FN Thomson Reuters Web of Science™ VR 1.0 PT J AU Garrett, T AF Garrett, Thomas A. TI Evaluating state tax revenue variability: a portfolio approach SO APPLIED ECONOMICS LETTERS LA English DT Article AB This article develops a volatility model based on portfolio theory to examine state tax revenue variability. Unlike traditional parametric methods used to analyse state tax revenue variability, the portfolio approach allows the computation of a tax's share of total tax revenue that minimizes the overall variability in total state tax revenue given a state's portfolio of tax revenue sources. The model can thus be used to evaluate how closely a state's revenue portfolio is constructed to minimize variability in total state tax revenue. An empirical application of the model is conducted on a sample of US states. The volatility model presented here serves as a useful complement to parametric techniques that have been used to estimate tax revenue variability. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Garrett, T (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM garrett@stls.frb.org NR 7 TC 1 Z9 1 U1 0 U2 0 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. PY 2009 VL 16 IS 3 BP 243 EP 246 AR PII 786620660 DI 10.1080/13504850601018403 PG 4 WC Economics SC Business & Economics GA 398EZ UT WOS:000262716700005 ER PT J AU Hotchkiss, JL Pavlova, O AF Hotchkiss, Julie L. Pavlova, Olga TI The impact of 9/11 on hours of work and labour force participation in the US SO APPLIED ECONOMICS LETTERS LA English DT Article ID MODEL AB The purpose of this article is to use observed changes in hours of work and labour force participation to draw inferences regarding behavioural responses to the 9/11 terrorist attacks in the US. Using the Current Population Survey and controlling for differences in demographics, labour market conditions and a time-invariant unobserved individual fixed effect, we determine that for most sub-samples there was no change in labour force participation or in hours of work after 9/11 relative to before. Exceptions were women, who increased their labour force participation, and workers living in the proximity of one of the 9/11 events, who increased their hours of work. These results are consistent with a precautionary increase in labour supply during an uncertain time, and with others' documentation of women responding more dramatically to external stressors. C1 [Hotchkiss, Julie L.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Hotchkiss, Julie L.; Pavlova, Olga] Georgia State Univ, Dept Econ, Andrew Young Sch Policy Studies, Atlanta, GA 30303 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 NR 16 TC 1 Z9 1 U1 0 U2 3 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. PY 2009 VL 16 IS 10 BP 999 EP 1003 AR PII 785141335 DI 10.1080/13504850701250252 PG 5 WC Economics SC Business & Economics GA 462QJ UT WOS:000267370400005 ER PT J AU Owyang, MT Wall, HJ AF Owyang, Michael T. Wall, Howard J. TI Regional VARs and the channels of monetary policy SO APPLIED ECONOMICS LETTERS LA English DT Article AB We find that the magnitudes of the regional effects of monetary policy were considerably dampened during the Volcker-Greenspan era. For this era, regional differences in the depths and total costs of monetary-policy-induced recessions were related to the concentration of the banking sector. C1 [Owyang, Michael T.; Wall, Howard J.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wall, HJ (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM wall@stls.frb.org RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 9 TC 8 Z9 9 U1 0 U2 5 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. PY 2009 VL 16 IS 12 BP 1191 EP 1194 AR PII 789774262 DI 10.1080/13504850701367247 PG 4 WC Economics SC Business & Economics GA 474JN UT WOS:000268279700003 ER PT J AU Bernanke, BS AF Bernanke, Ben S. TI The Future of Mortgage Finance in the United States SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article; Proceedings Paper CT Joint Berkeley/UCLA Symposium on Mortgage Meltdown, the Economy, and Public Policy CY 2008 CL Berkeley, CA C1 Fed Reserve Board Governors, Washington, DC USA. RP Bernanke, BS (reprint author), Fed Reserve Board Governors, Washington, DC USA. EM susan.k.stawick@frb.gov NR 3 TC 1 Z9 1 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 2009 VL 9 IS 3 AR 2 PG 10 WC Economics SC Business & Economics GA 427UI UT WOS:000264804200003 ER PT J AU Gerardi, K Willen, P AF Gerardi, Kristopher Willen, Paul TI Subprime Mortgages, Foreclosures, and Urban Neighborhoods SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article; Proceedings Paper CT Joint Berkeley/UCLA Symposium on Mortgage Meltdown, the Economy, and Public Policy CY 2008 CL Berkeley, CA ID HOMEOWNERSHIP; BENEFITS; IMPACT; CRIME AB This paper analyzes the impact of the subprime crisis on urban neighborhoods in Massachusetts. The topic is explored using a dataset that matches race and income information from HMDA data with property-level transaction data from Massachusetts Registry of Deeds offices. With this data, we show that much of the subprime lending in the state was concentrated in urban neighborhoods, and that minority homeownerships created with subprime mortgages have proven exceptionally unstable in the face of rapid price declines. The evidence, in Massachusetts, suggests that subprime lending did not, as is commonly believed, lead to a substantial increase in homeownership by minorities, but instead generated turnover in properties owned by minority residents. Furthermore, we argue that the particularly dire foreclosure situation in urban neighborhoods actually makes it somewhat easier for policymakers to provide remedies. C1 [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Willen, Paul] Fed Reserve Bank Boston, Boston, MA USA. RP Gerardi, K (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM Kristopher.Gerardi@atl.frb.org; paul.willen@bos.frb.org NR 46 TC 7 Z9 7 U1 0 U2 5 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 2009 VL 9 IS 3 AR 12 PG 37 WC Economics SC Business & Economics GA 427UI UT WOS:000264804200007 ER PT J AU Wall, HJ AF Wall, Howard J. TI Don't Get Skewed Over by Journal Rankings SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article DE journal rankings AB Nearly all journal rankings in economics use some weighted average of citations to calculate a journal's impact. These rankings are often used, formally or informally, to help assess the publication success of individual economists or institutions. Although ranking methods and opinions are legion, scant attention has been paid to the usefulness of any ranking as representative of the many articles published in a journal. First, because the distributions of citations across articles within a journal are seriously skewed, and the skewness differs across journals, the appropriate measure of central tendency is the median rather than the mean. Second, large shares of articles in the highest-ranked journals are cited less frequently than typical articles in much-lower-ranked journals. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Wall, HJ (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM wall@stls.frb.org NR 10 TC 4 Z9 4 U1 1 U2 3 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 2009 VL 9 IS 1 AR 34 DI 10.2202/1935-1682.2280 PG 12 WC Economics SC Business & Economics GA 490AD UT WOS:000269468100002 ER PT J AU Yellen, J AF Yellen, Janet TI The Mortgage Meltdown, Financial Markets, and the Economy SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article; Proceedings Paper CT Joint Berkeley/UCLA Symposium on Mortgage Meltdown, the Economy, and Public Policy CY 2008 CL Berkeley, CA C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Yellen, J (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM judith.goff@sf.frb.org NR 14 TC 1 Z9 1 U1 1 U2 3 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 2009 VL 9 IS 3 AR 3 PG 10 WC Economics SC Business & Economics GA 427UI UT WOS:000264804200005 ER PT J AU Bodenstein, MR Armenter, R AF Bodenstein, Martin R. Armenter, Roc TI Of Nutters and Doves SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE inflation targeting; policy discretion; robust policies ID MONETARY-POLICY; PRICE-LEVEL; PERSISTENCE; MODEL AB Under a large degree of extrinsic inflation persistence, there is a strong yet simple case for inflation targeting even if we are uncertain about many other dimensions of the economy. If inflation persistence is high and driven by extrinsic sources, even an excessively strict inflation-targeting regime is preferable to full policy discretion. Our result is entirely built on stabilization policy: long-run inflation rates are optimal under full policy discretion in our model. It is instead the medium-term dynamics of inflation expectations that render the policy response under discretion worse than inaction. C1 [Bodenstein, Martin R.; Armenter, Roc] Fed Reserve Board, Washington, DC USA. RP Bodenstein, MR (reprint author), Fed Reserve Board, Washington, DC USA. EM martin.r.bodenstein@frb.gov; roc.armenter@phil.frb.org NR 24 TC 0 Z9 0 U1 0 U2 0 PU WALTER DE GRUYTER GMBH PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2009 VL 9 IS 1 AR 35 PG 22 WC Economics SC Business & Economics GA 501KA UT WOS:000270379300003 ER PT J AU Martinez, L AF Martinez, Leonardo TI Reputation, Career Concerns, and Job Assignments SO B E JOURNAL OF THEORETICAL ECONOMICS LA English DT Article DE career concerns; job assignments; reputation; agency; learning; dynamic games ID INFORMATION; COMPENSATION; INCENTIVES; PROMOTION; ECONOMICS; FIRM AB This paper presents a tractable model that allows us to study career concerns when the strength of a worker's incentives depends on his employment history. More specifically, the paper incorporates standard job assignments into the main model in Holmstrom (1999). Equilibrium wages, equilibrium job assignments, and the strength of career-concern incentives are the same for all employment histories that lead to the same worker's reputation. (With reputation we refer to beliefs about the worker's future productivity.) We show that, typically, workers with better reputation have stronger incentives than workers with worse reputation. Furthermore, we show that when the strength of incentives depends on employment history, (i) a ratchet effect may appear, (ii) in spite of this ratchet effect, incentives may be stronger, and (iii) incentives may be stronger when beliefs about ability are more precise. C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Martinez, L (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. EM leo14627@gmail.com NR 22 TC 3 Z9 3 U1 0 U2 4 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1704 J9 BE J THEOR ECON JI B E J. Theor. Econ. PY 2009 VL 9 IS 1 AR 15 PG 28 WC Economics SC Business & Economics GA 452GQ UT WOS:000266528700001 ER PT J AU Gerardi, K Lehnert, A Sherlund, SM Willen, P AF Gerardi, Kristopher Lehnert, Andreas Sherlund, Shane M. Willen, Paul BE Elmendorf, DW Mankiw, NG Summers, LH TI Making Sense of the Subprime Crisis SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY: FALL 2008 LA English DT Article; Book Chapter ID LONG-RUN RELATIONSHIP; HOUSE PRICES; OPTIONS; CREDIT; RISK AB Should market participants have anticipated the large increase in home foreclosures in 2007 and 2008? Most of these foreclosures stemmed from mortgage loans originated in 2005 and 2006, raising suspicions that lenders originated many extremely risky loans during this period. We show that although these loans did carry extra risk factors, particularly increased leverage, reduced underwriting standards alone cannot explain the dramatic rise in foreclosures. We also investigate whether market participants underestimated the likelihood of a fall in home prices or the sensitivity of foreclosures to falling prices. We show that given available data, they should have understood that a significant price drop would raise foreclosures sharply, although loan-level (as opposed to ownership-level) models would have predicted a smaller rise than occurred. Analyst reports and other contemporary discussions reveal that analysts generally understood that falling prices would have disastrous consequences but assigned that outcome a low probability. C1 [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Willen, Paul] Fed Reserve Bank Boston, Boston, MA USA. RP Gerardi, K (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 33 TC 5 Z9 5 U1 0 U2 1 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA BN 978-0-81570-350-1 PY 2009 BP 69 EP 145 PG 77 WC Economics SC Business & Economics GA BZN97 UT WOS:000302176200005 ER PT S AU Tatom, JA AF Tatom, John A. BE Barth, JR Tatom, JA Yago, G TI The United States-China Currency Dispute: Is a Rise in the Yuan Necessary, Inevitable, or Desirable? SO CHINA'S EMERGING FINANCIAL MARKETS: CHALLENGES AND OPPORTUNTIES SE Milken Institute Series on Financial Innovation and Economic Growth LA English DT Article; Book Chapter DE Exchange rate policy; Currency manipulation; Current account imbalance AB China-bashing has become a popular media and political sport. This is largely due to the US trade imbalance and the belief, by some, that China is responsible for it because it manipulates its currency to hold down the dollar prices of its goods, unfairly creating a trade advantage that has contributed to the loss of US businesses and jobs. This chapter reviews the problem of the large trade imbalance that the United States has with China and its relationship to Chinese exchange rate policy. It examines the link between a Chinese renminbi appreciation and the trade balance and also whether a generalized dollar decline could solve the global or Chinese-US trade imbalance. The consensus view explained here is that a renminbi appreciation is not likely to fix either the trade imbalance with China or overall. If these perceived benefits of a managed float are small or nonexistent, then perhaps they should be pursued anyway because of small costs or even benefits for China. Section 4 looks at the costs of a managed float in terms of the benefits of the earlier peg. Opponents of it fixed dollar/yuan exchange rate ignore the costs of a managed float for China, especially with limits on currency convertibility. These costs are outlined here in order to provide an economic basis for the earlier fixed rate and China's reluctance to appreciate. Finally it is suggested that the necessary convertibility on capital account, toward which China is moving, could easily result in yuan depreciation under a floating rate regime. This is hardly the end that China critics have in mind, and it is not one that would improve US or other trade imbalances with China. C1 [Tatom, John A.] Depaul Univ, Dept Econ, Chicago, IL 60604 USA. [Tatom, John A.] UBS, Zurich, Switzerland. [Tatom, John A.] UBS Asset Management, Asset Allocat & Currency Grp, Chicago, IL USA. [Tatom, John A.] Fed Reserve Bank St Louis, Res Dept, St Louis, France. [Tatom, John A.] Indiana State Univ, Networks Financial Inst, Indianapolis, IN 47809 USA. RP Tatom, JA (reprint author), Indiana State Univ, Networks Financial Inst, Indianapolis, IN 47809 USA. EM john.tatom@isunetworks.org; john.tatom@isunetworks.org NR 4 TC 0 Z9 0 U1 1 U2 2 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES SN 1571-4772 BN 978-0-387-93768-7 J9 MILKEN INST SER FINA PY 2009 VL 8 BP 301 EP 312 DI 10.1007/978-0-387-93769-4_7 D2 10.1007/978-0-387-93769-4 PG 12 WC Business, Finance; Economics SC Business & Economics GA BLP35 UT WOS:000270724000007 ER PT S AU Tatom, JA AF Tatom, John A. BE Barth, JR Tatom, JA Yago, G TI The Chinese Imbalance in Capital Flows SO CHINA'S EMERGING FINANCIAL MARKETS: CHALLENGES AND OPPORTUNTIES SE Milken Institute Series on Financial Innovation and Economic Growth LA English DT Article; Book Chapter DE Capital account imbalance; Capital controls and banking inefficiencies; Capital outflows and financial development; Exchange rate management; Banking regulation AB China has three major imbalances: a trade surplus, a capital account surplus and a large annual build Lip, and a very high level of international reserves. Capital flows, especially flows of US government securities, are also important in assessing the bilateral and overall imbalances in transactions. China has a capital account surplus reinforcing its current account surplus and the accumulation of foreign exchange reserves, mainly US dollar denominated assets. This is unusual because a sustainable fixed or floating requires that countries with large current account surpluses run capital account deficits. The worst consequences of imbalances have been the build-up of large, low-return foreign exchange. These reserves have led to rapid growth in money and credit and, in turn, to a sharp acceleration in inflation, something that China had assiduously avoided since 1994 and that has raised serious doubts about the credibility of the monetary authorities and damaged its inflation-fighting reputation. Moreover, efforts to offset money growth and inflation have deepened existing inefficiencies in the financial system, which China had hoped to begin remedying by its efforts to recapitalize and list its banks' equities on stock exchanges. China could eliminate these imbalances by policies that would reduce growth. An alternative Solution is to lift restrictions on capital outflows, allowing households and business to diversify their wealth holdings and realize higher returns and/or less volatility in their own income and wealth. This would transform future asset growth from massive central bank holdings of US securities to holdings of higher return and lower risk assets abroad. Such a step also would eliminate pressures on the People's Bank of China (PBOC), allowing for more rapid deregulation of banks, slower money, and credit growth and lower inflation. C1 [Tatom, John A.] Indiana State Univ, Networks Financial Inst, Indianapolis, IN 47809 USA. [Tatom, John A.] Depaul Univ, Dept Econ, Chicago, IL 60604 USA. [Tatom, John A.] UBS, Zurich, Switzerland. [Tatom, John A.] UBS Asset Management, Asset Allocat & Currency Grp, Chicago, IL USA. [Tatom, John A.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO USA. RP Tatom, JA (reprint author), Indiana State Univ, Networks Financial Inst, Indianapolis, IN 47809 USA. EM john.tatom@isunetworks.org; john.tatom@isunetworks.org NR 19 TC 0 Z9 0 U1 0 U2 1 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES SN 1571-4772 BN 978-0-387-93768-7 J9 MILKEN INST SER FINA PY 2009 VL 8 BP 331 EP 348 DI 10.1007/978-0-387-93769-4_9 D2 10.1007/978-0-387-93769-4 PG 18 WC Business, Finance; Economics SC Business & Economics GA BLP35 UT WOS:000270724000009 ER PT S AU Tatom, JA AF Tatom, John A. BE Barth, JR Tatom, JA Yago, G TI Will China Surpass the United States? SO CHINA'S EMERGING FINANCIAL MARKETS: CHALLENGES AND OPPORTUNTIES SE Milken Institute Series on Financial Innovation and Economic Growth LA English DT Article; Book Chapter DE Economic growth; Convergence of per capita income; Productivity AB Extrapolations of China's growth suggest that China will soon surpass in size and prosperity the leading developed economies, even the United States. China has several advantages that suggest such convergence possibilities, including its land mass, large population, and rapid transformation over nearly three decades. However, there are serious disadvantages that will lessen the pace of convergence in future. This chapter provides several scenarios for the relative size of China's GDP and for convergence of her income per capita. Under plausible assumptions, China will not reach the US standard of living until late in this century, at the earliest. Nonetheless, due to the size of its economy and markets, it will have a relatively large share of production and consumption of most goods and services in a few decades. Experience elsewhere, especially among China's richest neighbors, indicates that convergence is unlikely even by then. China faces four trends that make even this possibility unlikely: urbanization, the transition from state ownership to private sector control of capital, slowing population growth, and rising political risks. The first two forces have been important to China's success but are transitory and will work to reduce growth in the future. The financial sector's development could extend the period of rapid productivity growth in China and could even allow the country to become the financial center of Asia. This would not alter the basic conclusions for the relative size of the economy or its convergence, however. C1 [Tatom, John A.] Indiana State Univ, Networks Financial Inst, Indianapolis, IN 47809 USA. [Tatom, John A.] Depaul Univ, Dept Econ, Chicago, IL 60604 USA. [Tatom, John A.] UBS, Zurich, Switzerland. [Tatom, John A.] UBS Asset Management, Asset Allocat & Currency Grp, Chicago, IL USA. [Tatom, John A.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO USA. RP Tatom, JA (reprint author), Indiana State Univ, Networks Financial Inst, Indianapolis, IN 47809 USA. EM john.tatom@isunetworks.org; john.tatom@isunetworks.org NR 9 TC 0 Z9 0 U1 0 U2 0 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES SN 1571-4772 BN 978-0-387-93768-7 J9 MILKEN INST SER FINA PY 2009 VL 8 BP 635 EP 640 DI 10.1007/978-0-387-93769-4_22 D2 10.1007/978-0-387-93769-4 PG 6 WC Business, Finance; Economics SC Business & Economics GA BLP35 UT WOS:000270724000022 ER PT J AU Das, US Papaioannou, MG Trebesch, C AF Das, Udaibir S. Papaioannou, Michael G. Trebesch, Christoph BE Braga, CAP Domeland, D TI Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets SO DEBT RELIEF AND BEYOND: LESSONS LEARNED AND CHALLENGES AHEAD LA English DT Proceedings Paper CT Conference of the Debt Relief and Beyond - A World Bank Conference on Debt and Development CY OCT, 2008 CL World Bank, Washington, DC HO World Bank ID FOREIGN DIRECT-INVESTMENT; DEVELOPING-COUNTRIES; FLOWS; DETERMINANTS; LOANS; FUNDAMENTALS; INSTABILITY; INFORMATION; ECONOMIES; PROGRAMS C1 [Das, Udaibir S.; Papaioannou, Michael G.] Int Monetary Fund, Exchange Regime & Debt & Reserve Management Div, Washington, DC 20431 USA. NR 73 TC 1 Z9 1 U1 1 U2 4 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-7875-5 PY 2009 BP 141 EP 179 PG 39 WC Economics; Planning & Development SC Business & Economics; Public Administration GA BZY14 UT WOS:000303342500008 ER PT J AU Das, US Papaioannou, MG Polan, M AF Das, Udaibir S. Papaioannou, Michael G. Polan, Magdalena BE Braga, CAP Domeland, D TI Debut Sovereign Bond Issues: Strategic Considerations and Determinants of Characteristics SO DEBT RELIEF AND BEYOND: LESSONS LEARNED AND CHALLENGES AHEAD LA English DT Proceedings Paper CT Conference of the Debt Relief and Beyond - A World Bank Conference on Debt and Development CY OCT, 2008 CL World Bank, Washington, DC HO World Bank C1 [Das, Udaibir S.] Int Monetary Fund, Exchange Regime & Debt & Reserve Management Div, Washington, DC 20431 USA. NR 14 TC 0 Z9 0 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-7875-5 PY 2009 BP 313 EP 341 PG 29 WC Economics; Planning & Development SC Business & Economics; Public Administration GA BZY14 UT WOS:000303342500014 ER PT J AU Klein, DB Benson, BL Berggren, N Bergh, A Boettke, PJ Caplan, B Colander, D DuRietz, G Dwyer, GP Ebeling, R Feld, LP Foldvary, F Forte, F Gordon, P Henderson, DR Holcombe, R Horwitz, S Johansson, D Karlson, N Lindberg, H Martino, A Mayer, T McCloskey, D Meadowcroft, J Meiners, R Nelson, RH Ormerod, P Peltzman, S Prescott, E Ricketts, M Robinson, C Selgin, G Shaw, J Sternberg, E Stringham, E Thorbecke, W Timberlake, R Tollison, R Wagner, R White, L Yeager, LB AF Klein, Daniel B. Benson, Bruce L. Berggren, Niclas Bergh, Andreas Boettke, Peter J. Caplan, Bryan Colander, David DuRietz, Gunnar Dwyer, Gerald P. Ebeling, Richard Feld, Lars P. Foldvary, Fred Forte, Francesco Gordon, Peter Henderson, David R. Holcombe, Randall Horwitz, Steven Johansson, Dan Karlson, Nils Lindberg, Henrik Martino, Antonio Mayer, Thomas McCloskey, Deirdre Meadowcroft, John Meiners, Roger Nelson, Robert H. Ormerod, Paul Peltzman, Sam Prescott, Edward Ricketts, Martin Robinson, Colin Selgin, George Shaw, Jane Sternberg, Elaine Stringham, Edward Thorbecke, Willem Timberlake, Richard Tollison, Robert Wagner, Richard White, Lawrence Yeager, Leland B. TI Desperately Seeking Smithians: Responses to the Questionnaire about Building an Identity SO ECON JOURNAL WATCH LA English DT Editorial Material AB The September 2008 issue of Econ Journal Watch carried an essay about building an identity for "our" economics. It attempted to motivate a questionnaire on the matter, a questionnaire that was then sent out to 408 individuals, mostly economists. Responses were received from 42 individuals, including Bryan Caplan, Peter Boettke, David Henderson, Steven Horwitz, Deirdre McCloskey, Thomas Mayer, Robert Nelson, Edward Prescott, Colin Robinson, Richard Timberlake, Robert Tollison, and Leland Yeager. This piece is a brief introduction to the compendium of responses that is provided as an appendix. C1 [Klein, Daniel B.; Boettke, Peter J.; Caplan, Bryan; Thorbecke, Willem; Wagner, Richard] George Mason Univ, Fairfax, VA 22030 USA. [Benson, Bruce L.] Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. [Colander, David] Middlebury Coll, Middlebury, VT 05753 USA. [Dwyer, Gerald P.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Feld, Lars P.] Univ Marburg, D-35032 Marburg, Germany. [Foldvary, Fred] Santa Clara Univ, Santa Clara, CA 95053 USA. [Forte, Francesco] Univ Naples Federico II, Dept Coservat Architectureal & Environm Assets, Naples, Italy. [Gordon, Peter] Univ So Calif, Los Angeles, CA 90089 USA. [Henderson, David R.] Naval Postgrad Sch, Monterey, CA USA. [Horwitz, Steven] St Lawrence Univ, Canton, NY USA. [Martino, Antonio] Univ Rome, LUISS, Rome, Italy. [Mayer, Thomas] Univ Calif Davis, Davis, CA USA. [McCloskey, Deirdre] Univ Illinois, Chicago, IL USA. [Meadowcroft, John] Kings Coll London, London WC2R 2LS, England. [Meiners, Roger] Univ Texas Arlington, Arlington, TX USA. [Nelson, Robert H.] Univ Maryland, College Pk, MD 20742 USA. [Peltzman, Sam] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. [Prescott, Edward] Arizona State Univ, Tempe, AZ 85287 USA. [Ricketts, Martin] Univ Buckingham, Buckingham, England. [Robinson, Colin] Univ Surrey, Guildford GU2 5XH, Surrey, England. [Selgin, George] W Virginia Univ, Morgantown, WV 26506 USA. [Stringham, Edward] Trinity Coll Dublin, Dublin, Ireland. [Timberlake, Richard] Univ Georgia, Athens, GA 30602 USA. [Tollison, Robert] Clemson Univ, Clemson, SC 29631 USA. [White, Lawrence] Univ Missouri, St Louis, MO USA. [Yeager, Leland B.] Auburn Univ, Auburn, AL 36849 USA. RP Klein, DB (reprint author), George Mason Univ, Fairfax, VA 22030 USA. NR 0 TC 0 Z9 0 U1 0 U2 8 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 JAN PY 2009 VL 6 IS 1 BP 113 EP 180 PG 68 WC Economics SC Business & Economics GA 409SV UT WOS:000263527000006 ER PT J AU Fernandez-Villaverde, J Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. TI Two Books on the New Macroeconometrics SO ECONOMETRIC REVIEWS LA English DT Article DE Bayesian econometrics; Dynamic macroeconomic models; Likelihood function; Monte Carlo methods; New macroeconometrics ID DYNAMIC EQUILIBRIUM ECONOMIES; MONETARY-POLICY; MODELS; LIKELIHOOD AB Methods for Applied Macroeconomics Research by Fabio Canova, and Structural Macroeconometrics by David N. DeJong and Chetan Dave are two outstanding new books that provide an excellent introduction to what is sometimes called the New Macroeconometrics. This area of empirical macroeconomics is centered on the estimation and validation of dynamic stochastic general equilibrium (DSGE) models. Canova's and DeJong and Dave's volumes fill a tremendous gap in economists' libraries. Not only does the writing style of both books allow them to be adopted as a reference text for a class, but also the books come filled with applications, exercises, and pointers to computer code that will complement the lectures. Despite sharing the common theme of an introduction to the new macroeconometrics, each book has its own focus. Canova's book aims to survey a long list of techniques relevant to macroeconomists: filters, vector autoregressions (VARs), general method of moments (GMM), simulation methods, dynamic panels, maximum likelihood, and Bayesian econometrics; it also offers two preliminary chapters on probability theory and on DSGE modeling. In contrast, DeJong and Dave have the more modest goal of showing how to compute and estimate DSGE models, which makes it more suitable for a second year graduate class. In exchange, DeJong and Dave often dig a bit deeper into issues of interest to them and build the material at a more leisurely pace. C1 [Rubio-Ramirez, Juan F.] Duke Univ, Durham, NC 27708 USA. [Rubio-Ramirez, Juan F.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Fernandez-Villaverde, Jesus] Univ Penn, Philadelphia, PA 19104 USA. [Fernandez-Villaverde, Jesus] NBER, Cambridge, MA 02138 USA. [Fernandez-Villaverde, Jesus] CEPR, London, England. RP Rubio-Ramirez, JF (reprint author), Duke Univ, 213 Social Sci, Durham, NC 27708 USA. EM Juan.Rubio-Ramirez@duke.edu FU NSF FX We thank David DeJong for comments and many conversations on estimation of DSGE models. Beyond the usual disclaimer, we must note that any views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. We thank the NSF for financial support. NR 18 TC 1 Z9 1 U1 1 U2 8 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 2009 VL 28 IS 4 BP 376 EP 387 AR PII 908461562 DI 10.1080/07474930802459040 PG 12 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 403NQ UT WOS:000263089700006 ER PT J AU Christensen, JHE Diebold, FX Rudebusch, GD AF Christensen, Jens H. E. Diebold, Francis X. Rudebusch, Glenn D. TI An arbitrage-free generalized Nelson-Siegel term structure model SO ECONOMETRICS JOURNAL LA English DT Article; Proceedings Paper CT Annual Conference of the Royal-Economic-Society CY 2008 CL Univ Warwick, Warwick, ENGLAND SP Royal Econ Soc HO Univ Warwick DE Arbitrage-free; Nelson-Siegel; Svensson extension; Yield curve ID BOND YIELDS; CURVES AB P>The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new AFGNS model and demonstrate its tractability and good in-sample fit. 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 Christensen, JHE (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM jens.christensen@sf.frb.org; fdiebold@sas.upenn.edu; glenn.rudebusch@sf.frb.org NR 25 TC 13 Z9 14 U1 3 U2 9 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1368-4221 J9 ECONOMET J JI Econom. J. PY 2009 VL 12 IS 3 BP C33 EP C64 DI 10.1111/j.1368-423X.2008.00267.x PG 32 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 524UH UT WOS:000272168300003 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, Charles T. Fuerst, Timothy S. TI CENTRAL BANK INDEPENDENCE AND INFLATION: A NOTE SO ECONOMIC INQUIRY LA English DT Article ID MONETARY-POLICY; DISCRETION; MODEL; RULES AB We document increased central bank independence within the set of industrialized nations. This increased independence can account for nearly two-thirds of the improved inflation performance of these nations over the past two decades. (JEL E42, E58). C1 [Carlstrom, Charles T.] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. [Fuerst, Timothy S.] Bowling Green State Univ, Dept Econ, Coll Business, Bowling Green, OH 43403 USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM charles.t.carlstrom@clev.frb.org; tfuerst@bgsu.edu NR 8 TC 10 Z9 10 U1 2 U2 4 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2009 VL 47 IS 1 BP 182 EP 186 DI 10.1111/j.1465-7295.2008.00148.x PG 5 WC Economics SC Business & Economics GA 397MJ UT WOS:000262666500012 ER PT J AU Branch, WA Carlson, J Evans, GW McGough, B AF Branch, William A. Carlson, John Evans, George W. McGough, Bruce TI MONETARY POLICY, ENDOGENOUS INATTENTION AND THE VOLATILITY TRADE-OFF SO ECONOMIC JOURNAL LA English DT Article ID STICKY INFORMATION; MACROECONOMIC STABILITY; GENERAL EQUILIBRIUM; RULES; INFLATION; PRICES; OUTPUT; ECONOMIES AB This article considers the interaction of optimal monetary policy and agents' beliefs. We assume that agents choose their information acquisition rate by minimising a loss function that depends on expected forecast errors and information costs. Endogenous inattention is a Nash equilibrium in the information processing rate. Although a decline of policy activism directly increases output volatility, it indirectly anchors expectations, which decreases output volatility. If the indirect effect dominates then the usual trade-off between output and price volatility breaks down. C1 [Branch, William A.] Univ Calif Irvine, Irvine, CA 92717 USA. Fed Reserve Bank Cleveland, Cleveland, OH USA. Univ Oregon, Eugene, OR 97403 USA. St Andrews Oregon State Univ, St Andrews, OR USA. RP Branch, WA (reprint author), Univ Calif Irvine, Irvine, CA 92717 USA. RI Evans, George/H-8051-2012 NR 49 TC 6 Z9 6 U1 2 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 EI 1468-0297 J9 ECON J JI Econ. J. PD JAN PY 2009 VL 119 IS 534 BP 123 EP 157 DI 10.1111/j.1468-0297.2008.02222.x PG 35 WC Economics SC Business & Economics GA 382SS UT WOS:000261626300006 ER PT J AU Duygan-Bump, B Grant, C AF Duygan-Bump, Burcu Grant, Charles TI Household debt repayment behaviour: what role do institutions play? SO ECONOMIC POLICY LA English DT Article ID CREDIT; BANKRUPTCY; HETEROGENEITY; MARKETS; MODELS; COURTS; RISK AB Despite the lively policy debate on rising household debt, arrears and personal bankruptcy filings, there is relatively little empirical evidence on the determinants of households' debt repayment behaviour, or on the incidence of arrears. Even less is known about how arrears compare between countries, although debt levels are known to vary widely. Using data from the European Community Household Panel, we first show that arrears are frequently associated with subsequent adverse consequences, such as future unemployment or bad health. Second, we find that arrears are often precipitated by an adverse shock to the household's income or health, but that there are large differences between countries in how households react to these events. Finally, we show that these differences can be partly explained by local financial and judicial institutions, as captured by contract enforcement and information sharing indicators. In other words, we show that while adverse shocks are highly important, the extent to which they affect repayment behaviour depends crucially on the penalty for defaulting. This finding suggests that although repayment problems often arise from a genuine inability to repay, some households seem to behave strategically. C1 [Duygan-Bump, Burcu] Fed Reserve Bank Boston, Boston, MA 02210 USA. Univ Reading, Reading RG6 2AH, Berks, England. RP Duygan-Bump, B (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 26 TC 16 Z9 16 U1 2 U2 7 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0266-4658 J9 ECON POLICY JI Econ. Policy PD JAN PY 2009 IS 57 DI 10.1111/j.1468-0327.2009.00215.x PG 33 WC Economics SC Business & Economics GA 387ON UT WOS:000261961600004 ER PT J AU Owen, AL AF Owen, Ann L. BE Colander, D McGoldrick, KM TI Providing incentives for change: evaluating teaching SO EDUCATING ECONOMISTS: THE TEAGLE DISCUSSION ON RE-EVALUATING THE UNDERGRADUATE ECONOMICS MAJOR LA English DT Article; Book Chapter C1 [Owen, Ann L.] Hamilton Coll, New York, NY 10019 USA. [Owen, Ann L.] Fed Reserve Board, Washington, DC USA. RP Owen, AL (reprint author), Hamilton Coll, New York, NY 10019 USA. NR 0 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 978-1-84844-579-6 PY 2009 BP 92 EP 94 PG 3 WC Education & Educational Research SC Education & Educational Research GA BST49 UT WOS:000285744500011 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI An Era of Creative Destruction SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB This chapter presents a quick history of exchanges, their purpose, and their development. It delves into the process of floor-based trading, the system used for well over a century on exchanges such as the New York Stock Exchange (NYSE) and the Chicago Board of Trade (CBOT). Then it explores the technological innovations that led to the development of electronic exchanges and gives an overview of its process and implications for the future. