univ Oxford, Nuffield Coll, Oxford OX1 1NF, England. [Murphy, Anthony] Univ Oxford, Hertford Coll, Oxford OX1 3BW, England. RP Duca, JV (reprint author), Fed Reserve Bank Dallas, Res Dept, POB 655906, Dallas, TX 75265 USA. EM john.v.duca@dal.frb.org; john.muellbauer@nuffield.ox.ac.uk; anthony.murphy@economics.ox.ac.uk NR 136 TC 35 Z9 35 U1 6 U2 29 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1572-3089 J9 J FINANC STABIL JI J. Financ. Stab. PD DEC PY 2010 VL 6 IS 4 SI SI BP 203 EP 217 DI 10.1016/j.jfs.2010.05.002 PG 15 WC Business, Finance; Economics SC Business & Economics GA 666JT UT WOS:000283111700003 ER PT J AU Takhtamanova, YF AF Takhtamanova, Yelena F. TI Understanding changes in exchange rate pass-through SO JOURNAL OF MACROECONOMICS LA English DT Article DE Pass-through; Inflation; Exchange rate; Monopolistic competition; Staggered price setting AB Recent research suggests that there has been a decline in the extent to which firms "pass-through" changes in exchange rates to prices. This paper provides further evidence in support of this claim. Additionally, it proposes an explanation for this phenomenon. The paper then presents empirical evidence of a structural break during the 1990s in the relationship between the real exchange rate and CPI inflation for a set of fourteen OECD countries. It is suggested that the recent reduction in the real exchange rate pass-through can in part be attributed to the low inflationary environment of the 1990s. (C) 2010 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Takhtamanova, YF (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM Yelena.Takhtamanova@sf.frb.org NR 0 TC 13 Z9 14 U1 0 U2 1 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD DEC PY 2010 VL 32 IS 4 BP 1118 EP 1130 DI 10.1016/j.jmacro.2010.04.004 PG 13 WC Economics SC Business & Economics GA 681GO UT WOS:000284299600014 ER PT J AU Knotek, ES AF Knotek, Edward S., II TI A Tale of Two Rigidities: Sticky Prices in a Sticky-Information Environment SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E31; E32; E40; sticky prices; sticky information; menu costs; indirect inference ID PHILLIPS-CURVE; MENU COSTS; MODELS; ADJUSTMENT; HETEROGENEITY; FLUCTUATIONS; STICKINESS; ECONOMY; MONEY AB Macroeconomic models with microeconomic foundations allow for comparisons with macro and micro empirical evidence. This paper proposes a model wherein firms: (i) acquire information infrequently, generating sticky information (Mankiw and Reis 2002) and (ii) face menu costs, producing state-dependent sticky prices. I estimate parameters via indirect inference and show that under considerable real rigidity, sticky prices in a sticky-information environment are consistent with micro and macro evidence. Sticky prices not only help match micro data on price changes' size and durations between adjustments; they also improve the model's fit with the macro data, as embodied in an empirical Phillips curve. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO USA. RP Knotek, ES (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO USA. EM edward.knotek@kc.frb.org NR 48 TC 3 Z9 3 U1 5 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD DEC PY 2010 VL 42 IS 8 BP 1543 EP 1564 DI 10.1111/j.1538-4616.2010.00353.x PG 22 WC Business, Finance; Economics SC Business & Economics GA 685SH UT WOS:000284647900004 ER PT J AU Edgerton, J AF Edgerton, Jesse TI Investment incentives and corporate tax asymmetries SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Taxes; Investment; Bonus depreciation; Tax asymmetries; Cash flows ID LAW ASYMMETRIES; BEHAVIOR; CONSTRAINTS; POLICY; RATES AB Recent facts on the importance of corporate losses motivate more careful study of the impact of tax incentives for investment on firms that lose money. I model firm investment decisions in a setting featuring financing constraints and carrybacks and carryforwards of operating losses. I estimate investment responses to tax incentives allowing effects to vary with cash flows and taxable status. Results suggest that asymmetries in the corporate tax code could have made recent bonus depreciation tax incentives at most 4% less effective than they would have been if all firms were fully taxable. Cash flows have more important effects on the impact of tax incentives. Recent declines in cash flows would predict a 24% decrease in the effectiveness of bonus depreciation. Results thus suggest that tax incentives have the smallest impact on investment exactly when they are most likely to be put in place - during downturns in economic activity when cash flows are low. Published by Elsevier B.V. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Edgerton, J (reprint author), Fed Reserve Board Governors, 20th St & C St NW, Washington, DC 20551 USA. EM jesse.j.edgerton@frb.gov NR 43 TC 14 Z9 14 U1 3 U2 9 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD DEC PY 2010 VL 94 IS 11-12 BP 936 EP 952 DI 10.1016/j.jpubeco.2010.08.010 PG 17 WC Economics SC Business & Economics GA 692RU UT WOS:000285173600012 ER PT J AU Cohen, JP Coughlin, CC AF Cohen, Jeffrey P. Coughlin, Cletus C. TI RESPONSE TO "SPATIAL MULTIPLIERS IN HEDONIC ANALYSIS: A COMMENT ON 'SPATIAL HEDONIC MODELS OF AIRPORT NOISE, PROXIMITY, AND HOUSING PRICES'" SO JOURNAL OF REGIONAL SCIENCE LA English DT Editorial Material C1 [Cohen, Jeffrey P.] Univ Hartford, Barney Sch Business, Hartford, CT 06117 USA. [Coughlin, Cletus C.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Cohen, JP (reprint author), Univ Hartford, Barney Sch Business, 200 Bloomfield Ave, Hartford, CT 06117 USA. EM professorjeffrey@gmail.com; coughlin@stls.frb.org RI Coughlin, Cletus/K-6860-2016; OI Coughlin, Cletus/0000-0002-8304-2796; Cohen, Jeffrey/0000-0001-5467-7584 NR 2 TC 2 Z9 2 U1 1 U2 3 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD DEC PY 2010 VL 50 IS 5 BP 999 EP 1000 DI 10.1111/j.1467-9787.2010.00680.x PG 2 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 688ZR UT WOS:000284897100006 ER PT J AU Gurkaynak, RS Swanson, E Levin, A AF Gurkaynak, Refet S. Swanson, Eric Levin, Andrew TI DOES INFLATION TARGETING ANCHOR LONG-RUN INFLATION EXPECTATIONS? EVIDENCE FROM THE U.S., UK, AND SWEDEN SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID MONETARY-POLICY; MARKET; RATES AB We investigate the extent to which inflation expectations have been more firmly anchored in the United Kingdom-a country with an explicit inflation target-than in the United States-a country with no such target-using the difference between far-ahead forward rates on nominal and inflation-indexed bonds as a measure of compensation for expected inflation and inflation risk at long horizons. We show that far-ahead forward inflation compensation in the U. S. exhibits substantial volatility, especially at low frequencies, and displays a highly significant degree of sensitivity to economic news. Similar patterns are evident in the UK prior to 1997, when the Bank of England was not independent, but have been strikingly absent since the Bank of England gained independence in 1997. Our findings are further supported by comparisons of dispersion in longer-run inflation expectations of professional forecasters and by evidence from Sweden, another inflation-targeting country with a relatively long history of inflation-indexed bonds. Our results support the view that an explicit and credible inflation target helps to anchor the private sector's views regarding the distribution of long-run inflation outcomes. (JEL: E31, E52, E58) C1 [Gurkaynak, Refet S.] Bilkent Univ, Bilkent, Turkey. [Swanson, Eric] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Gurkaynak, RS (reprint author), Bilkent Univ, Bilkent, Turkey. EM refet@bilkent.edu.tr; eric.swanson@sf.frb.org; andrew.levin@frb.gov NR 43 TC 31 Z9 31 U1 0 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1542-4766 EI 1542-4774 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD DEC PY 2010 VL 8 IS 6 BP 1208 EP 1242 DI 10.1162/jeea_a_00023 PG 35 WC Economics SC Business & Economics GA 682KO UT WOS:000284402600003 ER PT J AU Chirinko, RS Wilson, DJ AF Chirinko, Robert S. Wilson, Daniel J. TI CAN LOWER TAX RATES BE BOUGHT? BUSINESS RENT-SEEKING AND TAX COMPETITION AMONG U.S. STATES SO NATIONAL TAX JOURNAL LA English DT Article DE business campaign contributions; state business tax policy; capital mobility ID GENERALIZED-METHOD; INSTRUMENTS; GOVERNMENTS; MOMENTS AB The standard model of strategic tax competition assumes that government policymakers are perfectly benevolent. We depart from this assumption by allowing for the possibility that policymakers are influenced by the rent-seeking (lobbying) behavior of businesses. This extension implies that business campaign contributions may affect not only the levels of equilibrium tax rates, but also the slope of the tax reaction function between jurisdictions, thus enhancing or retarding capital mobility. With panel data for 48 U.S. states and unique data on business campaign contributions, we document, among other results, a significant direct effect of contributions on tax policy; the economic value of a $1 contribution in terms of lower state corporate taxes is approximately $6.65. C1 [Chirinko, Robert S.] Univ Illinois, Dept Finance, Chicago, IL 60607 USA. [Chirinko, Robert S.] CESifo, Munich, Germany. [Wilson, Daniel J.] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Chirinko, RS (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. EM Chirinko@uic.edu; Daniel.Wilson@sf.frb.org NR 26 TC 5 Z9 5 U1 0 U2 6 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 J9 NATL TAX J JI Natl. Tax J. PD DEC PY 2010 VL 63 IS 4 SI SI BP 967 EP 993 PN 2 PG 27 WC Business, Finance; Economics SC Business & Economics GA 691KP UT WOS:000285079000007 ER PT J AU Bech, ML Atalay, E AF Bech, Morten L. Atalay, Enghin TI The topology of the federal funds market SO PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS LA English DT Article DE Network; Topology; Interbank; Money market ID COMPLEX NETWORKS; INTERBANK MARKET; CENTRALITY; FLOWS AB We explore the network topology of the federal funds market. This market is important for distributing liquidity throughout the financial system and for the implementation of monetary policy. The recent turmoil in global financial markets underscores its importance. We find that the network is sparse, exhibits the small-world phenomenon, and is disassortative. Centrality measures are useful predictors of the interest rate of a loan. (C) 2010 Elsevier B.V. All rights reserved. C1 [Bech, Morten L.] Fed Reserve Bank New York, New York, NY 10045 USA. [Atalay, Enghin] Univ Chicago, Chicago, IL 60637 USA. RP Bech, ML (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM morten.bech@ny.frb.org NR 33 TC 43 Z9 44 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4371 J9 PHYSICA A JI Physica A PD NOV 15 PY 2010 VL 389 IS 22 BP 5223 EP 5246 DI 10.1016/j.physa.2010.05.058 PG 24 WC Physics, Multidisciplinary SC Physics GA 670EZ UT WOS:000283405300012 ER PT J AU Barnichon, R AF Barnichon, Regis TI Productivity and unemployment over the business cycle SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID LABOR-MARKET FLUCTUATIONS; EQUILIBRIUM UNEMPLOYMENT; JOB DESTRUCTION; KEYNESIAN MODEL; MONETARY-POLICY; EMPLOYMENT; SHOCKS; SEARCH; PROPAGATION; INFLATION AB The low correlation between cyclical unemployment and productivity over the postwar period hides a large sign switch in the mid-1980s from significantly negative the correlation became significantly positive Using a search model of unemployment with nominal rigidities and variable labor effort I show that technology shocks can generate a positive unemployment-productivity correlation whereas non-technology shocks (i e aggregate demand shocks) tend to do the opposite In this context I identify two events that can quantitatively explain the increase in the correlation (i) a sharp drop in the volatility of non-technology shocks in the mid-1980s and (II) a decline in the response of productivity to non-technology shocks which from procyclical became acyclical in the last 25 years Published by Elsevier B V C1 Fed Reserve Board, Washington, DC 20551 USA. RP Barnichon, R (reprint author), Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. RI Barnichon, Regis/B-4650-2013; Villena, Benjamin/D-6996-2012 OI Barnichon, Regis/0000-0003-3967-1453; Villena, Benjamin/0000-0002-2780-0214 NR 48 TC 20 Z9 20 U1 3 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2010 VL 57 IS 8 BP 1013 EP 1025 DI 10.1016/j.jmoneco.2010.09.006 PG 13 WC Business, Finance; Economics SC Business & Economics GA 701GN UT WOS:000285806500008 ER PT J AU Grochulski, B Kocherlakota, N AF Grochulski, Borys Kocherlakota, Narayana TI Nonseparable preferences and optimal social security systems SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Private skill shocks; Nonseparable preferences; Retrospecitive taxation; Social security systems ID DYNAMIC OPTIMAL TAXATION AB In this paper, we consider economies in which agents are privately informed about their skills, which evolve stochastically over time. We require agents' preferences to be weakly separable between the lifetime paths of consumption and labor. However, we allow for intertemporal nonseparabilities in preferences like habit formation. In this environment, we derive a generalized version of the Inverse Euler Equation and use it to show that intertemporal wedges characterizing optimal allocations of consumption can be strictly negative. We also show that preference nonseparabilities imply that optimal differentiable asset income taxes are necessarily retrospective in nature. We show that under weak conditions, it is possible to implement a socially optimal allocation using a social security system in which taxes on wealth are linear, and taxes/transfers are history-dependent only at retirement. The average asset income tax in this system is zero. (C) 2010 Elsevier Inc. All rights reserved. C1 [Grochulski, Borys] Fed Reserve Bank Richmond, Richmond, VA USA. [Kocherlakota, Narayana] Univ Minnesota, Minneapolis, MN 55455 USA. [Kocherlakota, Narayana] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Kocherlakota, Narayana] NBER, Cambridge, MA 02138 USA. RP Grochulski, B (reprint author), Fed Reserve Bank Richmond, POB 27622, Richmond, VA USA. EM borys.grochulski@rich.frb.org; koche050@umn.edu NR 10 TC 3 Z9 3 U1 1 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2010 VL 145 IS 6 BP 2055 EP 2077 DI 10.1016/j.jet.2010.01.012 PG 23 WC Economics SC Business & Economics GA 709BB UT WOS:000286409100001 ER PT J AU Jarque, A AF Jarque, Arantxa TI Repeated moral hazard with effort persistence SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Moral hazard; Repeated agency; Persistence ID PRINCIPAL-AGENT PROBLEMS; UNEMPLOYMENT-INSURANCE; RECURSIVE FORMULATION; INFORMATION; INCENTIVES AB I study a problem of repeated moral hazard where the effect of effort is persistent over time: each period's outcome distribution is a function of a geometrically distributed lag of past efforts. I show that when the utility of the agent is linear in effort, a simple rearrangement of terms in his lifetime utility translates this problem into a related standard repeated moral hazard. The solutions for consumption in the two problems are observationally equivalent, implying that the main properties of the optimal contract remain unchanged with persistence. For illustration, I present the computed solution of an example. (C) 2010 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Jarque, A (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM Arantxa.Jarque@rich.frb.org NR 15 TC 4 Z9 4 U1 0 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2010 VL 145 IS 6 BP 2412 EP 2423 DI 10.1016/j.jet.2010.03.017 PG 12 WC Economics SC Business & Economics GA 709BB UT WOS:000286409100015 ER PT J AU Fernandez, AZ Koenig, EF Nikolsko-Rzhevskyy, A AF Fernandez, Adriana Z. Koenig, Evan F. Nikolsko-Rzhevskyy, Alex TI Can alternative Taylor-rule specifications describe Federal Reserve policy decisions? SO JOURNAL OF POLICY MODELING LA English DT Article DE Taylor rule; Non-nested model selection; Real-time data; Model evaluation; Monetary policy ID MONETARY-POLICY; REAL-TIME AB We look at how well several alternative Taylor-rule specifications describe Federal Reserve policy decisions in real time, using the newly developed Giacomini and Rossi (2007) test for non-nested model selection in the presence of (possible) parameter instability. Further, we isolate those Taylor-rule features that are most important for achieving relatively strong real-time performance. Key features of our preferred rule, which is robust to changing economic conditions, are the partial adjustment of the federal funds rate toward an equilibrium rate that depends on the unemployment rate and forward-looking inflation measures. We conclude by presenting an empirical application to show the policy relevance of our preferred rule in the context of the 2008-2009 recession. Published by Elsevier Inc. on behalf of Society for Policy Modeling. C1 [Fernandez, Adriana Z.] Fed Reserve Bank Dallas, Houston, TX 77019 USA. [Koenig, Evan F.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Nikolsko-Rzhevskyy, Alex] Univ Memphis, Dept Econ, Memphis, TN 38152 USA. RP Fernandez, AZ (reprint author), Fed Reserve Bank Dallas, 1801 Allen Pkwy, Houston, TX 77019 USA. EM Adriana.Fernandez@dal.frb.org; evan.f.koenig@dal.frb.org NR 44 TC 5 Z9 5 U1 0 U2 2 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0161-8938 J9 J POLICY MODEL JI J. Policy Model. PD NOV-DEC PY 2010 VL 32 IS 6 BP 733 EP 757 DI 10.1016/j.jpolmod.2010.06.005 PG 25 WC Economics SC Business & Economics GA 711BB UT WOS:000286559600003 ER PT J AU Kitao, S AF Kitao, Sagiri TI Labor-dependent capital income taxation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID DYNAMIC OPTIMAL TAXATION; TAX-REFORM; EXPLORATION; EFFICIENCY AB Capital taxation which is negatively correlated with labor supply is proposed This paper uses a life-cycle model of heterogeneous agents that face idiosyncratic productivity shocks and shows that the tax scheme provides a strong work incentive when households possess large assets and high productivity later in the life-cycle when they otherwise would work less The system also adds to the saving motive of prime-age households and raises aggregate capital The increased economic activities expand the tax base and the revenue neutral reform results in a lower average tax rate The negative cross-dependence generates a sizable welfare gain in the long-run relative to the tax system that treats labor and capital income separately as a tax base The reform however can hurt the elderly during the transition with a high marginal tax on their capital income (C) 2010 Elsevier B V All rights reserved C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Kitao, S (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. NR 34 TC 5 Z9 5 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2010 VL 57 IS 8 BP 959 EP 974 DI 10.1016/j.jmoneco.2010.09.004 PG 16 WC Business, Finance; Economics SC Business & Economics GA 701GN UT WOS:000285806500004 ER PT J AU Armesto, MT Engemann, KM Owyang, MT AF Armesto, Michelle T. Engemann, Kristie M. Owyang, Michael T. TI Forecasting with Mixed Frequencies SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TIME; VOLATILITY; GROWTH; MODELS AB A dilemma faced by forecasters is that data are not all sampled at the same frequency. Most macroeconomic data are sampled monthly (e.g., employment) or quarterly (e.g., GDP). Most financial variables (e.g., interest rates and asset prices), on the other hand, are sampled daily or even more frequently. The challenge is how to best use available data. To that end, the authors survey some common methods for dealing with mixed-frequency data. They show that, in some cases, simply averaging the higher-frequency data produces no discernible disadvantage. In other cases, however, explicitly modeling the flow of data (e.g., using mixed data sampling as in Ghysels, Santa-Clara, and Valkanov, 2004) may be more beneficial to the forecaster, especially if the forecaster is interested in constructing intra-period forecasts. (JEL C32) C1 [Armesto, Michelle T.; Engemann, Kristie M.; Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Armesto, MT (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 24 TC 19 Z9 19 U1 0 U2 5 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2010 VL 92 IS 6 BP 521 EP 536 PG 16 WC Business, Finance; Economics SC Business & Economics GA 690EY UT WOS:000284986500004 ER PT J AU Klier, TH Rubenstein, JM AF Klier, Thomas H. Rubenstein, James M. TI The changing geography of North American motor vehicle production SO CAMBRIDGE JOURNAL OF REGIONS ECONOMY AND SOCIETY LA English DT Article DE motor vehicle industry; production; North America; geography; auto alley AB This article describes the changing location of motor vehicle production in North America during the late 20th and early 21st centuries. Production has increasingly concentrated in a narrow corridor between the Great Lakes and the Gulf of Mexico known as auto alley. Information is derived from a complete panel of assembly plant locations in North America from 1980 to 2010, as well as a database of approximately 4000 plants in North America that produce parts for new vehicles. The reasons for the emergence and strengthening of auto alley are discussed, as well as future prospects in light of the severe recession of 2008-2009. C1 [Klier, Thomas H.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Rubenstein, James M.] Miami Univ, Dept Geog, Oxford, OH 45056 USA. RP Klier, TH (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM thomas.klier@chi.frb.org; rubensjm@muohio.edu NR 25 TC 14 Z9 15 U1 0 U2 5 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1752-1378 J9 CAMB J REG ECON SOC JI Camb. J. Regions Econ. Soc. PD NOV PY 2010 VL 3 IS 3 BP 335 EP 347 DI 10.1093/cjres/rsq024 PG 13 WC Economics; Geography SC Business & Economics; Geography GA 784JY UT WOS:000292154600003 ER PT J AU Bown, CP Crowley, MA AF Bown, Chad P. Crowley, Meredith A. TI China's export growth and the China safeguard: threats to the world trading system? SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article DE F10; F12; F13 ID DYNAMIC-MODELS; PANEL DATA AB P>Is there evidence from China's pre-WTO accession period that newly imposed U.S. or EU import restrictions deflect Chinese exports to third markets? We examine this question by drawing on a newly constructed data set of U.S. and EU product-level import restrictions on Chinese trade imposed between 1992 and 2001, and we estimate their impact on Chinese exports to alternative markets. We find no systematic evidence that the import restrictions imposed during this period resulted in Chinese exports surging to third markets. To the contrary, there is weak evidence of a chilling effect on China's exports to third markets.Y-a-t-il evidence, a partir de l'experience de la Chine avant son entree a OMC, que les nouvelles restrictions aux importations chinoises des Etats-Unis et de l'Union Europeenne detournent les exportations chinoises vers de tiers marches? On examine la question a l'aide d'une base de donnees americaines et europeennes nouvellement construite sur les restrictions a l'importation de produits chinois entre 1992 ert 2001, et on calibre leurs impacts sur les exportations chinoises vers des tiers marches. Il n'y a pas d'evidence systematique que ces restrictions aux importations chinoises ont resulte en un accroissement des exportations vers des tiers marches. Au contraire, il y a un faible support pour l'hypothese d'un refroidissement des exportations vers ces tiers marches. C1 [Bown, Chad P.] World Bank, Washington, DC USA. [Crowley, Meredith A.