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 5 TC 1 Z9 1 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 1 EP 26 PG 26 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800001 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI From Floor to Screen: The Electronic Pioneers SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB The most important of all the transformations that exchanges are undergoing is the shift from trading floors to trading screens. The earliest electronic exchanges were not conversions of existing floor-based markets but rather brand-new operations like INTEX, the New Zealand Futures Exchange, OM, SOFFEX, DTB, Nasdaq, and the Chinese exchanges. We tell the stories of these early adopters and look for the lessons. The late arrivals to screens, such as MATIF and LIFFE, had trouble competing and were absorbed by others. The last exchanges to the party were at most risk and at one point had been written off, but one of these has emerged as the world's biggest derivates exchange. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 13 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 29 EP 47 PG 19 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800002 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI Floor to Screen: The Second Wave SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB The late arrivals to the transition to computer screens had advantages and disadvantages. The biggest advantage was that they did not have to build systems from scratch, as did many of the electronic pioneers. An increasing number of vendors, including other exchanges, were happy to sell or lease various modules of the trading system. The disadvantage faced by the latecomers was that they were late and sometimes at a serious competitive disadvantage. Two large European floor-based exchanges, MATIF and LIFFE, had trouble competing and were subsequently absorbed by others. The last exchanges to the party were seemingly at greatest risk, but one of these latecomers has emerged as the world's biggest derivatives exchange. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 14 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 49 EP 78 DI 10.1016/B978-0-12-374252-0.00005-8 PG 30 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800003 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI Floors to Screens: Nuts and Bolts SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB This chapter explores the architecture of electronic trading. We discuss the components of the trade cycle for electronic trading and the history of its development, with examples of some key new players in the industry. It's not just time/price any more; we explore the various alternative matching algorithms in use today. We then dig deeply into the technical structure of electronic exchanges, from client applications to exchanges to clearing services. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 3 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 79 EP 91 DI 10.1016/B978-0-12-374252-0.00006-X PG 13 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800004 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI From Private Club to Public Company SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB Member-owned exchanges were the standard model for many years and did a fairly good job. However, an exchange owned by members meant that members often took precedence over customers. In this chapter we explain what a membership is and how those memberships were transformed into a trading right and a bucket of common stock under a process called demutualization, and we review case studies of the CME, CBOT, CBOE, NYMEX, and NYSE. We also explain the drivers behind this important transformation. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 10 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 93 EP 123 DI 10.1016/B978-0-12-374252-0.00007-1 PG 31 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800005 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI From National to Global Competition SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB There was a time when there were 250 stock exchanges in the United States and not too long ago when there were 23 in India. Competition in those days was, at best, local. Improved communications and falling communications costs brought competition to the national level, and the number of stock exchanges fell dramatically in most multi-exchange countries. Recently, with the shift to screens and the need to build volume to lower per-trade costs, exchanges have begun competing on a global level. This competition has been most successful when the attacker is electronic and the target still floor based-a diminishing opportunity. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 18 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 125 EP 154 DI 10.1016/B978-0-12-374252-0.00008-3 PG 30 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800006 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI Smaller to Larger: Through Organic Growth and M&A SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter ID EXCHANGES AB Exchanges have gotten larger. The driver is a hugely compelling need to move down the steeply declining average cost curve that now exists for exchanges because of the shift to screens. Only by continuing to reduce the average cost of a trade can exchanges remain competitive. Exchanges can grow in two ways: (1) organically, by attracting more trading in existing products and developing attractive new products, or (2) acquiring or merging with other exchanges. Even before electronic exchanges, there were mergers, usually cases of healthy exchanges taking over struggling exchanges, sometimes with the participation of the government. But the pace of M&A has accelerated as exchanges have become electronic. We explore a number of case studies of both the old and new era M&A activity. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 20 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 155 EP 179 DI 10.1016/B978-0-12-374252-0.00009-5 PG 25 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800007 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI A New Wave of Product Innovation SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB Product innovation is crucial to the growth of exchanges. Stock exchanges continually list new stocks, but it has been their venture into other equity-related products such as exchange-traded funds that has created growth. Equity options exchanges have expanded via a number of new equity indexes. The shift to electronic trading has significantly reduced the cost of starting a new product. It used to be that new products required floor space and traders. Today electronic exchanges require just a little more server space. And the pace of product innovation has increased significantly. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 183 EP 204 PG 22 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800008 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI Building Modular Exchanges via Partnerships and Outsourcing SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB In this chapter we explore the radical transformation in the structure of financial markets, from monolithic exchanges that served all functions to smaller components that can be snapped together like Lego blocks to quickly build new exchanges. We provide several in-depth case studies that illustrate how various players adapted their business models to electronic exchanges. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 13 TC 1 Z9 1 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 205 EP 225 DI 10.1016/B978-0-12-374252-0.00011-3 PG 21 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800009 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI Regulators: Leadership and Reaction SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB Regulators had to react to fundamental changes in the nature of exchanges, but they also at times were leaders of market change. For example, the response to the push for principles-based regulation granted exchanges more flexibility to design markets and products in thoughtful, cost-effective ways. The U.S. CFTC crafted a creative answer to the desire of foreign markets to place their terminals in the United States, an approach that permitted foreign competition but in a fashion that still protected U. S. customers and other public interests. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 24 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 227 EP 259 PG 33 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800010 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI Electronic Exchanges and Trading: Benefits SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB Electronic exchanges offer many benefits to every constituent, from traders to regulators. Globalization, more tradable products, and a vast ocean of real-time data, along with global networks and powerful computers, have led to fundamental changes in the way markets function. Buy-side firms can now execute complex order types and route them to exchanges through broker-neutral platforms. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 9 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 261 EP 286 DI 10.1016/B978-0-12-374252-0.00013-7 PG 26 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800011 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI Electronic Exchanges and Trading: Challenges SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB As with any innovations, challenges are introduced or exacerbated by electronic exchanges. Greater speed and globalization mean that there is less room for error and problems can instantly spread around the world. For all its advantages, technology is still rather fragile and unreliable. People are still prone to error and bursts of panic. The result can be greater volatility and, sometimes, ad hoc resolutions to glitches in the electronic infrastructure. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 22 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 287 EP 303 DI 10.1016/B978-0-12-374252-0.00014-9 PG 17 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800012 ER PT J AU Gorham, M Singh, N AF Gorham, Michael Singh, Nidhi BA Gorham, M Singh, N BF Gorham, M Singh, N TI The Future of Financial Markets SO ELECTRONIC EXCHANGES: THE GLOBAL TRANSFORMATION FROM PITS TO BITS LA English DT Article; Book Chapter AB The transformation to global electronic exchanges is still a work in progress. This chapter explores several trends and their impact on financial markets. Globalization could lead to monopolies, but it is now easier to assemble new competitive exchanges. Automated trading will make trading even faster, forcing exchanges to continue to innovate technologically. And other components of the trade cycle are still in the process of adapting to these changes. C1 [Gorham, Michael] IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. [Gorham, Michael] Chicago Mercantile Exchange, Business Conduct Comm, Chicago, IL USA. [Gorham, Michael] Global Assoc Risk Profess Chicago, Chicago, IL USA. [Gorham, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Gorham, Michael] Chicago Mercantile Exchange, Chicago, IL USA. RP Gorham, M (reprint author), IIT, IIT Stuart Ctr Financial Markets, Chicago, IL 60616 USA. NR 17 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-092140-2 PY 2009 BP 305 EP 316 DI 10.1016/B978-0-12-374252-0.00015-0 PG 12 WC Business, Finance SC Business & Economics GA BGC21 UT WOS:000322235800013 ER PT J AU Bandyopadhyay, S Bandvopadhyay, SC AF Bandyopadhyay, Subhayu Bandvopadhyay, Sudeshna C. TI Trade and Child Labor: A General Equilibrium Analysis SO EMERGING MARKETS FINANCE AND TRADE LA English DT Article DE child labor; nontraded goods; terms of trade; trade sanctions ID ECONOMICS; SANCTIONS AB This paper augments the existing literature on trade and child labor by exploring the effects of terms-of-trade changes in the context of a three-good general equilibrium model, in which one of the goods is a nontraded good. We find that, under quasi-linear preferences, the effect of the terms of trade on child labor depends critically on the pattern of substitutability (or complementarity) in the excess demand functions between the export good and the nontraded good. We extend the analysis to the case in which factors move freely between the three goods, as in a Heckscher-Ohlin-type framework. Finally, we show that a balanced budget policy of taxing the education of skilled families to subsidize the education of unskilled families must reduce child labor without any effect on aggregate welfare. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63101 USA. [Bandvopadhyay, Sudeshna C.] W Virginia Univ, Dept Econ, Morgantown, WV 26506 USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63101 USA. EM subhayu.bandyopadhyay@stls.frb.org; bandysud@gmail.com RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 19 TC 1 Z9 1 U1 0 U2 1 PU M E SHARPE INC PI ARMONK PA 80 BUSINESS PARK DR, ARMONK, NY 10504 USA SN 1540-496X J9 EMERG MARK FINANC TR JI Emerg. Mark. Financ. Trade PD JAN-FEB PY 2009 VL 45 IS 1 BP 5 EP 18 DI 10.2753/REE1540-496X450101 PG 14 WC Business; Economics; International Relations SC Business & Economics; International Relations GA 403MC UT WOS:000263085700002 ER PT J AU Brown, SRA Yucel, MK AF Brown, Stephen R. A. Yucel, Mine K. TI Market Arbitrage: European and North American Natural Gas Prices SO ENERGY JOURNAL LA English DT Article ID INTEGRATION; OIL AB The development of an international market for liquefied natural gas (LNG) and the resulting opportunities for intercontinental arbitrage are seen as creating a world in which movements in natural gas prices are linked between continents. Increased flows of LNG into the United States and the potential sensitivity of these shipments to price differentials between Europe and North America suggests the possibility of a strengthening relationship between natural gas prices on these two continents. At the same time, there is considerable evidence linking natural gas price movements in Europe and North America to those for crude oil. Accordingly, we use a series of econometric tests to determine whether the co-movement between natural gas prices in Europe and North America is mediated through crude oil prices or is being shaped directly by gas-to-gas arbitrage. C1 [Brown, Stephen R. A.; Yucel, Mine K.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. RP Brown, SRA (reprint author), Fed Reserve Bank Dallas, Res Dept, POB 655906, Dallas, TX 75265 USA. EM brown@yahoo.com; mine.k.yucel@dal.frb.org NR 15 TC 13 Z9 13 U1 2 U2 12 PU INT ASSOC ENERGY ECONOMICS PI CLEVELAND PA 28790 CHAGRIN BLVD, STE 210, CLEVELAND, OH 44122 USA SN 0195-6574 J9 ENERG J JI Energy J. PY 2009 BP 167 EP 185 PG 19 WC Economics; Energy & Fuels; Environmental Studies SC Business & Economics; Energy & Fuels; Environmental Sciences & Ecology GA 514JQ UT WOS:000271390900012 ER PT J AU Gotte, L Schmutzler, A AF Goette, Lorenz Schmutzler, Armin BE Hinloopen, J Normann, HT TI Merger policy: what can we learn from experiments? SO EXPERIMENTS AND COMPETITION POLICY LA English DT Article; Book Chapter ID PUBLIC-GOODS EXPERIMENTS; VERTICAL FORECLOSURE; HORIZONTAL MERGERS; MARKET POWER; EQUILIBRIUM; COOPERATION; FAIRNESS; CONTESTABILITY; INTEGRATION; COMPETITION AB This chapter surveys experimental literature relating to mergers. We put particular emphasis on discussing whether this literature addresses the issues that are relevant for competition policy. We also include some suggestions as to how the fit between the experiments and the requirements of competition policy research might be improved. C1 [Goette, Lorenz] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Schmutzler, Armin] Univ Zurich, Socioecon Inst, CH-8006 Zurich, Switzerland. RP Gotte, L (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 50 TC 1 Z9 1 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-49342-0 PY 2009 BP 185 EP 216 DI 10.1017/CBO9780511576201.008 D2 10.1017/CBO9780511576201 PG 32 WC Economics SC Business & Economics GA BDX16 UT WOS:000315520800008 ER PT J AU Bullard, JB AF Bullard, James B. TI Three Funerals and a Wedding SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Regional Economic Summit CY NOV 20, 2008 CL Evansville, IN AB This article is a modified and updated version of a speech presented at the Regional Economic Summit, Evansville, Indiana, November 20, 2008. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Bullard, JB (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 8 TC 2 Z9 2 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 2009 VL 91 IS 1 BP 1 EP 12 PG 12 WC Business, Finance; Economics SC Business & Economics GA 400XY UT WOS:000262903900001 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI The Fed, Liquidity, and Credit Allocation SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The current financial turmoil has generated considerable discussion of liquidity. Moreover, it has been widely reported that the Federal Reserve played a major role in supplying liquidity to financial markets during this distressed time. This article describes two ways in which the Fed has supplied liquidity since late 2007. The first is traditional: The Fed supplies liquidity by providing credit through open market operations and by lending to depository institutions at the so-called discount window. The second is by enhancing the liquidity of portfolios of some institutions by replacing their less-liquid assets with more-liquid assets. The Fed has used the second approach since late 2007. Unlike several previous occasions, however, it began supplying liquidity in the first, more traditional way only recently-in September 2008. This article notes that the Fed departed from its long-standing tradition of minimizing its effect on the allocation of credit by supplying liquidity to institutions that it believed to be most in need; at the same time, it neutralized the effects of these actions on the total supply of liquidity in the financial market. The article also discusses the Fed's reasons for reallocating credit this time rather than simply increasing the total supply of financial market liquidity. (JEL E44, E52, E58) C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 14 TC 5 Z9 5 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 2009 VL 91 IS 1 BP 13 EP 21 PG 9 WC Business, Finance; Economics SC Business & Economics GA 400XY UT WOS:000262903900002 ER PT J AU Douglas, S Garrett, TA Rhine, RM AF Douglas, Stratford Garrett, Thomas A. Rhine, Russell M. TI Disallowances and Overcapitalization in the US Electric Utility Industry SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID DYNAMIC EFFICIENCY; POWER INDUSTRY; BEHAVIOR; SCALE AB Regulation of an industry often produces unintended consequences. Averch and Johnson (1962) argue that certain regulation of electric utilities provides utilities the incentive to purchase an inefficiently large amount of capital. Another possible and related unintended consequence of electric utility regulation is that regulatory cost disallowances on capital may also increase utilities' incentives to overcapitalize. The authors provide theoretical evidence that capital expenditure disallowances will increase the Averch and Johnson effect in some instances and thus may have contributed to the overcapitalization problem that regulation was designed to discourage. Our model shows that disallowances can reduce the rate of return on investment and thereby increase the Averch and Johnson distortion. (JEL D42, L43, L51) C1 [Douglas, Stratford] W Virginia Univ, Morgantown, WV 26506 USA. [Garrett, Thomas A.] Fed Reserve Bank St Louis, St Louis, MO USA. [Rhine, Russell M.] St Marys Coll Maryland, St Marys City, MD USA. RP Douglas, S (reprint author), W Virginia Univ, Morgantown, WV 26506 USA. NR 23 TC 1 Z9 1 U1 1 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 2009 VL 91 IS 1 BP 23 EP 31 PG 9 WC Business, Finance; Economics SC Business & Economics GA 400XY UT WOS:000262903900003 ER PT J AU Conesa, JC Garriga, C AF Conesa, Juan C. Garriga, Carlos TI Optimal Response to a Transitory Demographic Shock in Social Security Financing SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The authors consider a transitory demographic shock that affects negatively the financing of retirement pensions-that is, workers either would have to pay more or retirees would receive less. In contrast to the existing literature, the authors endogenously determine optimal policies rather than explore the implications of exogenous parametric responses. Their approach identifies optimal strategies of the Social Security Administration to guarantee the financial sustainability of existing retirement pensions in a Pareto-improving way. Hence, no cohort will pay the cost of the demographic shock. The authors find that the optimal strategy is based on the following ingredients: elimination of compulsory retirement, a change in the structure of labor income taxation, and a temporary increase in the level of government debt. (JEL D58, D91, H55) C1 [Conesa, Juan C.] Univ Autonoma Barcelona, Barcelona, Spain. [Garriga, Carlos] Fed Reserve Bank St Louis, St Louis, MO USA. RP Conesa, JC (reprint author), Univ Autonoma Barcelona, Barcelona, Spain. RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 18 TC 0 Z9 0 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 2009 VL 91 IS 1 BP 33 EP 48 PG 16 WC Business, Finance; Economics SC Business & Economics GA 400XY UT WOS:000262903900004 ER PT J AU Takhtamanova, Y Sierminska, E AF Takhtamanova, Yelena Sierminska, Eva TI GENDER, MONETARY POLICY, AND EMPLOYMENT: THE CASE OF NINE OECD COUNTRIES SO FEMINIST ECONOMICS LA English DT Article DE Gender; employment; monetary policy; inflation; OECD countries ID JOB TENURE; UNEMPLOYMENT RATES; LABOR-MARKET; INFLATION; IMPACTS AB In many countries, low and stable inflation is the focus of monetary policy. Recent empirical evidence from developing countries indicates, however, that the costs of reducing inflation are disproportionately borne by women. This paper seeks to determine whether a similar pattern is evident in nine Organisation for Economic Co-operation and Economic Development (OECD) countries, using quarterly data for 1980-2004. The study examines economy-wide and sectoral employment effects by gender by utilizing two methodologies: single equation regression and vector autoregression analysis. Results indicate that the link between monetary policy instruments (short-term interest rates) and employment in the industrial countries under investigation is weak and does not vary by gender. C1 [Takhtamanova, Yelena] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Sierminska, Eva] Ctr Etud Populat Pauvrete & Polit Socioecon, Int Network Studies Technol, IRISS, L-4501 Luxembourg, Luxembourg. RP Takhtamanova, Y (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM yelena.takhtamanova@sf.frb.org; eva.sierminska@ceps.lu NR 51 TC 6 Z9 6 U1 2 U2 7 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1354-5701 J9 FEM ECON JI Fem. Econ. PY 2009 VL 15 IS 3 BP 323 EP 353 DI 10.1080/13545700902893122 PG 31 WC Economics; Women's Studies SC Business & Economics; Women's Studies GA 558MA UT WOS:000274745600011 ER PT J AU Tatom, JA AF Tatom, John A. BE Bliss, RR Kaufman, GG TI The US Foreclosure Crisis: A Two-Pronged Assault on the Economy SO FINANCIAL INSTITUTIONS AND MARKETS: 2007-2008 - THE YEAR OF CRISIS LA English DT Article; Book Chapter AB The foreclosure problem affects real economic activity and financial markets. The timing of developments in the housing market will limit how fast markets restore stability and growth. The Federal Reserve has complicated the problem by creating new lending programs that redirected its credit supply to private financial institutions and in the process violated the first rule of central banking to lend liberally in a liquidity crisis. This failure, compounded by providing a backstop to questionable securities, has slowed market adjustment and risks lengthening and deepening the crisis. This chapter reviews and evaluates the foreclosure crisis, its real impacts in the economy, the financial market effects of the surge in mortgage foreclosures, and the monetary policy response to the problem. C1 [Tatom, John A.] Networks Financial Inst, Terre Haute, IN 47809 USA. [Tatom, John A.] Indiana State Univ, Terre Haute, IN 47809 USA. [Tatom, John A.] Fed Reserve Bank St Louis, St Louis, MO USA. [Tatom, John A.] Depaul Univ, Chicago, IL 60604 USA. [Tatom, John A.] Washington Univ, St Louis, MO 63130 USA. [Tatom, John A.] Univ Georgia, Athens, GA 30602 USA. [Tatom, John A.] Univ Redlands, Redlands, CA 92373 USA. [Tatom, John A.] Albion Coll, Albion, MI 49224 USA. [Tatom, John A.] UBS Asset Management, Chicago, IL USA. [Tatom, John A.] UBS, Zurich, Switzerland. RP Tatom, JA (reprint author), Networks Financial Inst, Terre Haute, IN 47809 USA. NR 31 TC 1 Z9 1 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-23010-324-5 PY 2009 BP 131 EP 154 D2 10.1057/9780230103245 PG 24 WC Business, Finance; Economics SC Business & Economics GA BSK85 UT WOS:000284759400006 ER PT J AU Garcia, GGH AF Garcia, Gillian G. H. BE Bliss, RR Kaufman, GG TI Revising European Union Directives: Deposit Insurance and Reorganization and Winding Up SO FINANCIAL INSTITUTIONS AND MARKETS: 2007-2008 - THE YEAR OF CRISIS LA English DT Article; Book Chapter AB The global financial crisis requires the European Union (EU) to promptly revise its Directives on deposit insurance, reorganization and winding up of credit institutions. Disparate country practices have hampered the formulation of a coordinated response to the crisis and have demonstrated the infeasibility of effectively supervising, reorganizing, and winding up credit institutions, particularly cross-border institutions, and guaranteeing their deposits. While recognizing the difficulty in harmonizing across Europe's contrasting legal traditions, the chapter calls for cross-border banks to have a European banking charter that is accompanied by special, harmonized systems of supervision, failure resolution, and deposit guarantees. These harmonized systems might well be developed around a revised Washington/Basel consensus on these issues and provide a template for the later creation of federal oversight in Europe. C1 [Garcia, Gillian G. H.] Univ Calif Berkeley, Berkeley, CA 94720 USA. [Garcia, Gillian G. H.] Fed Reserve Bank Chicago, Chicago, IL USA. [Garcia, Gillian G. H.] Int Monetary Fund, Washington, DC 20431 USA. [Garcia, Gillian G. H.] Senate Banking Comm, Washington, DC USA. [Garcia, Gillian G. H.] US Govt Accountabil Off, Washington, DC USA. NR 41 TC 0 Z9 0 U1 0 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-23010-324-5 PY 2009 BP 155 EP 185 D2 10.1057/9780230103245 PG 31 WC Business, Finance; Economics SC Business & Economics GA BSK85 UT WOS:000284759400007 ER PT S AU Rutledge, WL AF Rutledge, William L. BE Evanoff, DD Hoelscher, DS Kaufman, GG TI Globalization and Systemic Risk: Where to Go from Here - Policy Panel SO GLOBALIZATION AND SYSTEMIC RISK SE World Scientific Studies in International Economics LA English DT Proceedings Paper CT 10th Annual International Banking and Finance Conference CY SEP 27-28, 2007 CL Federal Reserve Bank Chicago, Chicago, IL SP Int Monetary Fund HO Federal Reserve Bank Chicago C1 [Rutledge, William L.] Fed Reserve Bank New York, New York, NY USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE SN 1793-3641 BN 978-9-81283-337-2 J9 WORLD SCI STUD INT E PY 2009 VL 6 BP 409 EP 414 PG 6 WC Business, Finance; Economics SC Business & Economics GA BKZ60 UT WOS:000269690100030 ER PT J AU Wolfson, MH AF Wolfson, Martin H. BE Goldstein, JP Hillard, MG TI Methodology and heterodox economics SO HETERODOX MACROECONOMICS: KEYNES, MARX AND GLOBALIZATION SE Routledge Advances in Heterodox Economics LA English DT Article; Book Chapter C1 [Wolfson, Martin H.] Univ Notre Dame, Higgins Labor Studies Program, Notre Dame, IN 46556 USA. [Wolfson, Martin H.] Fed Reserve Board, Washington, DC USA. RP Wolfson, MH (reprint author), Univ Notre Dame, Higgins Labor Studies Program, Notre Dame, IN 46556 USA. NR 21 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-87670-1 J9 ROUTL ADV HETEROD EC PY 2009 BP 54 EP 65 PG 12 WC Economics SC Business & Economics GA BNK89 UT WOS:000274823300005 ER PT J AU Groen, JJJ Kapetanios, G Price, S AF Groen, Jan J. J. Kapetanios, George Price, Simon TI A real time evaluation of Bank of England forecasts of inflation and growth SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Real-time data; Forecast performance; Inflation; Growth ID MODELS; BOOTSTRAP AB We compare the Bank of England's Inflation Report quarterly forecasts for growth and inflation to real-time benchmark forecasts. The results reveal the well-known difficulty of forecasting in a stable macroeconomic environment, and the Inflation Report forecasts of GDP growth are generally inferior to forecasts from linear and non-linear univariate models. However, for the inflation forecast the Inflation Report is clearly dominant. (C) 2008 Bank of England. Published by Elsevier B.V. on behalf of International Institute of Forecasters. All rights reserved. C1 [Groen, Jan J. J.] Fed Reserve Bank New York, New York, NY 10045 USA. [Kapetanios, George] Queen Mary Univ London, London E1 4NS, England. [Price, Simon] Bank England, London, England. RP Groen, JJJ (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM jan.groen@ny.frb.org; g.kapetanios@qmul.ac.uk; simon.price@bankofengland.co.uk NR 20 TC 14 Z9 14 U1 0 U2 5 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 JAN-MAR PY 2009 VL 25 IS 1 BP 74 EP 80 DI 10.1016/j.ijforecast.2008.09.005 PG 7 WC Economics; Management SC Business & Economics GA 415OZ UT WOS:000263944800009 ER PT J AU Balke, NS Wohar, ME AF Balke, Nathan S. Wohar, Mark E. TI MARKET FUNDAMENTALS VERSUS RATIONAL BUBBLES IN STOCK PRICES: A BAYESIAN PERSPECTIVE SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID EXCHANGE; DECOMPOSITION; EXPECTATIONS; VARIANCE; RETURNS; REGIME; INDEX; TESTS AB Using Bayesian Markov chain Monte Carlo methods, we decompose the log price-dividend ratio into a market fundamentals component and a bubble component. The market fundamentals component depends on expectations of future dividend growth and required returns, while the bubble component is assumed to follow a Markov switching model that allows for the possibility of exploding and collapsing regimes. If prior beliefs allow for the possibility of persistent shocks to dividend growth and/or required returns, the posterior distribution Suggests the bubble component contributes virtually nothing to the stock price movements over Our sample. On the other hand, if one's priors rule out the possibility of persistent shocks to dividend growth and required returns, the bubble component can have a Much larger role to play in stock price movements. However, the regime switching behavior of the bubble bears little resemblance to infrequent switching from an exploding bubble regime to a collapsing or dormant bubble regime. Copyright (C) 2008 John Wiley & Sons, Ltd. C1 [Balke, Nathan S.] So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. [Balke, Nathan S.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. [Wohar, Mark E.] Univ Nebraska Omaha, Dept Econ, Omaha, NE USA. RP Balke, NS (reprint author), So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. EM nbalke@mail.smu.edu NR 35 TC 7 Z9 7 U1 4 U2 7 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOM JI J. Appl. Econom. PD JAN-FEB PY 2009 VL 24 IS 1 BP 35 EP 75 DI 10.1002/jae.1025 PG 41 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 391ZV UT WOS:000262273600002 ER PT J AU Berger, AN Hasan, I Zhou, MM AF Berger, Allen N. Hasan, Iftekhar Zhou, Mingming TI Bank ownership and efficiency in China: What will happen in the world's largest nation? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE China; Banks; Efficiency; Foreign ownership ID TRANSITION COUNTRIES; FIRM PERFORMANCE; COMMERCIAL-BANKS; EQUITY OWNERSHIP; FINANCE; PRIVATIZATION; GROWTH; LIBERALIZATION; INSTITUTIONS; FOREIGN AB China is reforming its banking system, partially privatizing and taking, on minority foreign ownership of three of its dominant "Big Four" state-owned banks. This paper helps predict the effects by analyzing the efficiency of Chinese banks over 1994-2003. Findings suggest that Big Four banks are by far the least efficient: foreign banks are most efficient and minority foreign ownership is associated with significantly improved efficiency. We present corroborating robustness checks and offer several credible mechanisms through which minority foreign owners may increase Chinese bank efficiency. These findings Suggest that minority foreign ownership of the Big Four will likely improve performance significantly. (C) 2007 Elsevier B.V. All rights reserved. C1 [Berger, Allen N.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Berger, Allen N.] Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. [Hasan, Iftekhar] Rensselaer Polytech Inst, Troy, NY 12180 USA. [Zhou, Mingming] Univ Alaska Fairbanks, Sch Management, Fairbanks, AK 99775 USA. [Hasan, Iftekhar] Bank Finland, Helsinki 00101, Finland. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 153,20th & C St NW, Washington, DC 20551 USA. EM aberger@frb.gov; hasan@rpi.edu; m.zhou@uaf.edu NR 52 TC 192 Z9 199 U1 13 U2 57 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 JAN PY 2009 VL 33 IS 1 BP 113 EP 130 DI 10.1016/j.jbankfin.2007.05.016 PG 18 WC Business, Finance; Economics SC Business & Economics GA 386TZ UT WOS:000261906800012 ER PT J AU Wilson, DJ AF Wilson, Daniel J. TI IT and Beyond: The Contribution of Heterogeneous Capital to Productivity SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Capital heterogeneity; Information and communications technology; Investment; Production function estimation ID FIRM-LEVEL EVIDENCE; RESEARCH-AND-DEVELOPMENT; INFORMATION-TECHNOLOGY; INVESTMENT BEHAVIOR; PANEL DATA; GROWTH; SPECIFICATION; SPILLOVERS; INNOVATION; INDUSTRY AB This article explores the relationship between capital composition and productivity using a unique, detailed dataset on firm investment in the United States in the late 1990s. I develop a methodology for estimating the separate effects of multiple capital types in a production function framework. I back out the implied marginal products of each capital type and compare these with rental price data. I find that although most capital types earned normal returns, information and communications technology capital goods had marginal products substantially above their rental prices. The article also provides evidence of complementarities and substitutabilities among capital types and between capital types and labor. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Wilson, DJ (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM Daniel.Wilson@sf.frb.org NR 50 TC 10 Z9 10 U1 1 U2 4 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2009 VL 27 IS 1 BP 52 EP 70 DI 10.1198/jbes.2009.0005 PG 19 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 477GI UT WOS:000268506400005 ER PT J AU Arellano, C Bulir, A Lane, T Lipschitz, L AF Arellano, Cristina Bulir, Ales Lane, Timothy Lipschitz, Leslie TI The dynamic implications of foreign aid and its variability SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE Real business cycle; General equilibrium; Aid; Transfer problem ID DEVELOPING-COUNTRIES; GROWTH REGRESSIONS; POLICY; UNEMPLOYMENT; VOLATILITY; DEPENDENCE; MODEL; COST AB The paper examines the effects of aid and its volatility on consumption, investment, and the structure of production in the context of an intertemporal two-sector general equilibrium model, calibrated using data for aid-dependent countries in Africa. A permanent flow of aid mainly finances consumption rather than investment-consistent with the historical failure of aid inflows to translate into sustained growth. Large aid flows are associated with higher real exchange rates and smaller tradable sectors because aid is a substitute for tradable consumption. Aid volatility results in substantial welfare losses, providing a motivation for recent discussions of aid architecture stressing the need for greater predictability of aid. These results are also consistent with evidence from cross-country regressions of manufactured exports, presented later in the paper. (C) 2008 International Monetary Fund. Published by Elsevier B.V. All rights reserved. C1 [Arellano, Cristina] Univ Minnesota, Minneapolis, MN USA. [Arellano, Cristina] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. [Bulir, Ales; Lane, Timothy; Lipschitz, Leslie] Int Monetary Fund, Washington, DC 20431 USA. RP Bulir, A (reprint author), 700 19th St NW, Washington, DC 20431 USA. EM abulir@imf.org RI Bulir, Ales/A-7746-2009; OI Bulir, Ales/0000-0002-2334-7176 NR 51 TC 43 Z9 44 U1 0 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD JAN PY 2009 VL 88 IS 1 BP 87 EP 102 DI 10.1016/j.jdeveco.2008.01.005 PG 16 WC Economics SC Business & Economics GA 373RD UT WOS:000260988900007 ER PT J AU Mukoyama, T Sahin, A AF Mukoyama, Toshihiko Sahin, Ayseguel TI Specialization and efficiency with labor-market matching SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Matching; Heterogeneity; Specialization ID UNEMPLOYMENT; SEARCH; EQUILIBRIUM; EARNINGS; MODELS AB This paper constructs a labor-market matching model with heterogeneous workers. Due to matching frictions, there may be a mismatch of talents within a production team, forcing a worker to specialize in a task at which she is not talented. We consider a partnership model where production takes place in teams consisting of two workers. We characterize the steady-state of the matching equilibrium. The constrained efficiency of the matching equilibrium depends on the distribution of talents. The constrained-efficient allocation can always be implemented by a type-specific tax. We also examine an alternative model with Diamond-Mortensen-Pissarides type matching between firms and workers. (c) 2008 Elsevier B.V. All rights reserved. C1 [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY 10045 USA. [Mukoyama, Toshihiko] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. [Mukoyama, Toshihiko] Succursale Ctr Ville, CIREQ, Montreal, PQ H3C 3J7, Canada. RP Sahin, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM tm5hs@virginia.edu; aysegul.sahin@ny.frb.org NR 21 TC 1 Z9 1 U1 1 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 JAN PY 2009 VL 33 IS 1 BP 221 EP 236 DI 10.1016/j.jedc.2008.06.002 PG 16 WC Economics SC Business & Economics GA 388VS UT WOS:000262048600014 ER PT J AU Kahn, CM Roberds, W AF Kahn, Charles M. Roberds, William TI Why pay? An introduction to payments economics SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Review DE Payments; Money ID PRIVATE INFORMATION; LIQUIDITY PROVISION; SEARCH EQUILIBRIUM; INTRADAY LIQUIDITY; MONETARY EXCHANGE; GROSS SETTLEMENT; SYSTEMIC RISK; CENTRAL BANK; MONEY; CREDIT AB This paper surveys the growing literature oil payments. We begin by presenting a simple model that illustrates the essential function of payments and how this may be implemented through various arrangements. We show flow the basic models of payments have been used to address a variety of microeconomic and macroeconomic policy issues. We then discuss the links between payments economics and other fields, including monetary theory, corporate finance, and industrial organization. We conclude with all overview of the empirical literature and directions for future research. (C) 2008 Elsevier Inc. All rights reserved. C1 [Roberds, William] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. [Kahn, Charles M.] Univ Illinois, Dept Finance, Chicago, IL 60680 USA. RP Roberds, W (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. EM c-kahn@uiuc.edu; williami.roberds@atl.frb.org NR 148 TC 16 Z9 17 U1 5 U2 17 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 JAN PY 2009 VL 18 IS 1 BP 1 EP 23 DI 10.1016/j.jfi.2008.09.001 PG 23 WC Business, Finance SC Business & Economics GA 383GD UT WOS:000261661200001 ER PT J AU Adrian, T AF Adrian, Tobias TI Inference, arbitrage, and asset price volatility SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Asset pricing; Learning; Asymmetric information; Limits to arbitrage ID MARKETS; EQUILIBRIUM; MODEL AB Does the presence of arbitrageurs decrease equilibrium asset price volatility? I Study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between "inference" and "arbitrage": they would like to buy assets in response to temporary price declines-the arbitrage effect-but sell when prices decline permanently-the inference effect. In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage effect. From a technical point of view, the paper offers closed form solutions to a dynamic equilibrium model with asymmetric information and non-Gaussian priors. (C) 2008 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org OI Adrian, Tobias/0000-0001-9379-9592 NR 20 TC 1 Z9 2 U1 0 U2 5 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 JAN PY 2009 VL 18 IS 1 BP 49 EP 64 DI 10.1016/j.jfi.2008.06.001 PG 16 WC Business, Finance SC Business & Economics GA 383GD UT WOS:000261661200003 ER PT J AU Black, D Kolesnikova, N Taylor, L AF Black, Dan Kolesnikova, Natalia Taylor, Lowell TI Earnings Functions When Wages and Prices Vary by Location SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID CITIES; RETURNS; QUALITY; LIFE; POPULATION; AMENITIES; MIGRATION; DEMAND AB Economists generally assume, implicitly, that "the return to schooling" is invariant across local labor markets. We demonstrate that this outcome pertains if and only if preferences are homothetic-a special case that seems unlikely. Our theory predicts that returns to education will instead be relatively low in expensive high-amenity locations. Our analysis of U. S. data provides support for this contention; returns to college are especially low in such cities as San Francisco and Seattle. Our findings call into question standard empirical exercises in labor economics that treat the returns to education as a single parameter. C1 [Black, Dan] Univ Chicago, Chicago, IL 60637 USA. [Kolesnikova, Natalia] Fed Reserve Bank St Louis, St Louis, MO USA. [Taylor, Lowell] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. RP Black, D (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 36 TC 20 Z9 21 U1 1 U2 5 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 2009 VL 27 IS 1 BP 21 EP 47 PG 27 WC Economics; Industrial Relations & Labor SC Business & Economics GA 413PP UT WOS:000263805300002 ER PT J AU Barnard, RW Gordy, MB Richards, KC AF Barnard, Roger W. Gordy, Michael B. Richards, Kendall C. TI A note on Turan type and mean inequalities for the Kummer function SO JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS LA English DT Article DE Kummer confluent hypergeometric function; Turan-type inequality; Mean; Generalized hypergeometric function AB Turan-type inequalities for combinations of Kummer functions involving Phi(a +/- v, c +/- v.x) and Phi(a.c +/- v.x) have been recently investigated in [A. Baricz, Functional inequalities involving Bessel and modified Bessel functions of the first kind, Expo. Math. 26 (3) (2008) 279-293: M.E.H. Ismail, A. Laforgia. Monotonicity properties of determinants of special functions, Constr. Approx. 26 (2007) 1-9]. In the current paper, we resolve the corresponding Turin-type and closely related mean inequalities for the additional case involving (P (a v, c, x). The application to modeling credit risk is also summarized. (C) 2008 Elsevier Inc. All rights reserved. C1 [Richards, Kendall C.] Southwestern Univ, Dept Math, Georgetown, TX 78627 USA. [Barnard, Roger W.] Texas Tech Univ, Dept Math, Lubbock, TX 79409 USA. [Gordy, Michael B.] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Richards, KC (reprint author), Southwestern Univ, Dept Math, Georgetown, TX 78627 USA. EM roger.w.barnard@ttu.edu; michael.gordy@frb.gov; richards@southwestern.edu OI Gordy, Michael/0000-0002-5229-4608 NR 15 TC 12 Z9 12 U1 0 U2 0 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-247X J9 J MATH ANAL APPL JI J. Math. Anal. Appl. PD JAN 1 PY 2009 VL 349 IS 1 BP 259 EP 263 DI 10.1016/j.jmaa.2008.08.024 PG 5 WC Mathematics, Applied; Mathematics SC Mathematics GA 362HE UT WOS:000260188000022 ER PT J AU Campbell, JR Hercowitz, Z AF Campbell, Jeffrey R. Hercowitz, Zvi TI Welfare implications of the transition to high household debt SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Financial deregulation; Mortgage debt; Interest rates ID EQUILIBRIUM; INCOME AB Aggressive deregulation of the mortgage market in the early 1980s triggered innovations that greatly reduced indebted households' required home equity, and a borrowing surge followed. This paper uses a calibrated general equilibrium model of lending from the wealthy to the middle class to evaluate the welfare effects of this reform quantitatively. We find that the "indirect" effects of endogenous interest rate and other relative price changes dominate the "direct" effect of relaxing the constraint. The borrowing household's welfare falls even though the reform directly relaxes a constraint on its trade. The saving household's welfare rises substantially. (C) 2008 Elsevier B.V. All rights reserved. C1 [Hercowitz, Zvi] Tel Aviv Univ, Fitan Berglas Sch Econ, IL-69978 Tel Aviv, Israel. [Campbell, Jeffrey R.] Fed Reserve Bank Chicago, Chicago, IL USA. [Campbell, Jeffrey R.] NBER, Cambridge, MA 02138 USA. RP Hercowitz, Z (reprint author), Tel Aviv Univ, Fitan Berglas Sch Econ, IL-69978 Tel Aviv, Israel. EM zvih@post.tau.ac.il NR 13 TC 17 Z9 17 U1 1 U2 13 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 JAN PY 2009 VL 56 IS 1 BP 1 EP 16 DI 10.1016/j.jmoneco.2008.09.002 PG 16 WC Business, Finance; Economics SC Business & Economics GA 421UU UT WOS:000264384600001 ER PT J AU Heathcote, J AF Heathcote, Jonathan TI Discussion of "Heterogeneous life-cycle profiles, income risk and consumption inequality" by Giorgio Primiceri and Thijs van Rens SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 [Heathcote, Jonathan] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. RP Heathcote, J (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. EM jhh4jme@gmail.com NR 11 TC 3 Z9 3 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 JAN PY 2009 VL 56 IS 1 BP 40 EP 42 DI 10.1016/j.jmoneco.2008.10.003 PG 3 WC Business, Finance; Economics SC Business & Economics GA 421UU UT WOS:000264384600004 ER PT J AU Athreya, K Tam, XS Young, ER AF Athreya, Kartik Tam, Xuan S. Young, Eric R. TI Unsecured credit markets are not insurance markets SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Risk sharing; Asymmetric information; Bankruptcy; Default ID LIFE-CYCLE; CONSUMPTION INEQUALITY; LABOR-MARKET; BANKRUPTCY REFORM; UNITED-STATES; DEFAULT; RISK; EARNINGS; CARDS; DEBT AB We study the extent to which unsecured credit markets have altered the transmission of increased income risk to consumption variability over the past several decades. We find that unsecured credit markets pass through increased income risk to consumption, irrespective of bankruptcy policy and the information possessed by lenders. If risk sharing has indeed improved over this period, the reasons do not therefore lie in the unsecured credit market. (C) 2008 Elsevier B.V. All rights reserved. C1 [Tam, Xuan S.; Young, Eric R.] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. [Athreya, Kartik] Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Young, ER (reprint author), Univ Virginia, Dept Econ, POB 400182, Charlottesville, VA 22904 USA. EM kartik.athreya@rich.frb.org; xst2q@virginia.edu; ey2d@virginia.edu OI TAM, Xuan Song/0000-0003-3707-9528 NR 65 TC 10 Z9 10 U1 2 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 JAN PY 2009 VL 56 IS 1 BP 83 EP 103 DI 10.1016/j.jmoneco.2008.08.005 PG 21 WC Business, Finance; Economics SC Business & Economics GA 421UU UT WOS:000264384600009 ER PT J AU Perri, F AF Perri, Fabrizio TI Comment on: "Unsecured credit markets are not insurance markets" by Kartik Athreya, Xuan S. Tam and Eric R. Young SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material DE Income risk; Consumption risk; Consumption inequality; Consumption volatility ID CONSUMPTION INEQUALITY C1 [Perri, Fabrizio] Univ Minnesota, Fed Reserve Bank Minneapolis, NBER, Minneapolis, MN 55455 USA. RP Perri, F (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, NBER, Minneapolis, MN 55455 USA. EM fperri@umn.edu NR 9 TC 0 Z9 0 U1 0 U2 1 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 JAN PY 2009 VL 56 IS 1 BP 104 EP 108 DI 10.1016/j.jmoneco.2008.12.006 PG 5 WC Business, Finance; Economics SC Business & Economics GA 421UU UT WOS:000264384600010 ER PT J AU Comin, D Groshen, EL Rabin, B AF Comin, Diego Groshen, Erica L. Rabin, Bess TI Turbulent firms, turbulent wages? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Transitory wage volatility; Firm volatility; PSID; Turbulence; COMPUSTAT ID UNITED-STATES; TRENDS; INEQUALITY; EMPLOYERS; EARNINGS AB Has greater turbulence among firms fueled rising wage instability in the U.S.? We find strong Support for the hypothesis that rising turbulence in the sales of large publicly-traded U.S. firms over the past three decades has raised their workers' high-frequency wage volatility. Through controls and instrumental variable probes, we rule out straightforward compositional churning as an explanation for the link between firm sales and wage volatility. We also observe that the relationship between sales and wage volatility at the firm level is stronger since 1980, is present only in large companies and is stronger in services than in manufacturing companies. (C) 2008 Published by Elsevier B.V. C1 [Comin, Diego] Harvard Univ, Sch Business, Boston, MA 02163 USA. [Comin, Diego] Natl Bur Econ Res, NBER, Cambridge, MA 02138 USA. [Groshen, Erica L.; Rabin, Bess] Fed Reserve Bank New York, New York, NY 10045 USA. RP Comin, D (reprint author), Harvard Univ, Sch Business, Morgan Hall 269, Boston, MA 02163 USA. EM dcomin@hbs.edu; erica.groshen@ny.frb.org NR 21 TC 12 Z9 12 U1 1 U2 8 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 2009 VL 56 IS 1 BP 109 EP 133 DI 10.1016/j.jmoneco.2008.10.002 PG 25 WC Business, Finance; Economics SC Business & Economics GA 421UU UT WOS:000264384600011 ER PT B AU Zha, T AF Zha, Tao BE Durlauf, SN Blume, LE TI vector autoregressions SO MACROECONOMETRICS AND TIME SERIES ANALYSIS LA English DT Article; Book Chapter ID BUSINESS-CYCLE MODELS; MONETARY-POLICY; TIME-SERIES; LIKELIHOOD; PRIORS; OUTPUT C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Zha, T (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 40 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-23885-5 PY 2009 BP 378 EP 390 PG 13 WC Mathematics, Applied SC Mathematics GA BSQ06 UT WOS:000285333300042 ER PT J AU Velde, FR Weber, WE AF Velde, Francois R. Weber, Warren E. BE Durlauf, SN Blume, LE TI commodity money SO MONETARY ECONOMICS LA English DT Article; Book Chapter ID MODEL C1 [Velde, Francois R.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Weber, Warren E.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Velde, FR (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 12 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-28085-4 PY 2009 BP 27 EP 33 PG 7 WC Business, Finance; Economics SC Business & Economics GA BSQ36 UT WOS:000285383300006 ER PT J AU Rolnick, AJ Weber, WE AF Rolnick, Arthur J. Weber, Warren E. BE Durlauf, SN Blume, LE TI free banking era SO MONETARY ECONOMICS LA English DT Article; Book Chapter C1 [Rolnick, Arthur J.; Weber, Warren E.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Rolnick, AJ (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 8 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-28085-4 PY 2009 BP 88 EP 91 PG 4 WC Business, Finance; Economics SC Business & Economics GA BSQ36 UT WOS:000285383300012 ER PT J AU Leeper, EM Nason, JM AF Leeper, Eric M. Nason, James M. BE Durlauf, SN Blume, LE TI government budget constraint SO MONETARY ECONOMICS LA English DT Article; Book Chapter ID PRICE-LEVEL; FISCAL-POLICIES; MONETARY; AGGREGATE; MODEL; DEBT C1 [Leeper, Eric M.] Indiana Univ, Bloomington, IN 47405 USA. [Nason, James M.] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Leeper, EM (reprint author), Indiana Univ, Bloomington, IN 47405 USA. NR 22 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-28085-4 PY 2009 BP 108 EP 117 PG 10 WC Business, Finance; Economics SC Business & Economics GA BSQ36 UT WOS:000285383300015 ER PT J AU Chatterjee, S Corbae, PD AF Chatterjee, Satyajit Corbae, P. Dean BE Durlauf, SN Blume, LE TI Great Depression, monetary and financial forces in SO MONETARY ECONOMICS LA English DT Article; Book Chapter C1 [Chatterjee, Satyajit] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Chatterjee, S (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 20 TC 0 Z9 0 U1 1 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-28085-4 PY 2009 BP 118 EP 122 PG 5 WC Business, Finance; Economics SC Business & Economics GA BSQ36 UT WOS:000285383300016 ER PT B AU Eggertsson, GB AF Eggertsson, Gauti B. BE Durlauf, SN Blume, LE TI liquidity trap SO MONETARY ECONOMICS LA English DT Article; Book Chapter ID MONETARY-POLICY 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 15 TC 0 Z9 0 U1 0 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-28085-4; 978-0-230-23887-9 PY 2009 BP 137 EP 145 PG 9 WC Business, Finance; Economics SC Business & Economics GA BSQ36 UT WOS:000285383300020 ER PT J AU Kocherlakota, NR AF Kocherlakota, Narayana R. BE Durlauf, SN Blume, LE TI monetary and fiscal policy overview SO MONETARY ECONOMICS LA English DT Article; Book Chapter ID RULE; TAXATION; MONEY; PLANS C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Kocherlakota, NR (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 22 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-28085-4 PY 2009 BP 164 EP 174 PG 11 WC Business, Finance; Economics SC Business & Economics GA BSQ36 UT WOS:000285383300023 ER PT B AU Erceg, CJ AF Erceg, Christopher J. BE Durlauf, SN Blume, LE TI monetary business cycle models (sticky prices and wages) SO MONETARY ECONOMICS LA English DT Article; Book Chapter ID POLICY; MONEY C1 Fed Reserve Board, Washington, DC USA. RP Erceg, CJ (reprint author), Fed Reserve Board, Washington, DC USA. NR 16 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-28085-4; 978-0-230-23887-9 PY 2009 BP 175 EP 180 PG 6 WC Business, Finance; Economics SC Business & Economics GA BSQ36 UT WOS:000285383300024 ER PT J AU Roberds, W AF Roberds, William BE Durlauf, SN Blume, LE TI payment systems SO MONETARY ECONOMICS LA English DT Article; Book Chapter C1 Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Roberds, W (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. NR 18 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-28085-4 PY 2009 BP 291 EP 298 PG 8 WC Business, Finance; Economics SC Business & Economics GA BSQ36 UT WOS:000285383300036 ER PT B AU Orphanides, A AF Orphanides, Athanasios BE Durlauf, SN Blume, LE TI Taylor rules SO MONETARY ECONOMICS LA English DT Article; Book Chapter ID MONETARY-POLICY RULES C1 Fed Reserve Board, Washington, DC 20551 USA. RP Orphanides, A (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 20 TC 0 Z9 0 U1 0 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-28085-4; 978-0-230-23887-9 PY 2009 BP 362 EP 369 PG 8 WC Business, Finance; Economics SC Business & Economics GA BSQ36 UT WOS:000285383300041 ER PT S AU Cull, R Demirguc-Kunt, A Morduch, J AF Cull, Robert Demirguec-Kunt, Asli Morduch, Jonathan BE Watkins, TA Hicks, K TI MICROFINANCE MEETS THE MARKET SO MOVING BEYOND STORYTELLING: EMERGING RESEARCH IN MICROFINANCE SE Contemporary Studies in Economic and Financial Analysis LA English DT Article; Book Chapter ID OUTREACH C1 [Cull, Robert] World Bank, Dev Res Grp, Washington, DC USA. [Demirguec-Kunt, Asli] World Bank, Dev Econ Res Grp, Washington, DC USA. [Cull, Robert] US Dept Commerce, Washington, DC 20230 USA. [Demirguec-Kunt, Asli] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Morduch, Jonathan] NYU, Robert F Wagner Grad Sch Publ Serv, New York, NY 10003 USA. RP Cull, R (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. NR 33 TC 7 Z9 8 U1 0 U2 1 PU EMERALD GROUP PUBLISHING LIMITED PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 1569-3759 BN 978-1-84950-681-6 J9 CONTEMP STUD ECON FI PY 2009 VL 92 BP 1 EP 30 DI 10.1108/S1569-3759(2009)0000092004 PG 30 WC Economics; Public Administration; Social Issues SC Business & Economics; Public Administration; Social Issues GA BOE98 UT WOS:000276405700002 ER PT J AU Donahoo, K AF Donahoo, Kathleene TI Somebody's Home SO NORTH AMERICAN REVIEW LA English DT Fiction, Creative Prose C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Donahoo, K (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU UNIV NORTHERN IOWA PI CEDAR FALLS PA 1222 W 27TH ST, CEDAR FALLS, IA 50614 USA SN 0029-2397 J9 N AM REV JI North Am. Rev. PD JAN-FEB PY 2009 VL 294 IS 1 BP 31 EP 36 PG 6 WC Literary Reviews SC Literature GA 494AY UT WOS:000269782700013 ER PT J AU Quinn, S Roberds, W AF Quinn, Stephen Roberds, William BA Atack, J Neal, L BF Atack, J Neal, L TI An economic explanation of the early Bank of Amsterdam, debasement, bills of exchange and the emergence of the first central bank SO ORIGINS AND DEVELOPMENT OF FINANCIAL MARKETS AND INSTITUTIONS: FROM THE SEVENTEENTH CENTURY TO THE PRESENT LA English DT Article; Book Chapter ID MONEY; GOLD C1 [Quinn, Stephen] Texas Christian Univ, Ft Worth, TX 76129 USA. [Roberds, William] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Quinn, S (reprint author), Texas Christian Univ, Ft Worth, TX 76129 USA. NR 30 TC 9 Z9 9 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-89517-0 PY 2009 BP 32 EP 70 DI 10.1017/CBO9780511757419.003 D2 10.1017/CBO9780511757419 PG 39 WC History SC History GA BBT53 UT WOS:000308104800003 ER PT J AU Velde, FR AF Velde, Francois R. BA Atack, J Neal, L BF Atack, J Neal, L TI Was John Law's System a bubble? The Mississippi Bubble revisited SO ORIGINS AND DEVELOPMENT OF FINANCIAL MARKETS AND INSTITUTIONS: FROM THE SEVENTEENTH CENTURY TO THE PRESENT LA English DT Article; Book Chapter C1 [Velde, Francois R.] Fed Reserve Bank Chicago, Chicago, IL USA. [Velde, Francois R.] Johns Hopkins Univ, Baltimore, MD 21218 USA. RP Velde, FR (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 22 TC 1 Z9 1 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-89517-0 PY 2009 BP 99 EP 120 DI 10.1017/CBO9780511757419.005 D2 10.1017/CBO9780511757419 PG 22 WC History SC History GA BBT53 UT WOS:000308104800005 ER PT J AU Shea, GS AF Shea, Gary S. BA Atack, J Neal, L BF Atack, J Neal, L TI Sir George Caswall vs. the Duke of Portland: Financial contracts and litigation in the wake of the South Sea Bubble SO ORIGINS AND DEVELOPMENT OF FINANCIAL MARKETS AND INSTITUTIONS: FROM THE SEVENTEENTH CENTURY TO THE PRESENT LA English DT Article; Book Chapter C1 [Shea, Gary S.] Fed Reserve Syst, Washington, DC USA. [Shea, Gary S.] Penn State Univ, University Pk, PA 16802 USA. [Shea, Gary S.] Univ Exeter, Exeter EX4 4QJ, Devon, England. [Shea, Gary S.] Univ St Andrews, St Andrews KY16 9AJ, Fife, Scotland. RP Shea, GS (reprint author), Fed Reserve Syst, Washington, DC USA. NR 21 TC 1 Z9 1 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-89517-0 PY 2009 BP 121 EP 160 DI 10.1017/CBO9780511757419.006 D2 10.1017/CBO9780511757419 PG 40 WC History SC History GA BBT53 UT WOS:000308104800006 ER PT J AU Sullivan, RJ AF Sullivan, Richard J. BA Atack, J Neal, L BF Atack, J Neal, L TI Regulatory changes and the development of the US banking market, 1870-1914: A study of profit rates and risk in national banks SO ORIGINS AND DEVELOPMENT OF FINANCIAL MARKETS AND INSTITUTIONS: FROM THE SEVENTEENTH CENTURY TO THE PRESENT LA English DT Article; Book Chapter ID TIME-SERIES; CAPITAL-MARKETS; UNITED-STATES; INTEGRATION; ROOTS; TESTS C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Sullivan, RJ (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. NR 40 TC 2 Z9 2 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-89517-0 PY 2009 BP 262 EP 293 DI 10.1017/CBO9780511757419.010 D2 10.1017/CBO9780511757419 PG 32 WC History SC History GA BBT53 UT WOS:000308104800010 ER PT J AU Bordo, MD Wheelock, DC AF Bordo, Michael D. Wheelock, David C. BA Atack, J Neal, L BF Atack, J Neal, L TI When do stock market booms occur? The macroeconomic and policy environments of twentieth century booms SO ORIGINS AND DEVELOPMENT OF FINANCIAL MARKETS AND INSTITUTIONS: FROM THE SEVENTEENTH CENTURY TO THE PRESENT LA English DT Article; Book Chapter ID MONETARY-POLICY; BUBBLE C1 [Bordo, Michael D.] Rutgers State Univ, Ctr Monetary & Financial Hist, Piscataway, NJ 08855 USA. [Bordo, Michael D.] Univ Cambridge, Cambridge CB2 1TN, England. [Bordo, Michael D.] Univ S Carolina, Columbia, SC 29208 USA. [Bordo, Michael D.] Carleton Univ, Ottawa, ON K1S 5B6, Canada. [Bordo, Michael D.] NBER, Cambridge, MA 02138 USA. [Wheelock, David C.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Bordo, MD (reprint author), Rutgers State Univ, Ctr Monetary & Financial Hist, Piscataway, NJ 08855 USA. NR 35 TC 2 Z9 2 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-89517-0 PY 2009 BP 416 EP 449 D2 10.1017/CBO9780511757419 PG 34 WC History SC History GA BBT53 UT WOS:000308104800015 ER PT B AU Dunne, T Jensen, JB Roberts, MJ AF Dunne, Timothy Jensen, J. Bradford Roberts, Mark J. BE Dunne, T Jensen, JB Roberts, MJ TI Producer Dynamics Introduction SO PRODUCER DYNAMICS: NEW EVIDENCE FROM MICRO DATA SE STUDIES IN INCOME AND WEALTH LA English DT Proceedings Paper CT Conference on Research in Income and Wealth - Producer Dynamics: New Evidence from Micro Data CY APR 08-AUG 09, 2005 CL Bethesda, MD SP Bur Econ Anal, Bur Labor Stat, Census Bur, Fed Researve Board, Stat Income, IRS, Stat Canada ID MANUFACTURING PLANTS; PRODUCTIVITY; ENTRY C1 [Dunne, Timothy] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. NR 11 TC 0 Z9 0 U1 1 U2 2 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA BN 978-0-226-17256-9 J9 STUD INCOME PY 2009 VL 68 BP 1 EP 12 PG 12 WC Business; Economics SC Business & Economics GA BJA29 UT WOS:000264130300001 ER PT B AU Faberman, RJ AF Faberman, R. Jason BE Dunne, T Jensen, JB Roberts, MJ TI Studying the Labor Market with the Job Openings and Labor Turnover Survey SO PRODUCER DYNAMICS: NEW EVIDENCE FROM MICRO DATA SE STUDIES IN INCOME AND WEALTH LA English DT Proceedings Paper CT Conference on Research in Income and Wealth - Producer Dynamics: New Evidence from Micro Data CY APR 08-AUG 09, 2005 CL Bethesda, MD SP Bur Econ Anal, Bur Labor Stat, Census Bur, Fed Researve Board, Stat Income, IRS, Stat Canada ID CYCLICAL BEHAVIOR; UNEMPLOYMENT; DESTRUCTION; CREATION; FLOWS; VACANCIES; DYNAMICS C1 [Faberman, R. Jason] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 34 TC 1 Z9 1 U1 1 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA BN 978-0-226-17256-9 J9 STUD INCOME PY 2009 VL 68 BP 83 EP 108 PG 26 WC Business; Economics SC Business & Economics GA BJA29 UT WOS:000264130300003 ER PT B AU Dunne, T Klimek, SD Roberts, MJ Xu, DIY AF Dunne, Timothy Klimek, Shawn D. Roberts, Mark J. Xu, Dan-Iel Yi BE Dunne, T Jensen, JB Roberts, MJ TI The Dynamics of Market Structure and Market Size in Two Health Services Industries SO PRODUCER DYNAMICS: NEW EVIDENCE FROM MICRO DATA SE STUDIES IN INCOME AND WEALTH LA English DT Proceedings Paper CT Conference on Research in Income and Wealth - Producer Dynamics: New Evidence from Micro Data CY APR 08-AUG 09, 2005 CL Bethesda, MD SP Bur Econ Anal, Bur Labor Stat, Census Bur, Fed Researve Board, Stat Income, IRS, Stat Canada ID ENTRY; GAMES; MODEL C1 [Dunne, Timothy] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. NR 24 TC 2 Z9 2 U1 0 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA BN 978-0-226-17256-9 J9 STUD INCOME PY 2009 VL 68 BP 303 EP 327 PG 25 WC Business; Economics SC Business & Economics GA BJA29 UT WOS:000264130300009 ER PT B AU Eisenbeis, RA AF Eisenbeis, Robert A. BE Fuchita, Y Herring, RJ Litan, RE TI Financial Turmoil and Central Bank Responses in the United States, United Kingdom, European Union, and Japan SO PRUDENT LENDING RESTORED: SECURITIZATION AFTER THE MORTGAGE MELTDOWN LA English DT Proceedings Paper CT Brookings-Tokyo Club-Wharton Conference on Prudent Lending Restored - Securitization After the 2007 Mortgage Securities Meltdown CY OCT 16, 2008 CL Washington, DC SP Brookings Inst, Tokyo Club, Wharton Sch C1 [Eisenbeis, Robert A.] Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 41 TC 0 Z9 0 U1 0 U2 0 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA BN 978-0-8157-0336-5 PY 2009 BP 11 EP 77 PG 67 WC Business, Finance SC Business & Economics GA BZZ84 UT WOS:000303435600002 ER PT J AU Lopez, JA AF Lopez, Jose A. TI Empirical analysis of the average asset correlation for real estate investment trusts SO QUANTITATIVE FINANCE LA English DT Article DE Government policy and regulations; Asset pricing; Applications to credit risk; Applied finance; Credit models; Credit risk ID PERFORMANCE AB The credit risk capital requirements within the current Basel II Accord are based on the asymptotic single risk factor (ASRF) approach. The asset correlation parameter, defined as an obligor's sensitivity to the ASRF, is a key driver within this approach, and its average values for different types of obligors are to be set by regulators. Specifically, for commercial real estate (CRE) lending, the average asset correlations are to be determined using formulas for either income-producing real estate or high-volatility commercial real estate. In this paper, the value of this parameter was empirically examined using portfolios of U. S. publicly-traded real estate investment trusts (REITs) as a proxy for CRE lending more generally. CRE lending as a whole was found to have the same calibrated average asset correlation as corporate lending, providing support for the recent U. S. regulatory decision to treat these two lending categories similarly for regulatory capital purposes. However, the calibrated values for CRE categories, such as multi-family residential or office lending, varied in important ways. The comparison of calibrated and regulatory values of the average asset correlations for these categories suggests that the current regulatory formulas generate parameter values that may be too high in most cases. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. RP Lopez, JA (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA USA. EM jose.a.lopez@sf.frb.org NR 22 TC 4 Z9 4 U1 1 U2 15 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1469-7688 J9 QUANT FINANC JI Quant. Financ. PY 2009 VL 9 IS 2 BP 217 EP 229 DI 10.1080/14697680802184141 PG 13 WC Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 436JC UT WOS:000265409000010 ER PT J AU Simon, CJ Tamura, R AF Simon, Curtis J. Tamura, Robert TI Do higher rents discourage fertility? Evidence from US cities, 1940-2000 SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Fertility; Housing prices; Living arrangements ID HOUSEHOLD FORMATION; HOUSING PRICES; QUALITY; CITY; MARKETS; WAGES; LIFE AB This paper documents the existence of a negative cross-sectional correlation between the price of living space as measured by rent per room and fertility using U.S. Census data over the period 1940-2000. the effect strengthening from 1940 to 1970 and weakening thereafter. The negative correlation does not merely reflect the tendency of larger families to locate within less-expensive areas of a given metropolitan area. Our study focuses on younger households, but analysis of completed fertility among older households reinforces the findings for younger households. Estimates for 36 CMSAs using the American Housing Survey, which permit us to construct persquare-foot measures of the price of living space. indicate that our findings are not merely an artifact of larger families occupying houses with more rooms. Durbin-Wu-Hausman tests reveal little evidence of endogeneity bias. (C) 2008 Elsevier B.V. All rights reserved. C1 [Simon, Curtis J.; Tamura, Robert] Clemson Univ, Dept Econ, Clemson, SC 29634 USA. [Tamura, Robert] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Simon, CJ (reprint author), Clemson Univ, Dept Econ, Clemson, SC 29634 USA. EM cjsmn@clemson.edu; rtamura@clemson.edu NR 39 TC 17 Z9 17 U1 0 U2 6 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 JAN PY 2009 VL 39 IS 1 BP 33 EP 42 DI 10.1016/j.regsciurbeco.2008.08.002 PG 10 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 395RG UT WOS:000262540600004 ER PT J AU Prescott, EC Rogerson, R Wallenius, J AF Prescott, Edward C. Rogerson, Richard Wallenius, Johanna TI Lifetime aggregate labor supply with endogenous workweek length SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Lifetime aggregate labor supply; Workweek length ID EMPLOYMENT; WAGES AB This paper studies lifetime aggregate labor supply with endogenous workweek length. Such a theory is needed to evaluate various government policies. A key feature of our model is a nonlinear mapping from hours worked to labor services. This gives rise to all endogenous workweek that can differ across occupations. The theory determines what fraction of the lifetime an individual works, not when. We find that constraints oil workweek length have different consequences for total hours than for total labor services. Also, we find that policies designed to increase the length of the working life may not increase aggregate lifetime labor supply. (C) 2008 Elsevier Inc. All rights reserved. C1 [Prescott, Edward C.; Rogerson, Richard; Wallenius, Johanna] Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. [Prescott, Edward C.