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Bown, CP (reprint author), World Bank, Washington, DC USA. EM crowley.meredith@gmail.com NR 25 TC 8 Z9 8 U1 2 U2 15 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0008-4085 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD NOV PY 2010 VL 43 IS 4 BP 1353 EP 1388 DI 10.1111/j.1540-5982.2010.01617.x PG 36 WC Economics SC Business & Economics GA 666YZ UT WOS:000283160400011 ER PT J AU Guerrieri, V Shimer, R Wright, R AF Guerrieri, Veronica Shimer, Robert Wright, Randall TI Adverse Selection in Competitive Search Equilibrium SO ECONOMETRICA LA English DT Article DE Search; matching; information; adverse selection; contracts ID INSURANCE MARKETS; LABOR-MARKETS; PARETO OPTIMA; RAT RACE; INFORMATION; UNEMPLOYMENT; ECONOMICS; GAMES; MODEL AB We study economies with adverse selection, plus the frictions in competitive search theory. With competitive search, principals post terms of trade (contracts), then agents choose where to apply, and they match bilaterally. Search allows us to analyze the effects of private information on both the intensive and extensive margins (the terms and probability of trade). There always exists a separating equilibrium where each type applies to a different contract. The equilibrium is unique in terms of payoffs. It is not generally efficient. We provide an algorithm for constructing equilibrium. Three applications illustrate the usefulness of the approach, and contrast our results with those in standard contract and search theory. C1 [Guerrieri, Veronica] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. Univ Chicago, Dept Econ, Chicago, IL 60637 USA. Univ Wisconsin, Wisconsin Sch Business, Madison, WI 53706 USA. Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. RP Guerrieri, V (reprint author), Univ Chicago, Booth Sch Business, 5807 S Woodlawn Ave, Chicago, IL 60637 USA. EM vguerrie@chicagobooth.edu; robert.shimer@gmail.com; rwright@bus.wisc.edu FU National Science Foundation; Ray Zemon Chair in Liquid Assets FX We are grateful for comments from Daron Acemoglu, Hector Chade, Guido Lorenzoni, Giuseppe Moscarini, IvanWerning, Martin Gervais, Miguel Faig, numerous seminar participants, three anonymous referees, and a co-editor. Shimer and Wright thank the National Science Foundation for research support. Wright is also grateful for support from the Ray Zemon Chair in Liquid Assets. Guerrieri is grateful for the hospitality of the Federal Reserve Bank of Minneapolis. NR 37 TC 43 Z9 43 U1 1 U2 14 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD NOV PY 2010 VL 78 IS 6 BP 1823 EP 1862 DI 10.3982/ECTA8535 PG 40 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 689XP UT WOS:000284964500002 ER PT J AU Anderson, RG Gascon, CS Liu, Y AF Anderson, Richard G. Gascon, Charles S. Liu, Yang TI Doubling Your Monetary Base and Surviving: Some International Experience SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID CENTRAL BANK; POLICY; INFLATION; COMMITMENT AB The authors examine the experience of selected central banks that have used large-scale balance-sheet expansion, frequently referred to as "quantitative easing," as a monetary policy instrument. The case studies focus on central banks responding to the recent financial crisis and Nordic central banks during the banking crises of the 1990s; others are provided for comparison purposes. The authors conclude that large-scale balance-sheet increases are a viable monetary policy tool provided the public believes the increase will be appropriately reversed. (JEL E40, E52, E58) C1 [Anderson, Richard G.; Gascon, Charles S.; Liu, Yang] Fed Reserve Bank St Louis, St Louis, MO USA. RP Anderson, RG (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Gascon, Charles/L-8119-2016 OI Gascon, Charles/0000-0002-6129-5741 NR 44 TC 4 Z9 4 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2010 VL 92 IS 6 BP 481 EP 505 PG 25 WC Business, Finance; Economics SC Business & Economics GA 690EY UT WOS:000284986500002 ER PT J AU Koop, G Potter, S AF Koop, Gary Potter, Simon TI A flexible approach to parametric inference in nonlinear and time varying time series models SO JOURNAL OF ECONOMETRICS LA English DT Article DE Bayesian; Structural break; Threshold autoregressive; Regime switching; State space model ID MULTIPLE CHANGE-POINT; MONETARY-POLICY; REGRESSION TECHNIQUES; BAYESIAN-INFERENCE; MIXTURE-MODELS; OUTPUT; LIKELIHOOD; CHOICE AB Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible modeling approach which can accommodate virtually any of these specifications. We build on earlier work showing the relationship between flexible functional forms and random variation in parameters. Our contribution is based around the use of priors on the time variation that is developed from considering a hypothetical reordering of the data and distance between neighboring (reordered) observations. The range of priors produced in this way can accommodate a wide variety of nonlinear time series models, including those with regime-switching and structural breaks. By allowing the amount of random variation in parameters to depend on the distance between (reordered) observations, the parameters can evolve in a wide variety of ways, allowing for everything from models exhibiting abrupt change (e.g. threshold autoregressive models or standard structural break models) to those which allow for a gradual evolution of parameters (e.g. smooth transition autoregressive models or time varying parameter models). Bayesian econometric methods for inference are developed for estimating the distance function and types of hypothetical reordering. Conditional on a hypothetical reordering and distance function, a simple reordering of the actual data allows us to estimate our models with standard state space methods by a simple adjustment to the measurement equation. We use artificial data to show the advantages of our approach, before providing two empirical illustrations involving the modeling of real GDP growth. (C) 2010 Elsevier B.V. All rights reserved. C1 [Koop, Gary] Univ Strathclyde, Dept Econ, Glasgow G1 1XQ, Lanark, Scotland. [Potter, Simon] Fed Reserve Bank New York, New York, NY USA. RP Koop, G (reprint author), Univ Strathclyde, Dept Econ, Glasgow G1 1XQ, Lanark, Scotland. EM Gary.Koop@strath.ac.uk; Simon.Potter@ny.frb.org OI Koop, Gary/0000-0002-6091-378X FU Leverhulme Trust [F/00 273/J] FX We would like to thank Paolo Giordani, Arnold Zellner, an associate editor, referees and seminar participants at the Rimini Centre for Economic Analysis and the University of Nottingham for numerous insightful and helpful comments. The views expressed in this paper are those of the authors and not necessarily those of the Federal Reserve Bank of New York or the Federal Reserve System. Gary Koop is a Fellow of the Rimini Centre for Economic Analysis. Gary Koop acknowledges financial support from the Leverhulme Trust under Grant F/00 273/J. NR 51 TC 3 Z9 3 U1 0 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD NOV PY 2010 VL 159 IS 1 BP 134 EP 150 DI 10.1016/j.jeconom.2010.05.002 PG 17 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 663YL UT WOS:000282926000009 ER PT J AU Bikbov, R Chernov, M AF Bikbov, Ruslan Chernov, Mikhail TI No-arbitrage macroeconomic determinants of the yield curve SO JOURNAL OF ECONOMETRICS LA English DT Article DE Macro-finance models; Term structure; Variance decomposition; Kalman filter ID TERM-STRUCTURE DYNAMICS; MONETARY-POLICY; STRUCTURE MODELS; AFFINE MODELS; RISK PREMIA; VARIABLES; RATES AB No-arbitrage macro-finance models use variance decompositions to gauge the extent of association between the macro variables and yields. We show that results generated by this approach are sensitive to the order of variables in the recursive identification scheme. In a four-factor model, one may obtain 18 different sets of answers out of 24 possible. We propose an alternative measure that is based on levels of macro variables as opposed to shocks. We account for the correlation between the macro and latent factors via projection of the latter onto the former. As a result, the association between macro variables and yields can be computed uniquely via an R-2. Macro variables explain 80% of the variation in the short rate and 50% of the slope, and 54% to 68% of the term premia. (C) 2010 Elsevier B.V. All rights reserved. C1 [Chernov, Mikhail] London Business Sch, London Sch Econ, London NW1 4SA, England. [Chernov, Mikhail] CEPR, London NW1 4SA, England. [Bikbov, Ruslan] Fed Reserve Board, Washington, DC 20551 USA. RP Chernov, M (reprint author), London Business Sch, London Sch Econ, Sussex Pl, London NW1 4SA, England. EM ruslan.bikbov@frb.gov; mchernov@london.edu FU JP Morgan FX We are grateful to the Editor, Ron Gallant, the Associate Editor and the Referee for invaluable comments that helped us to improve the paper. We thank Andrew Ang, Geert Bekaert, Alan Bester, Jean Boivin, Larry Christiano, Pierre Collin-Dufresne, Greg Duffee, Silverio Foresi, Mike Gallmeyer, Rene Garcia, Marc Giannoni, Francisco Gomes, Mike Johannes, Lars Lochstoer, Stijn Van Nieuwerburgh, Tarun Ramadorai, Andrea Roncoroni, Tano Santos, Suresh Sundaresan, Andrea Tambalotti and participants of workshops at Columbia, Bank of Canada, the Federal Reserve Bank of Atlanta, and AFA in Boston, CIREQ-CIRANO Financial Econometrics Conference in Montreal, the CEPR meetings at Gerzensee, Econometric World Congress in London, EFA in Moscow, NYU Stern Five-Star Conference, and seminars at Chicago GSB, Duke, the European Central Bank, the Federal Reserve Board, the Federal Reserve Bank of New York, Goldman Sachs Asset Management, Imperial College, JP Morgan, LBS, LSE, NYU, Princeton and Rice. Chernov acknowledges support of the JP Morgan Chase Academic Outreach program. NR 42 TC 20 Z9 20 U1 0 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 EI 1872-6895 J9 J ECONOMETRICS JI J. Econom. PD NOV PY 2010 VL 159 IS 1 BP 166 EP 182 DI 10.1016/j.jeconom.2010.05.004 PG 17 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 663YL UT WOS:000282926000011 ER PT J AU Spiegel, MM AF Spiegel, Mark M. TI Tax Havens How Globalization Really Works SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Book Review C1 [Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, Econ Res Stop 1130,101 Market St, San Francisco, CA 94105 USA. NR 7 TC 0 Z9 0 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2010 VL 82 IS 2 BP 249 EP 250 DI 10.1016/j.jinteco.2010.08.003 PG 2 WC Economics SC Business & Economics GA 684ST UT WOS:000284570300013 ER PT J AU Amonlirdviman, K Carvalho, C AF Amonlirdviman, Kevin Carvalho, Carlos TI Loss aversion, asymmetric market comovements, and the home bias SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Loss aversion; Home bias; Asymmetric market comovements; Equity premium puzzle ID LIFETIME PORTFOLIO SELECTION; PROSPECT-THEORY; UNCERTAINTY; RETURNS; CHOICE; RISK AB Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk aversion. The intuition is that the first-order-different utility impact of wealth gains and losses leads loss-averse investors to behave similarly to investors with high risk aversion. But if so, should those agents not perceive larger gains from international diversification than standard expected-utility investors with plausible levels of risk aversion? They might not, because comovements in international stock markets are asymmetric: correlations are higher in market downturns than in upturns. This asymmetry dampens the gains from diversification relatively more for loss-averse investors. We analyze the portfolio problem of such an investor who has to choose between home and foreign equities in the presence of asymmetric comovement in returns. Perhaps surprisingly, in the context of the home bias puzzle we find that loss-averse investors behave similarly to those with standard expected-utility preferences and plausible levels of risk aversion. We argue that preference specifications that appear to perform well with respect to the equity premium puzzle should be subjected to this "test". (C) 2010 Elsevier Ltd. All rights reserved. C1 [Carvalho, Carlos] Fed Reserve Bank New York, New York, NY 10045 USA. [Amonlirdviman, Kevin] Boston Consulting Grp Inc, Chicago, IL 60654 USA. RP Carvalho, C (reprint author), Fed Reserve Bank New York, 33 Liberty St,3rd Floor, New York, NY 10045 USA. EM amonlirdviman.kevin@bcg.com; carlos.carvalho@ny.frb.org NR 19 TC 2 Z9 2 U1 1 U2 7 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD NOV PY 2010 VL 29 IS 7 BP 1303 EP 1320 DI 10.1016/j.jimonfin.2010.03.003 PG 18 WC Business, Finance SC Business & Economics GA 659CJ UT WOS:000282544300007 ER PT J AU Rios-Rull, JV Santaeulalia-Llopis, R AF Rios-Rull, Jose-Victor Santaeulalia-Llopis, Raul TI Redistributive shocks and productivity shocks SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID REAL BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; TECHNOLOGY SHOCKS; CAPACITY UTILIZATION; INDIVISIBLE LABOR; TECHNICAL CHANGE; INVESTMENT; RESTRICTIONS; EQUILIBRIUM; COMPETITION AB A productivity innovation reduces labor share at impact making it countercyclical it subsequently produces a long-lasting increase that peaks five years later at a level larger in absolute terms than the initial drop before slowly returning to average i e labor share overshoots We estimate a bivariate shock process to the production function that under competition in factor markets accounts for this overshooting We pose this process in an otherwise standard real business cycle economy and we find that the contribution of productivity innovations to the variance of hours is 1% of that in the standard RBC model (C) 2010 Elsevier B V All rights reserved C1 [Rios-Rull, Jose-Victor] Univ Minnesota, Dept Econ, Fed Reserve Bank Minneapolis, CAERP,CEPR,NBER, Minneapolis, MN 55455 USA. [Santaeulalia-Llopis, Raul] Washington Univ, Fed Reserve Bank St Louis, St Louis, MO 63130 USA. RP Rios-Rull, JV (reprint author), Univ Minnesota, Dept Econ, Fed Reserve Bank Minneapolis, CAERP,CEPR,NBER, 4 101 Hanson Hall,1925 4th St S, Minneapolis, MN 55455 USA. NR 43 TC 23 Z9 23 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2010 VL 57 IS 8 BP 931 EP 948 DI 10.1016/j.jmoneco.2010.10.005 PG 18 WC Business, Finance; Economics SC Business & Economics GA 701GN UT WOS:000285806500002 ER PT J AU Guidolin, M La Ferrara, E AF Guidolin, Massimo La Ferrara, Eliana TI The economic effects of violent conflict: Evidence from asset market reactions SO JOURNAL OF PEACE RESEARCH LA English DT Article DE asset markets; civil war; conflict; event study; stock prices ID CIVIL-WAR; POLITICAL INSTABILITY; INVESTMENT AB This article studies the effects of conflict onset on asset markets applying the event study methodology. The authors consider a sample of 101 internal and inter-state conflicts during the period 1974-2004 and find that a sizeable fraction of them has had a significant impact on stock market indices, exchange rates, oil and commodity prices. This fraction is inconsistent with pure chance, that is, with the selected probability of type-I errors in our tests of statistical significance. The results suggest that, on average, national stock markets are more likely to display positive than negative reactions to conflict onset. When the authors distinguish between internal and inter-state conflicts, they find that the fraction of significant results is higher for international conflicts. When the authors classify events according to the region where they occur, they find that Asia and the Middle East are the regions where conflicts tend to have the strongest effects. Finally, the article reports evidence that abnormal returns would have accrued to investors systematically exploiting conflict onset to implement conflict-driven strategies. Results are robust to selecting a subset of high-intensity conflicts and to expanding the time window over which conflict events are defined. The findings of the article confirm the economic importance of the effects of conflicts on asset markets. C1 [Guidolin, Massimo] Univ Manchester, Manchester Business Sch, Ctr Anal Investment Risk, MAFG, Manchester M13 9PL, Lancs, England. [Guidolin, Massimo] Fed Reserve Bank, Div Res, St Louis, MO USA. [La Ferrara, Eliana] Bocconi Univ, IGIER, Milan, Italy. RP Guidolin, M (reprint author), Univ Manchester, Manchester Business Sch, Ctr Anal Investment Risk, MAFG, Manchester M13 9PL, Lancs, England. EM Massimo.Guidolin@mbs.ac.uk; eliana.laferrara@unibocconi.it NR 19 TC 11 Z9 11 U1 4 U2 10 PU SAGE PUBLICATIONS LTD PI LONDON PA 1 OLIVERS YARD, 55 CITY ROAD, LONDON EC1Y 1SP, ENGLAND SN 0022-3433 J9 J PEACE RES JI J. Peace Res. PD NOV PY 2010 VL 47 IS 6 BP 671 EP 684 DI 10.1177/0022343310381853 PG 14 WC International Relations; Political Science SC International Relations; Government & Law GA 685BP UT WOS:000284599300001 ER PT J AU Engemann, KM Owyang, MT AF Engemann, Kristie M. Owyang, Michael T. TI WHATEVER HAPPENED TO THE BUSINESS CYCLE? A BAYESIAN ANALYSIS OF JOBLESS RECOVERIES SO MACROECONOMIC DYNAMICS LA English DT Article DE Business Cycles; Gibbs Sampling; Smooth Transition Autoregression; Industrial Disaggregation ID MARGINAL LIKELIHOOD; UNITED-STATES; OUTPUT AB During the typical recovery from U. S. postwar period economic downturns, employment recovers to its prerecession level within months of the output trough. However, during the past two recoveries, employment has taken up to three years to achieve its prerecession benchmark. We propose a formal empirical model of business cycles with recovery periods to demonstrate that the past two recoveries have been statistically different from previous experiences. We find that this difference can be attributed to a shift in the speed of transition between business cycle regimes. Moreover, we find this shift results from both durable and nondurable manufacturing sectors losing their cyclical characteristics. We argue that this finding of acyclicality in post-1980 manufacturing sectors is consistent with previous hypotheses (e.g., improved inventory management) regarding the reduction in macroeconomic volatility over the same period. These results suggest a link between the two phenomena, which have heretofore been studied separately. C1 [Owyang, Michael T.] Fed Reserve Bank, Div Res, St Louis, MO 63166 USA. RP Owyang, MT (reprint author), Fed Reserve Bank, Div Res, POB 442, St Louis, MO 63166 USA. EM owyang@stls.frb.org RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 31 TC 3 Z9 3 U1 1 U2 9 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD NOV PY 2010 VL 14 IS 5 BP 709 EP 726 DI 10.1017/S1365100509990812 PG 18 WC Economics SC Business & Economics GA 686RM UT WOS:000284713400005 ER PT J AU Binner, JM Tino, P Tepper, J Anderson, R Jones, B Kendall, G AF Binner, J. M. Tino, P. Tepper, J. Anderson, R. Jones, B. Kendall, G. TI Does money matter in inflation forecasting? SO PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS LA English DT Article DE Inflation; Monetary aggregates; Recurrent neural networks; Kernel methods ID RECURRENT NEURAL-NETWORKS; FINANCIAL TIME-SERIES; COMPOSITE LEADING INDICATOR; MONETARY-POLICY; DIVISIA MONEY; GRAMMATICAL INFERENCE; UNITED-STATES; US INFLATION; AGGREGATION; REGRESSION AB This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different collections of included monetary assets. In our forecasting experiment we use two nonlinear techniques, namely, recurrent neural networks and kernel recursive least squares regression techniques that are new to macroeconomics. Recurrent neural networks operate with potentially unbounded input memory, while the kernel regression technique is a finite memory predictor. The two methodologies compete to find the best fitting US inflation forecasting models and are then compared to forecasts from a naive random walk model. The best models were nonlinear autoregressive models based on kernel methods. Our findings do not provide much support for the usefulness of monetary aggregates in forecasting inflation. Beyond its economic findings, our study is in the tradition of physicists' long-standing interest in the interconnections among statistical mechanics, neural networks, and related nonparametric statistical methods, and suggests potential avenues of extension for such studies. Crown Copyright (C) 2010 Published by Elsevier B.V. All rights reserved. C1 [Tino, P.] Univ Birmingham, Birmingham, W Midlands, England. [Binner, J. M.; Anderson, R.] Aston Univ, Birmingham B4 7ET, W Midlands, England. [Tepper, J.] Nottingham Trent Univ, Nottingham, England. [Anderson, R.] Fed Reserve Bank St Louis, St Louis, MO USA. [Jones, B.] SUNY Binghamton, Binghamton, NY USA. [Kendall, G.] Univ Nottingham, Nottingham NG7 2RD, England. RP Tino, P (reprint author), Univ Birmingham, Birmingham, W Midlands, England. EM P.Tino@cs.bham.ac.uk OI Kendall, Graham/0000-0003-2006-5103 FU School of Business, Aston University FX The opinions expressed herein are not necessarily those of the Federal Reserve Bank of St. Louis or the Federal Reserve System. Anderson and Jones thank the School of Business, Aston University, for its support and hospitality as visitors while conducting this research. Anderson also thanks the Research Department of the Federal Reserve Bank of Minneapolis for its hospitality as a visitor while conducting parts of this research. NR 103 TC 8 Z9 8 U1 3 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4371 EI 1873-2119 J9 PHYSICA A JI Physica A PD NOV 1 PY 2010 VL 389 IS 21 BP 4793 EP 4808 DI 10.1016/j.physa.2010.06.015 PG 16 WC Physics, Multidisciplinary SC Physics GA 655IA UT WOS:000282241600037 ER PT J AU Wachter, JA Yogo, M AF Wachter, Jessica A. Yogo, Motohiro TI Why Do Household Portfolio Shares Rise in Wealth? SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID LABOR INCOME RISK; LIFE-CYCLE MODEL; OPTIMAL CONSUMPTION; EMPIRICAL-EVIDENCE; EXPECTED RETURNS; ASSET ALLOCATION; HABIT FORMATION; LONG-RUN; CHOICE; PREFERENCES AB We develop a life-cycle consumption and portfolio choice model in which households have nonhomothetic utility over two types of goods, basic and luxury. We calibrate the model to match the cross-sectional and life-cycle variation in the basic expenditure share in the Consumer Expenditure Survey. The model explains the degree to which the portfolio share in risky assets rises in wealth in the cross-section of households in the Survey of Consumer Finances. For a given household, the portfolio share can fall in response to an increase in wealth, even though the model implies decreasing relative risk aversion. (JEL D11, D12, G11) C1 [Yogo, Motohiro] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. [Wachter, Jessica A.; Yogo, Motohiro] NBER, Cambridge, MA 02138 USA. [Wachter, Jessica A.