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN USA. RP Prescott, EC (reprint author), Arizona State Univ, Dept Econ, PO 873806, Tempe, AZ 85287 USA. EM edward.prescott@asu.edu NR 17 TC 27 Z9 27 U1 1 U2 7 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 2009 VL 12 IS 1 BP 23 EP 36 DI 10.1016/j.red.2008.07.005 PG 14 WC Economics SC Business & Economics GA 392TC UT WOS:000262324100002 ER PT J AU Copeland, A Monnet, C AF Copeland, Adam Monnet, Cyril TI The Welfare Effects of Incentive Schemes SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID PAYROLL RECORDS; PERFORMANCE PAY; PIECE RATES; FIXED WAGES; PRODUCTIVITY; MODELS; PROVISION; TEAMS; FIRM AB This paper computes the change in welfare associated with the introduction of incentives. We calculate by how much the welfare gains of increased output due to incentives outweigh workers' disutility from increased effort. We accomplish this by studying the use of incentives by a firm in the check-clearing industry. Using this firm's production records, we model and estimate the worker's dynamic effort decision problem. We find that the firm's incentive scheme has a large effect on productivity, raising it by 12% over the sample period for the average worker. Using our parameter estimates, we show that the cost of increased effort due to incentives is equal to the dollar value of a 5% rise in productivity. Welfare is measured as the output produced minus the cost of effort; hence, the net increase in the average worker's welfare due to the introduction of the firm's bonus plan is 7%. Under a first-best scheme, we find that the net increase in welfare is 9%. C1 [Monnet, Cyril] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 27 TC 5 Z9 5 U1 1 U2 11 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JAN PY 2009 VL 76 IS 1 BP 93 EP 113 DI 10.1111/j.1467-937X.2008.00513.x PG 21 WC Economics SC Business & Economics GA 388YH UT WOS:000262055800004 ER PT J AU Arkolakis, C Ramanarayanan, A AF Arkolakis, Costas Ramanarayanan, Ananth TI Vertical Specialization and International Business Cycle Synchronization SO SCANDINAVIAN JOURNAL OF ECONOMICS LA English DT Article DE Trade in intermediate goods; total factor productivity; F41; E32 ID INTERMEDIATE INPUTS; WORLD-TRADE; GROWTH; GLOBALIZATION; PRODUCTIVITY; COMOVEMENT; DYNAMICS; EXPLAIN; TERMS AB We explore the impact of vertical specialization-trade in goods across multiple stages of production-on the relationship between trade and business cycle synchronization across countries. We develop an international business cycle model in which the degree of vertical specialization varies with trade barriers. With perfect competition, we show analytically that fluctuations in measured total factor productivity are not linked across countries through trade. In numerical simulations, we find little dependence of business cycle synchronization on trade intensity. An extension of the model to allow for imperfect competition has the potential to resolve these shortcomings. C1 [Arkolakis, Costas] Yale Univ, New Haven, CT 06520 USA. [Ramanarayanan, Ananth] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Arkolakis, C (reprint author), Yale Univ, New Haven, CT 06520 USA. EM costas.arkolakis@yale.edu; ananth.ramanarayanan@dal.frb.org NR 26 TC 15 Z9 15 U1 5 U2 17 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0347-0520 J9 SCAND J ECON JI Scand. J. Econ. PY 2009 VL 111 IS 4 BP 655 EP 680 DI 10.1111/j.1467-9442.2009.01580.x PG 26 WC Economics SC Business & Economics GA 530KM UT WOS:000272589900003 ER PT J AU Brambilla, I Hale, G Long, C AF Brambilla, Irene Hale, Galina Long, Cheryl TI Foreign Direct Investment and the Incentives to Innovate and Imitate SO SCANDINAVIAN JOURNAL OF ECONOMICS LA English DT Article DE FDI; innovation; imitation; spillovers; China; F12; F23; F14 ID INTELLECTUAL PROPERTY-RIGHTS; PRODUCTIVITY GROWTH; DOMESTIC FIRMS; TRADE; ENTERPRISES; TECHNOLOGY; SPILLOVERS; LINKAGES; CYCLES AB We propose a new channel of FDI spillovers on domestic firms, which operates through imitation of original products. Domestic heterogeneous firms may not introduce any new products, introduce a new product line (innovate), or develop a variety that is a close substitute to an existing product line (imitate). The presence of foreign firms generates incentives for imitation because they introduce original products that are vertically differentiated from domestic products. Using firm-level panel data for China, we find that increased FDI presence in a given industry leads to more imitation, but not necessarily more innovation, by domestic firms. C1 [Brambilla, Irene] Univ de San Andres, Buenos Aires, DF, Argentina. [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Long, Cheryl] Colgate Univ, Hamilton, NY 13346 USA. RP Brambilla, I (reprint author), Univ de San Andres, B1644BID, Buenos Aires, DF, Argentina. EM ibrambilla@udesa.edu.ar; galina.b.hale@sf.frb.org; cxlong@mail.colgate.edu OI Hale, Galina/0000-0002-5604-9730 NR 35 TC 7 Z9 7 U1 1 U2 15 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0347-0520 J9 SCAND J ECON JI Scand. J. Econ. PY 2009 VL 111 IS 4 BP 835 EP 861 DI 10.1111/j.1467-9442.2009.01589.x PG 27 WC Economics SC Business & Economics GA 530KM UT WOS:000272589900010 ER PT B AU Guidolin, M AF Guidolin, Massimo BE Gregoriou, GN TI Detecting and Exploiting Regime Switching ARCH Dynamics in US Stock and Bond Returns SO STOCK MARKET VOLATILITY SE Chapman & Hall-CRC Finance Series LA English DT Article; Book Chapter ID ASSET ALLOCATION; BUSINESS-CYCLE; TERM STRUCTURE; MODEL; HETEROSKEDASTICITY; VOLATILITY; VARIANCE; MARKET; RISK C1 [Guidolin, Massimo] US Fed Reserve Syst St Louis FED, St Louis, MO USA. NR 19 TC 1 Z9 1 U1 0 U2 0 PU CHAPMAN & HALL/CRC PRESS PI BOCA RATON PA 6000 BROKEN SOUND PKWY, NW, STE 300, BOCA RATON, FL 33487 USA BN 978-1-4200-9954-6 J9 CH CRC FINANC SER PY 2009 BP 91 EP 133 D2 10.1201/9781420099553 PG 43 WC Business, Finance SC Business & Economics GA BKA14 UT WOS:000267575100005 ER PT B AU Clement, D AF Clement, Douglas BE Warner, LS Gipp, GE TI GROWTH BY DEGREES SO TRADITION AND CULTURE IN THE MILLENNIUM: TRIBAL COLLEGES AND UNIVERSITIES SE Educational Policy in the 21st Century Opportunities Challenges and Solutions LA English DT Article; Book Chapter C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Clement, D (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. EM doug.clement@mpls.frs.org NR 0 TC 0 Z9 0 U1 0 U2 0 PU INFORMATION AGE PUBLISHING-IAP PI CHARLOTTE PA PO BOX 79049, CHARLOTTE, NC 28271-7047 USA BN 978-1-60752-000-9 J9 EDUC POLICY 21ST CEN PY 2009 BP 49 EP 60 PG 12 WC Education & Educational Research SC Education & Educational Research GA BJY16 UT WOS:000267399200005 ER PT J AU Crowley, MA Palmeter, D AF Crowley, Meredith A. Palmeter, David TI Japan - Countervailing Duties on Dynamic Random Access Memories from Korea (DS 336 and Corr.1, adopted 17 December 2007) SO WORLD TRADE REVIEW LA English DT Article ID DRAMS; US AB This article analyzes the decision of the WTO's Appellate Body in the dispute between Japan and Korea over Japan's imposition of countervailing duties on DRAMs imported from Korea. The legal analysis comments on the analysis of evidence, the lack of remand authority in the WTO system, and the meaning of a 'direct transfer of funds'. The economic analysis discusses several issues related to determining the magnitude of the benefit to a firm of a financial bailout and the appropriate duration of a countervailing duty to offset the injury caused by a non-recurrent subsidy. We offer legal and economic criticisms of the Appellate Body's conclusion regarding the relationship between subsidies and injury to the domestic import-competing industry. We conclude that the Appellate Body's decision weakens the requirement of a causal link between subsidies and injury and, consequently, may open the door to protectionist abuse of the Subsidies and Countervailing Measures Agreement. C1 [Crowley, Meredith A.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Palmeter, David] Sidley Austin LLP, Washington, DC USA. RP Crowley, MA (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM Crowley.meredith@gmail.com NR 8 TC 2 Z9 2 U1 0 U2 2 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 1474-7456 J9 WORLD TRADE REV JI World Trade Rev. PD JAN PY 2009 VL 8 IS 1 BP 259 EP 272 DI 10.1017/S1474745608004175 PG 14 WC Economics; International Relations; Law SC Business & Economics; International Relations; Government & Law GA 426GN UT WOS:000264696100015 ER PT J AU Cohen-Cole, E Fletcher, JM AF Cohen-Cole, Ethan Fletcher, Jason M. TI Detecting implausible social network effects in acne, height, and headaches: longitudinal analysis SO BRITISH MEDICAL JOURNAL LA English DT Article ID OBESITY AB Objective To investigate whether "network effects" can be detected for health outcomes that are unlikely to be subject to network phenomena. Design Statistical analysis common in network studies, such as logistic regression analysis, controlled for own and friend's lagged health status. Analyses controlled for environmental confounders. Setting Subsamples of the National Longitudinal Study of Adolescent Health ( Add Health). Participants 4300 to 5400 male and female adolescents who nominated a friend in the dataset and who were both longitudinally surveyed. Measurements Health outcomes, including headache severity, acne severity, and height self reported by respondents in 1994- 5, 1995- 6, and 2000-1. Results Significant network effects were observed in the acquisition of acne, headaches, and height. A friend's acne problems increased an individual's odds of acne problems ( odds ratio 1.62, 95% confidence interval 0.91 to 2.89). The likelihood that an individual had headaches also increased with the presence of a friend with headaches ( 1.47, 0.93 to 2.33); and an individual's height increased by 20% of his or her friend's height ( 0.18, 0.15 to 0.26). Each of these results was estimated by using standard methods found in several publications. After adjustment for environmental confounders, however, the results become uniformly smaller and insignificant. Conclusions Researchers should be cautious in attributing correlations in health outcomes of close friends to social network effects, especially when environmental confounders are not adequately controlled for in the analysis. C1 [Fletcher, Jason M.] Yale Univ, Sch Publ Hlth, New Haven, CT 06510 USA. [Cohen-Cole, Ethan] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Fletcher, JM (reprint author), Yale Univ, Sch Publ Hlth, 60 College St, New Haven, CT 06510 USA. EM jason.fletcher@yale.edu NR 14 TC 59 Z9 59 U1 0 U2 14 PU B M J PUBLISHING GROUP PI LONDON PA BRITISH MED ASSOC HOUSE, TAVISTOCK SQUARE, LONDON WC1H 9JR, ENGLAND SN 0959-535X J9 BRIT MED J JI Br. Med. J. PD DEC 4 PY 2008 VL 337 AR a2533 DI 10.1136/bmj.a2533 PG 5 WC Medicine, General & Internal SC General & Internal Medicine GA 386NX UT WOS:000261891000002 PM 19056789 ER PT J AU Caballero, RJ Hoshi, T Kashyap, AK AF Caballero, Ricardo J. Hoshi, Takeo Kashyap, Anil K. TI Zombie Lending and Depressed Restructuring in Japan SO AMERICAN ECONOMIC REVIEW LA English DT Article ID RECESSIONS; STAGNATION; SELECTION; GROWTH AB Large Japanese banks often engaged in sham loan restructurings that kept credit flowing to otherwise insolvent borrowers (which we call zombies). We examine the implications of suppressing the normal competitive process whereby the zombies would shed workers and lose market share. The congestion created by the zombies reduces the profits for healthy firms, which discourages their entry and investment. We confirm that zombie-dominated industries exhibit more depressed job creation and destruction, and lower productivity. We present firm-level regressions showing that the increase in zombies depressed the investment and employment growth of non-zombies and widened the productivity gap between zombies and non-zombies. C1 [Caballero, Ricardo J.] MIT, Dept Econ, Cambridge, MA 02139 USA. [Caballero, Ricardo J.; Hoshi, Takeo; Kashyap, Anil K.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Hoshi, Takeo] Univ Calif San Diego, Sch Int Relat & Pacific Studies, La Jolla, CA 92093 USA. [Hoshi, Takeo] Tokyo Ctr Econ Res, Tokyo, Japan. [Kashyap, Anil K.] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. [Kashyap, Anil K.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Caballero, RJ (reprint author), MIT, Dept Econ, 50 Mem Dr, Cambridge, MA 02139 USA. EM cabal@mit.edu; thoshi@ucsd.edu; anil.kashyap@chicagogsb.edu NR 35 TC 137 Z9 139 U1 9 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 2008 VL 98 IS 5 BP 1943 EP 1977 DI 10.1257/aer.98.5.1943 PG 35 WC Economics SC Business & Economics GA 388NF UT WOS:000262025800009 ER PT J AU Cogley, T Sbordone, AM AF Cogley, Timothy Sbordone, Argia M. TI Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve SO AMERICAN ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; MODEL UNCERTAINTY; STAGGERED PRICES; STICKY PRICES; US INFLATION; OPTIMIZATION; BELIEFS; UTILITY; SHOCKS AB Purely forward-looking versions of the New Keynesian Phillips curve (NKPC) generate too little inflation persistence. Some authors add ad hoc backward-looking terms to address this shortcoming. We hypothesize that inflation persistence results mainly from variation in the long-run trend component Of inflation, which we attribute to shifts in monetary policy. We derive a version of the NKPC that incorporates a time-varying inflation trend and examine whether it explains the dynamics of inflation. When drift in trend inflation is taken into account, a purely forward-looking version of the model fits the data well, and there is no need,for backward-looking components. C1 [Cogley, Timothy] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. [Sbordone, Argia M.] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Cogley, T (reprint author), Univ Calif Davis, Dept Econ, 1 Shields Ave, Davis, CA 95616 USA. EM twcogley@ucdavis.edu; argia.sbordone@ny.frb.org NR 49 TC 116 Z9 117 U1 5 U2 19 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 DEC PY 2008 VL 98 IS 5 BP 2101 EP 2126 DI 10.1257/aer.98.5.2101 PG 26 WC Economics SC Business & Economics GA 388NF UT WOS:000262025800014 ER PT J AU Beechey, M Osterholm, P AF Beechey, Meredith Osterholm, Par TI A Bayesian Vector Autoregressive Model with Informative Steady-state Priors for the Australian Economy SO ECONOMIC RECORD LA English DT Article DE C32; E37 ID UNEMPLOYMENT AB This article applies a Bayesian vector autoregressive model with informative steady-state priors to a parsimonious model of the Australian economy. The model captures economic linkages among key Australian and US variables and is estimated on quarterly data from 1985 to 2006. An out-of-sample forecast exercise shows that the model with informative steady-state priors generally outperforms a traditional Bayesian vector autoregressive model as well as naive forecasts. The model can also be used to generate density forecasts and analyse alternative scenarios, which we illustrate with the effect on the Australian economy of a substantial real depreciation of the US dollar. C1 [Osterholm, Par] Uppsala Univ, Dept Econ, S-75120 Uppsala, Sweden. [Osterholm, Par] Uppsala Univ, Int Monetary Fund, S-75120 Uppsala, Sweden. [Beechey, Meredith] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Osterholm, P (reprint author), Uppsala Univ, Dept Econ, Box 513, S-75120 Uppsala, Sweden. EM par.osterholm@nek.uu.se NR 44 TC 3 Z9 3 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0249 EI 1475-4932 J9 ECON REC JI Econ. Rec. PD DEC PY 2008 VL 84 IS 267 BP 449 EP 465 DI 10.1111/j.1475-4932.2008.00510.x PG 17 WC Economics SC Business & Economics GA 379KX UT WOS:000261396200004 ER PT J AU Quintin, E AF Quintin, Erwan TI Contract enforcement and the size of the informal economy SO ECONOMIC THEORY LA English DT Article DE limited enforcement; informal sector; economic development ID SECTOR; MODEL; CONSEQUENCES; COMMITMENT; GROWTH; DEBT AB This paper describes a model where the size of the informal sector decreases as the degree to which financing contracts can be enforced in the formal sector rises. Agents who choose to operate in the informal sector can evade taxes, but they have no access to official means of contract enforcement. Numerical simulations of the model suggest that lax tax enforcement alone does not suffice to generate a large informal sector. Contractual imperfections, on the other hand, can generate a large informal sector and account for several distinguishing features of the organization of production in developing economies. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Quintin, E (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM erwan.quintin@dal.frb.org NR 34 TC 20 Z9 20 U1 0 U2 7 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD DEC PY 2008 VL 37 IS 3 BP 395 EP 416 DI 10.1007/s00199-007-0295-7 PG 22 WC Economics SC Business & Economics GA 346KY UT WOS:000259068600002 ER PT J AU Amromin, G Harrison, P Sharpe, S AF Amromin, Gene Harrison, Paul Sharpe, Steven TI How Did the 2003 Dividend Tax Cut Affect Stock Prices ? SO FINANCIAL MANAGEMENT LA English DT Article ID PAYOUT POLICY; ACT; VALUATION AB We test the hypothesis that the 2003 dividend tax cut boosted US stock prices and thereby lowered the cost of equity capital. Using an event-study methodology, we attempt to identify an aggregate stock market effect by comparing the behavior of US common stock prices with that of foreign equities and the equities of real estate investment trusts (REITs). We also examine the relative cross-sectional response of prices of high- and low-dividend-paying stocks. We do not find any imprint of the dividend tax cut news on the value of the aggregate US stock market. On the other hand, high-dividend stocks outperformed low-dividend stocks by a few percentage points over the event windows, suggesting that the tax cut may have induced asset reallocation within equity portfolios. Finally, the positive abnormal return on nondividend paying US stocks in 2003 does not appear to be tied to tax cut news. C1 [Amromin, Gene] Fed Reserve Bank Chicago, Chicago, IL USA. [Harrison, Paul] Barclays Global Investors, San Francisco, CA USA. [Sharpe, Steven] Fed Reserve Board, Washington, DC USA. RP Amromin, G (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. RI Amromin, Gene/B-7425-2011 NR 31 TC 8 Z9 8 U1 0 U2 7 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0046-3892 J9 FINANC MANAGE JI Financ. Manage. PD WIN PY 2008 VL 37 IS 4 BP 625 EP 646 DI 10.1111/j.1755-053X.2008.00028.x PG 22 WC Business, Finance SC Business & Economics GA 379KY UT WOS:000261396300002 ER PT J AU Guo, H Neely, CJ Higbee, J AF Guo, Hui Neely, Christopher J. Higbee, Jason TI Foreign Exchange Volatility Is Priced in Equities SO FINANCIAL MANAGEMENT LA English DT Article ID EXPECTED STOCK RETURNS; CURRENCY OPTIONS; STOCHASTIC VOLATILITY; MARKET EFFICIENCY; RISK PREMIUM; MODEL; TIME; PERFORMANCE; CONSUMPTION; VALUATION AB This paper finds that standard asset pricing models fail to explain the significantly negative delta hedging errors that occur as a result of the purchase of options on foreign exchange futures. Foreign exchange volatility does influence stock returns, however. The volatility of the JPY/USD exchange rate predicts the time series of stock returns and is priced in the cross-section of stock returns. C1 [Guo, Hui] Univ Cincinnati, Cincinnati, OH 45221 USA. [Neely, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO USA. [Higbee, Jason] Social Capital Network, Nairobi, Kenya. RP Guo, H (reprint author), Univ Cincinnati, Cincinnati, OH 45221 USA. RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 56 TC 2 Z9 2 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0046-3892 EI 1755-053X J9 FINANC MANAGE JI Financ. Manage. PD WIN PY 2008 VL 37 IS 4 BP 769 EP 790 DI 10.1111/j.1755-053X.2008.00034.x PG 22 WC Business, Finance SC Business & Economics GA 379KY UT WOS:000261396300008 ER PT J AU Piger, JM Rasche, RH AF Piger, Jeremy M. Rasche, Robert H. TI Inflation: Do Expectations Trump the Gap? SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID BUSINESS-CYCLE; OUTPUT GAP; TIME; ECONOMY; POLICY; MODEL AB We measure the relative contribution of the deviation of real activity from its equilibrium (the gap), "supply-shock" variables, and long-horizon inflation forecasts for explaining the U. S. inflation rate in the post-war period. For alternative specifications for the inflation-driving process and measures of inflation and the gap, we reach a similar conclusion: the contribution of changes in long-horizon inflation forecasts dominates that for the gap and supply-shock variables. Put another way, variation in long-horizon inflation forecasts explains the bulk of the movement in realized inflation. Further, we find evidence that long-horizon forecasts have become substantially less volatile over the sample period, suggesting that permanent shocks to the inflation rate have moderated. Finally, we use our preferred specification for the inflation-driving process to compute a history of model-based forecasts of the inflation rate. For both short and long horizons, these forecasts are close to inflation expectations obtained from surveys. C1 [Rasche, Robert H.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Piger, Jeremy M.] Univ Oregon, Dept Econ, Eugene, OR 97403 USA. RP Rasche, RH (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM jpiger@uoregon.edu; rasche@stls.frb.org RI Piger, Jeremy/I-7643-2012 OI Piger, Jeremy/0000-0001-6592-9986 NR 16 TC 3 Z9 3 U1 1 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 DEC PY 2008 VL 4 IS 4 BP 85 EP 116 PG 32 WC Business, Finance SC Business & Economics GA 525UJ UT WOS:000272241500003 ER PT J AU Comin, D Hobijn, B Rovito, E AF Comin, Diego Hobijn, Bart Rovito, Emilie TI Technology usage lags SO JOURNAL OF ECONOMIC GROWTH LA English DT Article DE Technology adoption; Cross-country studies; O33; O47; O57 ID PRODUCTIVITY; GROWTH; DIFFUSION; COUNTRIES; ADOPTION AB We present evidence on the differences in the intensity with which ten major technologies are used in 185 countries across the world. We do so by calculating how many years ago these technologies were used in the U.S. with the same intensity as they are used in the countries in our sample. We denote these time lags as technology usage lags and compare them with lags in real GDP per capita. We find that (i) technology usage lags are large, often comparable to lags in real GDP per capita, (ii) usage lags are highly correlated with lags in per-capita income, and (iii) usage lags are highly correlated across technologies. The productivity differentials between the state-of-the-art technologies that we consider and the ones they replace, combined with the usage lags that we document, lead us to infer that differences in the intensity of usage of technologies might account for a large part of cross-country TFP differentials. C1 [Comin, Diego] Harvard Univ, Sch Business, Boston, MA 02163 USA. [Hobijn, Bart] NBER, Cambridge, MA 02138 USA. [Hobijn, Bart] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Rovito, Emilie] Fed Reserve Bank New York, New York, NY 10045 USA. RP Comin, D (reprint author), Harvard Univ, Sch Business, Boston, MA 02163 USA. NR 37 TC 16 Z9 16 U1 2 U2 8 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 1381-4338 J9 J ECON GROWTH JI J. Econ. Growth PD DEC PY 2008 VL 13 IS 4 BP 237 EP 256 DI 10.1007/s10887-008-9035-5 PG 20 WC Economics SC Business & Economics GA 373FX UT WOS:000260957500001 ER PT J AU Jorgenson, DW Ho, MS Stiroh, KJ AF Jorgenson, Dale W. Ho, Mun S. Stiroh, Kevin J. TI A retrospective look at the US productivity growth resurgence SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article; Proceedings Paper CT Bank of France Conference on Perspectives on Potential Output and Productivity Growth CY APR, 2006 CL Enghien les Bains, FRANCE SP Bank France ID FIRM-LEVEL EVIDENCE; INFORMATION-TECHNOLOGY; ECONOMY; LECTURE; LABOR C1 [Jorgenson, Dale W.] Harvard Univ, Cambridge, MA 02138 USA. [Ho, Mun S.] Resources Future Inc, Washington, DC 20036 USA. [Stiroh, Kevin J.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Jorgenson, DW (reprint author), Harvard Univ, Cambridge, MA 02138 USA. EM djorgenson@harvard.edu; ho@rff.org; stiroh84@optonline.net NR 72 TC 120 Z9 122 U1 1 U2 8 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 2008 VL 22 IS 1 BP 3 EP 24 DI 10.1257/jep.22.1.3 PG 22 WC Economics SC Business & Economics GA 273FN UT WOS:000253915900001 ER PT J AU Kan, R Robotti, C AF Kan, Raymond Robotti, Cesare TI Specification tests of asset pricing models using excess returns SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Asset pricing models; Specification tests; Modified Hansen-Jagannathan distance; Misspecification robust standard errors; De-meaned stochastic discount factor ID DISCOUNT FACTOR MODELS; CROSS-SECTION; GENERALIZED-METHOD; RISK PREMIA; PERFORMANCE; CONSUMPTION; ERRORS; MARKET; CAPM AB In this paper, we discuss the impact of different formulations of asset pricing models on the outcome of specification tests that are performed using excess returns. We point out that the popular way of specifying the stochastic discount factor (SDF) as a linear function of the factors is problematic because (1) the specification test statistic is not invariant to an affine transformation of the factors, and (2) the SDFs of competing models can have very different means. In contrast, an alternative specification that defines the SDF as a linear function of the de-meaned factors is free from these two problems and is more appropriate for model comparison. In addition, we suggest that a modification of the traditional Hansen-Jagannathan distance (HJ-distance) is needed when we use the de-meaned factors. The modified HJ-distance uses the inverse of the covariance matrix (instead of the second moment matrix) of excess returns as the weighting matrix to aggregate pricing errors. Asymptotic distributions of the modified HJ-distance and of the traditional HJ-distance based on the de-meaned SDF under correctly specified and misspecified models are provided, Finally, we propose a simple methodology for computing the standard errors of the estimated SDF parameters that are robust to model misspecification. We show that failure to take model misspecification into account is likely to understate the standard errors of the estimates of the SDF parameters and lead us to erroneously conclude that certain factors are priced. (C) 2008 Elsevier B.V. All rights reserved. C1 [Robotti, Cesare] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Kan, Raymond] Univ Toronto, Joseph L Rotman Sch Management, Toronto, ON M5S 3E6, Canada. RP Robotti, C (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St, Atlanta, GA 30309 USA. EM kan@chass.utoronto.ca; cesare.robotti@atl.frb.org NR 32 TC 16 Z9 16 U1 0 U2 4 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 2008 VL 15 IS 5 BP 816 EP 838 DI 10.1016/j.jempfin.2008.03.003 PG 23 WC Business, Finance; Economics SC Business & Economics GA 363LR UT WOS:000260269300002 ER PT J AU Adrian, T Rosenberg, J AF Adrian, Tobias Rosenberg, Joshua TI Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk SO JOURNAL OF FINANCE LA English DT Article ID GENERAL EQUILIBRIUM-MODEL; CROSS-SECTION; EQUITY RETURNS; VALUE PREMIUM; ARCH MODELS; TIME; HETEROSKEDASTICITY; CONSTRAINTS; PREFERENCE; VALUATION AB We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short-run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long-run component relates to business cycle risk. Furthermore, a three-factor pricing model with the market return and the two volatility components compares favorably to benchmark models. C1 [Adrian, Tobias; Rosenberg, Joshua] Fed Reserve Bank New York, Capital Markets Funct Res & Stat Grp, New York, NY 10045 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, Capital Markets Funct Res & Stat Grp, New York, NY 10045 USA. OI Adrian, Tobias/0000-0001-9379-9592 NR 81 TC 65 Z9 70 U1 6 U2 27 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-1082 J9 J FINANC JI J. Financ. PD DEC PY 2008 VL 63 IS 6 BP 2997 EP 3030 DI 10.1111/j.1540-6261.2008.01419.x PG 34 WC Business, Finance SC Business & Economics GA 374SV UT WOS:000261064900015 ER PT J AU Del Guercio, D Tkac, PA AF Del Guercio, Diane Tkac, Paula A. TI Star Power: The Effect of Morningstar Ratings on Mutual Fund Flow SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID PERFORMANCE; INDUSTRY; TOURNAMENTS; INCENTIVES; RETURNS; EVENT AB We apply an event-study methodology on over 10,000 Morningstar star rating changes and find that Morningstar has Substantial independent influence on the investment allocation decisions of retail mututal fund investors. It is the discrete change in the star rating itself and not the change in the underlying performance measures that drives flow. We document economically and statistically significant positive abnormal flow following rating upgrades, and negative abnormal flow following rating downgrades. In contrast to the cross-sectional flow performance literature, we find evidence of investor punishment of performance declines, some of which is evident immediately in the month of the rating change. C1 [Del Guercio, Diane] Univ Oregon, Lundquist Coll Business, Eugene, OR 97403 USA. [Tkac, Paula A.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Del Guercio, D (reprint author), Univ Oregon, Lundquist Coll Business, Eugene, OR 97403 USA. EM dianedg@uoregon.edu; paula.tkac@ail.frb.org RI Del Guercio, Diane/E-5345-2011 NR 31 TC 39 Z9 38 U1 5 U2 12 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 DEC PY 2008 VL 43 IS 4 BP 907 EP 936 PG 30 WC Business, Finance; Economics SC Business & Economics GA 408NC UT WOS:000263440700004 ER PT J AU Evanoff, DD Unal, H AF Evanoff, Douglas D. Unal, Haluk TI Introduction to the Special Issue: The Bank Structure Conference through the years SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Editorial Material DE Financial structure; Financial regulation; Impact studies; Bank capital AB This is a special issue dedicated to the Federal Reserve Bank of Chicago's annual Conference on Bank Structure and Competition. Invited articles are from financial economists that have had long standing relationships with the conference. Additionally, the effectiveness of the conference in influencing public policy and the financial and economic literature is evaluated. C1 [Evanoff, Douglas D.] Fed Reserve Bank Chicago, Chicago, IL USA. [Unal, Haluk] Univ Maryland, College Pk, MD 20742 USA. RP Evanoff, DD (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM devanoff@frbchi.org; hunal@rhsmith.umd.edu NR 4 TC 0 Z9 0 U1 0 U2 0 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 DEC PY 2008 VL 34 IS 2-3 BP 93 EP 97 DI 10.1007/s10693-008-0045-4 PG 5 WC Business, Finance SC Business & Economics GA 365AE UT WOS:000260377500001 ER PT J AU Evanoff, DD Bartholomew, PF DeYoung, R Lucaci, C Phillips, RJ AF Evanoff, Douglas D. Bartholomew, Philip F. DeYoung, Robert Lucaci, Cosmin Phillips, Ronnie J. TI Bank Structure Conference Impact Study SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article; Proceedings Paper CT Annual Conference on Bank Structure and Competition CY 2007 CL Chicago, IL SP Fed Reserve Bank Chicago DE Banking; Financial structure; Bank regulation; Impact study AB The first Conference on Bank Structure and Competition was held at the Federal Reserve Bank of Chicago in 1963. Since that time, the Conference has served to stimulate and disseminate policy relevant research on issues affecting the financial services industry and as a forum for debating the relevant policy issues of the day. We evaluate the impact of the Conference on public policy and the banking and finance literature. We provide a qualitative argument that the Conference has helped promote policy change by showing that major financial reforms were typically discussed years earlier at the Conference. We then analyze data from the Social Science Citation Index and find that the Conference has had a strong and systematic impact on the banking and finance literature. C1 [Evanoff, Douglas D.] Fed Reserve Bank Chicago, Chicago, IL USA. [Bartholomew, Philip F.] Int Monetary Fund, Washington, DC 20431 USA. [DeYoung, Robert] Univ Kansas, Lawrence, KS 66045 USA. [Lucaci, Cosmin] Brownson Rehmus & Foxworth Inc, Chicago, IL USA. [Phillips, Ronnie J.] Colorado State Univ, Ft Collins, CO 80523 USA. RP Evanoff, DD (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM devanoff@frbchi.org; pbartholomew@imf.org; rdeyoung@ku.edu; clucaci@gmail.com; rphillip@lamar.colostate.edu NR 52 TC 2 Z9 2 U1 0 U2 2 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 DEC PY 2008 VL 34 IS 2-3 BP 99 EP 121 DI 10.1007/s10693-008-0037-4 PG 23 WC Business, Finance SC Business & Economics GA 365AE UT WOS:000260377500002 ER PT J AU Carbo-Valverde, S Kane, EJ Rodriguez-Fernandez, F AF Carbo-Valverde, Santiago Kane, Edward J. Rodriguez-Fernandez, Francisco TI Evidence of Differences in the Effectiveness of Safety-Net Management in European Union Countries SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article; Proceedings Paper CT Annual Conference on Bank Structure and Competition CY 2007 CL Chicago, IL SP Fed Reserve Bank Chicago DE Safety-net; Banks; Risk-shifting; Insurance premium; M&A ID DEPOSIT INSURANCE; COMMERCIAL-BANKS; RISK; COST AB European Union (EU) financial safety nets are social contracts that assign uncertain benefits and burdens to taxpayers in different member countries. To help national officials to assess their taxpayers' exposures to loss from partner countries, this paper develops a way to estimate how well markets and regulators in 14 of the EU-15 countries have controlled deposit-institution risk-shifting in recent years. Our method traverses two steps. The first step estimates leverage, return volatility, and safety-net benefits for individual EU financial institutions. For stockholder-owned banks, input data feature 1993 2004 data on stock-market capitalization. Parallel accounting values are used to calculate enterprise value (albeit less precisely) for mutual savings institutions. The second step uses the output from the first step as input into regression models of safety-net benefits and interprets the results. Parameters of the second-step models express differences in the magnitude of safety-net subsidies and in the ability of financial markets and regulators in member countries to restrain the flow of safety-net subsidies to commercial banks and savings institutions. We conclude by showing that banks from high-subsidy and low-restraint countries have initiated and received the lion's share of cross-border M&A activity. The efficiency, stabilization, and distributional effects of allowing banks to and from differently subsidized environments to expand their operations in partner countries pose policy issues that the EU ought to address. C1 [Carbo-Valverde, Santiago; Rodriguez-Fernandez, Francisco] Univ Granada, Granada, Spain. [Carbo-Valverde, Santiago] Fed Reserve Bank Chicago, Chicago, IL USA. [Kane, Edward J.] Boston Coll, Chestnut Hill, MA 02167 USA. RP Carbo-Valverde, S (reprint author), Univ Granada, Granada, Spain. EM scarbo@ugr.es; edward.kane@bc.edu; franrod@ugr.es NR 22 TC 9 Z9 9 U1 1 U2 13 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 DEC PY 2008 VL 34 IS 2-3 BP 151 EP 176 DI 10.1007/s10693-008-0032-9 PG 26 WC Business, Finance SC Business & Economics GA 365AE UT WOS:000260377500004 ER PT J AU Brewer, E Kaufman, GG Wall, LD AF Brewer, Elijah, III Kaufman, George G. Wall, Larry D. TI Bank Capital Ratios Across Countries: Why Do They Vary? SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article; Proceedings Paper CT Annual Conference on Bank Structure and Competition CY 2007 CL Chicago, IL SP Fed Reserve Bank Chicago DE Capital requirements; Country public and regulatory policies; Large banks ID DEPOSIT INSURANCE AB This paper extends the literature on bank capital structure by modeling capital structure as a function of important public policy and bank regulatory characteristics of the home country, as well as of bank specific variables, country macro-economic conditions and country level financial characteristics. The model is estimated with annual data for an unbalanced panel of the 78 largest private banks in the world headquartered in 12 industrial countries over the period between 1992 and 2005. The results indicate that bank capital ratios are significantly affected in the hypothesized directions by most of the bank-specific variables. Several of the country characteristic and policy variables are also significant with the predicted sign: banks maintain higher capital ratios in home countries in which the bank sector is relatively smaller and in countries that practice prompt corrective actions more actively, have more stringent capital requirements, and have more effective corporate governance structures. C1 [Brewer, Elijah, III] Depaul Univ, Dept Finance, Chicago, IL 60604 USA. [Brewer, Elijah, III; Kaufman, George G.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Kaufman, George G.] Loyola Univ, Coll Business Adm, Chicago, IL 60611 USA. [Wall, Larry D.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Brewer, E (reprint author), Depaul Univ, Dept Finance, Suite 6100,1 E Jackson Blvd, Chicago, IL 60604 USA. EM ebreweri@depaul.edu; gkaufma@luc.edu; larry.wall@atl.frb.org NR 32 TC 23 Z9 23 U1 0 U2 4 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 DEC PY 2008 VL 34 IS 2-3 BP 177 EP 201 DI 10.1007/s10693-008-0040-9 PG 25 WC Business, Finance SC Business & Economics GA 365AE UT WOS:000260377500005 ER PT J AU Foote, CL Gerardi, K Goette, L Willen, PS AF Foote, Christopher L. Gerardi, Kristopher Goette, Lorenz Willen, Paul S. TI Just the facts: An initial analysis of subprime's role in the housing crisis SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Mortgage; Subprime; Crisis AB Using two large proprietary datasets from New England, this paper establishes some basic facts about the subprime crisis. First, while unaffordable interest-rate resets are often blamed for setting off this crisis, most subprime borrowers who defaulted did so well in advance of their reset dates. Defaults on subprime adjustable-rate mortgages are more sensitive to declining housing prices than are defaults on fixed-rate loans, however, and the data support a number of alternative explanations for this finding. Second, many borrowers with good credit scores took out subprime loans as the housing boom gathered steam. It is hard to construct a prima facie case that these borrowers were inappropriately steered into the subprime market, however, because the loans that these borrowers took out were too risky for prime treatment. Finally, 70% of Massachusetts homes recently lost to foreclosure were originally purchased with prime mortgages. But subprime refinancing is especially prevalent among owners who were likely to have extracted substantial amounts of equity before they defaulted. (C) 2008 Elsevier Inc. All rights reserved. C1 [Foote, Christopher L.; Goette, Lorenz; Willen, Paul S.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02205 USA. [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Willen, Paul S.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Willen, PS (reprint author), Fed Reserve Bank Boston, Res Dept, POB 55882, Boston, MA 02205 USA. EM Chris.Foote@bos.frb.org; Kristopher.Gerardi@atl.frb.org; Lorenz.Goette@bos.frb.org; Paul.Willen@bos.frb.org NR 9 TC 25 Z9 25 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 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD DEC PY 2008 VL 17 IS 4 BP 291 EP 305 DI 10.1016/j.jhe.2008.09.005 PG 15 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 386PK UT WOS:000261894900005 ER PT J AU Aaronson, D Mazumder, B AF Aaronson, Daniel Mazumder, Bhashkar TI Intergenerational economic mobility in the United States, 1940 to 2000 SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID INCOME MOBILITY; EARNINGS; CONVERGENCE; SCHOOLS; TRANSMISSION; ACHIEVEMENT; ASSOCIATION; INEQUALITY; TEACHERS; SWEDEN AB We estimate trends in intergenerational economic mobility by matching men in the Census to synthetic parents in the prior generation. We find that mobility increased from 1950 to 1980 but has declined sharply since 1980. While our estimator places greater weight on location effects than the standard intergenerational coefficient, the size of the bias appears to be small. Our preferred results suggest that earnings are regressing to the mean more slowly now than at any time since World War II, causing economic differences between families to become more persistent. However, current rates of positional mobility appear historically normal. C1 [Aaronson, Daniel; Mazumder, Bhashkar] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Mazumder, Bhashkar] Chicago Census Res Data Ctr, Chicago, IL USA. RP Aaronson, D (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM bmazumder@frbchi.org NR 46 TC 42 Z9 42 U1 0 U2 21 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 2008 VL 43 IS 1 BP 139 EP 172 PG 34 WC Economics; Industrial Relations & Labor SC Business & Economics GA 256AN UT WOS:000252700200005 ER PT J AU Goldberg, LS Tille, C AF Goldberg, Linda S. Tille, Cedric TI Vehicle currency use in international trade SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Currency; Invoicing; Vehicle currency; Pass-through; Exchange rate; Producer currency pricing; Local currency pricing ID RATE PASS-THROUGH; EXCHANGE-RATES; PRICES; DENOMINATION; MARKETS; SET AB We explore the major driving forces for currency invoicing in international trade with a simple model and a novel dataset covering 24 countries. We contrasts a "coalescing" effect, where exporters minimize the movements of their prices relative to their competitors', with incentives to hedge macroeconomic volatility and transaction costs. The key determinants of invoice currency choice are industry features and country size, with some role for foreign-exchange bid-ask spreads. The coalescing effect also goes a long way to explaining the well-known dominance of the dollar. Trade flows to the United States are predominantly invoiced in dollar, as foreign exporters face competition with U.S. firms. The use of the dollar in trade flows that do not involve the United States reflects trade in homogeneous products where firms need to keep their price in line with their competitors'. (C) 2008 Elsevier B.V. All rights reserved. C1 [Tille, Cedric] Geneva Grad Inst Int & Dev Studies, Geneva, Switzerland. [Goldberg, Linda S.] Fed Reserve Bank New York, New York, NY 10045 USA. [Goldberg, Linda S.] NBER, Cambridge, MA 02138 USA. RP Tille, C (reprint author), Geneva Grad Inst Int & Dev Studies, Geneva, Switzerland. EM Linda.Goldberg@ny.frb.org; Cedric.Tille@graduateinstitute.ch NR 38 TC 59 Z9 63 U1 2 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD DEC PY 2008 VL 76 IS 2 BP 177 EP 192 DI 10.1016/j.jinteco.2008.07.001 PG 16 WC Economics SC Business & Economics GA 387VZ UT WOS:000261981000004 ER PT J AU Cai, F Howorka, E Wongswan, J AF Cai, Fang Howorka, Edward Wongswan, Jon TI Informational linkages across trading regions: Evidence from foreign exchange markets SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Exchange rate; Volatility; Trading activity; Trading volume; Order flow; High-frequency data ID RATE VOLATILITY; METEOR-SHOWERS; HEAT WAVES; VOLUME AB Using a new high-frequency data set from Electronic Broking Services (EBS), this paper examines informational linkages in the euro-dollar and dollar-yen exchange rates across live trading regions: Asia Pacific, the Asia-Europe overlap, Europe, the Europe-America overlap, and America. Information is proxied by exchange rate return, direction of return, volatility. trading activity, and order flow. We find that informational linkages are statistically significant at both own-region and inter-region levels. but own-region spillovers dominate in economic significance, especially for volatility and trading activity. In addition, order flow spillovers from the Europe-America overlap trading region are the most important source of spillovers to other trading regions for both currency pairs. (C) 2007 Elsevier Ltd. All rights reserved. C1 [Wongswan, Jon] Barclays Global Investors, San Francisco, CA 94105 USA. [Cai, Fang] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. [Howorka, Edward] EBS, New York, NY 10022 USA. RP Wongswan, J (reprint author), Barclays Global Investors, 45 Fremont St, San Francisco, CA 94105 USA. EM jon.wongswan@barclaysglobal.com NR 23 TC 9 Z9 9 U1 0 U2 5 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 2008 VL 27 IS 8 BP 1215 EP 1243 DI 10.1016/j.jimonfin.2007.08.001 PG 29 WC Business, Finance SC Business & Economics GA 378US UT WOS:000261350300002 ER PT J AU Marquis, MH Trehan, B AF Marquis, Milton H. Trehan, Bharat TI On using relative prices to measure capital-specific technological progress SO JOURNAL OF MACROECONOMICS LA English DT Article DE Productivity; Technological change ID INFORMATION TECHNOLOGY; MODELS AB Recently, Greenwood, Hercowitz and Krusell (GHK) have identified the relative price of (new) capital with capital-specific technological progress. In a two-sector growth model, however, the relative price of capital equals the ratio of the productivity processes in the two sectors. Restrictions from this model are used with data on wages and prices to construct measures of productivity growth and test the GHK identification, which is easily rejected by the data. This raises questions about various measures of the contribution that capital-specific technological progress might make to the economy. This identification also induces a negative correlation between the resulting measures of capital-specific and economy-wide technological change, which potentially explains why papers employing this identification find that capital-specific technological change accelerated in the mid-1970s. We impose structure on the productivity measures based on their long-run behavior and find evidence of a slowdown in productivity in the 1970s that is common to both sectors and an acceleration in the mid-1990s that is exclusive to the capital sector. (C) 2007 Elsevier Inc. All rights reserved. C1 [Marquis, Milton H.] Florida State Univ, Dept Econ, Tallahassee, FL 32303 USA. [Trehan, Bharat] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94105 USA. RP Marquis, MH (reprint author), Florida State Univ, Dept Econ, Tallahassee, FL 32303 USA. EM mmarquis@coss.fsu.edu NR 19 TC 0 Z9 0 U1 0 U2 2 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 2008 VL 30 IS 4 BP 1390 EP 1406 DI 10.1016/j.jmacro.2007.12.002 PG 17 WC Economics SC Business & Economics GA 381GR UT WOS:000261524200004 ER PT J AU King, RG Lu, YK Pasten, ES AF King, Robert G. Lu, Yang K. Pasten, Ernesto S. TI Managing Expectations SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE managing expectations; imperfect credibility; monetary policy ID RATIONAL-EXPECTATIONS; SEQUENTIAL EQUILIBRIUM; SIGNALING GAMES; POLICY; INFLATION; INFORMATION; REPUTATION; DISCRETION AB The idea that monetary policy is principally about "managing expectations" has taken hold in central banks around the world. Discussions of expectations management by central bankers, academics and by financial market participants frequently also include the idea that central bank credibility is imperfect. We adapt a familiar macroeconomic model so as to discuss key concepts in the area of expectations management. Our work also exemplifies a model construction approach to analyzing the dynamics of announcements, actions, and credibility that we think makes feasible a wide range of future investigations concerning the management of expectations. C1 [King, Robert G.] Boston Univ, Fed Reserve Bank Richmond, Boston, MA 02215 USA. [King, Robert G.] NBER, Cambridge, MA 02138 USA. [Lu, Yang K.] Boston Univ, Boston, MA 02215 USA. [Pasten, Ernesto S.] IDEI Toulouse Sch Econ, Toulouse, France. RP King, RG (reprint author), Boston Univ, Fed Reserve Bank Richmond, Boston, MA 02215 USA. EM rking@bu.edu NR 35 TC 9 Z9 9 U1 3 U2 6 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 DEC PY 2008 VL 40 IS 8 BP 1625 EP 1666 DI 10.1111/j.1538-4616.2008.00177.x PG 42 WC Business, Finance; Economics SC Business & Economics GA 376TC UT WOS:000261204900005 ER PT J AU Bayer, P Ross, SL Topa, G AF Bayer, Patrick Ross, Stephen L. Topa, Giorgio TI Place of Work and Place of Residence: Informal Hiring Networks and Labor Market Outcomes SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID JOB SEARCH METHODS; SPATIAL MISMATCH HYPOTHESIS; SOCIAL NETWORKS; MOBILITY EXPERIMENT; WILD BOOTSTRAP; NEIGHBORHOOD; PEER; SPILLOVERS; BEHAVIOR; UNEMPLOYMENT AB We use a novel research design to empirically detect the effect of social interactions among neighbors on labor market outcomes. Using Census data that characterize residential and employment locations down to the city block, we examine whether individuals residing in the same block are more likely to work together than those in nearby blocks. We find evidence of significant social interactions operating at the block level. The estimated referral effect is stronger when individuals are similar in sociodemographic characteristics and when at least one individual is well attached to the labor market. These findings are robust across specifications intended to address individual heterogeneity, sorting, and reverse causation. Further, the increased availability of neighborhood referrals has a significant impact on a wide range of labor market outcomes including labor force participation, hours, and earnings. C1 [Bayer, Patrick] Duke Univ, Durham, NC 27706 USA. [Bayer, Patrick] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Ross, Stephen L.] Univ Connecticut, Storrs, CT 06269 USA. [Topa, Giorgio] Fed Reserve Bank New York, New York, NY 10045 USA. RP Bayer, P (reprint author), Duke Univ, Durham, NC 27706 USA. NR 75 TC 23 Z9 23 U1 2 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 DEC PY 2008 VL 116 IS 6 BP 1151 EP U220 PG 48 WC Economics SC Business & Economics GA 387JQ UT WOS:000261948900005 ER PT J AU Chirinko, RS Wilson, DJ AF Chirinko, Robert S. Wilson, Daniel J. TI State investment tax incentives: A zero-sum game? SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article; Proceedings Paper CT Conference on New Directions in Fiscal Freedom CY SEP, 2006 CL Lexington, KY SP Univ Kentucky, Inst Federalism & Intergovt Relat, CESifo DE State tax incentives; Interstate tax competition; Business taxation; Capital formation; Establishment location ID ECONOMIC-DEVELOPMENT; GENERALIZED-METHOD; POLICIES; MOMENTS; SAMPLE AB Over the past four decades, state investment tax incentives have proliferated. This emergence of state investment tax credits (ITC) and other investment tax incentives raises two important questions: I) Are these tax incentives effective in achieving their stated objective, to increase investment within the state?: 2) To the extent these incentives raise investment within the state, how much of this increase is due to investment drawn away from other states? To begin to answer these questions, we construct a detailed panel dataset for 48 states for 20+ years. The dataset contains series on output and capital, their relative prices, and establishment counts. The effects of tax variables on capital formation and establishments are measured by the Jorgensonian user cost of capital that depends in a nonlinear manner on federal and state tax variables. Cross-jurisdictional differences in state investment tax credits and state corporate tax rates entering the user cost, combined with a panel that is long in the time dimension, are key to identifying the effectiveness of state investment incentives. Two models are estimated. The Capital Demand Model is motivated by the first-order condition for a profit-maximizing firm and relates at the state level the capital/output ratio to the relative user cost of capital. The Twin-Counties Model exploits both the spatial breaks ("discontinuities") in tax policy at state borders and our panel dataset to relate at the county level the relative user cost to the location of manufacturing establishments. Using the Capital Demand Model, we find that own-state capital formation is substantially increased by tax-induced reductions in the own-state price of capital and, more interestingly, substantially decreased by tax-induced reductions in the price of capital in competitive-states. Similarly, using our Twin-Counties Model, we find that county manufacturing establishment counts around state borders are higher on the side of the border with the lower price of capital, but the difference is economically small, suggesting that establishments are much less mobile than overall capital. Extensions of the Capital Demand Model also reveal that state capital tax policy appears to be a zero-sum game among the states in that an equiproportionate increase in ownstate and competitive-states user costs tends to have no effect on own-state capital formation. (C) 2008 Elsevier B.V. All rights reserved. C1 [Chirinko, Robert S.; Wilson, Daniel J.] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94105 USA. [Chirinko, Robert S.] Univ Illinois, Dept Finance, Chicago, IL USA. [Chirinko, Robert S.] CESifo, Munich, Germany. RP Wilson, DJ (reprint author), Fed Reserve Bank San Francisco, Res Dept, 101 Market St, San Francisco, CA 94105 USA. EM Chirinko@uic.edu; Daniel.Wilson@sf.frb.org NR 29 TC 27 Z9 27 U1 4 U2 11 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 2008 VL 92 IS 12 BP 2362 EP 2384 DI 10.1016/j.jpubeco.2008.07.005 PG 23 WC Economics SC Business & Economics GA 382GA UT WOS:000261592300007 ER PT J AU Cohen, JP Coughlin, CC AF Cohen, Jeffrey P. Coughlin, Cletus C. TI SPATIAL HEDONIC MODELS OF AIRPORT NOISE, PROXIMITY, AND HOUSING PRICES SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID RESIDENTIAL PROPERTY-VALUES; AIR-QUALITY; AUTOCORRELATION; IMPACT; DEMAND; SPACE AB Despite the refrain that housing prices are determined by "location, location, and location," few studies of airport noise and housing prices have incorporated spatial econometric techniques. We compare various spatial econometric models and estimation methods in a hedonic price framework to examine the impact of noise on 2003 housing prices near the Atlanta airport. Spatial effects are best captured by a model including both spatial autocorrelation and autoregressive parameters estimated by a generalized moments approach. In our preferred model, houses located in an area in which noise disrupts normal activities (defined by a day-night sound level of 70-75 decibels) sell for 20.8 percent less than houses located where noise does not disrupt normal activities (defined by a day-night sound level below 65 decibels). The inclusion of spatial effects magnifies the negative price impacts of airport noise. Finally, after controlling for noise, houses farther from the airport sell for less; the price elasticity with respect to distance is -0.15, implying that airport proximity is an amenity. 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 39 TC 55 Z9 57 U1 3 U2 18 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 2008 VL 48 IS 5 BP 859 EP 878 DI 10.1111/j.1467-9787.2008.00569.x PG 20 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 366QX UT WOS:000260499600001 ER PT J AU Wheeler, CH La Jeunesse, EA AF Wheeler, Christopher H. La Jeunesse, Elizabeth A. TI TRENDS IN NEIGHBORHOOD INCOME INEQUALITY IN THE US: 1980-2000 SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID ECONOMIC SEGREGATION; METROPOLITAN-AREAS AB This paper reports evidence on the geographic pattern of income inequality, both within and between neighborhoods, across a sample of 359 U. S. metropolitan areas between 1980 and 2000. The results indicate that overall income inequality within a metro area tends to be driven by variation within neighborhoods, not between them, although we find that between-neighborhood differences rose dramatically during the 1980s and subsided somewhat during the 1990s. While this trend is similar to what existing research has found, our findings reveal potentially important differences in the magnitudes of the changes depending on whether neighborhoods are defined by block groups or tracts. C1 [Wheeler, Christopher H.; La Jeunesse, Elizabeth A.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wheeler, CH (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. EM Christopher.H.Wheeler@stls.frb.org; Elizabeth.A.LaJeunesse@stls.frb.org RI Freeman, Lance/B-8774-2009 NR 14 TC 7 Z9 8 U1 1 U2 5 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 2008 VL 48 IS 5 BP 879 EP 891 DI 10.1111/j.1467-9787.2008.00590.x PG 13 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 366QX UT WOS:000260499600002 ER PT J AU Bowsher, CG Meeks, R AF Bowsher, Clive G. Meeks, Roland TI The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve SO JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION LA English DT Article DE Forecasting interest rate; FSN-ECM models; Functional time series; Natural cubic spline; State-space form; Term structure ID TERM STRUCTURE; SPLINES AB The class of functional signal plus noise (FSN) models is introduced that provides a new, general method for modeling and forecasting time series of economic functions. The underlying, continuous economic function (or "signal") is a natural cubic spline whose dynamic evolution is driven by a cointegrated vector autoregression for the ordinates (or "gamma-values") at the knots of the spline. The natural cubic spline provides flexible cross-sectional tit and results in a linear state-space model. This FSN model achieves dimension reduction. provides a coherent description of the observed yield curve and its dynamics as the cross-sectional dimension N becomes large. and call be feasibly estimated and used for forecasting when N is large. The integration and cointegration properties of the model are derived. The FSN models are then applied to forecasting 36-dimensional yield curves for U.S. Treasury bonds at the 1-month-ahead horizon. The method consistently outperforms the dynamic Nelson-Siegel and random walk forecasts on the basis of both mean squared forecast error criteria and economically relevant loss functions derived front the realized profits of pairs trading algorithms. The analysis also highlights in a concrete setting the dangers of attempting to infer the relative economic value of model forecasts oil the basis of their associated mean squared forecast errors. C1 [Bowsher, Clive G.] Univ Cambridge, Ctr Math Sci, Stat Lab, Cambridge CB3 0WB, England. [Meeks, Roland] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Bowsher, CG (reprint author), Univ Cambridge, Ctr Math Sci, Stat Lab, Cambridge CB3 0WB, England. EM C.Bowsher@statslab.com.ac.uk; roland.meeks@dal.frb.org OI Meeks, Roland/0000-0002-1321-3182 NR 36 TC 15 Z9 15 U1 0 U2 1 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0162-1459 J9 J AM STAT ASSOC JI J. Am. Stat. Assoc. PD DEC PY 2008 VL 103 IS 484 BP 1419 EP 1437 DI 10.1198/016214508000000922 PG 19 WC Statistics & Probability SC Mathematics GA 402JB UT WOS:000263008900012 ER PT J AU Ericsson, NR AF Ericsson, Neil R. TI The Fragility of Sensitivity Analysis: An Encompassing Perspective SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article ID COUNTRY GROWTH REGRESSIONS; MONEY DEMAND; PARAMETER INSTABILITY; EXTREME-BOUNDS; UNITED-STATES; MODELS; TESTS; ECONOMETRICS; FORECASTS; DETERMINANTS AB Robustness and fragility in Learner's sense are defined with respect to a particular coefficient over a class of models. This paper shows that inclusion of the data generation process in that class of models is neither necessary nor sufficient for robustness. This result holds even if the properly specified model has well-determined, statistically significant coefficients. The encompassing principle explains how this result can occur. Encompassing also provides a link to a more common-sense notion of robustness, which is still a desirable property empirically; and encompassing clarifies recent discussion on model averaging and the pooling of forecasts. C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Ericsson, NR (reprint author), Fed Reserve Board, Div Int Finance, 2000 C St NW, Washington, DC 20551 USA. EM ericsson@frb.gov NR 85 TC 2 Z9 2 U1 2 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0305-9049 J9 OXFORD B ECON STAT JI Oxf. Bull. Econ. Stat. PD DEC PY 2008 VL 70 BP 895 EP 914 DI 10.1111/j.1468-0084.2008.00535.x PG 20 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 403FF UT WOS:000263067800010 ER PT J AU Gallin, J AF Gallin, Joshua TI The Long-Run Relationship Between House Prices and Rents SO REAL ESTATE ECONOMICS LA English DT Article ID EXPECTED STOCK RETURNS; DIVIDEND YIELDS; MODELS; MARKET; INDEX AB I use standard error-correction models and long-horizon regression models to examine how well the rent-price ratio predicts future changes in real rents and prices. I find evidence that the rent-price ratio helps predict changes in real prices over 4-year periods, but that the rent-price ratio has little predictive power for changes in real rents over the same period. I show that a long-horizon regression approach can yield biased estimates of the degree of error correction if prices have a unit root but do not follow a random walk, and I construct bootstrap distributions to conduct appropriate inference in the presence of this bias. The results lend empirical support to the view that the rent-price ratio is an indicator of valuation in the housing market. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Gallin, J (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM jgallin@frb.gov NR 28 TC 46 Z9 49 U1 3 U2 11 PU WILEY-BLACKWELL PUBLISHING, INC 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 2008 VL 36 IS 4 BP 635 EP 658 DI 10.1111/j.1540-6229.2008.00225.x PG 24 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 377TO UT WOS:000261273700001 ER PT J AU Love, DA Smith, PA McNair, LC AF Love, David A. Smith, Paul A. McNair, Lucy C. TI A NEW LOOK AT THE WEALTH ADEQUACY OF OLDER US HOUSEHOLDS SO REVIEW OF INCOME AND WEALTH LA English DT Article ID RETIREMENT WEALTH; SOCIAL-SECURITY; ANNUITIES; PENSIONS; SAVINGS AB We examine the current wealth adequacy of older U.S. households using the 1998-2006 waves of the Health and Retirement Study (HRS). We find that the median older U.S. household is reasonably well situated, with a ratio of comprehensive net wealth to present value poverty-line wealth of about 3.9 in 2006. About 18 percent of households, however, have less wealth than would be needed to generate 150 percent of poverty-line income over their expected future lifetimes. We see similar patterns of wealth adequacy when we examine ratios of annualized comprehensive wealth to pre-retirement earnings. Comparing the leading edge of the baby boomers in 2006 to households of the same age in 1998, we find that the baby boomers show slightly less wealth, in real terms, than their elders did, but still appear to have adequate resources at the median. Moreover, we find a rising age profile of annualized wealth, even within households over time and after controlling for other factors, suggesting that older households are not spending their wealth as quickly as their survival probabilities are falling. C1 [Love, David A.] Williams Coll, Dept Econ, Williamstown, MA 01267 USA. [Smith, Paul A.; McNair, Lucy C.] Fed Reserve Board, Washington, DC USA. RP Love, DA (reprint author), Williams Coll, Dept Econ, Williamstown, MA 01267 USA. EM david.love@williams.edu NR 29 TC 3 Z9 3 U1 2 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 DEC PY 2008 VL 54 IS 4 BP 616 EP 642 DI 10.1111/j.1475-4991.2008.00292.x PG 27 WC Economics SC Business & Economics GA 375AD UT WOS:000261084000006 ER PT J AU Allouise, P Hughes, SJ Middlebrook, ST AF Allouise, Patricia Hughes, Sarah Jane Middlebrook, Stephen T. TI Developments in the Laws Affecting Electronic Payments and Stored-Value Products: A Year of Stored-Value Bankruptcies, Significant Legislative Proposals, and Federal Enforcement Actions SO BUSINESS LAWYER LA English DT Article ID SCHOLER; KAYE C1 [Allouise, Patricia] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Allouise, P (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 30 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 NOV PY 2008 VL 64 IS 1 BP 219 EP 252 PG 34 WC Law SC Government & Law GA 389CK UT WOS:000262067700008 ER PT J AU Sabherwal, S Smith, SD AF Sabherwal, Sanjiv Smith, Stephen D. TI Concentrated Shareholders as Substitutes for Outside Analysts SO CORPORATE GOVERNANCE-AN INTERNATIONAL REVIEW LA English DT Article DE Concentrated Shareholdings; Financial Analysts; Corporate Governance; Agency Theory ID FINANCIAL INTERMEDIATION; MANAGERIAL OWNERSHIP; AGENCY COSTS; DETERMINANTS; PERFORMANCE; INFORMATION; INSTITUTIONS; MARKET; STOCK; FIRM AB Manuscript Type: Empirical Research Question/Issue: We examine the relationship of concentration of shareholdings with the number of financial analysts following a firm to see if concentrated shareholders substitute for the monitoring activities of analysts. Research Findings/Results: Using a clean ownership dataset with a sample of 3,115 firm-year observations for U.S. firms and regression techniques that address any potential endogeneity, we find that analyst following is negatively related to the concentration of outsider and insider shareholdings. We find similar relations for changes in analyst following and changes in ownership concentration. Theoretical Implications: Our results support the argument that an outsider with a larger stake in a firm is more likely to produce its own in-house information for the monitoring of the firm's managers and avoid both the cost and moral hazard problems associated with analysts. The results also support the argument that if senior managers hold large stakes in the firm, there is a greater likelihood that managerial incentives will be aligned with those of other shareholders. Practical Implications: We contend that there is a governance substitution effect, with concentrated shareholders substituting for the monitoring activities of analysts. Our results are consistent with the opinion that regulators need not fear large shareholders. This is especially applicable to large outside shareholders as we find that the economic effect of concentrated outsider shareholdings is quite strong and greater than that of concentrated insider shareholdings. C1 [Sabherwal, Sanjiv] Univ Texas Arlington, Dept Finance & Real Estate, Arlington, TX 76019 USA. [Smith, Stephen D.] Georgia State Univ, Fed Reserve Bank Atlanta, Atlanta, GA 30303 USA. RP Sabherwal, S (reprint author), Univ Texas Arlington, Dept Finance & Real Estate, Arlington, TX 76019 USA. EM sabherwal@uta.edu NR 31 TC 5 Z9 5 U1 2 U2 7 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0964-8410 J9 CORP GOV JI Corp. Gov. PD NOV PY 2008 VL 16 IS 6 BP 562 EP 577 DI 10.1111/j.1467-8683.2008.00706.x PG 16 WC Business; Business, Finance; Management SC Business & Economics GA 367BS UT WOS:000260528100008 ER PT J AU Krause, MU Lopez-Salido, DJ Lubik, TA AF Krause, Michael U. Lopez-Salido, David J. Lubik, Thomas A. TI Do search frictions matter for inflation dynamics? SO EUROPEAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Conference on the Phillips Curve CY JUN, 2008 CL Kiel, GERMANY DE Phillips curve; GMM; Marginal costs; Labor market frictions ID LABOR-MARKET SEARCH; STICKY; MODEL AB We assess the empirical relevance for inflation dynamics of accounting for the presence of search frictions in the labor market. The new Keynesian Phillips curve explains inflation as being mainly driven by current and expected future marginal costs. Recent empirical research has emphasized different measures of real marginal costs to be consistent with observed inflation persistence. We argue that, allowing for search frictions in the labor market, real marginal cost should also incorporate the cost of generating and maintaining long-term employment relationships, along with conventional measures, such as real unit labor costs. In order to construct a synthetic measure of real marginal costs, we use newly available labor market data on worker finding and separation rates that reflect hiring and firing costs. We then estimate a new Keynesian Phillips curve by generalized method of moments (GMM) using the imputed marginal cost series as an observable and find that the contribution of labor market frictions in explaining inflation dynamics is small. (c) 2008 Elsevier B.V. All rights reserved. C1 [Lubik, Thomas A.