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Yogo, M (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM myogo@nber.org RI Yogo, Motohiro/C-4820-2009 OI Yogo, Motohiro/0000-0001-8778-778X NR 64 TC 28 Z9 28 U1 3 U2 16 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD NOV PY 2010 VL 23 IS 11 BP 3929 EP 3965 DI 10.1093/rfs/hhq092 PG 37 WC Business, Finance; Economics SC Business & Economics GA 672XE UT WOS:000283619500002 ER PT J AU Kaplan, G Violante, GL AF Kaplan, Greg Violante, Giovanni L. TI How Much Consumption Insurance Beyond Self-Insurance SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID LIFE-CYCLE EARNINGS; COVARIANCE STRUCTURE; WEALTH DISTRIBUTION; PANEL DATA; INCOME; INEQUALITY; UNCERTAINTY; RISK; HETEROGENEITY; HOUSEHOLDS AB We assess the degree of consumption smoothing implicit in a calibrated life-cycle version of the standard incomplete-markets model, and we compare it to the empirical estimates of Richard Blundell, Luigi Pistaferri, and Ian Preston (2008) (BPP hereafter) on US data. Households in the data have access to more consumption insurance against permanent earnings shocks than in the model. BPP estimate that 36 percent of permanent shocks are insurable, whereas the model's counterpart of the BPP estimator varies between 7 percent and 22 percent, depending on the tightness of debt limits. We also show that the BPP estimator has a downward bias that grows as borrowing limits become tighter. (JEL D31, D91, E21). C1 [Kaplan, Greg] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Kaplan, Greg] Univ Penn, Philadelphia, PA 19104 USA. [Violante, Giovanni L.] NYU, New York, NY 10013 USA. [Violante, Giovanni L.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Kaplan, G (reprint author), Fed Reserve Bank Minneapolis, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM gregkaplan@nyu.edu; glv2@nyu.edu RI Violante, Giovanni/F-1872-2017 NR 57 TC 48 Z9 48 U1 4 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD OCT PY 2010 VL 2 IS 4 BP 53 EP 87 DI 10.1257/mac.2.4.53 PG 35 WC Economics SC Business & Economics GA 692TJ UT WOS:000285177700004 ER PT J AU McGrattan, ER Prescott, EC AF McGrattan, Ellen R. Prescott, Edward C. TI Unmeasured Investment and the Puzzling US Boom in the 1990s SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID BUSINESS CYCLES; PRODUCTIVITY; FLUCTUATIONS; GROWTH; ECONOMY; MODEL AB For the 1990s, the basic neoclassical growth model predicts a depressed economy, when in fact the US economy boomed. We extend the base model by introducing intangible investment and non-neutral technology change with respect to producing intangible investment goods and find that the 1990s are not puzzling in light of this new theory. There is microeconomic and macroeconomic evidence motivating our extension, and the theory's predictions are in conformity with US national accounts and capital gains. We compare accounting measures with corresponding measures for our model economy and find that standard accounting measures greatly understate the 1990s boom. (JEL E22, E23, O33, O47) C1 [McGrattan, Ellen R.; Prescott, Edward C.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [McGrattan, Ellen R.] Univ Minnesota, Minneapolis, MN 55455 USA. [Prescott, Edward C.] Arizona State Univ, Tempe, AZ 85287 USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM erm@ellen.mpls.frb.fed.us; edward.prescott@asu.edu NR 34 TC 25 Z9 25 U1 2 U2 9 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD OCT PY 2010 VL 2 IS 4 BP 88 EP 123 DI 10.1257/mac.2.4.88 PG 36 WC Economics SC Business & Economics GA 692TJ UT WOS:000285177700005 ER PT J AU Guerrieri, L Gust, C Lopez-Salido, JD AF Guerrieri, Luca Gust, Christopher Lopez-Salido, J. David TI International Competition and Inflation: A New Keynesian Perspective SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID EXCHANGE-RATE PERSISTENCE; PRICES; MODELS; RIGIDITIES; DYNAMICS AB We develop and estimate an open economy New Keynesian Phillips Curve (NKPC) in which variable demand elasticities give rise to movements in desired markups in response to changes in competitive pressure from abroad. A parametric restriction yields the standard NKPC under constant elasticity and no role for foreign competition to influence domestic inflation. Foreign competition plays an important role in accounting for the behavior of traded goods price inflation. Foreign competition accounted for more than half of a 4 percentage point decline in domestic goods price inflation in the 1990s. Our results also provide evidence against demand curves with a constant elasticity. (IEL E12, E22, E31, F14, F41) C1 [Guerrieri, Luca; Gust, Christopher; Lopez-Salido, J. David] Fed Reserve Board, Washington, DC 20551 USA. RP Guerrieri, L (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM Luca.Guerrieri@frb.gov; Christopher.Gust@frb.gov; David.Lopez-Salido@frb.gov NR 42 TC 11 Z9 11 U1 2 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD OCT PY 2010 VL 2 IS 4 BP 247 EP 280 DI 10.1257/mac.2.4.247 PG 34 WC Economics SC Business & Economics GA 692TJ UT WOS:000285177700010 ER PT J AU DiCecio, R Gascon, CS AF DiCecio, Riccardo Gascon, Charles S. TI Income convergence in the United States: a tale of migration and urbanization SO ANNALS OF REGIONAL SCIENCE LA English DT Article ID TIME-SERIES ANALYSIS; US STATES; REGIONAL CONVERGENCE; ECONOMIC-GROWTH; METROPOLITAN; INEQUALITY; HYPOTHESIS; DIVERGENCE; TESTS; SPACE AB We use nonparametric distribution dynamics techniques to reassess the convergence of per capita personal income (PCPI) across U.S. states and across metropolitan (metro) and nonmetropolitan (nonmetro) portions of states for the period 1969-2005. The long-run distribution of PCPI is bimodal for both states and metro/nonmetro portions. Furthermore, the high-income mode of the distribution across metro and nonmetro portions corresponds to the single mode of the long-run distribution across metro portions only. These results (polarization or club-convergence) are reversed when weighting by population. The long-run distributions across people are consistent with convergence. Migration and urbanization are the forces behind convergence. C1 [DiCecio, Riccardo; Gascon, Charles S.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP DiCecio, R (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM dicecio@stls.frb.org RI DiCecio, Riccardo/K-6861-2016; Gascon, Charles/L-8119-2016 OI DiCecio, Riccardo/0000-0002-3288-8396; Gascon, Charles/0000-0002-6129-5741 NR 27 TC 7 Z9 8 U1 1 U2 15 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0570-1864 J9 ANN REGIONAL SCI JI Ann. Reg. Sci. PD OCT PY 2010 VL 45 IS 2 BP 365 EP 377 DI 10.1007/s00168-008-0284-1 PG 13 WC Environmental Studies; Geography SC Environmental Sciences & Ecology; Geography GA 642ZG UT WOS:000281259900007 ER PT J AU Rezende, M AF Rezende, Marcelo TI The effects of accountability on higher education SO ECONOMICS OF EDUCATION REVIEW LA English DT Article DE Economic impact; Educational economics ID SCHOOL ACCOUNTABILITY; REPORT CARDS; INFORMATION; IMPACT AB This paper analyzes the effects of a higher education accountability system in Brazil. For each discipline, colleges were assigned a grade that depended on the scores of their students on the ENC, an annual mandatory exam. These grades were then disclosed to the public and colleges were rewarded or penalized based on them. I find that the ENC had a positive effect on the education and the proportion of full-time faculty and that it increased the number of vacancies offered, applicants and enrollments. Colleges were affected differently depending on grades, ownership and academic organization, changing the distribution of students among them. (C) 2010 Elsevier Ltd. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Rezende, M (reprint author), Fed Reserve Syst, Board Governors, 20th & Constitut Ave NW, Washington, DC 20551 USA. EM marcelo.rezende@frb.gov NR 33 TC 1 Z9 1 U1 1 U2 6 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0272-7757 J9 ECON EDUC REV JI Econ. Educ. Rev. PD OCT PY 2010 VL 29 IS 5 BP 842 EP 856 DI 10.1016/j.econedurev.2010.03.002 PG 15 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA 645OF UT WOS:000281471000014 ER PT J AU Chauvet, M Potter, S AF Chauvet, Marcelle Potter, Simon TI Business cycle monitoring with structural changes SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Recession; Instability; Bayesian methods; Probit model; Breaks ID TIME-SERIES; YIELD CURVE; RECESSIONS; BREAKS; MODELS AB This paper examines the predictive content of coincident variables for monitoring US recessions in the presence of instabilities. We propose several specifications of the probit model for classifying phases of the business cycle. We find strong evidence in favor of those that allow for the possibility that the economy has experienced recurrent breaks. The recession probabilities of these models provide a clearer classification of the business cycle into expansion and recession periods, and superior performance in the ability to correctly call recessions and avoid false recession signals. Overall, the sensitivity, specificity, and accuracy of these models are far superior, as is their ability to signal recessions in a timely fashion. The results indicate the importance of considering recurrent breaks for monitoring business cycles. (C) 2010 Published by Elsevier B.V. on behalf of International Institute of Forecasters. C1 [Chauvet, Marcelle] Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. [Potter, Simon] Fed Reserve Bank New York, New York, NY 10045 USA. RP Chauvet, M (reprint author), Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. EM chauvet@ucr.edu; simon.potter@ny.frb.org NR 20 TC 5 Z9 5 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD OCT-DEC PY 2010 VL 26 IS 4 BP 777 EP 793 DI 10.1016/j.ijforecast.2009.08.003 PG 17 WC Economics; Management SC Business & Economics GA 663QM UT WOS:000282902600014 ER PT J AU Klee, E AF Klee, Elizabeth TI Operational outages and aggregate uncertainty in the federal funds market SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Federal funds market; Monetary policy implementation; Payment systems; Discount window ID VOLATILITY; BEHAVIOR AB This paper uses operational problems at depository institutions in sending Fedwire payments as a proxy for aggregate uncertainty in end-of-day Fed account positions and then examines funds market behavior on those days. The results suggest that increased uncertainty is associated with a deviation of the federal funds rate from the Federal Open Market Committee's (FOMC's) target rate; the magnitude depends on the severity of the difficulty, the payment volume of the affected participant, and the time of day. The intraday standard deviation of the federal funds rate is also affected by operational outages. Moreover, extensions to Fedwire are more likely on days with possible outages, and discount window borrowing picks up on these days as well. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Klee, E (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM elizabeth.klee@frb.gov NR 26 TC 3 Z9 3 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD OCT PY 2010 VL 34 IS 10 BP 2386 EP 2402 DI 10.1016/j.jbankfin.2010.03.002 PG 17 WC Business, Finance; Economics SC Business & Economics GA 640BA UT WOS:000281020900007 ER PT J AU Bajari, P Hong, H Krainer, J Nekipelov, D AF Bajari, Patrick Hong, Han Krainer, John Nekipelov, Denis TI Estimating Static Models of Strategic Interactions SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Discrete choice; Stock analyst recommendation; Structural estimation ID DYNAMIC-MODELS; DISCRETE GAMES; OF-INTEREST; RECOMMENDATIONS; ENTRY; COMPETITION; EQUILIBRIA AB We study the estimation of static games of incomplete information with multiple equilibria. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which allows the actions of a group of agents to be interdependent. While the estimator we study is quite flexible, in most cases it can be easily implemented using standard statistical packages such as STATA. We also propose an algorithm for simulating the model which finds all equilibria to the game. As an application of our estimator, we study recommendations for high technology stocks between 1998-2003. We find that strategic motives, typically ignored in the empirical literature, appear to be an important consideration in the recommendations submitted by equity analysts. C1 [Bajari, Patrick] Univ Minnesota, Minneapolis, MN 55455 USA. [Bajari, Patrick] NBER, Minneapolis, MN 55455 USA. [Hong, Han] Stanford Univ, Stanford, CA 94305 USA. [Krainer, John] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Nekipelov, Denis] Univ Calif Berkeley, Berkeley, CA 94720 USA. RP Bajari, P (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. FU National Science Foundation [SES-0339828, SES-0452143]; Sloan Foundation FX The application in this paper is based on an earlier draft, by Bajari and Krainer, "An Empirical Model of Stock Analysts' Recommendations: Market Fundamentals, Conflicts of Interest, and Peer Effects." We would like to thank the National Science Foundation (SES-0339828, SES-0452143) and the Sloan Foundation for generous research support. We thank the associate editor, two anonymous referees, Ulrich Doraszelski, and participants at various seminars for helpful comments. We thank Zhou Yang and Tim Armstrong for excellent research assistance. The views expressed in this paper are those of the authors and not necessarily those of the Federal Reserve Bank of San Francisco or the Federal Reserve System. NR 36 TC 43 Z9 43 U1 2 U2 16 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT PY 2010 VL 28 IS 4 BP 469 EP 482 DI 10.1198/jbes.2009.07264 PG 14 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 654DM UT WOS:000282148700002 ER PT J AU Landry, A AF Landry, Anthony TI State-dependent pricing, local-currency pricing, and exchange rate pass-through SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE International business cycle; State-dependent pricing; Local-currency pricing; Exchange rate pass-through ID RATE PERSISTENCE; TO-MARKET; PRICES; MODELS; RIGIDITIES; DYNAMICS; MONEY AB This paper presents a two-country DSGE model with state-dependent pricing as in Dotsey et al. (1999) in which firms discriminate across countries by setting prices in local currency. In this model, a domestic monetary expansion has greater spillover effects to foreign prices and foreign economic activity than an otherwise identical model with time-dependent pricing. In addition, the predictions of the state-dependent pricing model match the business-cycle moments better than the predictions of the time-dependent pricing model when driven by monetary policy shocks. (C) 2010 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Landry, A (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM Anthony.Landry@dal.frb.org NR 21 TC 4 Z9 4 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD OCT PY 2010 VL 34 IS 10 BP 1859 EP 1871 DI 10.1016/j.jedc.2010.06.008 PG 13 WC Economics SC Business & Economics GA 667QA UT WOS:000283207500002 ER PT J AU Kitao, S AF Kitao, Sagiri TI Short-run fiscal policy: Welfare, redistribution and aggregate effects in the short and long-run SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Short-run fiscal policy; Life-cycle model; General equilibrium ID DISTORTIONARY TAXATION; BORROWING CONSTRAINTS; GENERAL EQUILIBRIUM; BUSINESS CYCLES; LIFE-CYCLE; TAX; CONSUMPTION; INCOME; MODEL; DEBT AB This paper quantifies the effects of two short-run fiscal policies, a temporary tax-cut and rebate transfer, that are intended to stimulate economic activities. A reduction in income taxation provides immediate incentives to work and save more, raising aggregate output and consumption. A temporary rebate is mostly saved and increases consumption marginally. Both policies improve the overall welfare of households and the rebate policy benefits especially low-income households. In the long-run, however, the debt accumulated to finance the stimulus and a higher tax to service the debt can crowd out capital and lower output and consumption, causing welfare to deteriorate. (C) 2010 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Kitao, S (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM sagiri.kitao@gmail.com NR 38 TC 0 Z9 0 U1 3 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD OCT PY 2010 VL 34 IS 10 BP 2109 EP 2125 DI 10.1016/j.jedc.2010.05.011 PG 17 WC Economics SC Business & Economics GA 667QA UT WOS:000283207500016 ER PT J AU Jamison, J Wegener, J AF Jamison, Julian Wegener, Jon TI Multiple selves in intertemporal choice SO JOURNAL OF ECONOMIC PSYCHOLOGY LA English DT Article DE Intertemporal choice; Theory of mind; Mentalizing; Intrapersonal games; Neuroeconomics ID QUERY-THEORY; NEURAL BASIS; FUTURE; MIND; CONSTRUCTION; COOPERATION; PATERNALISM; IMMEDIATE; REWARDS; EVENTS AB We propose that individuals consider future versions of themselves to truly be separate persons, not simply as a convenient modeling device but in terms of actual brain systems and decision-making processes. Intertemporal choices are thus quite literally strategic interactions between multiple agents. Previous neuroscientific studies have found evidence that systems involved with theory of mind (i.e. mentalizing about other agents) are similar to those involved with prospection (imagining oneself in the future). We provide a conceptual framework for this work and suggest that, instead of prospection, a more analogous future task occurs with intertemporal choice and time preferences, since these involve implicit prediction of future actions. Recent functional imaging studies appear to confirm such a link. Additional studies - behavioral, clinical, and neuroimaging - are proposed in order to confirm the specific nature of the correspondence and to elucidate the underlying mechanisms. Finally, given that society may have a vested interest in promoting the welfare of future selves, we discuss possible policy implications of departing from the standard framework in which individuals act in their own best interests as defined over the entire lifetime. (C) 2010 Elsevier B.V. All rights reserved. C1 [Jamison, Julian] Fed Reserve Bank Boston, Ctr Behav Econ, Boston, MA USA. [Wegener, Jon] Copenhagen Sch Econ & Business Adm, Dept Mkt, Hvidovre, Denmark. [Wegener, Jon] Copenhagen Univ Hosp, Danish Res Ctr Magnet Resonance, Hvidovre, Denmark. RP Jamison, J (reprint author), Fed Reserve Bank Boston, Ctr Behav Econ, Boston, MA USA. EM julian.jamison@bos.frb.org; jonw@drcmr.dk NR 51 TC 8 Z9 8 U1 2 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-4870 J9 J ECON PSYCHOL JI J. Econ. Psychol. PD OCT PY 2010 VL 31 IS 5 SI SI BP 832 EP 839 DI 10.1016/j.joep.2010.03.004 PG 8 WC Economics; Psychology, Multidisciplinary SC Business & Economics; Psychology GA 676FR UT WOS:000283896900010 ER PT J AU Beck, T Levine, R Levkov, A AF Beck, Thorsten Levine, Ross Levkov, Alexey TI Big Bad Banks? The Winners and Losers from Bank Deregulation in the United States SO JOURNAL OF FINANCE LA English DT Article ID INCOME; RESTRICTIONS; FINANCE; GROWTH; ENTREPRENEURSHIP; INEQUALITY; INDUSTRY; COSTS AB We assess the impact of bank deregulation on the distribution of income in the United States. From the 1970s through the 1990s, most states removed restrictions on intrastate branching, which intensified bank competition and improved bank performance. Exploiting the cross-state, cross-time variation in the timing of branch deregulation, we find that deregulation materially tightened the distribution of income by boosting incomes in the lower part of the income distribution while having little impact on incomes above the median. Bank deregulation tightened the distribution of income by increasing the relative wage rates and working hours of unskilled workers. C1 [Beck, Thorsten] Tilburg Univ, Dept Econ, CentER, Tilburg, Netherlands. [Beck, Thorsten] Tilburg Univ, EBC, Tilburg, Netherlands. [Levine, Ross] Brown Univ, Providence, RI 02912 USA. [Levine, Ross] NBER, Cambridge, MA 02138 USA. [Levkov, Alexey] Fed Reserve Bank Boston, Boston, MA USA. RP Beck, T (reprint author), Tilburg Univ, Dept Econ, CentER, Tilburg, Netherlands. NR 38 TC 50 Z9 50 U1 3 U2 19 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-1082 J9 J FINANC JI J. Financ. PD OCT PY 2010 VL 65 IS 5 BP 1637 EP 1667 DI 10.1111/j.1540-6261.2010.01589.x PG 31 WC Business, Finance; Economics SC Business & Economics GA 654QK UT WOS:000282182900001 ER PT J AU Edwards, AK Hanley, KW AF Edwards, Amy K. Hanley, Kathleen Weiss TI Short selling in initial public offerings SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article ID INTERNET STOCK-PRICES; INVESTOR SENTIMENT; EQUITY MARKETS; IPOS; QUALITY; STABILIZATION; UNDERWRITER; UNCERTAINTY; DIVERGENCE; OPINION AB Short sale constraints in the aftermarket of initial public offerings (IPOs) are often used to explain short-term underpricing that is subsequently reversed. This paper shows that short selling is integral to aftermarket trading and is higher in IPOs with greater underpricing. Perceived restrictions on borrowing shares are not systematically circumvented by "naked" short selling. Short sellers, on average, do not appear to earn abnormal profits in the near term and our findings are not driven by market makers. Short selling in IPOs is not as constrained as suggested by the literature, implying that other factors may be responsible for underpricing. Published by Elsevier B.V. C1 [Edwards, Amy K.] US Secur & Exchange Commiss, Off Econ Anal, Washington, DC 20549 USA. [Hanley, Kathleen Weiss] Fed Reserve Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Edwards, AK (reprint author), US Secur & Exchange Commiss, Off Econ Anal, 100 F St NE, Washington, DC 20549 USA. EM edwardsa@sec.gov NR 40 TC 21 Z9 21 U1 4 U2 17 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD OCT PY 2010 VL 98 IS 1 BP 21 EP 39 DI 10.1016/j.jfineco.2010.03.010 PG 19 WC Business, Finance; Economics SC Business & Economics GA 637NN UT WOS:000280825100002 ER PT J AU Krishnan, CNV Ritchken, PH Thomson, JB AF Krishnan, C. N. V. Ritchken, Peter H. Thomson, James B. TI Predicting credit spreads SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article ID EXPECTED STOCK RETURNS; TERM STRUCTURE; CORPORATE-DEBT; ENDOGENOUS BANKRUPTCY; EMPIRICAL-ANALYSIS; MATURITY STRUCTURE; DEFAULT RISK; BANK RISK; DETERMINANTS; VALUATION AB Predictions of firm-level credit spreads based on the current spot and forward credit spreads can be significantly improved upon by using the information contained in the shape of the credit-spread curve. However, the current credit-spread curve is not a sufficient statistic for predicting future out-of-sample credit spreads; predictions can be significantly improved upon by exploiting the information contained in the shape of the riskless yield curve. In the presence of credit-spread and riskless factors, other macroeconomic, marketwide, and firm-specific risk variables do not significantly improve predictions of credit spreads. These results have important implications for credit-spreads modeling as well as for better understanding corporate capital structure and risk management policies. (C) 2009 Elsevier Inc. All rights reserved. C1 [Krishnan, C. N. V.; Ritchken, Peter H.] Case Western Reserve Univ, Weatherhead Sch Management, Cleveland, OH 44106 USA. [Thomson, James B.] Fed Reserve Bank Cleveland, Cleveland, OH 44106 USA. RP Krishnan, CNV (reprint author), Case Western Reserve Univ, Weatherhead Sch Management, Cleveland, OH 44106 USA. EM cnk2@cwru.edu; phr@cwru.edu; JB.Thomson@clev.frb.org NR 56 TC 7 Z9 8 U1 0 U2 13 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD OCT PY 2010 VL 19 IS 4 BP 529 EP 563 DI 10.1016/j.jfi.2009.02.004 PG 35 WC Business, Finance SC Business & Economics GA 644KT UT WOS:000281376800005 ER PT J AU Olivei, G Tenreyro, S AF Olivei, Giovanni Tenreyro, Silvana TI Wage-setting patterns and monetary policy: International evidence SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID SETTLEMENTS; PRICES; SHOCKS; BANK AB Systematic differences in the timing of wage-setting decisions among industrialized countries provide an ideal framework to study the importance of wage rigidity for the transmission of monetary policy. Synchronization in wage-setting decisions is prevalent in Japan and the United States, yielding varying degrees of wage rigidity within the year: instead, in France, Germany, and the United Kingdom decisions are more uniformly spread over time. Exploiting within-year variation in the timing of wage-setting decisions in these economies, we find support for the long-held but scarcely tested view that wage rigidity plays a critical role in the transmission of monetary policy. (C) 2010 Elsevier B.V. All rights reserved. C1 [Tenreyro, Silvana] Univ London London Sch Econ & Polit Sci, CEP, CREI, CEPR, London WC2A 2AE, England. [Olivei, Giovanni] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Tenreyro, S (reprint author), Univ London London Sch Econ & Polit Sci, CEP, CREI, CEPR, St Clements Bldg,Houghton St, London WC2A 2AE, England. EM S.Tenreyro@LSE.ac.uk NR 35 TC 12 Z9 13 U1 2 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2010 VL 57 IS 7 BP 785 EP 802 DI 10.1016/j.jmoneco.2010.08.003 PG 18 WC Business, Finance; Economics SC Business & Economics GA 682WY UT WOS:000284434900002 ER PT J AU Kurozumi, T Van Zandweghe, W AF Kurozumi, Takushi Van Zandweghe, Willem TI Labor market search, the Taylor principle, and indeterminacy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID MONETARY-POLICY RULES; EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; KEYNESIAN MODEL; STICKY PRICES; INFLATION; FRICTIONS; VACANCIES; DYNAMICS AB In a sticky-price model with labor market search and matching frictions, forecast-based interest rate policy almost always induces indeterminacy when it is strictly inflation targeting and satisfies the Taylor principle. Indeterminacy is due to a vacancy channel of monetary policy that makes inflation expectations self-fulfilling. The effect of this channel strengthens as the sluggishness of the adjustment of employment relative to that of consumption increases. When this relative sluggishness is high, the Taylor principle fails to ensure determinacy, regardless of whether the policy is forecast-based or outcome-based, whether it is strictly or flexibly inflation targeting, or contains policy rate smoothing. (C) 2010 Elsevier B.V. All rights reserved. C1 [Van Zandweghe, Willem] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Kurozumi, Takushi] Bank Japan, Tokyo, Japan. RP Van Zandweghe, W (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. EM takushi.kurozumi@boj.or.jp; willem.vanzandweghe@kc.frb.org NR 23 TC 5 Z9 5 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2010 VL 57 IS 7 BP 851 EP 858 DI 10.1016/j.jmoneco.2010.07.002 PG 8 WC Business, Finance; Economics SC Business & Economics GA 682WY UT WOS:000284434900006 ER PT J AU Feldman, RJ Stern, GH AF Feldman, Ron J. Stern, Gary H. TI The Squam Lake Report: Observations from two policy professionals SO JOURNAL OF MONETARY ECONOMICS LA English DT Article AB The Squam Lake Report (SLR) contains a host of recommendations to "fix the financial sector." A credible fix must take on the excessive risk-taking of financial institutions created when uninsured creditors of important financial institutions expect government protection from loss (i.e., the too-big-to-fail problem). The vast majority of SLR's recommendations constitute important contributions to addressing TBTF; the analysis offered in support of recommendations is sound and brings modern economics and finance to bear. The clarity and focus of SLR offers a model for academics writing for a policy audience. We differ in emphasis with SLR on a few issues, including capital and living wills, but support moving forward with the core of SLR's recommendations even in these cases. Legislation (i.e., "Dodd-Frank") seeking to fix the financial sector became law around the time SLR was published. The legislation includes in one form or another the predominance of credible recommendations made to address TBTF, including the majority of those in SLR. The ultimate success of the legislation, however, depends on implementation. We hope the government focuses on a macroprudential regime that reduces fallout from financial spillovers, considers new efforts to measure and tax expected TBTF subsidies, and reconsiders aspects of Dodd-Frank that expand the safety net. Given the stakes, another SLR-caliber effort, this time centered on Dodd-Frank implementation, promises high returns. (C) 2010 Elsevier B.V. All rights reserved. C1 [Feldman, Ron J.; Stern, Gary H.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Feldman, RJ (reprint author), Fed Reserve Bank Minneapolis, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM Ron.Feldman@mpls.frb.org NR 22 TC 2 Z9 2 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2010 VL 57 IS 7 BP 903 EP 912 DI 10.1016/j.jmoneco.2010.09.001 PG 10 WC Business, Finance; Economics SC Business & Economics GA 682WY UT WOS:000284434900011 ER PT J AU Ergungor, OE AF Ergungor, Ozgur Emre TI Bank Branch Presence and Access to Credit in Low- to Moderate-Income Neighborhoods SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE D82; G21; G28; R31; relationship lending; mortgage market; branch presence ID SMALL BUSINESS DATA; INFORMATION EXTERNALITIES; LENDING RELATIONSHIPS; MARKETS; COMPETITION; PROGRAMS; DISTANCE; INCENTIVES; FINANCE; MODEL AB Banks specialize in lending to informationally opaque borrowers by collecting soft information about them. Some researchers claim that this process requires a physical presence in the market to lower information collection costs. This paper provides evidence in support of this argument in the mortgage market for low-income borrowers whose access to credit is limited by their inadequate credit histories. Mortgage originations increase and interest spreads decline when there is a bank branch located in a low- to moderate-income neighborhood. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. RP Ergungor, OE (reprint author), Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. EM ozgur.e.ergungor@clev.frb.org NR 60 TC 7 Z9 7 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2010 VL 42 IS 7 BP 1321 EP 1349 DI 10.1111/j.1538-4616.2010.00343.x PG 29 WC Business, Finance; Economics SC Business & Economics GA 647ZA UT WOS:000281658200005 ER PT J AU Dahl, D Evanoff, DD Spivey, MF AF Dahl, Drew Evanoff, Douglas D. Spivey, Michael F. TI The Community Reinvestment Act and Targeted Mortgage Lending SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G11; K20; L51; O16; CRA; financial regulation; regulatory enforcement; lending behavior AB We analyze residential mortgage lending by banks in periods surrounding upgrades or downgrades in their ratings under the Community Reinvestment Act (CRA). Empirical results indicate that upgraded banks had higher relative levels of lending than did downgraded banks prior to ratings changes. Additionally, both downgraded and upgraded banks increased lending following implementation of reforms to the CRA in the 1990s, which were intended to more closely align rating assessment with lending outcomes. Little support is provided, on the other hand, for a hypothesis that banks respond to downgrades by increasing lending (despite apparent incentives for them to do so). C1 [Dahl, Drew] Utah State Univ, Econ & Finance Dept, Logan, UT 84322 USA. [Evanoff, Douglas D.] Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL USA. [Evanoff, Douglas D.] Depaul Univ, Chicago, IL 60604 USA. [Spivey, Michael F.] Clemson Univ, Sch Accountancy & Finance, Clemson, SC 29631 USA. RP Dahl, D (reprint author), Utah State Univ, Econ & Finance Dept, Logan, UT 84322 USA. EM drew.dahl@.usu.edu; devanoff@frbchi.org; spivey@clemson.edu NR 28 TC 1 Z9 1 U1 1 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2010 VL 42 IS 7 BP 1351 EP 1372 DI 10.1111/j.1538-4616.2010.00344.x PG 22 WC Business, Finance; Economics SC Business & Economics GA 647ZA UT WOS:000281658200006 ER PT J AU Clark, TE Terry, SJ AF Clark, Todd E. Terry, Stephen J. TI Time Variation in the Inflation Passthrough of Energy Prices SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE C11; E31; E52; oil price shocks; core inflation; time-varying parameters ID SYSTEMATIC MONETARY-POLICY; VECTOR AUTOREGRESSIONS; GREAT-MODERATION; OIL; SHOCKS; MACROECONOMY; MODELS AB From Bayesian estimates of a vector autoregression that allows for both coefficient drift and stochastic volatility, we obtain the following three results. First, beginning in approximately 1975, the responsiveness of core inflation to changes in energy prices in the United States fell rapidly and remains muted. Second, this decline in the passthrough of energy inflation to core prices has been sustained through a recent period of markedly higher volatility of shocks to energy inflation. Finally, reduced energy inflation passthrough has persisted in the face of monetary policy that became less responsive to energy inflation starting around 1985. C1 [Clark, Todd E.] Fed Reserve Bank Kansas City, Kansas City, MO USA. [Terry, Stephen J.] Stanford Univ, Stanford, CA 94305 USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO USA. EM todd.e.clark@kc.frb.org; sterry@stanford.edu NR 36 TC 10 Z9 11 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2010 VL 42 IS 7 BP 1419 EP 1433 DI 10.1111/j.1538-4616.2010.00347.x PG 15 WC Business, Finance; Economics SC Business & Economics GA 647ZA UT WOS:000281658200009 ER PT J AU Beaudry, P Doms, M Lewis, E AF Beaudry, Paul Doms, Mark Lewis, Ethan TI Should the Personal Computer Be Considered a Technological Revolution? Evidence from US Metropolitan Areas SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID ECONOMIC-GROWTH; HIGHER-EDUCATION; WAGE INEQUALITY; WORKERS; RETURN; BIAS AB The introduction and diffusion of personal computers are widely viewed as a technological revolution. Using U. S. metropolitan area-level panel data, this paper asks whether links between PC adoption, educational attainment, and the return to skill conform to a model of technological revolutions in which the speed and extent of adoption are endogenous. The model implies that cities will adjust differently to the arrival of a more skill-intensive means of production, with the returns to skill increasing most where skill is abundant and its return is low. We show that the cross-city data fit many of the predictions of the model during the period 1980-2000, the PC diffusion era. C1 [Beaudry, Paul] Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. [Beaudry, Paul] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Doms, Mark] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Doms, Mark] US Dept Commerce, Washington, DC 20230 USA. [Lewis, Ethan] Dartmouth Coll, Hanover, NH 03755 USA. RP Beaudry, P (reprint author), Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. NR 38 TC 24 Z9 24 U1 2 U2 12 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 EI 1537-534X J9 J POLIT ECON JI J. Polit. Econ. PD OCT PY 2010 VL 118 IS 5 BP 988 EP 1036 DI 10.1086/658371 PG 49 WC Economics SC Business & Economics GA 718PK UT WOS:000287136900005 ER PT J AU Gordy, MB Juneja, S AF Gordy, Michael B. Juneja, Sandeep TI Nested Simulation in Portfolio Risk Measurement SO MANAGEMENT SCIENCE LA English DT Article DE nested simulation; loss distribution; value-at-risk; expected shortfall; jackknife estimator ID BIAS AB Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step, one draws realizations of all risk factors up to the horizon, and in the inner step, one reprices each instrument in the portfolio at the horizon conditional on the drawn risk factors. Practitioners may perceive the computational burden of such nested schemes to be unacceptable and adopt a variety of second-best pricing techniques to avoid the inner simulation. In this paper, we question whether such short cuts are necessary. We show that a relatively small number of trials in the inner step can yield accurate estimates, and we analyze how a fixed computational budget may be allocated to the inner and the outer step to minimize the mean square error of the resultant estimator. Finally, we introduce a jackknife procedure for bias reduction. C1 [Gordy, Michael B.] Fed Reserve Board, Washington, DC 20551 USA. [Juneja, Sandeep] Tata Inst Fundamental Res, Sch Technol & Comp Sci, Bombay 400005, Maharashtra, India. RP Gordy, MB (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM michael.gordy@frb.gov; juneja@tifr.res.in OI Gordy, Michael/0000-0002-5229-4608 NR 24 TC 24 Z9 24 U1 1 U2 13 PU INFORMS PI HANOVER PA 7240 PARKWAY DR, STE 310, HANOVER, MD 21076-1344 USA SN 0025-1909 J9 MANAGE SCI JI Manage. Sci. PD OCT PY 2010 VL 56 IS 10 BP 1833 EP 1848 DI 10.1287/mnsc.1100.1213 PG 16 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 661SJ UT WOS:000282748000012 ER PT J AU Demyanyk, Y Hasan, I AF Demyanyk, Yuliya Hasan, Iftekhar TI Financial crises and bank failures: A review of prediction methods SO OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE LA English DT Article DE Subprime; Mortgage; Financial crisis; Default ID SUPPORT VECTOR MACHINES; NEURAL-NETWORK MODELS; EARLY WARNING SYSTEM; BANKRUPTCY PREDICTION; MORTGAGE TERMINATIONS; DISCRIMINANT-ANALYSIS; CORPORATE GOVERNANCE; COMMERCIAL-BANKS; CLASSIFICATION; HETEROGENEITY AB In this article we provide a summary of empirical results obtained in several economics and operations research papers that attempt to explain, predict, or suggest remedies for financial crises or banking defaults; we also outline the methodologies used in them. We analyze financial and economic circumstances associated with the US subprime mortgage crisis and the global financial turmoil that has led to severe crises in many countries. The intent of this article is to promote future empirical research for preventing bank failures and financial crises. (C) 2009 Elsevier Ltd. All rights reserved. C1 [Hasan, Iftekhar] Rensselaer Polytech Inst, Troy, NY 12180 USA. [Hasan, Iftekhar] Bank Finland, Troy, NY 12180 USA. [Demyanyk, Yuliya] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. RP Hasan, I (reprint author), Rensselaer Polytech Inst, 110 8th St, Troy, NY 12180 USA. EM Yuliya.Demyanyk@clev.frb.org; hasan@rpi.edu NR 81 TC 40 Z9 40 U1 7 U2 48 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0305-0483 J9 OMEGA-INT J MANAGE S JI Omega-Int. J. Manage. Sci. PD OCT PY 2010 VL 38 IS 5 SI SI BP 315 EP 324 DI 10.1016/j.omega.2009.09.007 PG 10 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 582WK UT WOS:000276630700010 ER PT J AU Barlevy, G Nagaraja, HN AF Barlevy, Gadi Nagaraja, H. N. TI Estimating mobility rates in search models with initial condition problems SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Record statistics; On-the-job search; Hazard models ID THE-JOB SEARCH; ECONOMETRIC-MODELS; RECORD STATISTICS; LABOR-MARKET; US; DISTRIBUTIONS; INEQUALITY AB Previous empirical work on job search has proposed different approaches to estimating mobility rates assumed in models of search. However, these methods either only work for specific models of wage determination, or else require that we know the initial distribution of productivity for workers in our sample. In this paper we show it is possible to estimate mobility rates without having to restrict attention to models in which wages are constant over the course of a job or to assume that the initial distribution of productivity is known. More generally, the approach we propose allows us to freely estimate one degree of unobserved heterogeneity, be it in initial conditions or mobility rates. Applying our results to data from the NLSY suggests that the theoretical restrictions on the initial distribution of productivity implied by the standard model can overstate the extent of frictions to upward mobility. (C) 2009 Elsevier Inc. All rights reserved. C1 [Barlevy, Gadi] Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. [Nagaraja, H. N.] Ohio State Univ, Dept Stat, Columbus, OH 43210 USA. RP Barlevy, G (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, 230 S LaSalle, Chicago, IL 60604 USA. EM gbarlevy@frbchi.org; hnn@stat.osu.edu NR 22 TC 1 Z9 1 U1 0 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2010 VL 13 IS 4 BP 780 EP 799 DI 10.1016/j.red.2009.10.012 PG 20 WC Economics SC Business & Economics GA 651RK UT WOS:000281944600004 ER PT J AU Alpanda, S Peralta-Alva, A AF Alpanda, Sami Peralta-Alva, Adrian TI Oil crisis, energy-saving technological change and the stock market crash of 1973-74 SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Oil crisis; Capital obsolescence; Stock market crash ID PUTTY-CLAY; REVOLUTION; INNOVATION; SHOCKS; MODEL; US AB The market value of U.S. corporations was nearly halved during the oil crisis of 1973-74. In this paper, we investigate the hypothesis that the sharp rise in energy costs during this period resulted in the obsolescence of firms' existing capital and reduced their market value. To quantify this obsolescence channel of the energy crisis, we simulate a calibrated dynamic general equilibrium model, where firms adopt, energy-saving technologies along with the rise in energy prices, and the value of their installed capital falls due to investment irreversibility. We find that this channel can account for a third of the decline in Tobin's q observed in the data. Separately, we consider the role of investment subsidies extended by the government during this period to expedite the adoption of energy-saving technologies. This extension of the model can account for more than half of the decline in q. We also find empirical support for the capital obsolescence channel in cross-sectional regressions, where we show that the sectoral variation in the decline of energy use following the crisis is significant in explaining the sectoral variation in the drop of market values. (C) 2010 Elsevier Inc. All rights reserved. C1 [Peralta-Alva, Adrian] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Alpanda, Sami] Amherst Coll, Dept Econ, Amherst, MA 01002 USA. RP Peralta-Alva, A (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM salpanda@amherst.edu; Adrian.Peralta-Alva@stls.frb.org OI Alpanda, Sami/0000-0002-5820-6752 NR 30 TC 11 Z9 11 U1 2 U2 16 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2010 VL 13 IS 4 BP 824 EP 842 DI 10.1016/j.red.2010.04.003 PG 19 WC Economics SC Business & Economics GA 651RK UT WOS:000281944600006 ER PT J AU Hatchondo, JC Martinez, L Sapriza, H AF Hatchondo, Juan Carlos Martinez, Leonardo Sapriza, Horacio TI Quantitative properties of sovereign default models: Solution methods matter SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Emerging economies; Sovereign debt; Default; Numerical methods ID INTEREST-RATES; CONSUMER BANKRUPTCY; EMERGING ECONOMIES; BUSINESS CYCLES; DEBT; RISK AB We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often solved using the discrete state space technique with evenly spaced grid points. We show that this method necessitates a large number of grid points to avoid generating spurious interest rate movements. This makes the discrete state technique significantly more inefficient than using Chebyshev polynomials or cubic spline interpolation to approximate the value functions. We show that the inefficiency of the discrete state space technique is more severe for parameterizations that feature a high sensitivity of the bond price to the borrowing level for the borrowing levels that are observed more frequently in the simulations. In addition, we find that the efficiency of the discrete state space technique can be greatly improved by (i) finding the equilibrium as the limit of the equilibrium of the finite-horizon version of the model, instead of iterating separately on the value and bond price functions and (ii) concentrating grid points in asset levels at which the bond price is more sensitive to the borrowing level and in levels that are observed more often in the model simulations. Our analysis is also relevant for the study of other credit markets. (C) 2010 Elsevier Inc. All rights reserved. C1 [Hatchondo, Juan Carlos; Martinez, Leonardo] Fed Reserve Bank Richmond, Richmond, VA 23219 USA. [Sapriza, Horacio] Fed Reserve Board, Washington, DC USA. [Sapriza, Horacio] Rutgers State Univ, Piscataway, NJ 08855 USA. RP Hatchondo, JC (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. EM juancarlos.hatchondo@rich.frb.org; leo14627@gmail.com; horacio.sapriza@frb.gov NR 19 TC 13 Z9 13 U1 0 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2010 VL 13 IS 4 BP 919 EP 933 DI 10.1016/j.red.2010.03.001 PG 15 WC Economics SC Business & Economics GA 651RK UT WOS:000281944600011 ER PT J AU Krusell, P Mukoyama, T Sahin, A AF Krusell, Per Mukoyama, Toshihiko Sahin, Ayseguel TI Labour-Market Matching with Precautionary Savings and Aggregate Fluctuations SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID UNEMPLOYMENT-INSURANCE; BUSINESS CYCLES; EQUILIBRIUM UNEMPLOYMENT; LIQUIDITY CONSTRAINTS; CYCLICAL BEHAVIOR; JOB DESTRUCTION; VACANCIES; RISK; MACROECONOMY; ECONOMIES AB We analyse a Bewley-Huggett-Aiyagari incomplete-markets model with labour-market frictions. Consumers are subject to idiosyncratic employment shocks against which they cannot insure directly. The labour market has a Diamond-Mortensen-Pissarides structure: firms enter by posting vacancies and match with workers bilaterally, with match probabilities given by an aggregate matching function. Wages are determined through Nash bargaining. We also consider aggregate productivity shocks and a complete set of contingent claims conditional on this risk. We use the model to evaluate a tax-financed unemployment insurance scheme. Higher insurance is beneficial for consumption smoothing, but because it raises workers' outside option value, it discourages firm entry. We find that the latter effect is more potent for welfare outcomes; we tabulate the effects quantitatively for different kinds of consumers. We also demonstrate that productivity changes in the model-in steady state as well as stochastic ones-generate rather limited unemployment effects, unless workers are close to indifferent between working and not working; thus, recent findings are corroborated in our more general setting. C1 [Krusell, Per] NBER, Cambridge, MA 02138 USA. [Mukoyama, Toshihiko] Univ Virginia, Charlottesville, VA 22903 USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. NR 53 TC 17 Z9 17 U1 0 U2 13 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD OCT PY 2010 VL 77 IS 4 BP 1477 EP 1507 DI 10.1111/j.1467-937X.2010.00700.x PG 31 WC Economics SC Business & Economics GA 639UM UT WOS:000281000100010 ER PT J AU Bitler, MP Hoynes, HW AF Bitler, Marianne P. Hoynes, Hilary W. TI The State of the Social Safety Net in the Post-Welfare Reform Era SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article; Proceedings Paper CT 19th Conference of the Brookings Panel on Economic Activity CY SEP 16-17, 2010 CL Washington, DC ID INCOME-TAX CREDIT; HEADED FAMILIES; SINGLE MOTHERS; UNITED-STATES; TIME LIMITS; CONSUMPTION; CASELOADS; RESPONSES; POVERTY; LESSONS AB The 1996 welfare reform led to sweeping changes to the central cash safety net program for families with children. Along with other changes, the reform imposed lifetime time limits for receipt of cash welfare, effectively ending its entitlement nature for these families. Despite dire predictions, previous research has shown that program caseloads declined and employment increased, with no detectible increase in poverty or worsening of child well-being. We reevaluate these results in light of the severe 2007-09 recession. In particular, we examine how welfare reform has altered the cyclicality of the response of caseloads and family well-being. We find that use of food stamps and noncash safety net program participation have become significantly more responsive to the economic cycle after welfare reform, rising more when unemployment increases. By contrast, we find no evidence that cash welfare for families with children is more responsive, and some evidence that it might be less so. We find some evidence that poverty increases more with increases in the unemployment rate after reform, and none that it increases less. We find no significant effects of reform on the cyclical responsiveness of food consumption, food insecurity, health insurance, household crowding, or health. C1 [Bitler, Marianne P.