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. [Krause, Michael U.] Deutsch Bundesbank, Econ Res Ctr, D-60431 Frankfurt, Germany. [Lopez-Salido, David J.] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP Lubik, TA (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23219 USA. EM michael.u.krause@bundesbank.de; david.j.lopez-salido@frb.gov; Thomas.Lubik@rich.frb.org NR 27 TC 7 Z9 7 U1 0 U2 3 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 NOV PY 2008 VL 52 IS 8 BP 1464 EP 1479 DI 10.1016/j.euroecorev.2008.08.002 PG 16 WC Economics SC Business & Economics GA 385OY UT WOS:000261824700009 ER PT J AU Wheelock, DC AF Wheelock, David C. TI Changing the Rules: State Mortgage Foreclosure Moratoria During the Great Depression SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID LEGISLATION; RELIEF; 1930S; LAWS AB Many U.S. states imposed temporary moratoria on farm and nonfarm residential mortgage foreclosures during the Great Depression. This article describes the conditions that led some states to impose these moratoria and other mortgage relief during the Depression and discusses the economic effects. Moratoria were more common in states with large farm populations (as a percentage of total state population) and high farm mortgage foreclosure rates, although nonfarm mortgage distress appears to help explain why a few states with relatively low farm foreclosure rates also imposed moratoria. The moratoria reduced farm foreclosure rates in the short run, but they also appear to have reduced the supply of loans and made credit more expensive for subsequent borrowers. The evidence from the Great Depression demonstrates how government actions to reduce foreclosures can impose costs that should be weighed against potential benefits. 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 19 TC 4 Z9 4 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 NOV-DEC PY 2008 VL 90 IS 6 BP 569 EP 583 PG 15 WC Business, Finance; Economics SC Business & Economics GA 372ON UT WOS:000260911000001 ER PT J AU Chambers, MS Garriga, C Schlagenhauf, D AF Chambers, Matthew S. Garriga, Carlos Schlagenhauf, Don TI Mortgage Innovation, Mortgage Choice, and Housing Decisions SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID LIFE-CYCLE; PREPAYMENT; FINANCE; MARKET; MODEL AB This paper examines some of the more recent mortgage products now available to borrowers. The authors describe how these products differ across important characteristics, such as the down payment requirement, repayment structure, and amortization schedule. The paper also presents a model with the potential to analyze the implications for various mortgage contracts for individual households, as well as to address many current housing market issues. In this paper, the authors use the model to examine the implications of alternative mortgages for homeownership. The authors use the model to show that interest rate-adjustable mortgages and combo loans can help explain the rise-and fall-in homeownership since 1994. C1 [Chambers, Matthew S.] Towson Univ, Towson, MD USA. [Garriga, Carlos] Fed Reserve Bank St Louis, St Louis, MO USA. [Schlagenhauf, Don] Florida State Univ, Tallahassee, FL 32306 USA. RP Chambers, MS (reprint author), Towson Univ, Towson, MD USA. RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 42 TC 1 Z9 1 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 2008 VL 90 IS 6 BP 585 EP 608 PG 24 WC Business, Finance; Economics SC Business & Economics GA 372ON UT WOS:000260911000002 ER PT J AU Neely, CJ Rapach, DE AF Neely, Christopher J. Rapach, David E. TI Real Interest Rate Persistence: Evidence and Implications SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Review ID UNIT-ROOT TESTS; PURCHASING POWER PARITY; TERM INTEREST-RATES; LONG-RUN; AUTOREGRESSIVE MODELS; TIME-SERIES; STOCHASTIC CONSUMPTION; MONETARY NONNEUTRALITY; EFFICIENT TESTS; SIDRAUSKI MODEL AB The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. The authors selectively survey the empirical literature that examines the time-series properties of real interest rates. A key stylized fact is that postwar real interest rates exhibit substantial persistence, shown by extended periods when the real interest rate is substantially above or below the sample mean. The finding of persistence in real interest rates is pervasive, appearing in a variety of guises in the literature. The authors discuss the implications of persistence for theoretical models, illustrate existing findings with updated data, and highlight areas for future research. C1 [Neely, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO USA. [Rapach, David E.] St Louis Univ, St Louis, MO 63103 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 133 TC 13 Z9 13 U1 7 U2 11 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 NOV-DEC PY 2008 VL 90 IS 6 BP 609 EP 641 PG 33 WC Business, Finance; Economics SC Business & Economics GA 372ON UT WOS:000260911000003 ER PT J AU Dinlersoz, EM Hernandez-Murillo, R Li, H Sherman, R AF Dinlersoz, Emin M. Hernandez-Murillo, Ruben Li, Han Sherman, Roger TI Drug Prices Under the Medicare Card Program SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID SWITCHING COSTS; DISPERSION; MARKETS; INFORMATION; MODEL AB In early 2004, the U.S. government initiated the Medicare Drug Discount Card Program (MDDCP), which allowed card subscribers to obtain discounts on prescription drugs. Pharmacy-level prices were posted on the program website weekly with the hope or promoting competition among card sponsors by facilitating consumer access to prices. A large panel of pharmacy-level price data collected from this website indicates that price dispersion across cards persisted throughout the program. Prices declined initially when consumers were choosing cards, but rose later when subscribers were restricted to commit to their card choices. In contrast, contemporaneous prices from online drug retailers, which were unrelated to the program, rose steadily over time, indicating that program prices evolved in a way different from the general evolution of prices outside the program. C1 [Dinlersoz, Emin M.] Cornerstone Res, Washington, DC USA. [Hernandez-Murillo, Ruben] Fed Reserve Bank St Louis, St Louis, MO USA. [Li, Han] Southwestern Univ Finance & Econ, Res Inst Econ & Management, Chengdu, Sichuan, Peoples R China. [Sherman, Roger] Univ Houston, Dept Econ, Houston, TX 77004 USA. RP Dinlersoz, EM (reprint author), Cornerstone Res, Washington, DC USA. NR 22 TC 0 Z9 0 U1 2 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 2008 VL 90 IS 6 BP 643 EP 666 PG 24 WC Business, Finance; Economics SC Business & Economics GA 372ON UT WOS:000260911000004 ER PT J AU Hatchondo, JC AF Hatchondo, Juan Carlos TI Asymmetric information and the lack of portfolio diversification SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID HOME BIAS; DOMESTIC INVESTORS; INVESTMENT; MARKETS; STOCK; EQUILIBRIUM; GEOGRAPHY; INDUSTRY AB There is pervasive evidence that individuals invest primarily in local stocks and thus hold poorly diversified portfolios. The present article develops a theoretical model in which the presence of informational asymmetries introduces home equity bias. The main departure from previous theoretical work is the assumption that local investors outperform nonlocal investors in identifying the correct ranking of local investment opportunities, instead of possessing superior information about the aggregate performance of the local stock market. The second key assumption is based on the evidence that short-selling is a costly activity. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Hatchondo, JC (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 Byrd St, Richmond, VA 23261 USA. EM JuanCarlos.Hatchondo@rich.frb.org NR 40 TC 9 Z9 9 U1 2 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2008 VL 49 IS 4 BP 1297 EP 1330 PG 34 WC Economics SC Business & Economics GA 362HY UT WOS:000260190000006 ER PT J AU Armantier, O Florens, JP Richard, JF AF Armantier, Olivier Florens, Jean-Pierre Richard, Jean-Francois TI APPROXIMATION OF NASH EQUILIBRIA IN BAYESIAN GAMES SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID ASYMMETRIC 1ST-PRICE AUCTIONS; STRATEGIC COMPLEMENTARITIES; INCOMPLETE INFORMATION; MONOTONE EQUILIBRIA; PRICE AUCTIONS; BID AUCTIONS; EXISTENCE; PURE AB We define a new concept of constrained strategic equilibrium (CSE) for Bayesian games. We show that a sequence of CSEs approximates an equilibrium under standard conditions. We also provide an algorithm to implement the CSE approximation method numerically in a broad class of Bayesian games, including games without analytically tractable solutions. Finally, we illustrate the flexibility of the CSE approximation with a series of auction examples, including a complex multi-unit auction. Copyright (C) 2008 John Wiley & Sons, Ltd. C1 [Armantier, Olivier] Univ Montreal, Dept Sci Econ, Montreal, PQ H3C 3J7, Canada. [Armantier, Olivier] Fed Reserve Bank New York, New York, NY 10045 USA. [Armantier, Olivier] CIRANO, Montreal, PQ, Canada. [Armantier, Olivier] CIREQ, Montreal, PQ, Canada. [Florens, Jean-Pierre] Toulouse Sch Econ, Toulouse, France. [Richard, Jean-Francois] Univ Pittsburgh, Dept Econ, Pittsburgh, PA 15260 USA. RP Armantier, O (reprint author), Univ Montreal, Dept Sci Econ, CP 6128,Succursale Ctr Ville, Montreal, PQ H3C 3J7, Canada. EM olivier.armantier@umontreal.ca NR 40 TC 5 Z9 5 U1 0 U2 7 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOM JI J. Appl. Econom. PD NOV-DEC PY 2008 VL 23 IS 7 BP 965 EP 981 DI 10.1002/jae.1040 PG 17 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 385JV UT WOS:000261811400006 ER PT J AU De Graeve, F AF De Graeve, Ferre TI The external finance premium and the macroeconomy: US post-WWII evidence SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE External finance premium; Financial frictions; DSGE; Bayesian estimation ID BAYESIAN DSGE APPROACH; BUSINESS CYCLES; MONETARY-POLICY; ASSET PRICES; AGENCY COSTS; NET WORTH; FRICTIONS; ACCELERATOR; SPREAD; FLUCTUATIONS AB The central variable of theories of financial frictions-the external finance premium-is unobservable. This paper distils the external finance premium from a Dynamic Stochastic General Equilibrium (DSGE) model estimated on US macroeconomic data covering the period 1954 to 2004. Within the DSGE framework, movements in the premium can be given an interpretation in terms of shocks driving business cycles. A key result is that the estimate-based solely on non-financial macroeconomic data-picks up over 70% of the dynamics of lower grade corporate bond spreads. The paper also identifies a gain in fitting key macroeconomic aggregates by including financial frictions in the model and documents how shock transmission is affected. (C) 2008 Elsevier B.V. All rights reserved. C1 [De Graeve, Ferre] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [De Graeve, Ferre] Univ Ghent, Dept Financial Econ, B-9000 Ghent, Belgium. RP De Graeve, F (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM ferre.degraeve@dal.frb.org NR 29 TC 35 Z9 36 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 NOV PY 2008 VL 32 IS 11 BP 3415 EP 3440 DI 10.1016/j.jedc.2008.02.008 PG 26 WC Economics SC Business & Economics GA 370AA UT WOS:000260733800002 ER PT J AU Wang, PF Wen, Y AF Wang, Pengfei Wen, Yi TI Imperfect competition and indeterminacy of aggregate output SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Indeterminacy; Global sunspots; Self-fulfilling expectations; Procyclical productivity; Marginal costs; Counter-cyclical markup; Cost-push shocks; Hump-shaped impulse responses ID REAL-BUSINESS-CYCLE; ADJUSTMENT COSTS; MONOPOLISTIC COMPETITION; CAPACITY UTILIZATION; SUNSPOT EQUILIBRIA; INCREASING RETURNS; ANIMAL SPIRITS; MARGINAL COST; MODELS; FLUCTUATIONS AB This paper shows imperfect competition can lead to indeterminacy in aggregate output in a standard DSGE model with imperfect competition. Indeterminacy arises in the model from the composition of aggregate output. In sharp contrast to the indeterminacy literature pioneered by Benhabib and Farmer [J. Benhabib, R. Farmer, Indeterminacy and increasing returns, J. Econ. Theory 63 (1) (1994) 19-41] and Gali [J. Gali, Monopolistic competition, business cycles, and the composition of aggregate demand, J. Econ. Theory 63 (1) (1994) 73-96], indeterminacy in our model is global; hence it is more robust to structural parameters. In addition, sunspots in our model can be autocorrelated. The paper provides a justification for exogenous variations in desired markups, which play an important role as a source of cost-push shocks in the monetary policy literature. Our model outperforms a standard RBC model driven by technology shocks in several dimensions, including the volatility of labor market and the hump-shaped output dynamics. (C) 2008 Published by Elsevier Inc. C1 [Wen, Yi] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Wen, Yi] Hong Kong Univ Sci & Technol, Dept Econ, Clear Water Bay, Hong Kong, Peoples R China. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 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 57 TC 7 Z9 7 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 2008 VL 143 IS 1 BP 519 EP 540 DI 10.1016/j.jet.2007.01.021 PG 22 WC Economics SC Business & Economics GA 384GN UT WOS:000261733400022 ER PT J AU Chari, VV Kehoe, PJ McGrattan, ER AF Chari, V. V. Kehoe, Patrick J. McGrattan, Ellen R. TI Are structural VARs with long-run restrictions useful in developing business cycle theory? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Vector autoregressions; Technology shocks; Real business cycle; Impulse response ID DISTRIBUTED LAG ESTIMATION; AGGREGATE FLUCTUATIONS; TECHNOLOGY SHOCKS; ECONOMIC-ACTIVITY; MONETARY-POLICY; MODEL; DISTURBANCES; DEMAND; TIME; TAX AB No, unless technology shocks account for virtually all of the fluctuations in output. (C) 2008 Published by Elsevier B.V. C1 [Chari, V. V.; Kehoe, Patrick J.; McGrattan, Ellen R.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Chari, V. V.; Kehoe, Patrick J.; McGrattan, Ellen R.] Univ Minnesota, Minneapolis, MN 55455 USA. RP Kehoe, PJ (reprint author), Fed Reserve Bank Minneapolis, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM pkehoe@res.mpls.frb.fed.us NR 39 TC 66 Z9 69 U1 2 U2 8 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 2008 VL 55 IS 8 BP 1337 EP 1352 DI 10.1016/j.jmoneco.2008.09.010 PG 16 WC Business, Finance; Economics SC Business & Economics GA 391ZW UT WOS:000262273700001 ER PT J AU Ohanian, L Raffo, A Rogerson, R AF Ohanian, Lee Raffo, Andrea Rogerson, Richard TI Long-term changes in labor supply and taxes: Evidence from OECD countries, 1956-2004 SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Labor supply; Wedges; Taxes AB We document large differences in trend changes ill hours worked across OECD countries between 1956 and 2004. We assess the extent to which these changes are consistent With the intratemporal first order condition from the neoclassical growth model, augmented with taxes on labor income and Consumption expenditures. We find that the model can account for most of the trend changes in hours worked measured in the data. Differences in taxes explain much Of the variation in hours worked both over time and across countries. Published by Elsevier B.V. C1 [Ohanian, Lee] Univ Calif Los Angeles, Los Angeles, CA 90024 USA. [Ohanian, Lee] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Ohanian, Lee; Rogerson, Richard] NBER, Boston, MA 02138 USA. [Raffo, Andrea] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Rogerson, Richard] Arizona State Univ, Tempe, AZ 85287 USA. RP Ohanian, L (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. EM ohanian@econ.ucla.edu; andrearaffo@hotmail.com RI RAFFO, ANDREA/D-7659-2014 OI RAFFO, ANDREA/0000-0003-1799-1739 NR 27 TC 57 Z9 57 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 NOV PY 2008 VL 55 IS 8 BP 1353 EP 1362 DI 10.1016/j.jmoneco.2008.09.012 PG 10 WC Business, Finance; Economics SC Business & Economics GA 391ZW UT WOS:000262273700002 ER PT J AU Adam, K Billi, RM AF Adam, Klaus Billi, Roberto M. TI Monetary conservatism and fiscal policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Sequential non-cooperative policy games; Discretionary policy; Time consistent policy; Conservative monetary policy ID STICKY PRICES; EQUILIBRIA; DISCRETION; CONTRACTS; PLANS; MODEL AB Does an inflation conservative central bank a la Rogoff (1985) remain desirable in a setting with endogenous fiscal policy? To provide an answer we study monetary and fiscal Policy games Without commitment in a dynamic, stochastic sticky-price economy with monopolistic distortions. Monetary policy determines nominal interest Fates and fiscal policy provides public goods generating private utility. We find that lack of fiscal commitment gives rise to excessive Public spending. The optimal inflation rate internalizing this distortion is positive, but lack of monetary commitment generates too much inflation. A conservative monetary authority thus remains desirable. When fiscal policy is determined before monetary policy each period, the monetary authority Should focus exclusively on stabilizing inflation. Monetary conservatism then eliminates the steady state biases associated with lack of monetary and fiscal commitment and leads to stabilization policy that is close to optimal. (C) 2008 Elsevier B.V. All rights reserved. C1 [Adam, Klaus] Univ Mannheim, Dept Econ, D-68131 Mannheim, Germany. [Adam, Klaus] CEPR, London, England. [Billi, Roberto M.] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Adam, K (reprint author), Univ Mannheim, Dept Econ, L7,3-5, D-68131 Mannheim, Germany. EM adam@uni-mannheim.de; roberto.billi@kc.frb.org NR 18 TC 26 Z9 26 U1 0 U2 3 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 NOV PY 2008 VL 55 IS 8 BP 1376 EP 1388 DI 10.1016/j.jmoneco.2008.09.003 PG 13 WC Business, Finance; Economics SC Business & Economics GA 391ZW UT WOS:000262273700004 ER PT J AU Arseneau, DM Chugh, SK AF Arseneau, David M. Chugh, Sanjay K. TI Optimal fiscal and monetary policy with costly wage bargaining SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Inflation stability; Real wage dynamics; Ramsey model; Friedman Rule; Labor search ID LABOR-MARKET SEARCH; STICKY PRICES; UNEMPLOYMENT; FRICTIONS; ECONOMY; MODELS AB Costly nominal wage adjustment has received renewed attention in the design of optimal policy. in this paper, we embed costly nominal wage adjustment into the modern theory Of frictional labor markets to Study optimal fiscal and monetary policy. The main result is that the optimal rate of price inflation is quite volatile despite the presence of nominal wage rigidities. This finding contrasts with results obtained in standard sticky-wage models, which employ neoclassical labor markets at their core In. addition, the tax-smoothing result that lies at the heart of optimal policy prescriptions in standard Ramsey models does not carry over to a search and bargaining environment. Both results stein from a common source in our model. Shared rents associated with the formation of long-term employment relationships imply that the optimal policy entails fluctuations in after-tax real wages much larger than in models with neoclassical labor markets, in which no Such rent-sharing margin exists. The results demonstrate that the level at which nominal wage rigidity is modeled-whether si triply layered on top of a neoclassical market Or articulated in the context of all explicit relationship between workers and firms-can matter a great deal for policy recommendations. (C) 2008 Elsevier B.V. All rights reserved. C1 [Chugh, Sanjay K.] Univ Maryland, College Pk, MD 20742 USA. [Arseneau, David M.] Fed Reserve Board, Washington, DC USA. RP Chugh, SK (reprint author), Univ Maryland, College Pk, MD 20742 USA. EM david.m.arseneau@frb.gov; chughs@econ.umd.edu NR 37 TC 15 Z9 15 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 NOV PY 2008 VL 55 IS 8 BP 1401 EP 1414 DI 10.1016/j.jmoneco.2008.09.005 PG 14 WC Business, Finance; Economics SC Business & Economics GA 391ZW UT WOS:000262273700006 ER PT J AU Monnet, C Roberds, W AF Monnet, Cyril Roberds, William TI Optimal pricing of payment services SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Payment; Credit card; Debit card; No-surcharge ID MONEY; CREDIT; MODEL AB Payments are increasingly being made with payment cards despite the fact that the cost of clearing a card payment Usually exceeds the cost of transferring cash. We examine this puzzle through the lens of monetary theory, We consider the design of ail optimal card-based payment system when cash is available as an alternative means of payment. We find that a feature akin to the controversial "no-surcharge rule" may be necessary to ensure the viability of the card payment system. This rule states that merchants cannot charge a customer who pays by card more than a customer who pays by cash. (C) 2008 Elsevier B.V. All rights reserved. C1 [Monnet, Cyril] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. [Roberds, William] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Monnet, C (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. EM cyril.monnet@phil.frb.org; william.roberds@atl.frb.org NR 30 TC 11 Z9 11 U1 0 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 NOV PY 2008 VL 55 IS 8 BP 1428 EP 1440 DI 10.1016/j.jmoneco.2008.09.007 PG 13 WC Business, Finance; Economics SC Business & Economics GA 391ZW UT WOS:000262273700008 ER PT J AU Coronado, J Mitchell, OS Sharpe, SA Nesbitt, SB AF Coronado, Julia Mitchell, Olivia S. Sharpe, Steven A. Nesbitt, S. Blake TI Footnotes aren't enough: the impact of pension accounting on stock values SO JOURNAL OF PENSION ECONOMICS & FINANCE LA English DT Article ID PLAN; POLICY AB Recent research has suggested that companies with defined benefit (DB) pensions are sometimes significantly misvalued by the market. This is because the measures of pension cost and pension net liabilities embedded in financial statements can provide a very misleading picture of pension finances, if taken at face value. The more pertinent information on pension finances is relegated to footnotes, which may not receive much attention from portfolio managers. Dramatic swings in the financial conditions of large DB plans around the turn of the decade focused attention on pension accounting practices, and growing dissatisfaction with current accounting standards has prompted the Financial Accounting Standards Board (FASB) to launch a project revamping DB pension accounting. Arguably, the increased attention should have made investors wise to the informational problems, thereby eliminating systematic mispricing in recent years. We test this proposition and conclude that investors continued to misvalue DB pensions, inducing sizable valuation errors in the stock of many companies. Our findings suggest that FASB's current reform efforts could substantially aid the market's ability to value firms with DB pensions. C1 [Coronado, Julia] Barclays Capital, New York, NY 10166 USA. [Mitchell, Olivia S.] Univ Penn, Wharton Sch, Pens Res Council, Dept Insurance Risk Management, Philadelphia, PA 19104 USA. [Sharpe, Steven A.] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Coronado, J (reprint author), Barclays Capital, 200 Pk Ave, New York, NY 10166 USA. EM Julia.coronado@barcap.com; mitchelo@wharton.upenn.edu; ssharpe@frb.gov; blake.nesbitt@gmail.com NR 28 TC 11 Z9 11 U1 0 U2 6 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 1474-7472 J9 J PENSION ECON FINAN JI J. Pension Econ. Financ. PD NOV PY 2008 VL 7 IS 3 BP 257 EP 276 DI 10.1017/S147474720800379X PG 20 WC Business, Finance; Economics SC Business & Economics GA 373MY UT WOS:000260977200001 ER PT J AU Owyang, MT Piger, JM Wall, HJ Wheeler, CH AF Owyang, Michael T. Piger, Jeremy M. Wall, Howard J. Wheeler, Christopher H. TI The economic performance of cities: A Markov-switching approach SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Growth in cities; Business cycle phases ID BUSINESS-CYCLE; POSTERIOR DISTRIBUTIONS; UNITED-STATES; LOSS AVERSION; TIME-SERIES; GROWTH; MODEL AB This paper examines the determinants of employment growth in metro areas. To obtain growth rates, we use a Markov-switching model that separates a city's growth path into two distinct phases (high and low), each with its own growth rate. The simple average growth rate over some period is, therefore, the weighted average of the high-phase and low-phase growth rates, with the weight being the frequency of the two phases. We estimate the effects of a variety of factors separately for the high-phase and low-phase growth rates. Growth in the high phase is related to both human capital and industry mix, while growth in the low phase is related to industry mix only, specifically, the relative importance of manufacturing. Overall, our results strongly reject the notion that city-level characteristics influence employment growth equally across the phases of the business cycle. (C) 2008 Elsevier Inc. All rights reserved. C1 [Owyang, Michael T.; Wall, Howard J.; Wheeler, Christopher H.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Piger, Jeremy M.] Univ Oregon, Eugene, OR 97403 USA. RP Wall, HJ (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM wall@stls.frb.org RI Piger, Jeremy/I-7643-2012; Owyang, Michael/I-5750-2016 OI Piger, Jeremy/0000-0001-6592-9986; Owyang, Michael/0000-0002-2109-3432 NR 31 TC 9 Z9 10 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD NOV PY 2008 VL 64 IS 3 BP 538 EP 550 DI 10.1016/j.jue.2008.05.006 PG 13 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 365XJ UT WOS:000260442600002 ER PT J AU Armenter, R Bodenstein, M AF Armenter, Roc Bodenstein, Martin TI CAN THE US MONETARY POLICY FALL (AGAIN) IN AN EXPECTATION TRAP? SO MACROECONOMIC DYNAMICS LA English DT Article DE Time inconsistency; Inflation; Expectation traps ID DISCRETION; EQUILIBRIA; RULES; MODEL AB We propose a model to study monetary policy under discretion. We focus on Markov perfect equilibria, ruling out trigger strategies. The model is simple enough that the determinants of monetary policy under discretion are clear. We also find that for all parameterizations with an equilibrium inflation rate around 2%, there is a second equilibrium with an inflation rate just above 10%. Thus the model can simultaneously account for the low- and high-inflation episodes in the U.S. experience. C1 [Armenter, Roc] Fed Reserve Bank New York, Int Res Funct, New York, NY 10045 USA. [Bodenstein, Martin] Fed Reserve Syst, Board Governors, New York, NY USA. RP Armenter, R (reprint author), Fed Reserve Bank New York, Int Res Funct, 33 Liberty St, New York, NY 10045 USA. EM roc.armenter@ny.frb.org NR 27 TC 0 Z9 0 U1 0 U2 2 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 NOV PY 2008 VL 12 IS 5 BP 664 EP 693 DI 10.1017/S1365100508070387 PG 30 WC Economics SC Business & Economics GA 372FM UT WOS:000260887500004 ER PT J AU Aguiar-Conraria, L Wen, Y AF Aguiar-Conraria, Luis Wen, Yi TI A NOTE ON OIL DEPENDENCE AND ECONOMIC INSTABILITY SO MACROECONOMIC DYNAMICS LA English DT Article DE Indeterminacy; Energy Imports; Externalities; Returns to Scale; Sunspots; Self-Fulfilling Expectations ID INCREASING RETURNS; SCALE; PRODUCTIVITY; SHOCKS AB We show that dependence on foreign energy can increase economic instability by raising the likelihood of equilibrium indeterminacy, hence making it easier for fluctuations driven by self-fulfilling expectations to occur. This is demonstrated in a standard neoclassical growth model. Calibration exercises, based on the estimated share of imported energy in production for several countries, show that the degree of reliance on foreign energy for many countries can easily make an otherwise determinate and stable economy indeterminate and unstable. C1 [Aguiar-Conraria, Luis] Univ Minho, Dept Econ, P-4710 Braga, Portugal. [Wen, Yi] Fed Reserve Bank St Louis, St Louis, MO USA. RP Aguiar-Conraria, L (reprint author), Univ Minho, Dept Econ, Campus Gualtar, P-4710 Braga, Portugal. EM lfaguiar@eeg.uminho.pt RI EEG, Universidade Minho/F-9143-2010; nipe, cef/A-4218-2010; Minho, Universidade /A-7977-2010; NIPE, Universidade Minho/F-9327-2010; Wen, Yi/I-5756-2016; Aguiar-Conraria, Luis/B-5864-2009 OI Wen, Yi/0000-0001-5658-1578; Aguiar-Conraria, Luis/0000-0001-6822-7103 NR 15 TC 5 Z9 5 U1 0 U2 7 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 2008 VL 12 IS 5 BP 717 EP 723 DI 10.1017/S1365100508070429 PG 7 WC Economics SC Business & Economics GA 372FM UT WOS:000260887500007 ER PT J AU Curcuru, SE Dvorak, T Warnock, FE AF Curcuru, Stephanie E. Dvorak, Tomas Warnock, Francis E. TI CROSS-BORDER RETURNS DIFFERENTIALS SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article AB Using a monthly data set on the foreign equity and bond portfolios of U.S. investors and the U.S. equity and bond portfolios of foreign investors, we find that the returns differential for portfolio securities is far smaller than previously reported. Examining all U.S. claims and liabilities, we find that previous estimates of large differentials are biased upward. The bias owes to computing implied returns from an internally inconsistent data set of revised data; original data produce a much smaller differential. We also attempt to reconcile our findings with observed patterns of cumulated current account deficits, the net international investment position, and the net income balance. Overall, we find no evidence that the United States can count on earning substantially more on its claims than it pays on its liabilities. C1 [Curcuru, Stephanie E.] Univ Virginia, Darden Grad Sch Business, Union Coll, Board Governors Fed Reserve System, Charlottesville, VA 22903 USA. Univ Dublin Trinity Coll, Inst Int Integrat Studies, Dublin 2, Ireland. Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Curcuru, SE (reprint author), Univ Virginia, Darden Grad Sch Business, Union Coll, Board Governors Fed Reserve System, Charlottesville, VA 22903 USA. NR 32 TC 33 Z9 33 U1 0 U2 6 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD NOV PY 2008 VL 123 IS 4 BP 1495 EP 1530 DI 10.1162/qjec.2008.123.4.1495 PG 36 WC Economics SC Business & Economics GA 365DG UT WOS:000260385500005 ER PT J AU Rappaport, J AF Rappaport, Jordan TI Consumption amenities and city population density SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Population density; Consumption amenities; Quality of life; Productivity; Urban agglomeration ID QUALITY-OF-LIFE; HOUSING DEMAND; CITIES; SUBSTITUTION; PRODUCTIVITY; MODEL; AGGLOMERATION; ELASTICITY; HOUSEHOLDS; INCOME AB Population density varies widely among U.S. metro areas. A simple, static general equilibrium model demonstrates that moderate differences in metro areas' consumption amenities can cause extremely large differences in their population density. Such amenities are more strongly capitalized into housing prices than into wages. Empirical results suggest that amenities do indeed help support high density levels and that amenities are becoming a more important determinant of where people choose to live. Matching the empirical correlation between wages and density requires that amenities cause approximately one fifth of the cross-sectional variation in metro population density. (C) 2008 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Rappaport, J (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM jordan.rappaport@kc.frb.org NR 52 TC 31 Z9 34 U1 4 U2 17 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 NOV PY 2008 VL 38 IS 6 BP 533 EP 552 DI 10.1016/j.regsciurbeco.2008.02.001 PG 20 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 370GU UT WOS:000260751500001 ER PT J AU Owyang, MT Piger, J Wall, HJ AF Owyang, Michael T. Piger, Jeremy Wall, Howard J. TI A state-level analysis of the Great Moderation SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Volatility reduction; State business cycles ID BUSINESS-CYCLE; MONETARY-POLICY; VOLATILITY AB A number of studies have documented a reduction in aggregate macroeconomic volatility beginning in the early 1980s, i.e., the "Great Moderation." This paper documents the Great Moderation at the state level, finding significant heterogeneity in the timing and magnitude of states' structural breaks. For example, we find that 14 states had breaks that occurred at least three years before or after the aggregate break, while another 11 states did not experience any statistically important break during the period. Volatility reductions were positively related to the initial level of volatility, durable-goods share, and per capita energy consumption; and negatively related to average firm size, bank-branch deregulation, and increases in the share with a high school diploma. The probability of a state experiencing a break was associated with nondurable-goods share, energy consumption, and demographics. We use these results to examine the plausibility of several explanations of the Great Moderation. (C) 2008 Elsevier B.V. All rights reserved. C1 [Owyang, Michael T.; Wall, Howard J.