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Hoynes, Hilary W.] Univ Calif Davis, Davis, CA 95616 USA. RP Bitler, MP (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 75 TC 18 Z9 18 U1 0 U2 12 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD FAL PY 2010 BP 71 EP 147 PG 77 WC Economics SC Business & Economics GA 740DI UT WOS:000288771400003 ER PT J AU Edge, RM Gurkaynak, RS AF Edge, Rochelle M. Guerkaynak, Refet S. TI How Useful Are Estimated DSGE Model Forecasts for Central Bankers? SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article; Proceedings Paper CT 19th Conference of the Brookings Panel on Economic Activity CY SEP 16-17, 2010 CL Washington, DC ID BUSINESS CYCLES; MONETARY-POLICY; RIGIDITIES; GREENBOOK; TIME AB Dynamic stochastic general equilibrium (DSGE) models are a prominent tool for forecasting at central banks, and the competitive forecasting performance of these models relative to alternatives, including official forecasts, has been documented. When evaluating DSGE models on an absolute basis, however, we find that the benchmark estimated medium-scale DSGE model forecasts inflation and GDP growth very poorly, although statistical and judgmental forecasts do equally poorly. Our finding is the DSGE model analogue of the literature documenting the recent poor performance of macroeconomic forecasts relative to simple naive forecasts since the onset of the Great Moderation. Although this finding is broadly consistent with the DSGE model we employ the model itself implies that especially under strong monetary policy, inflation deviations should be unpredictable a "wrong" model may also have the same implication. We therefore argue that forecasting ability during the Great Moderation is not a good metric by which to judge models. C1 [Edge, Rochelle M.] Board Governors Fed Reserve Syst, Washington, DC USA. [Guerkaynak, Refet S.] Bilkent Univ, Ankara, Turkey. RP Edge, RM (reprint author), Board Governors Fed Reserve Syst, Washington, DC USA. NR 33 TC 27 Z9 27 U1 0 U2 5 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD FAL PY 2010 BP 209 EP 259 PG 51 WC Economics SC Business & Economics GA 740DI UT WOS:000288771400005 ER PT J AU Cattaneo, MD Crump, RK Jansson, M AF Cattaneo, Matias D. Crump, Richard K. Jansson, Michael TI Robust Data-Driven Inference for Density-Weighted Average Derivatives SO JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION LA English DT Article DE Averaged derivative; Bandwidth selection; Robust inference; Small bandwidth asymptotics ID SEMIPARAMETRIC ESTIMATORS; BANDWIDTH CHOICE; INDEX MODELS; COEFFICIENTS AB This paper presents a novel data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error expansion of the estimator of interest. An extensive Monte Carlo experiment shows a remarkable improvement in performance when the bandwidth-dependent robust inference procedures proposed by Cattaneo. Crump, and Jansson (2009) are coupled with this new data-driven bandwidth selector. The resulting robust data-driven confidence intervals compare favorably to the alternative procedures available in the literature. The online supplemental material to this paper contains further results from the simulation study. C1 [Cattaneo, Matias D.] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Crump, Richard K.] Fed Reserve Bank New York, New York, NY 10045 USA. [Jansson, Michael] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA. [Jansson, Michael] CREATES, Berkeley, CA 94720 USA. RP Cattaneo, MD (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. EM cattaneo@umich.edu OI Cattaneo, Matias/0000-0003-0493-7506 FU National Science Foundation [SES 0921505, SES 0920953]; Danish National Research Foundation FX Mathis D. Cattaneo is Assistant Professor of Economics. Department of Economics. University of Michigan, Ann Arbor, MI 48109-1220 (E-mail: cattaneo@umich.edu). Richard K. Crump is Economist, Capital Markets Function. Federal Reserve Bank of New York, New York, NY 10045. Michael Jansson is Associate Professor of Economics, Department of Economics, University of California at Berkeley and CREATES, Berkeley, CA 94720. The authors thank Sebastian Calonico, Lutz Kilian, seminar participants at Georgetown, Michigan, Penn State and Wisconsin, and conference participants at the 2009 Latin American Meeting of the Econometric Society and 2010 North American Winter Meeting of the Econometric Society for comments. We also thank the editor, associate editor, and a referee for comments and suggestions that improved this paper. The first author gratefully acknowledges financial support from the National Science Foundation (SES 0921505). The third author gratefully acknowledges financial support from the National Science Foundation (SES 0920953) and the research support of CREATES (funded by the Danish National Research Foundation). NR 23 TC 7 Z9 7 U1 0 U2 4 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0162-1459 EI 1537-274X J9 J AM STAT ASSOC JI J. Am. Stat. Assoc. PD SEP PY 2010 VL 105 IS 491 BP 1070 EP 1083 DI 10.1198/jasa.2010.tm09590 PG 14 WC Statistics & Probability SC Mathematics GA 673WQ UT WOS:000283695300022 ER PT J AU McGrattan, ER Prescott, EC AF McGrattan, Ellen R. Prescott, Edward C. TI Technology Capital and the US Current Account SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GLOBAL IMBALANCES; RETURNS; RATES AB The US Bureau of Economic Analysis (BEA) estimates that the return on investments of foreign subsidiaries of US multinational companies over the period 1982-2006 averaged 9.4 percent annually after taxes; US subsidiaries of foreign multinationals averaged only 3.2 percent. BEA returns on foreign direct investment (FDI) are distorted because most intangible investments made by multinationals are expensed. We develop a multicountry general equilibrium model with an essential role for FDI and apply the BEA's methodology to construct economic statistics for the model economy. We estimate that mismeasurement of intangible investments accounts for over 60 percent of the difference in BEA returns. (JEL F23, F32) C1 [McGrattan, Ellen R.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [McGrattan, Ellen R.] Univ Minnesota, Minneapolis, MN 55455 USA. [Prescott, Edward C.] Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM erm@ellen.mpls.frb.fed.us; edward.prescott@asu.edu NR 37 TC 22 Z9 22 U1 3 U2 14 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2010 VL 100 IS 4 BP 1493 EP 1522 DI 10.1257/aer.100.4.1493 PG 30 WC Economics SC Business & Economics GA 651FM UT WOS:000281911400007 ER PT J AU Greenwood, J Sanchez, JM Wang, C AF Greenwood, Jeremy Sanchez, Juan M. Wang, Cheng TI Financing Development: The Role of Information Costs SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GENERAL EQUILIBRIUM; STATE VERIFICATION; GROWTH; INTERMEDIATION; POLICY; PRODUCTIVITY; CONTRACTS C1 [Greenwood, Jeremy] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Sanchez, Juan M.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. [Wang, Cheng] Fudan Univ, Sch Econ, Shanghai 200433, Peoples R China. [Wang, Cheng] Iowa State Univ, Dept Econ, Ames, IA 50011 USA. RP Greenwood, J (reprint author), Univ Penn, Dept Econ, McNeil Blg 160, Philadelphia, PA 19104 USA. EM juan.m.sanchez78@gmail.com; chewang@iastate.edu RI Sanchez, Juan/I-5752-2016 OI Sanchez, Juan/0000-0003-0048-9128 NR 27 TC 28 Z9 28 U1 0 U2 25 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2010 VL 100 IS 4 BP 1875 EP 1891 DI 10.1257/aer.100.4.1875 PG 17 WC Economics SC Business & Economics GA 651FM UT WOS:000281911400023 ER PT J AU Eggertsson, GB AF Eggertsson, Gauti B. TI A Reply to Steven Horwitz's Commentary on "Great Expectations and the End of the Depression" SO ECON JOURNAL WATCH LA English DT Editorial Material DE Great Depression; expectations; inflation; reflation; recovery; Hoover; Roosevelt; regime change AB This note responds to some issues raised by Steven Horwitz's (EJW, September 2009) commentary on my article "Great Expectations and the End of the Depression" (AER, September 2008). C1 Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RP Eggertsson, GB (reprint author), Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. EM Gauti.Eggertsson@ny.frb.org NR 6 TC 3 Z9 3 U1 0 U2 0 PU INST SPONTANEOUS ORDER ECONOMICS PI FAIRFAX PA 9745 KINGS CROWN COURT #102, FAIRFAX, VA 22031 USA SN 1933-527X J9 ECON J WATCH JI Econ. J. Watch PD SEP PY 2010 VL 7 IS 3 BP 197 EP + PG 9 WC Economics SC Business & Economics GA 670OG UT WOS:000283434900001 ER PT J AU Abbring, JH Campbell, JR AF Abbring, Jaap H. Campbell, Jeffrey R. TI Last-In First-Out Oligopoly Dynamics SO ECONOMETRICA LA English DT Article DE Sunk costs; demand uncertainty; Markov-perfect equilibrium; LIFO ID LONG-RUN; ENTRY; COMPETITION; INDUSTRY; EXIT; MARKETS; MODEL AB This paper extends the static analysis of oligopoly structure into an infinite-horizon setting with sunk costs and demand uncertainty. The observation that exit rates decline with firm age motivates the assumption of last-in first-out dynamics: An entrant expects to produce no longer than any incumbent. This selects an essentially unique Markov-perfect equilibrium. With mild restrictions on the demand shocks, sequences of thresholds describe firms' equilibrium entry and survival decisions. Bresnahan and Reiss' (1993) empirical analysis of oligopolists' entry and exit assumes that such thresholds govern the evolution of the number of competitors. Our analysis provides an infinite-horizon game-theoretic foundation for that structure. C1 [Abbring, Jaap H.] Tilburg Univ, CentER, Dept Econometr & Operat Res, NL-5000 LE Tilburg, Netherlands. [Campbell, Jeffrey R.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Abbring, JH (reprint author), Tilburg Univ, CentER, Dept Econometr & Operat Res, POB 90153, NL-5000 LE Tilburg, Netherlands. EM J.H.Abbring@uvt.nl; jcampbell@frbchi.org FU National Science Foundation [0137042]; Royal Netherlands Academy of Arts and Sciences FX We are grateful to Eugene Amromin, Gadi Barlevy, Allan Collard-Wexler, Meredith Crowley, Richard Rosen, a co-editor, and two anonymous referees for their insightful comments; to Tom Holmes for his discussion at the 2006 Duke-Northwestern-Texas IO Theory Conference; and to R. Andrew Butters for superb research assistance. The National Science Foundation supported this research through Grant 0137042 to the National Bureau of Economic Research. De Jonge Akademie of the Royal Netherlands Academy of Arts and Sciences supported this research through a travel grant. A replication file for this paper is available from the journal's web site (Abbring and Campbell (2010)). A project web site, with teaching materials and student exercises, is maintained at http://www.industrydynamics.org. NR 25 TC 2 Z9 2 U1 2 U2 16 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD SEP PY 2010 VL 78 IS 5 BP 1491 EP 1527 DI 10.3982/ECTA6863 PG 37 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 663JQ UT WOS:000282882700001 ER PT J AU Bullard, J AF Bullard, James TI Seven Faces of "The Peril" SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID LIQUIDITY TRAPS; TAYLOR RULES; POLICY AB In this paper the author discusses the possibility that the U.S. economy may become enmeshed in a Japanese-style deflationary outcome within the next several years. To frame the discussion, the author relies on an analysis that emphasizes two possible long-run steady states for the economy: one that is consistent with monetary policy as it has typically been implemented in the United States in recent years and one that is consistent with the low nominal interest rate, deflationary regime observed in Japan during the same period. The data considered seem to be quite consistent with the two steady-state possibilities. The author describes and critiques seven stories that are told in monetary policy circles regarding this analysis and emphasizes two main conclusions: (i) The Federal Open Market Committee's "extended period" language may be increasing the probability of a Japanese-style outcome for the United States and (ii), on balance, the U.S. quantitative easing program offers the best tool to avoid such an outcome. (JEL E4, E5) C1 Fed Reserve Bank, St Louis, MO USA. RP Bullard, J (reprint author), Fed Reserve Bank, St Louis, MO USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 19 TC 18 Z9 18 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2010 VL 92 IS 5 BP 339 EP 352 PG 14 WC Business, Finance; Economics SC Business & Economics GA 651GH UT WOS:000281914800001 ER PT J AU Black, DA Kolesnikova, NA Taylor, LJ AF Black, Dan A. Kolesnikova, Natalia A. Taylor, Lowell J. TI The Economic Progress of African Americans in Urban Areas: A Tale of 14 Cities SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID BLACK; EMPLOYMENT; WHITE; 1980S; MEN AB How significant was the economic progress of African Americans in the United States between 1970 and 2000? In this paper the authors examine this issue for black men 25 to 55 years of age who live in 14 large U.S. metropolitan areas. They present evidence that significant racial disparities remain in education and labor market outcomes of black and white men, and they discuss changes in industrial composition, migration, and demography that might have contributed to the stagnation of economic progress of black men between 1970 and 2000. In addition, the authors show that there was no progress in the financial well-being of black children, relative to white children, between 1970 and 2000. GEL J15, J31, J71, R23) C1 [Black, Dan A.] Univ Chicago, Harris Sch, Chicago, IL 60637 USA. [Kolesnikova, Natalia A.] Fed Reserve Bank St Louis, St Louis, MO USA. [Kolesnikova, Natalia A.] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. RP Black, DA (reprint author), Univ Chicago, Harris Sch, Chicago, IL 60637 USA. NR 18 TC 3 Z9 3 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2010 VL 92 IS 5 BP 353 EP 379 PG 27 WC Business, Finance; Economics SC Business & Economics GA 651GH UT WOS:000281914800002 ER PT J AU Coughlin, CC AF Coughlin, Cletus C. TI Measuring International Trade Policy: A Primer on Trade Restrictiveness Indices SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID REFORM AB Measuring the overall restrictiveness of a country's international trade policies is important and, in fact, essential for estimating the effects of trade policies and for negotiations to reduce trade barriers. A good measure is also difficult to produce: Trade restrictiveness indices are constructed by combining the actual structure of trade restrictions, which is generally quite different across goods, into a single number. Under certain assumptions, this single number is the uniform tariff that would produce the same trade restrictiveness as the actual differentiated structure of restrictions. In this paper, the economic intuition underlying the construction of these indices is presented and estimates of these indices and the resulting insights are summarized. (JEL F00, F13, C43) C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Coughlin, CC (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Coughlin, Cletus/K-6860-2016 OI Coughlin, Cletus/0000-0002-8304-2796 NR 14 TC 4 Z9 4 U1 2 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2010 VL 92 IS 5 BP 381 EP 394 PG 14 WC Business, Finance; Economics SC Business & Economics GA 651GH UT WOS:000281914800003 ER PT J AU Aubuchon, CP Wheelock, DC AF Aubuchon, Craig P. Wheelock, David C. TI The Geographic Distribution and Characteristics of US Bank Failures, 2007-2010: Do Bank Failures Still Reflect Local Economic Conditions? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID DEREGULATION; GROWTH; FINANCE; RISK AB The financial crisis and recession that began in 2007 brought a sharp increase in the number of bank failures in the United States. This article investigates characteristics of banks that failed and regional patterns in bank failure rates during 2007-10. The article compares the recent experience with that of 1987-92, when the United States last experienced a high number of bank failures. As during the 1987-92 and prior episodes, bank failures during 2007-10 were concentrated in regions of the country that experienced the most serious distress in real estate markets and the largest declines in economic activity. Although most legal restrictions on branch banking were eliminated in the 1990s, the authors find that many banks continue to operate in a small number of markets and are vulnerable to localized economic shocks. (JEL E32, G21, G28, R11) C1 [Aubuchon, Craig P.; Wheelock, David C.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Aubuchon, CP (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 27 TC 15 Z9 15 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2010 VL 92 IS 5 BP 395 EP 415 PG 21 WC Business, Finance; Economics SC Business & Economics GA 651GH UT WOS:000281914800004 ER PT J AU Neely, CJ Dey, SR AF Neely, Christopher J. Dey, S. Rubun TI A Survey of Announcement Effects on Foreign Exchange Returns SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TRADE DEFICIT ANNOUNCEMENTS; MONEY SUPPLY ANNOUNCEMENTS; TIME PRICE DISCOVERY; US TREASURY MARKET; INTEREST-RATES; ECONOMIC-NEWS; ASSET PRICES; MACROECONOMIC NEWS; UNITED-STATES; STOCK-PRICES AB Researchers have long studied the reaction of foreign exchange returns to macroeconomic announcements in order to infer changes in policy reaction functions and foreign exchange microstructure, including the speed of market reaction to news and how order flow helps impound public and private information into prices. These studies have often been disconnected, however; and this article critically reviews and evaluates the literature on announcement effects on foreign exchange returns. (JEL F31, F32, G14) C1 [Neely, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO USA. [Dey, S. Rubun] Wells Fargo, Fargo, ND USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Neely, Christopher/D-3636-2012; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 102 TC 13 Z9 13 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2010 VL 92 IS 5 BP 417 EP 463 PG 47 WC Business, Finance; Economics SC Business & Economics GA 651GH UT WOS:000281914800005 ER PT J AU Barnes, ML Bodie, Z Triest, RK Wang, JC AF Barnes, Michelle L. Bodie, Zvi Triest, Robert K. Wang, J. Christina TI A TIPS Scorecard: Are They Accomplishing Their Objectives? SO FINANCIAL ANALYSTS JOURNAL LA English DT Article ID CONSUMER PRICE-INDEX; BONDS AB Treasury Inflation-Protected Securities were developed to provide (1) consumers with assets that permit hedging against real interest rate risk, (2) nominal contract holders a means of hedging against inflation risk, and (3) everyone with an indicator of the term structure of expected inflation. This article evaluates progress toward these objectives. C1 [Barnes, Michelle L.; Triest, Robert K.; Wang, J. Christina] Fed Reserve Bank Boston, Boston, MA USA. [Bodie, Zvi] Boston Univ, Boston, MA 02215 USA. RP Barnes, ML (reprint author), Fed Reserve Bank Boston, Boston, MA USA. NR 34 TC 4 Z9 4 U1 0 U2 4 PU CFA INST PI CHARLOTTESVILLE PA 560 RAY C HUNT DR, PO BOX 3668, CHARLOTTESVILLE, VA 22903 USA SN 0015-198X J9 FINANC ANAL J JI Financ. Anal. J. PD SEP-OCT PY 2010 VL 66 IS 5 BP 68 EP 84 DI 10.2469/faj.v66.n5.4 PG 17 WC Business, Finance SC Business & Economics GA 751BA UT WOS:000289591300010 ER PT J AU Hilton, S Hrung, WB AF Hilton, Spence Hrung, Warren B. TI The Impact of Banks' Cumulative Reserve Position on Federal Funds Rate Behavior SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID MONETARY-POLICY; VOLATILITY AB We analyze the impact that reserve levels accumulated through the preceding day in a reserve maintenance period have on the level of the federal funds rate each morning prior to when open-market operations are arranged. Our empirical results and other evidence provided about intraday patterns of the federal funds rate demonstrate that the pace at which reserves are supplied over a maintenance period to meet banks' total reserve requirements is an important determinant of federal funds rate behavior. C1 [Hilton, Spence; Hrung, Warren B.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Hilton, S (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM spence.hilton@ny.frb.org; warren.hrung@ny.frb.org NR 14 TC 1 Z9 1 U1 1 U2 3 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD SEP PY 2010 VL 6 IS 3 BP 101 EP 118 PG 18 WC Business, Finance SC Business & Economics GA 651XV UT WOS:000281961800003 ER PT J AU Fan, MY Firestone, S AF Fan, Maoyong Firestone, Simon TI Firm market value and production technology SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article DE Empirical industrial organization; Production functions; Computer industry AB This paper estimates the production technology of the U.S. computer industry using firm market value to control for the correlation between inputs and unobservable productivity shocks. We show that firm market value can serve as a proxy for unobservable productivity shocks. We also show that firm market value is robust as a proxy when firm faces uncertainties and capital market imperfections. Empirical results suggest that our firm market value proxy works well for the computer industry. (C) 2009 Elsevier B.V. All rights reserved. C1 [Fan, Maoyong] Ball State Univ, Dept Econ, Muncie, IN 47306 USA. [Firestone, Simon] Fed Reserve Board, Washington, DC USA. RP Fan, MY (reprint author), Ball State Univ, Dept Econ, Muncie, IN 47306 USA. EM mfan@bsu.edu; simon.b.firestone@frb.gov NR 15 TC 0 Z9 0 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-7187 J9 INT J IND ORGAN JI Int. J. Ind. Organ. PD SEP PY 2010 VL 28 IS 5 BP 434 EP 440 DI 10.1016/j.ijindorg.2009.10.007 PG 7 WC Economics SC Business & Economics GA 645TY UT WOS:000281490300002 ER PT J AU John, K Mehran, H Qian, YM AF John, Kose Mehran, Hamid Qian, Yiming TI Outside monitoring and CEO compensation in the banking industry SO JOURNAL OF CORPORATE FINANCE LA English DT Article DE Corporate governance; CEO compensation; Pay-for-performance sensitivity; Risk-shifting; Agency problems; Regulation; Subordinated debt ID RISK-TAKING; EMPIRICAL-ANALYSIS; SUBORDINATED DEBT; PERFORMANCE; FIRM; DISCIPLINE; INCENTIVES; MARKET AB We hypothesize that CEO compensation is optimally designed to trade off two types of agency problems: the standard shareholder-management agency problem as well as the risk-shifting problem between shareholders and debtholders. Analyses in this setup produces two predictions: (1) the pay-for-performance sensitivity of CEO compensation decreases with the leverage ratio: and (2) the pay-for-performance sensitivity of CEO compensation increases with the intensity of outside monitoring on the firm's risk choice. We test these two hypotheses for the banking industry where regulators and nondepository (subordinated) debtholders provide outside monitoring on the risk choice. We construct an index of the intensity of outside monitoring based on three variables: subordinated debt rating, non performing loan ratio and examination rating assigned by regulators. We find supporting evidence for both hypotheses. (C) 2010 Elsevier B.V. All rights reserved. C1 [John, Kose] NYU, Stern Sch Business, New York, NY 10012 USA. [Mehran, Hamid] Fed Reserve Bank New York, New York, NY 10045 USA. [Qian, Yiming] Univ Iowa, Tippie Coll Business, Iowa City, IA 52245 USA. RP John, K (reprint author), NYU, Stern Sch Business, 44 W 4th St, New York, NY 10012 USA. EM kjohn@stern.nyu.edu; hamid.mehran@ny.frb.org; yiming-qian@uiowa.edu NR 33 TC 28 Z9 28 U1 3 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0929-1199 J9 J CORP FINANC JI J. Corp. Financ. PD SEP PY 2010 VL 16 IS 4 BP 383 EP 399 DI 10.1016/j.jcorpfin.2010.01.001 PG 17 WC Business, Finance SC Business & Economics GA 643KB UT WOS:000281294200001 ER PT J AU Ohanian, LE AF Ohanian, Lee E. TI The Economic Crisis from a Neoclassical Perspective SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID GENERAL EQUILIBRIUM-ANALYSIS; BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; GREAT-DEPRESSION; DYNAMICS; GROWTH; MODELS; LABOR; PERSISTENCE; SHOCKS C1 [Ohanian, Lee E.] Univ Calif Los Angeles, Los Angeles, CA 90024 USA. [Ohanian, Lee E.] Arizona State Univ, Ctr Adv Study Econ Efficiency, Tempe, AZ USA. [Ohanian, Lee E.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Ohanian, LE (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. EM ohanian@econ.ucla.edu NR 66 TC 30 Z9 32 U1 2 U2 15 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD FAL PY 2010 VL 24 IS 4 BP 45 EP 66 DI 10.1257/jep.24.4.45 PG 22 WC Economics SC Business & Economics GA 679KD UT WOS:000284159400003 ER PT J AU Hoshi, T Kashyap, AK AF Hoshi, Takeo Kashyap, Anil K. TI Will the US bank recapitalization succeed? Eight lessons from Japan SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article ID PREMIUM; CRISIS AB During the financial crisis that started in 2007, the U.S. government has used a variety of tools to try to rehabilitate the U.S. banking industry. Many of those strategies were also used in Japan to combat its banking problems in the 1990s. There are also a surprising number of other similarities between the current U.S. crisis and the recent Japanese crisis. The Japanese policies were only partially successful in recapitalizing the banks until the economy finally started to recover in 2003. From these unsuccessful attempts, we derive eight lessons. In light of these eight lessons, we assess the policies the U.S. has pursued. The U.S. has ignored three of the lessons and it is too early to evaluate the U.S. policies with respect to four of the others. So far, the U.S. has avoided Japan's problem of having impaired banks prop up zombie firms. (C) 2010 Elsevier B.V. All rights reserved. C1 [Kashyap, Anil K.] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Hoshi, Takeo] Univ Calif San Diego, Sch Int Relat & Pacific Studies, La Jolla, CA 92093 USA. [Hoshi, Takeo; Kashyap, Anil K.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Hoshi, Takeo] Tokyo Ctr Econ Res, Tokyo, Japan. [Kashyap, Anil K.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Kashyap, AK (reprint author), Univ Chicago, Booth Sch Business, 5807 S Woodlawn Ave, Chicago, IL 60637 USA. EM thoshi@ucsd.edu; anil.kashyap@chicagobooth.edu NR 36 TC 66 Z9 66 U1 3 U2 17 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD SEP PY 2010 VL 97 IS 3 SI SI BP 398 EP 417 DI 10.1016/j.jfineco.2010.02.005 PG 20 WC Business, Finance; Economics SC Business & Economics GA 616DK UT WOS:000279188600006 ER PT J AU Calem, PS Firestone, S Wachter, SM AF Calem, Paul S. Firestone, Simon Wachter, Susan M. TI Credit impairment and housing tenure status SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Tenure choice; Credit constraints ID HOMEOWNERSHIP; IMPACTS; BUBBLE; RACE AB We revisit the relationship between financing constraints and homeownership rates using the 2004 wave of the 1979 National Longitudinal Survey of Youth. The survey respondents are a nationally representative sample of Americans 39-47 years of age as of this wave. As most of the sample had been in their current residence prior to 2004, this study reflects housing tenure status decisions made prior to the recent credit expansion and subsequent crisis. Past research has emphasized wealth constraints, and income constraints as limiting homeownership. The estimation results here point to primary roles for credit impairment and lack of credit history. We also find that excluding controls for the endogeneity of wealth and income may mask the impact of credit factors. Published by Elsevier Inc. C1 [Calem, Paul S.; Firestone, Simon] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Wachter, Susan M.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Firestone, S (reprint author), Fed Reserve Syst, Board Governors, MS 803, Washington, DC 20551 USA. EM paul.calem@frb.gov; simon.b.firesto-ne@frb.gov; wachter@wharton.upenn.edu NR 29 TC 3 Z9 3 U1 1 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD SEP PY 2010 VL 19 IS 3 BP 219 EP 232 DI 10.1016/j.jhe.2010.07.003 PG 14 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 648IT UT WOS:000281686800005 ER PT J AU Laderman, E Reid, C AF Laderman, Elizabeth Reid, Carolina TI Mortgage lending on Native American reservations: Does a guarantee matter? SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Mortgage lending; NMDA; Housing policy; Native Americans ID HOMEOWNERSHIP AB The Section 184 Indian Home Loan Guarantee Program provides lenders with a 100 percent guarantee for mortgage loans to Native Americans residing on reservations belonging to tribes that have chosen to participate in the program. We find that Native Americans residing on trust land whose tribes have adopted Section 184 have a marginally statistically significantly higher loan approval rate than Native Americans residing on trust land whose tribes have not adopted Section 184. However, the statistical significance disappears once tribe fixed effects are included in the analysis, suggesting that underlying tribe characteristics correlated with the adoption of Section 184 are more important determinants of access to credit than is Section 184 per se. (C) 2010 Elsevier Inc. All rights reserved. C1 [Reid, Carolina] Fed Reserve Bank San Francisco, Community Dev Dept, San Francisco, CA 94105 USA. RP Reid, C (reprint author), Fed Reserve Bank San Francisco, Community Dev Dept, 101 Market St, San Francisco, CA 94105 USA. EM carolina.reid@sf.frb.org NR 11 TC 3 Z9 3 U1 1 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD SEP PY 2010 VL 19 IS 3 BP 233 EP 242 DI 10.1016/j.jhe.2010.07.001 PG 10 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 648IT UT WOS:000281686800006 ER PT J AU Judson, RA Klee, E AF Judson, Ruth A. Klee, Elizabeth TI Whither the liquidity effect: The impact of Federal Reserve open market operations in recent years SO JOURNAL OF MACROECONOMICS LA English DT Article DE Liquidity effect; Federal funds market; Open market operations ID MONETARY-POLICY; FUNDS MARKET; MANAGEMENT; BANKS; MODEL AB Previous research indicated that the daily liquidity effect, or the change in the federal funds rate associated with an exogenous change in Fed balances, varies with several factors including the day of the maintenance period. In this paper, we examine data from 1998 to 2007, the recent period of increased Federal Reserve transparency before the financial crisis, and find that the liquidity effect stabilized across days of the maintenance period. We conclude that the liquidity effect may be a function of the uncertainty about banks' end-of-day balances, as well as pure maintenance period effects. Moreover, we find that increased transparency led to a larger liquidity effect on the days prior to an FOMC meeting. Published by Elsevier Inc. C1 [Judson, Ruth A.; Klee, Elizabeth] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Klee, E (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 59,20th & C St NW, Washington, DC 20551 USA. EM rjudson@frb.gov; elizabeth.c.klee@frb.gov NR 22 TC 6 Z9 6 U1 3 U2 7 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD SEP PY 2010 VL 32 IS 3 BP 713 EP 731 DI 10.1016/j.jmacro.2010.01.005 PG 19 WC Economics SC Business & Economics GA 612NK UT WOS:000278905800001 ER PT J AU Meh, CA Rios-Rull, JV Terajima, Y AF Meh, Cesaire A. Rios-Rull, Jose-Victor Terajima, Yaz TI Aggregate and welfare effects of redistribution of wealth under inflation and price-level targeting SO JOURNAL OF MONETARY ECONOMICS LA English DT Article AB An unanticipated rise in the price level redistributes wealth from lenders to borrowers. Its size depends on the monetary policy regime, as inflation targeting (IT) and price-level targeting (PT) have different implications for the price-level path following price-level movements. The effects of an unexpected 1% price-level increase are measured and assessed under both regimes. Overall, the redistribution of wealth and the implied aggregate and welfare effects are larger under IT than they are under PT. The youngest, the poorest, and the government gain at the expense of the rest of the population and, when the government gain is given to households as lump-sum transfers, the effects on GDP are negative and long-lasting. (C) 2010 Elsevier B.V. All rights reserved. C1 [Rios-Rull, Jose-Victor] Univ Minnesota, Fed Reserve Bank Minneapolis, NBER, CAERP,CEPR, Minneapolis, MN 55455 USA. RP Rios-Rull, JV (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, NBER, CAERP,CEPR, Minneapolis, MN 55455 USA. EM cmeh@bankofcanada.ca; vr0j@umn.edu; yterajima@bankofcanada.ca NR 13 TC 8 Z9 8 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2010 VL 57 IS 6 BP 637 EP 652 DI 10.1016/j.jmoneco.2010.05.001 PG 16 WC Business, Finance; Economics SC Business & Economics GA 657FE UT WOS:000282397800002 ER PT J AU Dennis, R AF Dennis, Richard TI How robustness can lower the cost of discretion SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID OPTIMAL MONETARY-POLICY; MODEL UNCERTAINTY; PERMANENT INCOME; HANSEN-SARGENT; RULES; COMMITMENT; ECONOMY; UTILITY; PRICES AB Model uncertainty has the potential to change importantly how monetary policy is conducted, making it an issue that central banks cannot ignore. Using a standard new Keynesian business cycle model, this paper analyzes the behavior of a central bank that conducts policy under discretion while fearing that its model is misspecified. The main results are as follows. First, policy performance can be improved if the discretionary central bank implements a robust policy. This important result is obtained because the central bank's desire for robustness directs it to assertively stabilize inflation, thereby mitigating the stabilization bias associated with discretionary policymaking. Second, the central bank's fear of model misspecification leads it to forecast future outcomes under the belief that inflation (in particular) will be persistent and have large unconditional variance, raising the probability of extreme outcomes. Private agents, however, anticipating the policy response, make decisions under the belief that inflation will be more closely stabilized, that is, more tightly distributed, than under rational expectations. Finally, as a technical contribution, the paper shows how to solve with robustness an important class of linear-quadratic decision problems. (C) 2010 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM richard.dennis@sf.frb.org NR 48 TC 9 Z9 9 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2010 VL 57 IS 6 BP 653 EP 667 DI 10.1016/j.jmoneco.2010.06.003 PG 15 WC Business, Finance; Economics SC Business & Economics GA 657FE UT WOS:000282397800003 ER PT J AU Curdia, V Woodford, M AF Curdia, Vasco Woodford, Michael TI Credit Spreads and Monetary Policy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E40; E50; credit frictions; interest rate rules; Taylor rules AB We consider the desirability of modifying a standard Taylor rule for interest rate policy to incorporate adjustments for measures of financial conditions. We consider the consequences of such adjustments for the way policy would respond to a variety of disturbances, using the dynamic stochastic general equilibrium model with credit frictions developed in Curdia and Woodford (2009a). According to our model, an adjustment for variations in credit spreads can improve upon the standard Taylor rule, but the optimal size of adjustment depends on the source of the variation in credit spreads. A response to the quantity of credit is less likely to be helpful. C1 [Curdia, Vasco] Fed Reserve Bank New York, New York, NY USA. [Woodford, Michael] Columbia Univ, Dept Econ, New York, NY 10027 USA. RP Curdia, V (reprint author), Fed Reserve Bank New York, New York, NY USA. EM vasco.curdia@ny.frb.org; michael.woodford@columbia.edu NR 27 TC 100 Z9 102 U1 3 U2 13 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2010 VL 42 IS 6 SU S BP 3 EP 35 DI 10.1111/j.1538-4616.2010.00328.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 639SL UT WOS:000280994700002 ER PT J AU Carlstrom, CT Fuerst, TS Paustian, M AF Carlstrom, Charles T. Fuerst, Timothy S. Paustian, Matthias TI Optimal Monetary Policy in a Model with Agency Costs SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E32; E44; optimal monetary policy; agency costs ID ASSET PRICES; BUSINESS FLUCTUATIONS; NET WORTH; CYCLES AB This paper integrates a fully explicit model of agency costs into an otherwise standard Dynamic New Keynesian model in a particularly transparent way. A principal result is the characterization of agency costs as endogenous markup shocks in an output-gap version of the Phillips curve. The model's utility-based welfare criterion is derived explicitly and includes a measure of credit market tightness that we interpret as a risk premium. The paper also fully characterizes optimal monetary policy and provides conditions under which zero inflation is the optimal policy. Finally, optimal policy can be expressed as an inflation targeting criterion that (depending upon parameter values) can be either forward or backward looking. C1 [Carlstrom, Charles T.; Fuerst, Timothy S.] Fed Reserve Bank Cleveland, Cleveland, Qld, Australia. [Fuerst, Timothy S.; Paustian, Matthias] Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. [Paustian, Matthias] Bank England, London, England. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Cleveland, Qld, Australia. EM charles.t.carlstrom@clev.frb.org; tfuerst@bgsu.edu; matthias.paustian@bankofengland.co.uk NR 20 TC 22 Z9 22 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2010 VL 42 IS 6 SU S BP 37 EP 70 DI 10.1111/j.1538-4616.2010.00329.x PG 34 WC Business, Finance; Economics SC Business & Economics GA 639SL UT WOS:000280994700003 ER PT J AU Christensen, JHE Lopez, JA Rudebusch, GD AF Christensen, Jens H. E. Lopez, Jose A. Rudebusch, Glenn D. TI Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E31; E43; G12; inflation expectations; arbitrage-free term structure modeling; real interest rates; Treasury inflation protected securities ID TERM STRUCTURE; AFFINE MODELS AB Differences between yields on comparable-maturity U.S. Treasury nominal and real debt, the so-called breakeven inflation (BEI) rates, are widely used indicators of inflation expectations. However, better measures of inflation expectations could be obtained by subtracting inflation risk premiums (IRP) from the BEI rates. We provide such decompositions using an affine arbitrage-free model of the term structure that captures the pricing of both nominal and real Treasury securities. Our empirical results suggest that long-term inflation expectations have been well anchored over the past few years, and IRP, although volatile, have been close to zero on average. C1 [Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Christensen, JHE (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM jens.christensen@sf.frb.org; jose.a.lopez@sf.frb.org; Glenn.Rudebusch@sf.frb.org NR 35 TC 33 Z9 33 U1 1 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2010 VL 42 IS 6 SU S BP 143 EP 178 DI 10.1111/j.1538-4616.2010.00332.x PG 36 WC Business, Finance; Economics SC Business & Economics GA 639SL UT WOS:000280994700006 ER PT J AU Rosengren, ES AF Rosengren, Eric S. TI The Impact of Liquidity, Securitization, and Banks on the Real Economy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article C1 Fed Reserve Bank Boston, Boston, MA USA. RP Rosengren, ES (reprint author), Fed Reserve Bank Boston, Boston, MA USA. EM eric.rosengren@bos.frb.org NR 0 TC 4 Z9 4 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2010 VL 42 IS 6 SU S BP 221 EP 228 DI 10.1111/j.1538-4616.2010.00336.x PG 8 WC Business, Finance; Economics SC Business & Economics GA 639SL UT WOS:000280994700010 ER PT J AU Yellen, JL AF Yellen, Janet L. TI Closing Panel Presentation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID MONETARY-POLICY C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Yellen, JL (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM Janet.Yellen@sf.frb.org NR 14 TC 0 Z9 0 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2010 VL 42 IS 6 SU S BP 243 EP 248 DI 10.1111/j.1538-4616.2010.00338.x PG 6 WC Business, Finance; Economics SC Business & Economics GA 639SL UT WOS:000280994700012 ER PT J AU Nunes, R AF Nunes, Ricardo TI Inflation Dynamics: The Role of Expectations SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE inflation; survey expectations; Phillips curve ID KEYNESIAN PHILLIPS-CURVE; MONETARY-POLICY; ECONOMIST FORECASTS; STICKY INFORMATION; ASSET MARKETS; UNITED-STATES; GMM; PRICES; VOLATILITY; HOUSEHOLD AB This paper estimates the Phillips curve allowing for a simultaneous role of rational and survey expectations. We consider both a reduced form and a structural specification of the Phillips curve. The results suggest that survey expectations can be a statistically significant component of firms' expectations and inflation dynamics. However, rational expectations continue to play a dominant role. C1 Fed Reserve Board, Washington, DC USA. RP Nunes, R (reprint author), Fed Reserve Board, 20th & Constitut Ave NW, Washington, DC USA. EM ricardo.p.nunes@frb.gov RI nipe, cef/A-4218-2010 NR 48 TC 17 Z9 17 U1 2 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2010 VL 42 IS 6 BP 1161 EP 1172 DI 10.1111/j.1538-4616.2010.00324.x PG 12 WC Business, Finance; Economics SC Business & Economics GA 641GP UT WOS:000281113100008 ER PT J AU Di, WH Ma, JL Murdoch, JC AF Di, Wenhua Ma, Jielai Murdoch, James C. TI An Analysis of the Neighborhood Impacts of a Mortgage Assistance Program: A Spatial Hedonic Model SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Article ID OPENING STATEMENT; PROPERTY-VALUES; HOMEOWNERSHIP AB Down payment or closing cost assistance is an effective program in addressing the wealth constraints of low- and moderate-income homebuyers. However, the spillover effect of such programs on the neighborhood is unknown. This paper estimates the impact of the City of Dallas Mortgage Assistance Program (MAP) on nearby home values using a hedonic model of home sales from 1990 to 2006. We define neighborhoods of 1,000 feet around each sale and estimate the average differences in sales prices between neighborhoods with various numbers of MAP properties before and after their appearance. We find that MAP properties tend to locate in neighborhoods with lower property values; however, unless a concentration of MAP properties forms, the infusion of MAP properties has little detrimental impact on neighboring property values. Moreover, low concentration of MAP properties has a modest positive impact on surrounding property values. (C) 2010 by the Association for Public Policy Analysis and Management. C1 [Di, Wenhua] Fed Reserve Bank Dallas, Dallas, TX USA. [Ma, Jielai] Northwestern Univ, Feinberg Sch Med, Chicago, IL 60611 USA. [Murdoch, James C.] Univ Texas Dallas, Richardson, TX 75083 USA. RP Di, WH (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. NR 30 TC 3 Z9 3 U1 1 U2 11 PU JOHN WILEY & SONS INC PI HOBOKEN PA 111 RIVER ST, HOBOKEN, NJ 07030 USA SN 0276-8739 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD FAL PY 2010 VL 29 IS 4 BP 682 EP 697 DI 10.1002/pam.20530 PG 16 WC Economics; Public Administration SC Business & Economics; Public Administration GA 661EV UT WOS:000282708100003 ER PT J AU Coles, MG Jones, P Smith, E AF Coles, Melvyn G. Jones, Paul Smith, Eric TI A PICTURE OF STOCK-FLOW UNEMPLOYMENT IN THE UNITED KINGDOM SO MACROECONOMIC DYNAMICS LA English DT Article DE Unemployment Duration; Stock-Flow Matching ID LABOR-MARKET; MATCHING FUNCTION; EQUILIBRIUM; INSURANCE; SPELLS AB Stock-flow job matching implies that there are two types of job seekers-those on the short side of their occupations who can easily find work, and those on the long side who expect extended unemployment spells. Using matching data and information on completed and uncompleted unemployment spells for England and Wales, this paper uses the stock-flow matching hypothesis to identify the fraction (incidence) of laid off workers who find themselves on the long side of the market and, conditional on being on the long side, their expected unemployment duration. The average incidence is around one-half and increases