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Piger, Jeremy] 1285 Univ Oregon, Dept Econ, Eugene, OR 97403 USA. RP Wall, HJ (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM wall@stls.frb.org RI Piger, Jeremy/I-7643-2012; Owyang, Michael/I-5750-2016 OI Piger, Jeremy/0000-0001-6592-9986; Owyang, Michael/0000-0002-2109-3432 NR 28 TC 14 Z9 14 U1 0 U2 2 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 NOV PY 2008 VL 38 IS 6 BP 578 EP 589 DI 10.1016/j.regsciurbeco.2008.05.013 PG 12 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 370GU UT WOS:000260751500004 ER PT J AU Acharya, VV Yorulmazer, T AF Acharya, Viral V. Yorulmazer, Tanju TI Cash-in-the-Market Pricing and Optimal Resolution of Bank Failures SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID LIQUIDITY; AUCTIONS; BAILOUTS; POLICIES; CRISES; FIRMS AB As the number of bank failures increases, the set of assets available for acquisition by surviving banks enlarges but the total liquidity available with surviving banks falls. This results in "cash-in-the-market" pricing for liquidation of banking assets. At a sufficiently large number of bank failures, and in turn, at a sufficiently low level of asset prices, there are too many banks to liquidate and inefficient users of assets who are liquidity-endowed may end up owning the liquidated assets. In order to avoid this allocation inefficiency, it may be ex-post optimal for the regulator to bail out some failed banks. We show, however, that there exists a policy that involves granting liquidity to surviving banks in the purchase of failed banks, which is equivalent to the bailout policy from an ex-post standpoint. Crucially, this liquidity provision policy gives banks incentives to differentiate, rather than to herd, makes aggregate banking crises less likely, and thereby dominates the bailout policy from an ex-ante standpoint. C1 [Acharya, Viral V.] London Business Sch, Dept Finance, London NW1 4SA, England. [Yorulmazer, Tanju] Fed Reserve Bank New York, New York, NY USA. RP Acharya, VV (reprint author), London Business Sch, Dept Finance, Regents Pk, London NW1 4SA, England. EM vacharya@london.edu NR 48 TC 65 Z9 65 U1 3 U2 14 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 2008 VL 21 IS 6 BP 2705 EP 2742 DI 10.1093/rfs/hhm078 PG 38 WC Business, Finance; Economics SC Business & Economics GA 386WE UT WOS:000261912500010 ER PT J AU Klier, T McMillen, DP AF Klier, Thomas McMillen, Daniel P. TI Clustering of Auto Supplier Plants in the United States: Generalized Method of Moments Spatial Logit for Large Samples SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Agglomeration; Automobile industry; Spatial GMM ID STRATEGIC INTERACTION; LOCAL-GOVERNMENTS; COMPETITION; DETERMINANTS; INDUSTRIES; MODELS; POLICY AB A linearized logit version of Pinkse and Slade's spatial GMM estimator reduces estimation to two steps-standard logit followed by two-stage least squares. Linearization produces a model that can be estimated using large datasets. Monte Carlo experiments suggest that the linearized model accurately identifies the presence of spatial effects and is capable of producing accurate estimates of marginal effects. In an application to the location of supplier plants in the U.S. auto industry, the results imply no additional clustering of new plants beyond the level of clustering of existing plant locations. C1 [Klier, Thomas] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. [McMillen, Daniel P.] Univ Illinois, Dept Econ MC 144, Chicago, IL 60607 USA. RP Klier, T (reprint author), Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. EM tklier@frbchi.org; mcmillen@uic.edu NR 27 TC 34 Z9 34 U1 0 U2 10 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT PY 2008 VL 26 IS 4 BP 460 EP 471 DI 10.1198/073500107000000188 PG 12 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 477GH UT WOS:000268506300006 ER PT J AU Huang, RR AF Huang, Rocco R. TI Tolerance for uncertainty and the growth of informationally opaque industries SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE growth; empirics; social norm; information ID FINANCIAL DEPENDENCE; AMBIGUITY AVERSION; EMERGING MARKETS; RETURN VARIATION; STOCK-PRICE; CULTURE; INCOMPLETENESS; INVESTMENT; OPENNESS; MATTER AB Hofstede's [Hofstede, Geert H. 1980. Culture's consequences: international differences in work-related values. Thousand Oaks, CA: Sage.] cross-country psychological survey of IBM employees finds that some countries (societies) are systematically less tolerant of uncertainty.. while uncertainty-tolerance is shown by some theoretic models to be essential to the growth of emerging sectors about Which less is known. This paper first uses Durney Morck, and Yeung's [Durney, Ail, Morck, Randall, and Yeung, Bernard. 2004. Valueenhancing capital budgeting and firm-specific stock return variation. The Journal of Finance. 59(1): 65-105.1 methodology to identify these informationally opaque industries. The hypothesis is then made that countries characterized by high uncertainty aversion (measured by Hofstede's indicator, and two other alternative indicators) will grow disproportionately slower in industrial sectors where information is less available. Using the Rajan and Zingales [Rajan, Raghuram G. and Zingales, Luigi. 1998. Financial Dependence and Growth. American Economic Review. Vol. 88(3): 559-586.] "difference-in-differences" methodology, which is relatively free from the endogeneity problem, the study provides robust evidence of such an industrial growth pattern in 34 countries and 36 manufacturing industries. It also shows that national uncertainty aversion is not driven by underdevelopment of financial sector, inadaptability of civil law systems, lower level of economic or human capital development, labor market inflexibility, or any of many other institutional factors. The results remain robust when religious (Catholic vs. Protestant) Composition is used as an instrumental variable for national uncertainty aversion. The international evidence presented helps explain why some countries are slower in embracing "new" (vs. traditional) industries. Published by Elsevier B.V. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Huang, RR (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM rocco.huang@phil.frb.org NR 57 TC 16 Z9 16 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD OCT PY 2008 VL 87 IS 2 BP 333 EP 353 DI 10.1016/j.jdeveco.2007.10.005 PG 21 WC Economics SC Business & Economics GA 342QQ UT WOS:000258799000012 ER PT J AU Cogley, T Durlauf, SN Nason, JM AF Cogley, Timothy Durlauf, Steven N. Nason, James M. TI Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson SO JOURNAL OF ECONOMETRICS LA English DT Editorial Material ID TIME-SERIES; BUSINESS-CYCLE; COMPONENTS; ESTIMATOR; ECONOMY; MODEL; GDP C1 [Cogley, Timothy] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. [Durlauf, Steven N.] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. [Nason, James M.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Cogley, T (reprint author), Univ Calif Davis, Dept Econ, 1 Shields Ave, Davis, CA 95616 USA. EM twcogley@ucdavis.edu; sdurlauf@ssc.wisc.edu; jim.Nason@atl.frb.org RI DURLAUF, Steven/H-4965-2016 NR 15 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD OCT PY 2008 VL 146 IS 2 BP 199 EP 201 DI 10.1016/j.jeconom.2008.08.018 PG 3 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 373QW UT WOS:000260988100001 ER PT J AU Sims, CA Waggoner, DF Zha, T AF Sims, Christopher A. Waggoner, Daniel F. Zha, Tao TI Methods for inference in large multiple-equation Markov-switching models SO JOURNAL OF ECONOMETRICS LA English DT Article; Proceedings Paper CT Conference held in honor of Charles R Nelson CY MAR 31-APR 01, 2006 CL Atlanta, GA SP Fed Reserve Bank Atlanta DE Density overlap; New MHM; Incremental and discontinuous changes; Composite Markov process; Integrated-out likelihood ID STRUCTURAL VECTOR AUTOREGRESSIONS; US MONETARY-POLICY; BAYESIAN-INFERENCE; MIXTURE-MODELS; CHANGE-POINT; NORMALIZATION; LIKELIHOOD; REGIME AB Inference for multiple-equation Markov-chain models raises a number of difficulties that are unlikely to appear in smaller models. Our framework allows for many regimes in the transition matrix, without letting the number of free parameters grow as the square as the number of regimes, but also without losing a convenient form for the posterior distribution. Calculation of marginal data densities is difficult in these high-dimensional models. This paper gives methods to overcome these difficulties, and explains why existing methods are unreliable. It makes suggestions for maximizing posterior density and initiating MCMC simulations that provide robustness against the complex likelihood shape. (c) 2008 Elsevier B.V. All rights reserved. C1 [Waggoner, Daniel F.; Zha, Tao] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Sims, Christopher A.] Princeton Univ, Princeton, NJ 08544 USA. [Zha, Tao] Emory Univ, Atlanta, GA 30322 USA. RP Zha, T (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St,NE, Atlanta, GA 30309 USA. EM tzha@earthlink.net NR 53 TC 47 Z9 48 U1 2 U2 7 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 OCT PY 2008 VL 146 IS 2 BP 255 EP 274 DI 10.1016/j.jeconom.2008.08.023 PG 20 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 373QW UT WOS:000260988100007 ER PT J AU Lang, WW Mester, LJ Vermilyea, TA AF Lang, William W. Mester, Loretta J. Vermilyea, Todd A. TI Competitive effects of Basel II on US bank credit card lending SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article; Proceedings Paper CT 3rd Biennial Conference on Credit Risk Transfer and Bank Regulation CY JUN, 2006 CL Basel, SWITZERLAND SP Bank Int Settlesments DE Basel Accord; Basel II; Capital requirements; Bank regulation; Competition AB We analyze the potential competitive effects of the proposed Basel II capital regulations on US bank credit card lending. We find that bank issuers operating under Basel II will face higher regulatory capital minimums than Basel I banks, with differences due to the way the two regulations treat reserves and gain-on-sale of securitized assets. During periods of normal economic conditions, this is not likely to have a competitive effect; however, during periods of substantial stress in credit card portfolios, Basel II banks could face a significant competitive disadvantage relative to Basel I banks and nonbank issuers. Published by Elsevier Inc. C1 [Mester, Loretta J.] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Lang, William W.; Vermilyea, Todd A.] Fed Reserve Bank Philadelphia, Supervis Regulat & Credit Dept, Philadelphia, PA 19106 USA. [Mester, Loretta J.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Mester, LJ (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM William.Lang@phil.frb.org; Loretta.Mester@phil.frb.org; Todd.Vermilyea@phil.frb.org NR 8 TC 2 Z9 3 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 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD OCT PY 2008 VL 17 IS 4 SI SI BP 478 EP 508 DI 10.1016/j.jfi.2007.03.008 PG 31 WC Business, Finance SC Business & Economics GA 360VD UT WOS:000260085200004 ER PT J AU Ashcraft, AB AF Ashcraft, Adam B. TI Does the market discipline banks? New evidence from regulatory capital mix SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article; Proceedings Paper CT 3rd Biennial Conference on Credit Risk Transfer and Bank Regulation CY JUN, 2006 CL Basel, SWITZERLAND SP Bank Int Settlesments ID SUBORDINATED DEBT; RISK AB While bank capital requirements permit a bank to freely substitute between equity and subordinated debt, lenders and investors view debt and equity as imperfect substitutes. It follows that, after controlling for the level of regulatory capital, the mix of debt in capital isolates the role that the market plays in disciplining banks. I document that the mix of debt in capital affects bank behavior, but only when investors can impose real constraints. In particular, the mix of debt reduces the probability of failure and future distress for BHC-affiliated institutions (where the investor has control rights through an equity position) and for stand-alone banks before the Basel Accord (when debt issues included restrictive covenants). However, substituting equity for subordinated debt at the bank holding company level or in stand-alone banks since the Basel Accord (where the investor has few protections) only increases the probability of distress and failure. (c) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, Banking Studies, New York, NY USA. RP Ashcraft, AB (reprint author), Fed Reserve Bank New York, Banking Studies, New York, NY USA. EM adam.ashcraft@ny.frb.org NR 15 TC 19 Z9 19 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 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD OCT PY 2008 VL 17 IS 4 SI SI BP 543 EP 561 DI 10.1016/j.jfi.2007.05.003 PG 19 WC Business, Finance SC Business & Economics GA 360VD UT WOS:000260085200007 ER PT J AU Skeie, DR AF Skeie, David R. TI Banking with nominal deposits and inside money SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article; Proceedings Paper CT 3rd Biennial Conference on Credit Risk Transfer and Bank Regulation CY JUN, 2006 CL Basel, SWITZERLAND SP Bank Int Settlesments DE Bank runs; Inside money; Nominal contracts; Demand deposits ID LIQUIDITY PROVISION; INSURANCE; PANICS; EQUILIBRIUM; CRISES; RUNS; INFORMATION; MARKETS; SYSTEMS; MODEL AB Bank runs in the literature take the form of withdrawals of demand deposits payable in real goods, which deplete a fixed reserve of goods in the banking system. That framework describes traditional bank runs based on currency withdrawals as occurred historically in the US and more recently in developing countries. However, in a modern banking system, large withdrawals typically take the form of electronic payments of inside money, with no analog of a depletion of a scarce reserve from the banking system. In a new framework of nominal demand deposits repayable in inside money, pure liquidity-driven bank runs do not occur. If there were excessive early withdrawals. nominal deposits would hedge the bank and flexible monetary prices in the goods market would limit real consumption. The maturity mismatch of short term liabilities and long term assets is not sufficient for multiple equilibria bank runs without other frictions. A key role of the bank is to ensure optimal real liquidity, which allows markets to optimally distribute consumption goods through the price mechanism. (c) 2008 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Skeie, DR (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM david.skeie@ny.frb.org RI Skeie, David/J-4007-2016 OI Skeie, David/0000-0003-1076-7697 NR 41 TC 12 Z9 12 U1 7 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 OCT PY 2008 VL 17 IS 4 SI SI BP 562 EP 584 DI 10.1016/j.jfi.2008.05.001 PG 23 WC Business, Finance SC Business & Economics GA 360VD UT WOS:000260085200008 ER PT J AU Klein, MW Olivei, GP AF Klein, Michael W. Olivei, Giovanni P. TI Capital account liberalization, financial depth, and economic growth SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE capital account openness; financial liberalization; economic growth; financial depth ID INTERMEDIATION; DETERMINANTS; PERFORMANCE AB We show a statistically significant and economically relevant effect of open capital accounts on financial depth and economic growth in a cross-section of countries over the periods 1986-1995 and 1976-1995. Countries having open capital accounts had a significantly greater increase in financial depth and, over the 20-year period, greater economic growth. These results, however, are largely driven by the developed countries included in the sample. The observed failure of capital account liberalization to promote financial deepening among developing countries suggests potentially important policy implications concerning the desirability of opening up the capital account. (C) 2008 Elsevier Ltd. All rights reserved. C1 [Klein, Michael W.] Tufts Univ, Fletcher Sch Law & Diplomacy, Medford, MA 02155 USA. [Klein, Michael W.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Olivei, Giovanni P.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Klein, MW (reprint author), Tufts Univ, Fletcher Sch Law & Diplomacy, Medford, MA 02155 USA. EM michael.klein@tufts.edu NR 27 TC 42 Z9 44 U1 2 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 OCT PY 2008 VL 27 IS 6 BP 861 EP 875 DI 10.1016/j.jimonfin.2008.05.002 PG 15 WC Business, Finance SC Business & Economics GA 351YB UT WOS:000259460800001 ER PT J AU Luechinger, S Meier, S Stutzer, A AF Luechinger, Simon Meier, Stephan Stutzer, Alois TI Bureaucratic rents and life satisfaction SO JOURNAL OF LAW ECONOMICS & ORGANIZATION LA English DT Article ID POLICY; PERSPECTIVE; CORRUPTION; GOVERNMENT; DISCRETION AB Institutions affect bureaucrats' possibilities to acquire rents; they determine the degree of accountability and responsiveness of officials and of political control of the bureaucracy and, thereby, the size and distribution of rents in the public sphere. Those rents can involve higher wages, monetary and nonmonetary fringe benefits, and bribes. We propose a direct measure to capture the total of these rents: the difference in subjective well-being between bureaucrats and people working in the private sector. In a sample of 42 countries, we find large variations in the extent of rents in the public bureaucracy. The extent of rents is determined by differences in institutional and political constraints. In particular, we find judicial independence to be of major relevance for a tamed bureaucracy. Further, our measure for rents correlates with indicators of regulatory policies and perceptions of corruption. C1 [Luechinger, Simon] Univ Zurich, Inst Empir Res Econ, Zurich, Switzerland. [Meier, Stephan] Fed Reserve Bank Boston, Ctr Behav Econ & Decis Making, Boston, MA 02210 USA. [Stutzer, Alois] Univ Basel, Dept Econ & Business, Basel, Switzerland. RP Luechinger, S (reprint author), Univ Zurich, Inst Empir Res Econ, Zurich, Switzerland. EM sluechinger@iew.unizh.ch; stephan.meier@bos.frb.org; alois.stutzer@unibas.ch RI Stutzer, Alois/A-2302-2013 NR 30 TC 11 Z9 11 U1 1 U2 6 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 8756-6222 J9 J LAW ECON ORGAN JI J. Law Econ. Organ. PD OCT PY 2008 VL 24 IS 2 BP 476 EP 488 DI 10.1093/jleo/ewm057 PG 13 WC Economics; Law SC Business & Economics; Government & Law GA 348IL UT WOS:000259204100010 ER PT J AU Del Negro, M Schorfheide, F AF Del Negro, Marco Schorfheide, Frank TI Forming priors for DSGE models (and how it affects the assessment of nominal rigidities) SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Bayesian analysis; DSGE models; Model comparisons; Prior elicitation; Nominal rigidities ID KEYNESIAN MODELS; MONETARY-POLICY; BUSINESS-CYCLE; PRICES AB We discuss prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provide a method for constructing prior distributions for a Subset of these parameters from beliefs about steady-state relationships and second moments of the endogenous variables. The empirical application documents how the specification of the prior distribution affects our assessment of the relative importance of price and wage rigidities in a New Keynesian DSGE model. (C) 2008 Elsevier B.V. All rights reserved. C1 [Del Negro, Marco] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. [Schorfheide, Frank] Univ Penn, Dept Econ, Philadelphia, PA 19104 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; mdn000@gmail.com NR 27 TC 57 Z9 57 U1 2 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 OCT PY 2008 VL 55 IS 7 BP 1191 EP 1208 DI 10.1016/j.jmoneco.2008.09.006 PG 18 WC Business, Finance; Economics SC Business & Economics GA 382DC UT WOS:000261584200002 ER PT J AU Knotek, ES AF Knotek, Edward S., II TI Convenient prices, currency, and nominal rigidity: Theory with evidence from newspaper prices SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Convenient prices; Price rigidity; Menu costs; Newspaper pricing ID MENU COSTS; STICKY PRICES; ADJUSTMENT; MONEY AB Certain items' prices are often set to simplify and expedite transactions, by coinciding with available monetary units, requiring few pieces of money, or requiring little change. In this sense, these prices are more convenient than other proximate prices. This paper models a firm that explicitly incorporates convenience into its pricing decisions-where convenience is quantified by the number of currency units in a transaction-and illustrates the theoretical behaviors that can arise. Newspaper cover price data empirically support the theory. Across a broader range of goods and services, convenience appears to play a role in effecting above-average nominal price rigidity. (C) 2008 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Dept Econ Res, Kansas City, MO 64198 USA. RP Knotek, ES (reprint author), Fed Reserve Bank Kansas City, Dept Econ Res, 1 Mem Dr, Kansas City, MO 64198 USA. EM eward.knotck@kc.frb.org NR 33 TC 8 Z9 8 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 OCT PY 2008 VL 55 IS 7 BP 1303 EP 1316 DI 10.1016/j.jmoneco.2008.07.009 PG 14 WC Business, Finance; Economics SC Business & Economics GA 382DC UT WOS:000261584200009 ER PT J AU Bodenstein, M Erceg, CJ Guerrieri, L AF Bodenstein, Martin Erceg, Christopher J. Guerrieri, Luca TI Optimal monetary policy with distinct core and headline inflation rates SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Energy price shocks; Monetary policy tradeoffs; DSGE models ID RATIONAL-EXPECTATIONS; MODELS AB In a stylized DSGE model with an energy sector, the optimal policy response to an adverse energy supply shock implies a rise in core inflation, a larger rise in headline inflation, and a decline in wage inflation. The optimal policy is well approximated by policies that stabilize the output gap, but also by a wide array of "dual mandate" policies that are not overly aggressive in stabilizing core inflation. Finally, policies that react to a forecast of headline inflation following a temporary energy shock imply markedly different effects than policies that react to a forecast of core, with the former inducing greater volatility in core inflation and the output gap. (C) 2008 Elsevier B.V. All rights reserved. C1 [Bodenstein, Martin; Erceg, Christopher J.; Guerrieri, Luca] Fed Reserve Board, Washington, DC 20551 USA. RP Guerrieri, L (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM Luca.Guerrieri@frb.gov NR 22 TC 18 Z9 19 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 2008 VL 55 SU S BP S18 EP S33 DI 10.1016/j.jmoneco.2008.07.010 PG 16 WC Business, Finance; Economics SC Business & Economics GA 371GY UT WOS:000260821000003 ER PT J AU Bullard, J Singh, A AF Bullard, James Singh, Aarti TI Worldwide macroeconomic stability and monetary policy rules SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Indeterminacy; Sunspot equilibrium; Taylor principle; Great inflation ID BUSINESS-CYCLE; INFLATION; INDETERMINACY; COOPERATION; FRAMEWORK; MODELS AB We Study the interaction of multiple large economies in dynamic stochastic general equilibrium. Each economy has a monetary policy maker that attempts to control the economy through the use of a linear nominal interest rate feedback rule. The main results show how the determinacy of worldwide equilibrium depends on the joint behavior of policyrnakers worldwide. The results also show how indeterminacy exposes all economies to endogenous volatility, even ones where monetary policy may be judged appropriate from a closed economy perspective. Two quantitative cases are discussed. In the 1970s, worldwide equilibrium was characterized by a two-dimensional indeterminacy, despite US adherence to a version of the Taylor principle. In the last 15 years, worldwide equilibrium was still characterized by a one-dimensional indeterminacy, leaving all economies exposed to endogenous volatility. This analysis provides a rationale for a type of international policy coordination, and the gains to Coordination in the sense of avoiding indeterminacy may be large. Published by Elsevier B.V. C1 [Bullard, James] Fed Reserve Bank St Louis, St Louis, MO USA. [Singh, Aarti] Univ Sydney, Sydney, NSW 2006, Australia. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM bullard@stls.frb.org; a.singh@econ.usyd.edu.au RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 39 TC 10 Z9 10 U1 0 U2 2 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 2008 VL 55 SU S BP S34 EP S47 DI 10.1016/j.jmoneco.2008.07.012 PG 14 WC Business, Finance; Economics SC Business & Economics GA 371GY UT WOS:000260821000004 ER PT J AU Levin, AT Lopez-Salido, JD Nelson, E Yun, T AF Levin, Andrew T. Lopez-Salido, J. David Nelson, Edward Yun, Tack TI Macroeconometric equivalence, microeconomic dissonance, and the design of monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Macroeconometric equivalence; Alternative microfoundations; Ramsey optimal monetary policy; Welfare analysis ID PRICE STICKINESS; BUSINESS CYCLES; STICKY PRICES; UNITED-STATES; EURO AREA; LONG-RUN; INFLATION; FRAMEWORK; MONEY; MODEL AB Macroeconometric equivalence means that estimates of DSGE models using first-order approximations to equilibrium conditions fail to distinguish between alternative preference/technology configurations. Microeconomic dissonance means that the underlying microeconomic differences between ostensibly equivalent models become important when optimal monetary policy is derived. The relevance of these concepts is established by analysis of optimal monetary policy using a small-scale New Keynesian model. Microeconomic and financial datasets are promising tools with which to overcome the equivalence/dissonance problem. (C) 2008 Elsevier B.V. All rights reserved. C1 [Nelson, Edward] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Levin, Andrew T.; Lopez-Salido, J. David; Yun, Tack] Fed Reserve Board, Washington, DC 20551 USA. RP Nelson, E (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM edward.nelson@stls.frb.org NR 58 TC 7 Z9 7 U1 1 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 2008 VL 55 SU S BP S48 EP S62 DI 10.1016/j.jmoneco.2008.07.013 PG 15 WC Business, Finance; Economics SC Business & Economics GA 371GY UT WOS:000260821000005 ER PT J AU Orphanides, A Williams, JC AF Orphanides, Athanasios Williams, John C. TI Learning, expectations formation, and the pitfalls of optimal control monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Rational expectations; Robust control; Model uncertainty ID MODEL UNCERTAINTY; CONVERGENCE; ROBUSTNESS; RULES AB The optimal control approach to monetary policy has garnered increased attention in recent years. Optimal control policies, however, are designed for the specific features of a particular model and therefore may not be robust to model misspecification. One important source of potential misspecification is how agents form expectations. Specifically, whether they know the complete structure of the model as assumed in rational expectations or learn using a forecasting model that they update based on incoming data. Simulations of an estimated model of the U.S. economy show that the optimal control policy derived under the assumption of rational expectations can perform poorly when agents learn. The optimal control approach can be made more robust to learning by deemphasizing the stabilization of real economic activity and interest rates relative to inflation in the central bank loss function. That is, robustness to learning provides an incentive to employ a "conservative" central banker. In contrast to optimal control policies, two types of simple monetary policy rules from the literature that have been found to be robust to model misspecification in other contexts are shown to be robust to learning. (C) 2008 Elsevier B.V. All rights reserved. C1 [Williams, John C.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Orphanides, Athanasios] Cent Bank Cyprus, CY-1076 Nicosia, Cyprus. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM Athanasios.Orphanides@centralbank.gov.cy; john.C.Williams@sf.frb.org RI Williams, John/A-8226-2009 NR 45 TC 8 Z9 8 U1 0 U2 8 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 2008 VL 55 SU S BP S80 EP S96 DI 10.1016/j.jmoneco.2008.08.002 PG 17 WC Business, Finance; Economics SC Business & Economics GA 371GY UT WOS:000260821000007 ER PT J AU Rudebusch, GD Swanson, ET AF Rudebusch, Glenn D. Swanson, Eric T. TI Examining the bond premium puzzle with a DSGE model SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Yield curve; Term premium; Bond pricing ID TERM-STRUCTURE DYNAMICS; INTEREST-RATES; MONETARY-POLICY; EQUITY PREMIUM; ASSET RETURNS; NO-ARBITRAGE; RISK; CONSUMPTION; ECONOMIES; BEHAVIOR AB The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the "bond premium puzzle." We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to the data. We find that introducing long-memory habits in consumption as well as labor market frictions can help fit the term premium, but only by seriously distorting the DSGE model's ability to fit other macroeconomic variables, such as the real wage: therefore, the bond premium puzzle remains. (C) 2008 Elsevier B.V. All rights reserved. C1 [Rudebusch, Glenn D.; Swanson, Eric T.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Swanson, ET (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM eric.swanson@sf.frb.org NR 50 TC 29 Z9 29 U1 1 U2 5 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 2008 VL 55 SU S BP S111 EP S126 DI 10.1016/j.jmoneco.2008.07.007 PG 16 WC Business, Finance; Economics SC Business & Economics GA 371GY UT WOS:000260821000009 ER PT J AU Chari, VV Kehoe, PJ AF Chari, Varadarajan V. Kehoe, Patrick J. TI Time inconsistency and free-riding in a monetary union SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE monetary regime; fixed exchange rates; dollarization; European Union; Maastricht Treaty ID FISCAL-POLICY; DISCRETION AB In monetary unions, a time inconsistency problem in monetary policy leads to a novel type of free-rider problem in the setting of non-monetary policies. The free-rider problem leads union members to pursue lax non-monetary policies that induce the monetary authority to generate high inflation. Free-riding can be mitigated by imposing constraints on non-monetary policies. Without a time inconsistency problem, the union has no free-rider problem; then constraints on non-monetary policies are unnecessary and possibly harmful. This theory is here detailed and applied to several non-monetary policies: labor market policy, fiscal policy, and bank regulation. C1 [Chari, Varadarajan V.; Kehoe, Patrick J.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Chari, Varadarajan V.; Kehoe, Patrick J.] Fed Reserve Bank, Res Dept, Minneapolis, MN 55401 USA. [Kehoe, Patrick J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Chari, VV (reprint author), Univ Minnesota, Dept Econ, 4-101 Hanson Hall,1925 4th St S, Minneapolis, MN 55455 USA. EM chari@res.mpls.frb.fed.us; pkehoe@res.mpls.frb.fed.us NR 19 TC 14 Z9 14 U1 0 U2 7 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2008 VL 40 IS 7 BP 1329 EP 1355 DI 10.1111/j.1538-4616.2008.00162.x PG 27 WC Business, Finance; Economics SC Business & Economics GA 350OF UT WOS:000259361400001 ER PT J AU Engelhardt, B Rocheteau, G Rupert, P AF Engelhardt, Bryan Rocheteau, Guillaume Rupert, Peter TI Crime and the labor market: A search model with optimal contracts SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Crime; Unemployment; Search; Matching ID UNEMPLOYMENT; EDUCATION; DECLINE; RATES AB This paper extends the Pissarides [Pissarides, Christopher A. Equilibrium Unemployment Theory. Cambridge: MIT (2000)] model of the labor market to include crime and punishment A la Becker [Becker, Gary S. "Crime and punishment: an economic approach." journal of Political Economy 76 (1968): 169-217]. All workers, irrespective of their labor force status, can commit crimes and the employment contract is determined optimally. The model is used to study, analytically and quantitatively, the effects of various labor market and crime policies. For instance, a more generous unemployment insurance system reduces the crime rate of the unemployed but its effect on the crime rate of the employed depends on job duration and jail sentences. When the model is calibrated to U.S. data, the overall effect is to decrease crime, but is quantitatively small. Small wage subsidies reduce unemployment and crime rates of employed and unemployed workers, and raise society's welfare. Hiring subsidies reduce unemployment but they can raise the crime rate of employed workers. Crime policies (police technology and jail sentences) affect crime rates significantly but have only negligible effects on the labor market. (C) 2008 Elsevier B.V. All rights reserved. C1 [Rupert, Peter] Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. [Engelhardt, Bryan] Coll Holy Cross, Worcester, MA USA. [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Rocheteau, Guillaume] Univ Calif Irvine, Irvine, CA USA. RP Rupert, P (reprint author), Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. EM rupert@econ.ucsb.edu NR 35 TC 12 Z9 12 U1 1 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 OCT PY 2008 VL 92 IS 10-11 BP 1876 EP 1891 DI 10.1016/j.jpubeco.2008.04.016 PG 16 WC Economics SC Business & Economics GA 378WF UT WOS:000261354600002 ER PT J AU Malin, BA AF Malin, Benjamin A. TI Hyperbolic discounting and uniform savings floors SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Hyperbolic discounting; General equilibrium; Commitment AB Previous research suggests that, in partial equilibrium, individuals whose decision-making exhibits a present-bias - such as hyperbolic discounters who tend to over-consume - will be in favor of having a floor imposed on their savings. In this paper, I show it is quite difficult for the introduction of a savings floor to be Pareto improving in general equilibrium. Indeed, a necessary condition for the floor to be Pareto improving is that it is high enough to be binding for all individuals. Even in that case, because the equilibrium interest rate adjusts with the level of the savings floor, some individuals may prefer to commit to a future time path of consumption by facing a high interest rate (and no floor) rather than a high floor. An essential insight for understanding this result is to note that even those with little self-control (in an absolute sense) will choose to save a lot when the interest rate is high enough. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Malin, BA (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 97,20th St & Constitut Ave NW, Washington, DC 20551 USA. EM benjamin.a.malin@frb.gov NR 11 TC 3 Z9 3 U1 0 U2 2 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 OCT PY 2008 VL 92 IS 10-11 BP 1986 EP 2002 DI 10.1016/j.jpubeco.2008.03.008 PG 17 WC Economics SC Business & Economics GA 378WF UT WOS:000261354600008 ER PT J AU Armenter, R AF Armenter, Roc TI A note on incomplete factor taxation SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Ramsey equilibrium; Incomplete Factor Taxation ID CAPITAL INCOME; MODEL AB Optimal capital taxes may be positive in the steady state in Ramsey models with an incomplete set of factor taxes. I show this possibility crucially depends on how fiscal policy is constrained at date t=0. If the government is barred from manipulating the value of initial assets, the Chamley-Judd result reappears: the optimal capital tax is always zero in the steady state. (C) 2008 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY USA. RP Armenter, R (reprint author), Fed Reserve Bank New York, New York, NY USA. EM roc.armenter@ny.frb.org NR 9 TC 5 Z9 5 U1 2 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 OCT PY 2008 VL 92 IS 10-11 BP 2275 EP 2281 DI 10.1016/j.jpubeco.2008.04.015 PG 7 WC Economics SC Business & Economics GA 378WF UT WOS:000261354600026 ER PT J AU Schmitz, JA Teixeira, A AF Schmitz, James A., Jr. Teixeira, Arilton TI Privatization's impact on private productivity: The case of Brazilian iron ore SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE State-owned enterprises; Privatization; Productivity ID EFFICIENCY; AIRLINES AB A major motivation for the recent wave of privatizations of state-owned enterprises (SOEs) was a belief that privatization would increase SOE productivity. There are now many studies showing most privatizations achieved this goal. Our theme is that the productivity gains from privatization are much more general and widespread than has typically been recognized in this literature. In assessing the productivity gains from privatization, the literature has only examined the productivity gains accruing at the privatized SOEs. But privatization may have significant impact on the private producers that often exist side-by-side SOEs. In this paper we show that this was indeed the case when Brazil privatized its SOEs in the iron ore industry. That is, after their privatization, the iron ore SOEs dramatically increased their labor productivity, but so did the private iron ore companies in the industry. (c) 2008 Elsevier Inc. All rights reserved. C1 [Schmitz, James A., Jr.