significantly in recessions. The expected duration is also strongly countercyclical-peaking at 15 months in the 1990-1992 recession and falling to a more modest 9 months by January 1999. Cross-section estimates also identify a North-South divide and a large city effect-the unemployed in large cities and in the North experience longer spells. C1 [Smith, Eric] Univ Essex, Dept Econ, Colchester CO4 3SQ, Essex, England. [Smith, Eric] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Jones, Paul] Sheffield Hallam Univ, Sheffield S1 1WB, S Yorkshire, England. RP Smith, E (reprint author), Univ Essex, Dept Econ, Wivenhoe Pk, Colchester CO4 3SQ, Essex, England. EM esmith@essex.ac.uk NR 28 TC 1 Z9 1 U1 1 U2 21 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD SEP PY 2010 VL 14 IS 4 BP 427 EP 453 DI 10.1017/S1365100509090361 PG 27 WC Economics SC Business & Economics GA 657FI UT WOS:000282398200001 ER PT J AU Valverde, SC Del Paso, RL AF Carbo Valverde, Santiago Lopez Del Paso, Rafael TI DOES THE DEVELOPMENT OF NON-CASH PAYMENTS AFFECT BANK LENDING? SO MANCHESTER SCHOOL LA English DT Article ID AUTOMATED TELLER MACHINES; MONETARY-POLICY; DEMAND DEPOSITS; PANEL-DATA; TRANSMISSION; CHANNEL; CREDIT; MODELS; MONEY AB Previous studies show that the impact of an exogenous monetary policy shock on bank lending is different across bank sizes and across various levels of capitalization and liquidity. However, there is little evidence on the impact of other exogenous influences such as the shift from cash to non-cash payment instruments on bank lending. In this paper we explore the effects of the increasing use of non-cash payment instruments on bank lending in Spain during 1992-2000. The results show that banks appear to have taken advantage of the non-cash instruments to adjust their loan supply when interest rates increase. C1 [Carbo Valverde, Santiago; Lopez Del Paso, Rafael] Univ Granada, E-18071 Granada, Spain. [Carbo Valverde, Santiago] Fed Reserve Bank Chicago, Chicago, IL USA. RP Valverde, SC (reprint author), Univ Granada, E-18071 Granada, Spain. NR 51 TC 0 Z9 0 U1 4 U2 9 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1463-6786 J9 MANCH SCH JI Manch. Sch. PD SEP PY 2010 VL 78 IS 5 BP 412 EP 436 DI 10.1111/j.1467-9957.2010.02202.x PG 25 WC Economics SC Business & Economics GA 635OV UT WOS:000280666000003 ER PT J AU Li, G Smith, PA AF Li, Geng Smith, Paul A. TI 401(k) LOANS AND HOUSEHOLD BALANCE SHEETS SO NATIONAL TAX JOURNAL LA English DT Article DE 401(k); household debt; retirement saving ID LIQUIDITY CONSTRAINTS; BEHAVIOR; ACCOUNTS; SAVINGS; CREDIT AB We show in a simple model that households will choose 401(k) loans over other consumer loans if the opportunity cost of 401(k) loans - i.e., the foregone asset returns - is less than the cost of other loans, and that few households would carry high-cost consumer debt without first utilizing 401(k) loans. Using data from the Survey of Consumer Finances, however, we find that households typically turn to 401(k) loans only after utilizing more expensive credit. About half of our sample households could benefit from shifting debt to 401(k) loans, generating average savings of about $200 to $275 per year, or 10 to 15 percent of interest costs. C1 [Li, Geng; Smith, Paul A.] Fed Reserve Board, Washington, DC USA. RP Li, G (reprint author), Fed Reserve Board, Washington, DC USA. EM geng.li@frb.gov; paul.a.smith@frb.gov NR 26 TC 1 Z9 1 U1 0 U2 1 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 J9 NATL TAX J JI Natl. Tax J. PD SEP PY 2010 VL 63 IS 3 BP 479 EP 508 PG 30 WC Business, Finance; Economics SC Business & Economics GA 643DG UT WOS:000281273600004 ER PT J AU Brennan, MJ Wang, AW AF Brennan, Michael J. Wang, Ashley W. TI The Mispricing Return Premium SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID EXPECTED STOCK RETURNS; CROSS-SECTION; INVESTOR SENTIMENT; LIQUIDITY RISK; MARKET; INFORMATION; PRICES; OVERREACTION; VOLATILITY; ANOMALIES AB We show that, when stock prices are subject to stochastic mispricing errors, expected rates of return may depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return premium, either estimated using a Kalman filter or proxied by the volatility and variance ratio of residual returns, is shown to be significantly associated with realized risk-adjusted returns. C1 [Wang, Ashley W.] Fed Reserve Syst, Washington, DC 20551 USA. [Brennan, Michael J.] Univ Manchester, Dept Accounting & Finance, Manchester M13 9PL, Lancs, England. [Brennan, Michael J.] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90024 USA. RP Wang, AW (reprint author), Fed Reserve Syst, Mail Stop 89, Washington, DC 20551 USA. EM michael.brennan@anderson.ucla.edu; ashley.wang@frb.gov RI Sabra, Hayssam/D-4644-2015 OI Sabra, Hayssam/0000-0001-5125-2863 NR 52 TC 11 Z9 11 U1 1 U2 10 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD SEP PY 2010 VL 23 IS 9 BP 3437 EP 3468 DI 10.1093/rfs/hhq064 PG 32 WC Business, Finance; Economics SC Business & Economics GA 654HV UT WOS:000282160000005 ER PT J AU Aaronson, S Figura, A AF Aaronson, Stephanie Figura, Andrew TI HOW BIASED ARE MEASURES OF CYCLICAL MOVEMENTS IN PRODUCTIVITY AND HOURS? SO REVIEW OF INCOME AND WEALTH LA English DT Article ID RETURNS; DEMAND AB The movement of hours worked over the business cycle is an important input into the estimation of many key parameters in macroeconomics. Unfortunately, the available data on hours do not correspond precisely to the concept required for accurate inference. We study one source of mismeasurement-that the most commonly used source data measure hours paid instead of hours worked. In particular, we focus our attention on salaried workers, a group for whom the gap between hours paid and hours worked is likely to be large. We show that the measurement gap varies significantly and positively with changes in labor demand. As a result, we estimate that the standard deviations of the workweek and of total hours worked are 27 and 5 percent larger, respectively, than published measures of hours suggest. We also find that this measurement gap is unlikely to be the source of the acceleration in published measures of productivity in the early 2000s. C1 [Aaronson, Stephanie; Figura, Andrew] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Figura, A (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 80,20th & C St, Washington, DC 20551 USA. EM Andrew.Figura@frb.gov NR 21 TC 2 Z9 2 U1 1 U2 5 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0034-6586 J9 REV INCOME WEALTH JI Rev. Income Wealth PD SEP PY 2010 VL 56 IS 3 BP 539 EP 558 DI 10.1111/j.1475-4991.2010.00401.x PG 20 WC Economics SC Business & Economics GA 639UN UT WOS:000281000200005 ER PT J AU Klier, T Linn, J AF Klier, Thomas Linn, Joshua TI The Price of Gasoline and New Vehicle Fuel Economy Evidence from Monthly Sales Data SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID UNITED-STATES; CHOICE MODELS; STANDARDS; EFFICIENCY; DEMAND; MARKET AB This paper uses a unique dataset of monthly new vehicle sales by detailed model from 1978 to 2007, and implements a new identification strategy to estimate the effect of the price of gasoline on individual vehicle model sales We control for unobserved vehicle and consumer characteristics by using within model year changes in the price of gasoline and sales We find a significant sales response, suggesting that the gasoline price increase from 2002 to 2007 explains nearly half of the decline in market share of US manufacturers On the other hand, an increase in the gasoline tax would only modestly raise average fuel economy (JEL H25, L11, L62, L71) C1 [Klier, Thomas] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Linn, Joshua] MIT, MIT Energy Initiat, Cambridge, MA 02139 USA. RP Klier, T (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. NR 25 TC 40 Z9 40 U1 1 U2 7 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD AUG PY 2010 VL 2 IS 3 BP 134 EP 153 DI 10.1257/pol.2.3.134 PG 20 WC Economics SC Business & Economics GA 684OR UT WOS:000284559700006 ER PT J AU Veltri, SC Cavanagh, G AF Veltri, Stephen C. Cavanagh, Greg TI Payments SO BUSINESS LAWYER LA English DT Article ID UNIFORM-COMMERCIAL-CODE C1 [Veltri, Stephen C.] Ohio No Univ, Ada, OH 45810 USA. [Cavanagh, Greg] Fed Reserve Bank New York, New York, NY 10045 USA. RP Veltri, SC (reprint author), Ohio No Univ, Ada, OH 45810 USA. NR 18 TC 4 Z9 4 U1 0 U2 0 PU AMER BAR ASSOC, ADMINISTRATIVE LAW & REGULATORY PRACTICE SECTION PI CHICAGO PA 321 N CLARK ST, CHICAGO, IL 60610 USA SN 0007-6899 J9 BUS LAWYER JI Bus. Lawyer PD AUG PY 2010 VL 65 IS 4 BP 1241 EP 1265 PG 25 WC Law SC Government & Law GA 646ZY UT WOS:000281586200011 ER PT J AU Kitao, S AF Kitao, Sagiri TI Individual Retirement Accounts, saving and labor supply SO ECONOMICS LETTERS LA English DT Article DE Individual Retirement Account; Life-cycle savings; Dynamic general equilibrium; Overlapping generations AB This paper builds a general equilibrium model of overlapping generations and studies the effects of tax-deferred saving and alternative retirement saving policies on life-cycle saving and labor supply of households and on the aggregate economy. (C) 2010 Elsevier B.V. All rights reserved. C1 [Kitao, Sagiri] Fed Reserve Bank New York, New York, NY USA. RP Kitao, S (reprint author), 33 Liberty St, New York, NY 10045 USA. EM sagiri.kitao@gmail.com NR 5 TC 2 Z9 2 U1 1 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD AUG PY 2010 VL 108 IS 2 BP 197 EP 200 DI 10.1016/j.econlet.2010.05.011 PG 4 WC Economics SC Business & Economics GA 632BB UT WOS:000280393900027 ER PT J AU Hjalmarsson, E Osterholm, P AF Hjalmarsson, Erik Osterholm, Par TI Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies SO EMPIRICAL ECONOMICS LA English DT Article DE Cointegration; Near unit root; Spurious rejection ID NOMINAL INTEREST-RATES; LONG-RUN RELATIONSHIP; UNIT-ROOT; MEAN REVERSION; TIME-SERIES; FISHER HYPOTHESIS; EFFICIENT TESTS; OECD COUNTRIES; TERM STRUCTURE; INFLATION AB We investigate the properties of Johansen's (J Econ Dyn Control 12:231-254, 1988; Econometrica 59:1551-1580, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we show that in a system with near-integrated variables, the probability of reaching an erroneous conclusion regarding the cointegrating rank of the system is generally substantially higher than the nominal size. The risk of concluding that completely unrelated series are cointegrated is therefore non-negligible. We suggest ways of identifying the problem and different approaches to reduce the size distortions of the tests. C1 [Osterholm, Par] Natl Inst Econ Res, S-10362 Stockholm, Sweden. [Hjalmarsson, Erik] Board Governors Fed Reserve Syst, Div Int Finance, Washington, DC 20551 USA. RP Osterholm, P (reprint author), Natl Inst Econ Res, Box 3116, S-10362 Stockholm, Sweden. EM erik.hjalmarsson@frb.gov; par.osterholm@konj.se NR 43 TC 8 Z9 10 U1 2 U2 7 PU PHYSICA-VERLAG GMBH & CO PI HEIDELBERG PA PO BOX 10 52 80, 69042 HEIDELBERG, GERMANY SN 0377-7332 J9 EMPIR ECON JI Empir. Econ. PD AUG PY 2010 VL 39 IS 1 BP 51 EP 76 DI 10.1007/s00181-009-0294-6 PG 26 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 623AN UT WOS:000279709000003 ER PT J AU Cai, BL Cameron, TA Gerdes, GR AF Cai, Beilei Cameron, Trudy Ann Gerdes, Geoffrey R. TI Distributional Preferences and the Incidence of Costs and Benefits in Climate Change Policy SO ENVIRONMENTAL & RESOURCE ECONOMICS LA English DT Article DE Climate change; Distributional preferences; Equity; Regressivity; Stated preference; Payment vehicle; Construct validity ID WILLINGNESS-TO-PAY; CONTINGENT VALUATION SURVEYS; CONSTRUCT-VALIDITY; CHANGE MITIGATION; ECONOMIC-ANALYSIS; INTERNET SAMPLES; PUBLIC-GOODS; EQUITY; METAANALYSIS; SUPPORT AB We explore the relationship between willingness to pay (WTP) for climate change mitigation and distributional preferences, by which we mean individuals' opinions about who should be responsible for climate change prevention and whether the share of climate change impacts borne by the poor is a cause for concern. We use 1,770 responses to an online stated preference survey. The domestic costs in our survey's policy choice scenarios are expressed as a set of randomized shares across four different payment vehicles, and the international cost shares are randomized across four groups of countries. We also elicit respondents' perceptions of the likely regressivity of climate change impacts under a policy of business-as-usual. WTP is higher when larger cost shares are borne by parties deemed to bear a greater responsibility for mitigation, and when respondents believe (and care) that the impacts of climate change may be borne disproportionately by the world's poor. That WTP for an environmental policy depends on the distributional consequences of the policy is an unsettling result: efficiency assessments are typically assumed to be separate from equity considerations in most benefit-cost analyses. C1 [Cai, Beilei; Cameron, Trudy Ann] 1285 Univ Oregon, Dept Econ, Eugene, OR 97403 USA. [Gerdes, Geoffrey R.] Board Governors Fed Reserve Syst, Washington, DC USA. RP Cameron, TA (reprint author), 1285 Univ Oregon, Dept Econ, 435 PLC, Eugene, OR 97403 USA. EM cameron@uoregon.edu RI Cameron, Trudy Ann/A-2952-2008 OI Cameron, Trudy Ann/0000-0001-9605-7770 FU National Science Foundation [SES-9818875] FX The data for this study were collected with funding from the National Science Foundation (SES-9818875). This research was supported in part by the endowment of the R.F. Mikesell Chair in Environmental and Resource Economics at the University of Oregon. We are grateful to Vilija Gulbinas for assistance with survey development and implementation at UCLA. We are also grateful for the very generous cooperation of 114 instructors at 92 different colleges and universities in the U.S. and Canada who announced our survey to their classes and encouraged participation, and to participants at the 2007 Heartland Environmental & Resource Economics Workshop (Ames, IA), the 2007 CU Environmental and Resource Economics Workshop (Vail, CO), and the 2008 EAERE conference (Gothenburg, Sweden). Dan Burghart and Ron Davies have also provided helpful suggestions. The opinions expressed in this paper are those of the authors and do not necessarily reflect the opinions of the Federal Reserve Board of Governors or its staff. NR 55 TC 24 Z9 24 U1 12 U2 31 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0924-6460 J9 ENVIRON RESOUR ECON JI Environ. Resour. Econ. PD AUG PY 2010 VL 46 IS 4 BP 429 EP 458 DI 10.1007/s10640-010-9348-7 PG 30 WC Economics; Environmental Studies SC Business & Economics; Environmental Sciences & Ecology GA 627US UT WOS:000280069300002 ER PT J AU Adrian, T Moench, E Shin, HS AF Adrian, Tobias Moench, Emanuel Shin, Hyun Song TI Macro Risk Premium and Intermediary Balance Sheet Quantities SO IMF ECONOMIC REVIEW LA English DT Article ID ECONOMIC-ACTIVITY; MONETARY-POLICY; CYCLES AB The macro risk premium measures the threshold return for real activity that receives funding from savers. The balance sheet conditions of financial intermediaries provide a window on the macro risk premium. The tightness of intermediaries' balance sheet constraints determines their "risk appetite,"' which in turn, determines the set of real projects that receive funding, and hence determines the supply of credit. Monetary policy affects risk appetite by changing intermediaries' ability to leverage their capital. This paper estimates the time-varying risk appetite of financial intermediaries for the United States, Germany, United Kingdom, and Japan, and studies the joint dynamics of risk appetite with macroeconomic aggregates for the United States. The paper argues that risk appetite is an important indicator for monetary conditions. [JEL G2, E3, E5] IMF Economic Review (2010) 58, 179-207. doi:10.1057/imfer.2010.5; published online 3 August 2010 C1 [Adrian, Tobias; Moench, Emanuel] Fed Reserve Bank New York, New York, NY USA. [Shin, Hyun Song] Princeton Univ, Princeton, NJ 08544 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY USA. OI Adrian, Tobias/0000-0001-9379-9592 NR 29 TC 13 Z9 13 U1 0 U2 13 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PD AUG PY 2010 VL 58 IS 1 BP 179 EP 207 DI 10.1057/imfer.2010.5 PG 29 WC Business, Finance; Economics SC Business & Economics GA 648EE UT WOS:000281672400008 ER PT J AU Jones, LE Schoonbroodt, A AF Jones, Larry E. Schoonbroodt, Alice TI COMPLEMENTS VERSUS SUBSTITUTES AND TRENDS IN FERTILITY CHOICE IN DYNASTIC MODELS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID DEMOGRAPHIC-TRANSITION; ECONOMIC-GROWTH; POPULATION-GROWTH; CHILD-MORTALITY; UNITED-STATES; FAMILY-SIZE; DECLINE; INVESTMENT; EDUCATION; QUALITY AB Demographers emphasize decreased mortality and "economic development" as the main contributors generating the demographic transition. Contrary to previous findings, we show that simple dynastic models a la Barro-Becker can reproduce observed changes in fertility in response to decreased mortality and increased productivity growth if the intertemporal elasticity of substitution is low enough. We show that this is largely due to number and welfare of children being substitutes in the utility of parents in this case. We find that with an IES of one-third, model predictions of changes in fertility amount to two-thirds of those observed in U.S. data since 1800. C1 [Schoonbroodt, Alice] Univ Southampton, Sch Social Sci, Econ Div, Southampton SO17 1BJ, Hants, England. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Schoonbroodt, A (reprint author), Univ Southampton, Sch Social Sci, Econ Div, 58 Murray,Room 3013, Southampton SO17 1BJ, Hants, England. EM alicesch@soton.ac.uk NR 59 TC 16 Z9 16 U1 0 U2 5 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2010 VL 51 IS 3 BP 671 EP 699 PG 29 WC Economics SC Business & Economics GA 635KI UT WOS:000280653600005 ER PT J AU Amaral, PS Quintin, E AF Amaral, Pedro S. Quintin, Erwan TI LIMITED ENFORCEMENT, FINANCIAL INTERMEDIATION, AND ECONOMIC DEVELOPMENT: A QUANTITATIVE ASSESSMENT SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PRODUCTIVITY DIFFERENCES; OCCUPATIONAL CHOICE; RELATIVE PRICES; GROWTH; INCOME; MODEL AB We present a model of economic development where the importance of financial differences caused by limited enforcement can be measured. Economies where enforcement is poor direct less capital to the production sector and employ less efficient technologies. Calibrated simulations reveal that the resulting effect on output is large. Furthermore, the model correctly predicts that the average scale of production should rise with the quality of enforcement. Finally, we find that the importance of limited enforcement rises with the importance of capital in production. C1 [Amaral, Pedro S.] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. Fed Reserve Bank Dallas, Dallas, TX USA. RP Amaral, PS (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM pedro.amaral@clev.frb.org RI nipe, cef/A-4218-2010 NR 41 TC 20 Z9 20 U1 0 U2 3 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2010 VL 51 IS 3 BP 785 EP 811 PG 27 WC Economics SC Business & Economics GA 635KI UT WOS:000280653600009 ER PT J AU Canova, F Lopez-Salido, D Michelacci, C AF Canova, Fabio Lopez-Salido, David Michelacci, Claudio TI THE EFFECTS OF TECHNOLOGY SHOCKS ON HOURS AND OUTPUT: A ROBUSTNESS ANALYSIS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID LONG-RUN RESTRICTIONS; BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; CONTRACTIONARY; IMPROVEMENTS; GROWTH AB We analyze the effects of neutral and investment-specific technology shocks on hours and output. Long cycles in hours are removed in a variety of ways. Hours robustly fall in response to neutral shocks and robustly increase in response to investment-specific shocks. The percentage of the variance of hours (output) explained by neutral shocks is small (large); the opposite is true for investment-specific shocks. 'News shocks' are uncorrelated with the estimated technology shocks. Copyright (C) 2009 John Wiley & Sons, Ltd. C1 [Canova, Fabio] Univ Pompeu Fabra, Dept Econ, ICREA, Barcelona 08005, Spain. [Canova, Fabio] AMeN, Barcelona, Spain. [Canova, Fabio; Lopez-Salido, David; Michelacci, Claudio] CEPR, London, England. [Lopez-Salido, David] Fed Reserve Board, Washington, DC USA. [Michelacci, Claudio] Cemfi, Madrid, Spain. RP Canova, F (reprint author), Univ Pompeu Fabra, Dept Econ, ICREA, Ramon Trias Fargas 25-27, Barcelona 08005, Spain. EM fabio.canova@upf.edu RI Canova, Fabio/H-3265-2015 OI Canova, Fabio/0000-0002-8782-4787 NR 26 TC 18 Z9 18 U1 0 U2 4 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD AUG PY 2010 VL 25 IS 5 BP 755 EP 773 DI 10.1002/jae.1090 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 627CT UT WOS:000280017200001 ER PT J AU Schuh, S Stavins, J AF Schuh, Scott Stavins, Joanna TI Why are (some) consumers (finally) writing fewer checks? The role of payment characteristics SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Money demand; Checks; Payment instruments; Payment characteristics ID ELECTRONIC PAYMENTS; TRANSACTIONS DEMAND; CREDIT CARDS; DEBIT CARDS; MONEY; CASH AB Since the mid-1990s, the US payment system has undergone a transformation featuring a significant decline in the use of paper checks that is quite uneven across consumers and not well understood. This paper shows that characteristics of payment instruments are the most important determinants of instrument use by estimating econometric models of consumers' adoption (extensive margin) and use (intensive margin) of checks plus six other payment instruments with a comprehensive new data source. Changes in the relative convenience and cost of checks can explain directly about 34% and 11%, respectively, of the 8.4 percentage point decline in check share from 2003 to 2006. Changes in the relative characteristics of substitute payment instruments also likely contributed indirectly to the decline in check use through an increase in the number of payment instruments per consumer, but the exact magnitude of this indirect channel cannot be identified with available data. (C) 2009 Published by Elsevier B.V. C1 [Schuh, Scott; Stavins, Joanna] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Schuh, S (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02210 USA. EM Scott.Schuh@bos.frb.org; Joanna.Stavins@bos.frb.org NR 56 TC 36 Z9 37 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD AUG PY 2010 VL 34 IS 8 SI SI BP 1745 EP 1758 DI 10.1016/j.jbankfin.2009.09.018 PG 14 WC Business, Finance; Economics SC Business & Economics GA 619OW UT WOS:000279440500003 ER PT J AU Ching, AT Hayashi, F AF Ching, Andrew T. Hayashi, Fumiko TI Payment card rewards programs and consumer payment choice SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Consumer choice; Payment methods; Rewards programs; Merchant discount fees ID PRICE RESPONSE; BRAND-CHOICE; DEBIT CARDS; PREFERENCE; MODEL; CREDIT; USAGE AB By using a unique data set that contains detailed information about consumer payment choice and consumers' attitudes toward each payment method, we estimate the effects of payment card rewards on consumer choice of payment methods. Our approach allows us to control for consumer heterogeneity. We find the effects of rewards to be statistically significant across five retail types. Our policy experiments suggest that for the sub-population who hold both credit and debit cards, removing rewards would increase their share of paper-based payment methods (i.e., cash and checks), measured in terms of in-store transactions, by no more than 4 percentage points. (C) 2010 Elsevier B.V. All rights reserved. C1 [Hayashi, Fumiko] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Ching, Andrew T.] Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada. RP Hayashi, F (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. EM andrew.ching@rotman.utoronto.ca; fumiko.hayashi@kc.frb.org NR 35 TC 29 Z9 29 U1 3 U2 21 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD AUG PY 2010 VL 34 IS 8 SI SI BP 1773 EP 1787 DI 10.1016/j.jbankfin.2010.03.015 PG 15 WC Business, Finance; Economics SC Business & Economics GA 619OW UT WOS:000279440500005 ER PT J AU Martin, A McAndrews, J AF Martin, Antoine McAndrews, James TI A study of competing designs for a liquidity-saving mechanism SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Liquidity-saving mechanisms; Real-time gross settlement; Large-value payment systems ID SECURITIES SETTLEMENT SYSTEMS; INTRADAY LIQUIDITY; EFFICIENCY; INDUSTRY; PAYMENT; GROSS; RISK AB We study two designs for a liquidity-saving mechanism (LSM), a queuing arrangement used with an interbank settlement system. With a balance-reactive LSM, banks can set a balance threshold below which payments are not released from the queue, an action not possible with a receipt-reactive LSM. Payments that are costly to delay are settled earlier with a receipt reactive LSM. Payments that are not costly to delay may be queued with a balance reactive LSM but are always delayed with a receipt reactive LSM. We show that either system can provide higher welfare. (C) 2009 Elsevier B.V. All rights reserved. C1 [Martin, Antoine; McAndrews, James] Fed Reserve Bank New York, New York, NY 10045 USA. RP Martin, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM antoine.martin@ny.frb.org; jamie.mcandrews@ny.frb.org NR 27 TC 3 Z9 3 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD AUG PY 2010 VL 34 IS 8 SI SI BP 1818 EP 1826 DI 10.1016/j.jbankfin.2009.07.023 PG 9 WC Business, Finance; Economics SC Business & Economics GA 619OW UT WOS:000279440500009 ER PT J AU Jensen, MJ Maheu, JM AF Jensen, Mark J. Maheu, John M. TI Bayesian semiparametric stochastic volatility modeling SO JOURNAL OF ECONOMETRICS LA English DT Article DE Bayesian nonparametrics; Dirichlet process mixture prior; Markov chain Monte Carlo; Mixture models; Stochastic volatility ID MONTE-CARLO METHODS; LIKELIHOOD INFERENCE; DIRICHLET MIXTURES; DENSITY-ESTIMATION; DISTRIBUTIONS; PRICES; VARIANCE; LEVERAGE; RETURNS AB This paper extends the existing fully parametric Bayesian literature on stochastic volatility to allow for more general return distributions. Instead of specifying a particular distribution for the return innovation, nonparametric Bayesian methods are used to flexibly model the skewness and kurtosis of the distribution while the dynamics of volatility continue to be modeled with a parametric structure. Our semiparametric Bayesian approach provides a full characterization of parametric and distributional uncertainty. A Markov chain Monte Carlo sampling approach to estimation is presented with theoretical and computational issues for simulation from the posterior predictive distributions. An empirical example compares the new model to standard parametric stochastic volatility models. (C) 2010 Elsevier B.V. All rights reserved. C1 [Jensen, Mark J.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Maheu, John M.] Univ Toronto, Toronto, ON M5S 1A1, Canada. RP Jensen, MJ (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM mark.jensen@atl.frb.org; jmaheu@chass.utoronto.ca FU SSHRC FX We would like to thank the seminar participants at the 24th Canadian Econometric Study Group Conference held in Montreal, the 7th All-Georgia Conference held at the Federal Reserve Bank of Atlanta, the RCEA conference on Econometrics 2007 held in Rimini, Italy, the 15th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics held at the Federal Reserve Bank of San Francisco, the 2009 Seminar on Bayesian Inference in Econometrics and Statistics held at Washington University in Saint Louis, the 7th Workshop on Bayesian Nonparametric held at Collegio Carlo Alberto in Moncalieri, Italy, the 2010 North American Winter Meetings of the Econometric Society in Atlanta, and the Department of Economics at New York University, Oregon State University, and the J.M. Huntsman School of Business at Utah State University. In addition, we express our appreciation for the comments and suggestions of the anonymous referees, an associate editor, the editor John Geweke, and Mark Fisher, Thanasis Stengos, and George Tauchen. We also thank Jacob Smith for helping with the computer programming required by the paper. Maheu is grateful to the SSHRC for financial support. The views expressed here are ours and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. NR 55 TC 20 Z9 20 U1 1 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD AUG PY 2010 VL 157 IS 2 BP 306 EP 316 DI 10.1016/j.jeconom.2010.01.014 PG 11 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 630BD UT WOS:000280245200010 ER PT J AU Cohen, A Mazzeo, MJ AF Cohen, Andrew Mazzeo, Michael J. TI Investment Strategies and Market Structure: An Empirical Analysis of Bank Branching Decisions SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Investments; Competition; Market structure; Banking industry ID COMPETITION; ENTRY; INDUSTRY; EFFICIENCY; OLIGOPOLY; GAMES; MODEL AB This paper analyzes the relationship between the competitive environment faced by depository institutions and the decisions these institutions make regarding the size of their branch networks. Specifically, we consider branches as a sunk investment that potentially increases utility for consumers and examine how local competition and product differentiation affect firms' decisions regarding whether to make such investments. We account for endogenous market structure using an equilibrium structural model, which corrects for bias caused by correlation in the unobservables associated with market structure and branching activity. We estimate the model using data from 1,882 concentrated rural markets. Our results demonstrate the importance of accounting for market structure and product differentiation, and are consistent with a potential entry-deterring effect of bank branch investments. C1 [Mazzeo, Michael J.] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. [Cohen, Andrew] Fed Reserve Board Governors, Washington, DC USA. RP Mazzeo, MJ (reprint author), Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. EM mazzeo@kellogg.northwestern.edu NR 37 TC 10 Z9 10 U1 0 U2 7 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD AUG PY 2010 VL 38 IS 1 BP 1 EP 21 DI 10.1007/s10693-010-0082-7 PG 21 WC Business, Finance SC Business & Economics GA 620MX UT WOS:000279505100001 ER PT J AU Bonomo, M Carvalho, C AF Bonomo, Marco Carvalho, Carlos TI Imperfectly Credible Disinflation under Endogenous Time-Dependent Pricing SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE disinflation; credibility; optimal price setting; endogenous time-dependent pricing ID INFLATION PERSISTENCE; MONETARY-POLICY; PHILLIPS-CURVE; STICKY PRICES; MENU COSTS; CREDIBILITY; ADJUSTMENT; FRAMEWORK; DYNAMICS; RIGIDITY AB The real effects of an imperfectly credible disinflation depend critically on the extent of price rigidity. We examine this interaction in a model with endogenous time-dependent pricing. Both the endogenous initial degree of price rigidity and changes in the duration of price spells during disinflation are important in explaining the effects of imperfect credibility. We initially consider a setup where the degree of credibility is fixed and then allow agents to update beliefs about the "type" of monetary authority that they face. In both cases, the interaction between endogeneity of pricing behavior and imperfect credibility increases the output costs of disinflation. C1 [Carvalho, Carlos] Fed Reserve Bank New York, New York, NY USA. EM bonomo@fgv.br; carlos.carvalho@ny.frb.org RI Social, Inct/J-8669-2013 NR 43 TC 1 Z9 1 U1 2 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2010 VL 42 IS 5 BP 799 EP 831 DI 10.1111/j.1538-4616.2010.00308.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 624RT UT WOS:000279838500002 ER PT J AU Kwan, SH Carleton, WT AF Kwan, Simon H. Carleton, Willard T. TI Financial Contracting and the Choice between Private Placement and Publicly Offered Bonds SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE financial contracting; private placement bond; private debt; debt choice ID CALL PROVISION; DEBT COVENANTS; AGENCY COSTS; BANK LOANS; RENEGOTIATION; AGREEMENTS; MARKET; RISK AB The financial contracting in private placement bonds and publicly offered bonds are different. Our data show that private placement bonds are more likely to have restrictive covenants than public bonds. Private placement bonds are also more likely to be issued by smaller and riskier firms. For investment-grade firms that issue bonds in both markets, our analysis shows that firms select the bond type to minimize financing costs. We find significant differences in the pricing of private placement and publicly offered bonds, and some of these differences appear to be related to the different institutional features between the two markets. C1 [Kwan, Simon H.] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. [Carleton, Willard T.] Univ Arizona, Coll Business & Publ Adm, Tucson, AZ 85721 USA. RP Kwan, SH (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. EM simon.kwan@sf.frb.org; wcarleton@cox.net NR 41 TC 6 Z9 6 U1 4 U2 19 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2010 VL 42 IS 5 BP 907 EP 929 DI 10.1111/j.1538-4616.2010.00312.x PG 23 WC Business, Finance; Economics SC Business & Economics GA 624RT UT WOS:000279838500006 ER PT J AU Heathcote, J Storesletten, K Violante, GL AF Heathcote, Jonathan Storesletten, Kjetil Violante, Giovanni L. TI The Macroeconomic Implications of Rising Wage Inequality in the United States SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID LIFE-CYCLE; CONSUMPTION INEQUALITY; LABOR; ECONOMIES; INSURANCE; RETURNS; MARKET; FAMILY; PAY AB In recent decades, American workers have faced a rising college premium, a narrowing gender gap, and increasing wage volatility. This paper explores the quantitative and welfare implications of these changes. The framework is an incomplete-markets life cycle model in which individuals choose education, intrafamily time allocation, and savings. Given the observed history of the U. S. wage structure, the model replicates key trends in cross-sectional inequality in hours worked, earnings, and consumption. Recent cohorts enjoy welfare gains, on average, as higher relative wages for college graduates and for women translate into higher educational attainment and a more even division of labor within the household. C1 [Heathcote, Jonathan; Storesletten, Kjetil] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. [Storesletten, Kjetil] Univ Oslo, N-0316 Oslo, Norway. [Heathcote, Jonathan; Storesletten, Kjetil; Violante, Giovanni L.] NYU, New York, NY 10003 USA. [Violante, Giovanni L.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Heathcote, J (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RI Violante, Giovanni/F-1872-2017 NR 44 TC 61 Z9 61 U1 1 U2 22 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD AUG PY 2010 VL 118 IS 4 BP 681 EP 722 PG 42 WC Economics SC Business & Economics GA 665RA UT WOS:000283052000002 ER PT J AU Bandyopadhyay, S Wall, HJ AF Bandyopadhyay, Subhayu Wall, Howard J. TI Immigration and Outsourcing: A General-Equilibrium Analysis SO REVIEW OF DEVELOPMENT ECONOMICS LA English DT Article ID ILLEGAL IMMIGRATION AB This paper analyzes immigration and outsourcing in a general-equilibrium model of international factor mobility. In our model, legal immigration of skilled labor is controlled through a quota, while outsourcing is determined both by the firms in response to market conditions and through policy-imposed barriers. A loosening of the immigration quota reduces outsourcing, enriches capitalists, leads to losses for native workers, and raises national income. If the nation targets an exogenously determined immigration level, the second-best outsourcing tax can be either positive or negative. If in addition to the immigration target there is a wage target arising out of income distribution concerns, an outsourcing subsidy is required. We extend the analysis to consider illegal immigration of unskilled labor. A higher legal immigration quota will lead to more (less) illegal immigration if skilled and unskilled labor are complements (substitutes) in production. C1 [Bandyopadhyay, Subhayu; Wall, Howard J.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM bandyopadhyay@stls.frb.org; wall@stls.frb.org RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 8 TC 3 Z9 3 U1 0 U2 3 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1363-6669 J9 REV DEV ECON JI Rev. Dev. Econ. PD AUG PY 2010 VL 14 IS 3 BP 433 EP 446 DI 10.1111/j.1467-9361.2010.00563.x PG 14 WC Economics; Planning & Development SC Business & Economics; Public Administration GA 626SW UT WOS:000279988200003 ER PT J AU Crone, TM Nakamura, LI Voith, R AF Crone, Theodore M. Nakamura, Leonard I. Voith, Richard TI RENTS HAVE BEEN RISING, NOT FALLING, IN THE POSTWAR PERIOD SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID HOUSING DEPRECIATION; INDEX AB Until the end of 1977, the U. S. consumer price index (CPI) for rents tended to omit rent increases when units had a change of tenants or were vacant, biasing inflation estimates downward. Beginning in 1978, the Bureau of Labor Statistics (BLS) implemented a series of methodological changes that reduced this nonresponse bias, but substantial bias remained until 1985. We set up a model of nonresponse bias, parameterize it, and test it using BLS microdata. From 1940 to 1985, the official BLS CPI for urban wage earners and clerical workers (CPI-W) price index for tenant rents rose 3.6% annually; we argue that it should have risen 5.0% annually. C1 [Crone, Theodore M.] Swarthmore Coll, Swarthmore, PA 19081 USA. [Nakamura, Leonard I.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Crone, TM (reprint author), Swarthmore Coll, Swarthmore, PA 19081 USA. NR 23 TC 3 Z9 3 U1 0 U2 2 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD AUG PY 2010 VL 92 IS 3 BP 628 EP 642 DI 10.1162/REST_a_00015 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 623HE UT WOS:000279729000014 ER PT J AU Eusepi, S Preston, B AF Eusepi, Stefano Preston, Bruce TI Central Bank Communication and Expectations Stabilization SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID MONETARY-POLICY RULES; PUBLIC INFORMATION; SOCIAL VALUE; TRANSPARENCY; CONVERGENCE; CREDIBILITY; STABILITY; PERFORMANCE; DETERMINACY; INFLATION AB The value of communication is analyzed in a model in which agents' expectations need not be consistent with central bank policy. Without communication, the Taylor principle is not sufficient for macroeconomic stability: divergent learning dynamics are possible. Three communication strategies are contemplated to ensure consistency between private forecasts and monetary policy strategy: communicating the precise details of policy; communicating only the variables on which policy decisions are conditioned; and communicating the inflation target. The former strategies restore the Taylor principle as a sufficient condition for anchoring expectations. The latter strategy, in general, fails to protect against expectations-driven fluctuations. (JEL E32, E43, E52, E58) C1 [Eusepi, Stefano] Fed Reserve Bank New York, New York, NY 10045 USA. [Preston, Bruce] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Preston, Bruce] Australian Natl Univ, Ctr Appl Macroecon Anal, Canberra, ACT 0200, Australia. [Preston, Bruce] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Eusepi, S (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM stefano.eusepi@ny.frb.org; bp2121@columbia.edu NR 54 TC 22 Z9 22 U1 3 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2010 VL 2 IS 3 BP 235 EP 271 DI 10.1257/mac.2.3.235 PG 37 WC Economics SC Business & Economics GA 692TH UT WOS:000285177500009 ER PT J AU Hunt, RM AF Hunt, Robert M. TI BUSINESS METHOD PATENTS AND US FINANCIAL SERVICES SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID RESEARCH-AND-DEVELOPMENT; INNOVATION; COMPETITION AB A decade after the State Street decision, more than 1,000 business method patents are granted each year. Yet, only 1 in 10 is obtained by a financial institution. Most business method patents are also software patents. Have these patents increased innovation in financial services? To address this question, we construct new indicators of research and development intensity based on the occupational composition of financial industries. The financial sector appears more research intensive than official statistics would suggest but less than the private economy taken as a whole. There is considerable variation across industries but little apparent trend. There does not appear to be an obvious effect from business method patents on the sector's research intensity. Looking ahead, three factors suggest that the patent system may affect financial services as it has electronics: (1) the sector's heavy reliance on information technology, (2) the importance of standard setting, and (3) the strong network effects exhibited in many areas of finance. Even today litigation is not uncommon; we sketch a number of significant examples affecting financial exchanges and consumer payments. The legal environment is changing quickly. We review a number of important federal court decisions that will affect how business method patents are obtained and enforced. We also review a number of proposals under consideration in the U.S. Congress. (JEL O31, O34, G20). C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Hunt, RM (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM bob.hunt@phil.frb.org NR 87 TC 6 Z9 6 U1 1 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1074-3529 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD JUL PY 2010 VL 28 IS 3 BP 322 EP 352 DI 10.1111/j.1465-7287.2009.00169.x PG 31 WC Economics; Public Administration SC Business & Economics; Public Administration GA 612PQ UT WOS:000278913400002 ER PT J AU Elul, R AF Elul, Ronel TI Charging Ahead: The Growth and Regulation of Payment Card Markets. By RONALD J. MANN SO ECONOMICA LA English DT Book Review C1 [Elul, Ronel] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Elul, R (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0427 EI 1468-0335 J9 ECONOMICA JI Economica PD JUL PY 2010 VL 77 IS 307 BP 604 EP 605 PG 7 WC Economics SC Business & Economics GA 606AZ UT WOS:000278394100009 ER PT J AU Fratzscher, M Juvenal, L Sarno, L AF Fratzscher, Marcel Juvenal, Luciana Sarno, Lucio TI Asset prices, exchange rates and the current account SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Current account; Global imbalances; Exchange rates; Bayesian VAR ID MONETARY-POLICY; BUSINESS-CYCLE; FISCAL-POLICY; STOCK-PRICES; SHOCKS; MARKET; MODEL; FLUCTUATIONS; TECHNOLOGY; IMBALANCES AB This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity market shocks and housing price shocks have been major determinants of the US current account in the past, accounting for up to 30% of the movements of the US trade balance at a horizon of 20 quarters. By contrast, shocks to the real exchange rate have been less relevant, explaining about 9% and exerting a more temporary effect on the US trade balance. Our findings suggest that large exchange rate movements may not necessarily be the key element of an adjustment of today's large current account imbalances, and that in particular relative global asset price changes could be a potent source of adjustment. (C) 2009 Elsevier B.V. All rights reserved. C1 [Sarno, Lucio] City Univ London, Finance Fac, Cass Business Sch, London EC1Y 8TZ, England. [Sarno, Lucio] City Univ London, CEPR, London EC1Y 8TZ, England. [Juvenal, Luciana] Fed Reserve Bank St Louis, St Louis, MO USA. [Fratzscher, Marcel] European Cent Bank, Frankfurt, Germany. RP Sarno, L (reprint author), City Univ London, Finance Fac, Cass Business Sch, 106 Bunhill Row, London EC1Y 8TZ, England. EM lucio.sarno@city.ac.uk NR 57 TC 14 Z9 14 U1 1 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD JUL PY 2010 VL 54 IS 5 BP 643 EP 658 DI 10.1016/j.euroecorev.2009.12.005 PG 16 WC Economics SC Business & Economics GA 624ZI UT WOS:000279860500001 ER PT J AU Gavin, WT AF Gavin, William T. TI Debt, Financial Markets, and Monetary Policy Selected Articles from the Thirty-Fourth Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis Editor's Introduction SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM gavin@stls.frb.org NR 5 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2010 VL 92 IS 4 BP 225 EP 228 PG 4 WC Business, Finance; Economics SC Business & Economics GA 626NQ UT WOS:000279973100001 ER PT J AU Curdia, V Woodford, M AF Curdia, Vasco Woodford, Michael TI Conventional and Unconventional Monetary Policy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 34th Annual Economic Policy Conference of the Federal-Reserve-Bank-of-St-Louis CY OCT 15-16, 2009 CL St Louis, MO SP Fed Reserve Bank St Louis AB The authors extend a standard New Keynesian model to incorporate heterogeneity in spending opportunities and two sources of (potentially time-varying) credit spreads and to allow a role for the central bank's balance sheet in equilibrium determination. They use the model to investigate the implications of imperfect financial intermediation for familiar monetary policy prescriptions, and to consider additional dimensions of central bank policy-variations in the size and composition of the central bank's balance sheet and payment of interest on reserves-alongside the traditional question of the proper choice of setting an operating target for an overnight policy rate. The authors also give particular attention to the special problems that arise when the policy rate reaches the zero lower bound. They show that it is possible within a single unified framework to identify the criteria for policy to be optimal along each dimension. The suggested policy prescriptions apply equally well when financial markets work efficiently as when they are substantially disrupted and interest rate policy is constrained by the zero lower bound. (JEL E44, E52) C1 [Curdia, Vasco] Fed Reserve Bank New York, New York, NY USA. [Woodford, Michael] Columbia Univ, Dept Econ, New York, NY 10027 USA. RP Curdia, V (reprint author), Fed Reserve Bank New York, New York, NY USA. EM vasco.curdia@ny.frb.org; michael.woodford@columbia.edu NR 30 TC 23 Z9 24 U1 1 U2 16 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2010 VL 92 IS 4 BP 229 EP 264 PG 36 WC Business, Finance; Economics SC Business & Economics GA 626NQ UT WOS:000279973100002 ER EF