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Schmitz, JA (reprint author), Fed Reserve Bank Minneapolis, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM jas@res.mpls.frb.fed.us NR 13 TC 6 Z9 6 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2008 VL 11 IS 4 BP 745 EP 760 DI 10.1016/j.red.2008.01.001 PG 16 WC Economics SC Business & Economics GA 358QU UT WOS:000259933400003 ER PT J AU Kehoe, TJ Ruhl, KJ AF Kehoe, Timothy J. Ruhl, Kim J. TI Are shocks to the terms of trade shocks to productivity? SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Terms of trade; Gross domestic product; Total factor productivity; National income accounting ID INCOME AB International trade is frequently thought of as a production technology in which the inputs are exports and the outputs are imports. Exports are transformed into imports at the rate of the price of exports relative to the price of imports: the reciprocal of the terms of trade. Cast this way. a change in the terms of trade acts as a productivity shock. Or does it? In this paper, we show that this line of reasoning cannot work in standard models. Starting with a simple model and then generalizing, we show that changes in the terms of trade have no first-order effect on productivity when output is measured as chain-weighted real GDP. The terms of trade do affect real income and consumption in a country, and we show how measures of real income change with the terms of trade at business cycle frequencies and during financial crises. (c) 2008 Elsevier Inc. All rights reserved. C1 [Kehoe, Timothy J.] Univ Minnesota, Minneapolis, MN 55455 USA. [Kehoe, Timothy J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Kehoe, Timothy J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Ruhl, Kim J.] Univ Texas Austin, Austin, TX 78712 USA. RP Kehoe, TJ (reprint author), Univ Minnesota, 4-101 Hanson Hall, Minneapolis, MN 55455 USA. EM tkehoe@econ.umn.edu OI Ruhl, Kim/0000-0002-5772-7396 NR 24 TC 34 Z9 34 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2008 VL 11 IS 4 BP 804 EP 819 DI 10.1016/j.red.2008.04.001 PG 16 WC Economics SC Business & Economics GA 358QU UT WOS:000259933400006 ER PT J AU Kennickell, AB AF Kennickell, Arthur B. TI What is the difference? Evidence on the distribution of wealth, health, life expectancy, and health insurance coverage SO STATISTICS IN MEDICINE LA English DT Article; Proceedings Paper CT 11th Biennial Symposium on Statistical Methods CY APR 17-18, 2007 CL Atlanta, GA SP CDC, ATSDR DE wealth distribution; health differentials; health and wealth ID INCOME INEQUALITY; UNITED-STATES; MORTALITY AB There is a literature of long standing that considers the relationship between income and differentials in mortality and morbidity, but information on differentials over the distribution of accumulated wealth have been far more scarce and subject to measurement problems. This paper provides evidence from the Survey of Consumer Finances, which is designed as a survey of wealth, on the distribution of wealth and income and how those distributions have shifted in recent years. Particular attention is paid to the distribution of wealth across minority groups and across age groups. The paper also examines the relationship between wealth and health status, life expectancy, and health insurance coverage. Copyright (C) 2008 John Wiley & Sons, Ltd. C1 Fed Reserve Board, Micrecon Surveys, Washington, DC USA. RP Kennickell, AB (reprint author), Fed Reserve Board, Micrecon Surveys, Mail Stop 153, Washington, DC USA. EM Arthur.Kennickell@frb.gov NR 12 TC 7 Z9 7 U1 1 U2 4 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0277-6715 J9 STAT MED JI Stat. Med. PD SEP 10 PY 2008 VL 27 IS 20 BP 3927 EP 3940 DI 10.1002/sim.3375 PG 14 WC Mathematical & Computational Biology; Public, Environmental & Occupational Health; Medical Informatics; Medicine, Research & Experimental; Statistics & Probability SC Mathematical & Computational Biology; Public, Environmental & Occupational Health; Medical Informatics; Research & Experimental Medicine; Mathematics GA 345AH UT WOS:000258967900002 PM 18680166 ER PT J AU Eggertsson, GB AF Eggertsson, Gauti B. TI Great Expectations and the End of the Depression SO AMERICAN ECONOMIC REVIEW LA English DT Article ID NOMINAL INTEREST-RATES; MONETARY-POLICY; LIQUIDITY TRAP; GENERAL EQUILIBRIUM; STICKY PRICES; GOLD STANDARD; FISCAL-POLICY; DEFLATION; PERSISTENCE; DISCRETION AB This paper suggests that the US recovery from the Great Depression was driven by a shift in expectations. This shift was caused by President Franklin Delano Roosevelt's policy actions. On the monetary policy side, Roosevelt abolished the gold standard and-even more importantly-announced the explicit objective of inflating the price level to pre-Depression, levels. On the fiscal policy side, Roosevelt expanded real and deficit spending, which made his policy objective credible. These actions violated prevailing policy dogmas and initiated a policy regime change as in Sargent (1983) and Temin and Wigmore (1990). The economic consequences of Roosevelt are evaluated in a dynamic stochastic general equilibrium model with nominal frictions. C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Eggertsson, GB (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM Gauti.Eggertsson@ny.frb.org NR 79 TC 58 Z9 58 U1 2 U2 20 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 SEP PY 2008 VL 98 IS 4 BP 1476 EP 1516 DI 10.1257/aer.98.4.1476 PG 41 WC Economics SC Business & Economics GA 359IB UT WOS:000259978600013 ER PT J AU Coughlin, CC Eberts, RW Sloboda, B Yao, VW AF Coughlin, Cletus C. Eberts, Randall W. Sloboda, Brian Yao, Vincent W. TI Introduction to the special issue: transportation investment and economic development SO ANNALS OF REGIONAL SCIENCE LA English DT Editorial Material C1 [Coughlin, Cletus C.] Fed Reserve Bank St Louis, St Louis, MO USA. [Eberts, Randall W.] WE Upjohn Inst Employment Res, Kalamazoo, MI USA. [Sloboda, Brian; Yao, Vincent W.] Fannie Mae, Washington, DC USA. RP Coughlin, CC (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM Cletus.C.Coughlin@stls.frb.org RI Coughlin, Cletus/K-6860-2016; OI Coughlin, Cletus/0000-0002-8304-2796; Yao, Vincent/0000-0002-4660-8199 NR 0 TC 1 Z9 1 U1 0 U2 0 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 SEP PY 2008 VL 42 IS 3 BP 501 EP 503 DI 10.1007/s00168-007-0179-6 PG 3 WC Environmental Studies; Geography SC Environmental Sciences & Ecology; Geography GA 325JJ UT WOS:000257584900001 ER PT J AU Gerardi, K Lehnert, A Sherlund, SM Willen, P AF Gerardi, Kristopher Lehnert, Andreas Sherlund, Shane M. Willen, Paul TI Making, Sense of the Subprime Crisis SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article; Proceedings Paper CT 86th Conference of the Brookings Panel on Economic Activity CY SEP 11-12, 2008 CL Washington, DC ID LONG-RUN RELATIONSHIP; HOUSE PRICES; OPTIONS; CREDIT; RISK AB Should market participants have anticipated the large increase in home foreclosures in 2007 and 2008? Most of these foreclosures stemmed from mortgage loans originated in 2005 and 2006, raising suspicions that lenders originated many extremely risky loans during this period. We show that although these loans did carry extra risk factors, particularly increased leverage, reduced underwriting standards alone cannot explain the dramatic rise in foreclosures. We also investigate whether market participants underestimated the likelihood of a fall in home prices or the sensitivity of foreclosures to falling prices. We show that given available data, they should have understood that a significant price drop would raise foreclosures sharply, although loan-level (as opposed to ownership-level) models would have predicted a smaller rise than occurred. Analyst reports and other contemporary discussions reveal that analysts generally understood that falling prices would have disastrous consequences but assigned that outcome a low probability. C1 [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Willen, Paul] Fed Reserve Bank Boston, Boston, MA USA. RP Gerardi, K (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. RI Lehnert, Andreas/H-1692-2012 NR 41 TC 46 Z9 46 U1 4 U2 13 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 2008 IS 2 BP 69 EP 159 PG 91 WC Economics SC Business & Economics GA 480QE UT WOS:000268750500002 ER PT J AU Brown, SPA Yucel, MK AF Brown, Stephen P. A. Yuecel, Mine K. TI Deliverability and regional pricing in US natural gas markets SO ENERGY ECONOMICS LA English DT Article DE natural gas; pricing; pipelines; deregulation; causality testing ID COINTEGRATION; PRICES AB During the 1980s and early 90s, interstate natural gas markets in the United States made a transition away from the regulation that characterized the previous three decades. With abundant supplies and plentiful pipeline capacity, a new order emerged in which freer markets and arbitrage closely linked natural gas price movements throughout the country. After the mid-1990s, however, U.S. natural gas markets tightened and some pipelines were pushed to capacity. We look for the pricing effects of limited arbitrage through causality testing between prices at nodes on the U.S. natural gas transportation system and interchange prices at regional nodes on North American electricity grids. Our tests do reveal limited arbitrage, which is indicative of bottlenecks in the U.S. natural gas pipeline system. (C) 2008 Elsevier B.V. All rights reserved. C1 [Brown, Stephen P. A.; Yuecel, Mine K.] Fed Res Bank Dallas, Dallas, TX USA. RP Brown, SPA (reprint author), Fed Res Bank Dallas, Dallas, TX USA. EM stephen.p.brown@dal.frb.org NR 13 TC 15 Z9 15 U1 4 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0140-9883 J9 ENERG ECON JI Energy Econ. PD SEP PY 2008 VL 30 IS 5 BP 2441 EP 2453 DI 10.1016/j.eneco.2007.12.015 PG 13 WC Economics SC Business & Economics GA 342SZ UT WOS:000258805100022 ER PT J AU Brown, SPA Huntington, HG AF Brown, Stephen P. A. Huntington, Hillard G. TI Energy security and climate change protection: Complementarity or tradeoff? SO ENERGY POLICY LA English DT Article DE energy security; climate change; energy policy AB Energy security and climate change protection have risen to the forefront of energy policy-linked in time and a perception that both goals can be achieved through the same or similar policies. Although such complementarity can exist for individual technologies, policymakers face a tradeoff between these two policy objectives. The tradeoff arises when policymakers choose the mix of individual technologies with which to reduce greenhouse gas emissions and enhance energy security. Optimal policy is achieved when the cost of the additional use of each technology equals the value of the additional energy security and reduction in greenhouse gas emission that it provides. Such an approach may draw more heavily on conventional technologies that provide benefits in only one dimension than on more costly technologies that both increase energy security and reduce greenhouse gas emissions. (C) 2008 Elsevier Ltd. All rights reserved. C1 [Brown, Stephen P. A.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Huntington, Hillard G.] Stanford Univ, Stanford, CA 94305 USA. RP Brown, SPA (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. EM stephen.p.brown@dal.frb.org NR 7 TC 24 Z9 24 U1 0 U2 3 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0301-4215 J9 ENERG POLICY JI Energy Policy PD SEP PY 2008 VL 36 IS 9 BP 3510 EP 3513 DI 10.1016/j.enpol.2008.05.027 PG 4 WC Energy & Fuels; Environmental Sciences; Environmental Studies SC Energy & Fuels; Environmental Sciences & Ecology GA 353TW UT WOS:000259592200029 ER PT J AU Benz, M Meier, S AF Benz, Matthias Meier, Stephan TI Do people behave in experiments as in the field? evidence from donations SO EXPERIMENTAL ECONOMICS LA English DT Article DE experiments; external validity; methodology; charitable giving ID MEASURING SOCIAL PREFERENCES; DICTATOR AB Laboratory experiments are an important methodology in economics, especially in the field of behavioral economics. However, it is still debated to what extent results from laboratory experiments are informative about behavior in field settings. One highly important question about the external validity of experiments is whether the same individuals act in experiments as they would in the field. This paper presents evidence on how individuals behave in donation experiments and how the same individuals behave in a naturally occurring decision situation on charitable giving. While we find evidence that pro-social behavior is more accentuated in the lab, the data show that pro-social behavior in experiments is correlated with behavior in the field. C1 [Meier, Stephan] Fed Reserve Bank Boston, Ctr Behav Econ & Decis Making, Boston, MA 02210 USA. [Benz, Matthias] Univ Zurich, Inst Empir Res Econ, Zurich, Switzerland. RP Meier, S (reprint author), Fed Reserve Bank Boston, Ctr Behav Econ & Decis Making, 600 Atlantic Ave, Boston, MA 02210 USA. EM stephan.meier@bos.frb.org NR 18 TC 85 Z9 86 U1 4 U2 24 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 1386-4157 J9 EXP ECON JI Exp. Econ. PD SEP PY 2008 VL 11 IS 3 BP 268 EP 281 DI 10.1007/s10683-007-9192-y PG 14 WC Economics SC Business & Economics GA 333QZ UT WOS:000258168700006 ER PT J AU Kliesen, KL AF Kliesen, Kevin L. TI Oil and the US macroeconomy: An update and a simple forecasting exercise SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PRICE SHOCKS; MONETARY-POLICY; ACCURACY AB Some analysts and economists recently warned that the U.S. economy faces a much higher risk of recession should the price of oil rise to $100 per barrel or more. In February 2008, spot crude oil prices closed above $100 per barrel for the first time ever, and since then they have climbed even higher. Meanwhile, according to some surveys of economists, it is highly probable that a recession began in the United States in late 2007 or early 2008. Although the findings in this paper are consistent with the view that the U.S. economy has become much less sensitive to large changes in oil prices, a simple forecasting exercise using Hamilton's model augmented with the first principal component of 85 macroeconomic variables reveals that a permanent increase in the price of crude oil to $150 per barrel by the end of 2008 could have a significant negative effect on the growth rate of real gross domestic product in the short run. Moreover, the model also predicts that such an increase in oil prices would produce much higher overall and core inflation rates in 2009 than most policymakers expect. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. RP Kliesen, KL (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 27 TC 2 Z9 2 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 SEP-OCT PY 2008 VL 90 IS 5 BP 505 EP 516 PG 12 WC Business, Finance; Economics SC Business & Economics GA 350XV UT WOS:000259388000002 ER PT J AU Mizen, P AF Mizen, Paul TI The credit crunch of 2007-2008: A discussion of the background, market reactions, and policy responses SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 25th Symposium on Banking and Monetary Economics CY JUN 18-20, 2008 CL Univ Luxembourg, Luxembourg, LUXEMBOURG HO Univ Luxembourg AB This paper discusses the events surrounding the 2007-08 credit crunch. It highlights the period of exceptional macrostability, the global savings glut, and financial innovation in mortgage-backed securities as the precursors to the crisis. The credit crunch itself occurred when house prices fell and subprime mortgage defaults increased. These events caused investors to reappraise the risks of high-yielding securities, bank failures, and sharp increases in the spreads on funds in interbank markets. The paper evaluates the actions of the authorities that provided liquidity to the markets and failing banks and indicates areas where improvements could be made. Similarly, it examines the regulation and supervision during this time and argues the need for changes to avoid future crises. C1 [Mizen, Paul] Univ Nottingham, Ctr Finance Credit Markets, Nottingham NG7 2RD, England. RP Mizen, P (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. NR 47 TC 36 Z9 38 U1 0 U2 17 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 2008 VL 90 IS 5 BP 531 EP 567 PG 37 WC Business, Finance; Economics SC Business & Economics GA 350XV UT WOS:000259388000004 ER PT J AU Hunt, R Kahin, B AF Hunt, Robert Kahin, Brian TI Reexamining the patent system SO ISSUES IN SCIENCE AND TECHNOLOGY LA English DT Article C1 [Hunt, Robert] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Kahin, Brian] Univ Michigan, Sch Informat, Ann Arbor, MI 48109 USA. RP Hunt, R (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM kahin@umich.edu NR 0 TC 0 Z9 0 U1 0 U2 2 PU NATL ACAD SCIENCES PI WASHINGTON PA 2101 CONSTITUTION AVE NW, WASHINGTON, DC 20418 USA SN 0748-5492 J9 ISSUES SCI TECHNOL JI Issues Sci. Technol. PD FAL PY 2008 VL 25 IS 1 BP 32 EP 34 PG 3 WC Engineering, Multidisciplinary; Engineering, Industrial; Multidisciplinary Sciences; Social Issues SC Engineering; Science & Technology - Other Topics; Social Issues GA 353GD UT WOS:000259553200024 ER PT J AU Carpenter, RE Guariglia, A AF Carpenter, Robert E. Guariglia, Alessandra TI Cash flow, investment, and investment opportunities: New tests using UK panel data SO JOURNAL OF BANKING & FINANCE LA English DT Article DE investment; Tobin's Q; cash flow; financial constraints ID FINANCING CONSTRAINTS; INVENTORY INVESTMENT; INTERNAL FINANCE; FIRM INVESTMENT; CAPITAL-MARKET; SENSITIVITIES; MODELS; POLICY; IMPERFECTIONS; TRANSMISSION AB The interpretation of the correlation between cash flow and investment is controversial. Some argue that it is caused by financial constraints. others by the correlation between cash flow and investment opportunities that are not properly measured by Tobin's Q. This paper Uses UK firms' contracted capital expenditure to capture information about opportunities available only to insiders and thus not included in Q. When this variable is added to investment regressions, the explanatory power of cash flow falls for large firms. but remains Unchanged for small firms. This suggest that the significance of cash flow stems from its role in capturing the effects of credit frictions, (C) 2007 Elsevier B.V. All rights reserved. C1 [Carpenter, Robert E.] Univ Maryland, Dept Econ, Baltimore, MD 21250 USA. [Carpenter, Robert E.] Fed Reserve Bank Richmond Risk & Policy, Richmond, VA 23219 USA. [Guariglia, Alessandra] Univ Nottingham, Sch Econ, Nottingham NG7 2RD, England. RP Carpenter, RE (reprint author), Univ Maryland, Dept Econ, 1000 Hilltop Circle, Baltimore, MD 21250 USA. EM bobc@umbc.edu; alessandra.guariglia@nottingham.ac.uk NR 63 TC 35 Z9 37 U1 4 U2 20 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 2008 VL 32 IS 9 BP 1894 EP 1906 DI 10.1016/j.jbankfin.2007.12.014 PG 13 WC Business, Finance; Economics SC Business & Economics GA 349FJ UT WOS:000259266400015 ER PT J AU Hale, G Santos, JAC AF Hale, Galina Santos, Joao A. C. TI The decision to first enter the public bond market: The role of firm reputation, funding choices, and bank relationships SO JOURNAL OF BANKING & FINANCE LA English DT Article DE bond IPO; bond financing; reputation; bank relationships; survival analysis ID CORPORATE-DEBT; FINANCIAL INTERMEDIATION; EMPIRICAL-ANALYSIS; MORAL HAZARD; INFORMATION; PRIVATE; OFFERINGS; LOANS; EQUILIBRIUM; UNIQUENESS AB This paper Uses survival analysis to investigate the timing of a firm's decision to issue for the first time in the public bond market. We find that firms that are more creditworthy and have higher demand for external funds issue their first public bond earlier. We also find that issuing private bonds or taking Out syndicated loans is associated with a faster entry to the public bond market. According to Our results, the relationships that firms develop with investment banks in connection with their private bond issues and syndicated loans further speed up their entry to the public bond market. Finally, we find that a firms reputation has a "U-shaped" effect on the timing of a firm's bond IPO. Consistent with Diamond's reputational theory, firms that establish a track record of high creditworthiness as well as those that establish a track record of low creditworthiness enter the public bond market earlier than firms with intermediate reputation. Published by Elsevier B.V. C1 [Santos, Joao A. C.] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. [Hale, Galina] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94105 USA. RP Santos, JAC (reprint author), Fed Reserve Bank New York, Res Dept, 33 Liberty St, New York, NY 10045 USA. EM joao.santos@ny.frb.org RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; OI Hale, Galina/0000-0002-5604-9730; santos, joao/0000-0002-6002-5969 NR 45 TC 17 Z9 17 U1 3 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD SEP PY 2008 VL 32 IS 9 BP 1928 EP 1940 DI 10.1016/j.jbankfin.2007.12.016 PG 13 WC Business, Finance; Economics SC Business & Economics GA 349FJ UT WOS:000259266400018 ER PT J AU Moench, E AF Moench, Emanuel TI Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach SO JOURNAL OF ECONOMETRICS LA English DT Article DE Yield curve; Factor-augmented VAR; Affine term structure models; Dynamic factor models; Forecasting ID MONETARY-POLICY; TERM STRUCTURE; STATIONARY BOOTSTRAP; PRINCIPAL COMPONENTS; MODELS; VARIABLES; NUMBER AB This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model uses the short rate and the common components of a large number of macroeconomic variables as factors. Precisely, the dynamics of the short rate are modeled with a Factor-Augmented Vector Auto regression and the term structure is derived using parameter restrictions implied by no-arbitrage. The model has economic appeal and provides better out-of-sample yield forecasts at intermediate and long horizons than a number of previously suggested approaches. The forecast improvement is highly significant and particularly pronounced for short and medium-term maturities. Published by Elsevier B.V. C1 Fed Reserve Bank New York, New York, NY 10045 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 NR 28 TC 31 Z9 31 U1 0 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 SEP PY 2008 VL 146 IS 1 BP 26 EP 43 DI 10.1016/j.jeconom.2008.06.002 PG 18 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 363MR UT WOS:000260271900003 ER PT J AU Kocherlakota, N Wright, R AF Kocherlakota, Narayana Wright, Randall TI Introduction to monetary and macro economics SO JOURNAL OF ECONOMIC THEORY LA English DT Editorial Material DE monetary economics; macro economics; Neil wallace ID PRICES; SEARCH; MONEY AB This introduces the symposium on monetary and macro economics. (C) 2008 Elsevier Inc. All rights reserved. C1 [Kocherlakota, Narayana] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Kocherlakota, Narayana] Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55401 USA. [Wright, Randall] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. RP Kocherlakota, N (reprint author), Univ Minnesota, Dept Econ, 271 19th Ave S, Minneapolis, MN 55455 USA. EM nkocher@econ.umn.edu; rwright@econ.upenn.edu NR 21 TC 0 Z9 0 U1 5 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 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2008 VL 142 IS 1 BP 1 EP 4 DI 10.1016/j.jet.2008.05.004 PG 4 WC Economics SC Business & Economics GA 354RD UT WOS:000259655800001 ER PT J AU Ales, L Carapella, F Maziero, P Weber, WE AF Ales, Laurence Carapella, Francesca Maziero, Pricila Weber, Warren E. TI A model of banknote discounts SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE banks; random matching; banknotes ID PRICES; SEARCH; MONEY AB Prior to 1863, state-chartered banks in the United States issued notes-dollar-denominated promises to pay specie to the bearer on demand. Although these notes circulated at par locally, they usually were quoted at a discount outside the local area. These discounts varied by both the location of the bank and the location where the discount was being quoted. Further, these discounts were asymmetric across locations, meaning that the discounts quoted in location A on the notes of banks in location B generally differed from the discounts quoted in location B on the notes of banks in location A. Also, discounts generally increased when banks suspended payments on their notes. In this paper we construct a random matching model to qualitatively match these facts about banknote discounts. To attempt to account for locational differences, the model has agents that come from two distinct locations. Each location also has bankers that can issue notes. Banknotes are accepted in exchange because banks are required to produce when a banknote is presented for redemption and their past actions are public information. Overall, the model delivers predictions consistent with the behavior of discounts. Published by Elsevier Inc. C1 [Ales, Laurence; Carapella, Francesca; Maziero, Pricila; Weber, Warren E.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. [Ales, Laurence; Carapella, Francesca; Maziero, Pricila; Weber, Warren E.] Univ Minnesota, Minneapolis, MN 55455 USA. RP Weber, WE (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. EM wew@minneapolisfed.org NR 7 TC 4 Z9 4 U1 2 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 SEP PY 2008 VL 142 IS 1 BP 5 EP 27 DI 10.1016/j.jet.2006.10.010 PG 23 WC Economics SC Business & Economics GA 354RD UT WOS:000259655800002 ER PT J AU Andolfatto, D Nosal, E AF Andolfatto, David Nosal, Ed TI Bank incentives, contract design and bank runs SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE self-interested banker; private record keeping; bank contracts; bank runs ID FINANCIAL INTERMEDIATION AB We study the Diamond-Dybvig [Bank runs, deposit insurance. and liquidity, J. Polit. Econ. 91 (1983) 401-419] model as developed in Green and Lin [Implementing efficient allocations in a model of financial intermediation, J. Econ. Theory 109 (2003) 1-23] and Peck and Shell [Equilibrium bank runs. J. Polit. Econ. 111 (2003) 103-123]. We dispense with the notion of a bank as a coalition of depositors. Instead, our bank is a self-interested agent with a technological advantage in record-keeping. We examine the implications of the resulting agency problem for the design of bank contracts and the possibility of bank-run equilibria. For a special case, we discover that the agency problem may or may not simplify the qualitative structure of bank liabilities. We also find that the uniqueness result in Green and Lin [Implementing efficient allocations in a model of financial intermediation, J. Econ. Theory 109 (2003) 1-23] is robust to our form of agency. but that the non-uniqueness result in Peck and Shell [Equilibrium bank runs, J. Polit. Econ. 111 (2003) 103-123] is not. (C) 2008 Elsevier Inc. All rights reserved. C1 [Nosal, Ed] Fed Reserve Bank Chicago, Financial Markets Grp, Chicago, IL 60604 USA. [Andolfatto, David] Simon Fraser Univ, Dept Econ, Burnaby, BC V5A 1S6, Canada. [Andolfatto, David] Rimini Ctr Econ Anal, Rimini, Italy. RP Nosal, E (reprint author), Fed Reserve Bank Chicago, Financial Markets Grp, 230 S LaSalle St, Chicago, IL 60604 USA. EM ed.nosal@chi.frb.org RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 8 TC 4 Z9 4 U1 7 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 2008 VL 142 IS 1 BP 28 EP 47 DI 10.1016/j.jet.2007.07.011 PG 20 WC Economics SC Business & Economics GA 354RD UT WOS:000259655800003 ER PT J AU Chatterjee, S Corbae, D Rios-Rull, JV AF Chatterjee, Satyajit Corbae, Dean Rios-Rull, Jose-Victor TI A finite-life private-information theory of unsecured consumer debt SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE unsecured consumer debt; bankruptcy; default; adverse selection; credit score; insurance ID MONOTONE COMPARATIVE STATICS; INSURANCE MARKETS; SOVEREIGN DEBT AB We present a theory of unsecured consumer debt that does not rely on utility costs of default or on enforcement mechanisms that arise in repeated-interaction settings. The theory is based on private information about a person's type and on a person's incentive to signal his type to entities other than creditors. Specifically, debtors signal their low-fisk status to insurers by avoiding default in credit markets. The signal is credible because in equilibrium people who repay are more likely to be the low-risk type and so receive better insurance terms. We explore two different mechanisms through which repayment behavior in the credit market can be positively correlated with low-risk status in the insurance market. Our theory is motivated in part by some facts regarding the role of credit scores in consumer credit and auto insurance markets. (C) 2007 Elsevier Inc. All rights reserved. C1 [Chatterjee, Satyajit] Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. [Corbae, Dean] Univ Texas Austin, Austin, TX 78712 USA. [Rios-Rull, Jose-Victor] Univ Penn, CAERP, CEPR, Philadelphia, PA 19104 USA. [Rios-Rull, Jose-Victor] NBER, Cambridge, MA 02138 USA. RP Chatterjee, S (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19106 USA. EM satyajit.chatterjee@phi1.frb.org NR 13 TC 11 Z9 11 U1 2 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 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2008 VL 142 IS 1 BP 149 EP 177 DI 10.1016/j.jet.2007.01.018 PG 29 WC Economics SC Business & Economics GA 354RD UT WOS:000259655800008 ER PT J AU Lagos, R Rocheteau, G AF Lagos, Ricardo Rocheteau, Guillaume TI Money and capital as competing media of exchange SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE commodity money; fiat money AB We construct a model where capital competes with fiat money as a medium of exchange, and establish conditions on fundamentals under which fiat money can be both valued and socially beneficial. When the socially efficient stock of capital is too low to provide the liquidity agents need, they overaccumulate productive assets to use as media of exchange. When this is the case, there exists a monetary equilibrium that dominates the nonmonetary one in terms of welfare. Under the Friedman Rule, fiat money provides just enough liquidity so that agents choose to accumulate the same capital stock a social planner would. (C) 2006 Elsevier Inc. All rights reserved. C1 [Lagos, Ricardo] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. [Lagos, Ricardo] NYU, New York, NY 10003 USA. [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. RP Lagos, R (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM Ricardo.Lagos@nyu.edu; Guillaume.Rocheteau@clev.frb.org NR 12 TC 48 Z9 48 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 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2008 VL 142 IS 1 BP 247 EP 258 DI 10.1016/j.jet.2006.07.005 PG 12 WC Economics SC Business & Economics GA 354RD UT WOS:000259655800013 ER PT J AU Rocheteau, G Rupert, P Shell, K Wright, R AF Rocheteau, Guillaume Rupert, Peter Shell, Karl Wright, Randall TI General equilibrium with nonconvexities and money SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE extrinsic uncertainty; general equilibrium; indivisible goods; lotteries; lottery equilibrium; monetary economics; money; nonconvexities; search; sunspot equilibrium; sunspots ID MONETARY STEADY-STATE; RANDOM-MATCHING MODEL; BUSINESS-CYCLE; SEARCH EQUILIBRIUM; INDIVISIBLE MONEY; DIVISIBLE MONEY; PRICES; EXISTENCE; LOTTERIES; CONTINUUM AB In a general-equilibrium economy with nonconvexities, there are sunspot equilibria with good welfare properties; sunspots can ameliorate the effects of the nonconvexities. For these economies, we show that agents act as if they have quasi-linear utility functions. We use this result to construct a new model of monetary exchange along the lines of Lagos and Wright. where trade occurs in both centralized and decentralized markets, but instead of quasi-linear preferences we assume general preferences but with indivisible labor. This suggests that modern monetary theory is more robust than one might have thought. It also constitutes progress on the classic problem of integrating monetary economics and general-equilibrium theory. (C) 2007 Elsevier Inc. All rights reserved. C1 [Shell, Karl] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA. [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. [Rupert, Peter] Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. [Wright, Randall] Univ Penn, Philadelphia, PA 19104 USA. RP Shell, K (reprint author), Cornell Univ, Dept Econ, 402 Uris Hall, Ithaca, NY 14853 USA. EM guillaume.rocheteau@clev.frb.org; rupert@econ.ucsb.edu; ks22@cornell.edu; rwright@econ.upenn.edu NR 42 TC 13 Z9 13 U1 0 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 SEP PY 2008 VL 142 IS 1 BP 294 EP 317 DI 10.1016/j.jet.2006.07.011 PG 24 WC Economics SC Business & Economics GA 354RD UT WOS:000259655800015 ER PT J AU Hanson, SG Pesaran, MH Schuermann, T AF Hanson, Samuel G. Pesaran, M. Hashem Schuermann, Til TI Firm heterogeneity and credit risk diversification SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE risk management; correlated defaults; factor models; portfolio choice ID DEFAULT RISK; BANKRUPTCY; PREDICTION; ARBITRAGE; SPREADS; MODELS AB This paper examines the impact of neglected heterogeneity on credit risk. We show that neglecting heterogeneity in firm returns and/or default thresholds leads to underestimation of expected losses (EL), and its effect on portfolio risk is ambiguous. Once EL is controlled for, the impact of neglecting parameter heterogeneity is complex and depends on the source and degree of heterogeneity. We show that ignoring differences in default thresholds results in overestimation of risk, while ignoring differences in return correlations yields ambiguous results. Our empirical application, designed to be typical and representative, combines both and shows that neglected heterogeneity results in overestimation of risk. Using a portfolio of U.S. firms we illustrate that heterogeneity in the default threshold or probability of default, measured for instance by a credit rating, is of first order importance in affecting the shape of the loss distribution: including ratings heterogeneity alone results in a 20% drop in loss volatility and a 40% drop in 99.9% VaR, the level to which the risk weights of the New Basel Accord are calibrated. (C) 2008 Elsevier B.V. All rights reserved. C1 [Schuermann, Til] Fed Reserve Bank New York, New York, NY 10045 USA. [Hanson, Samuel G.] Harvard Univ, Harvard Business Sch, Dept Econ, Cambridge, MA 02138 USA. [Pesaran, M. Hashem] Univ Cambridge, Cambridge CB2 1TN, England. [Pesaran, M. Hashem] USC, Los Angeles, CA 90089 USA. RP Schuermann, T (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM shanson@fas.harvard.edu; mhp1@cam.ac.uk; til.schuermann@ny.frb.org NR 53 TC 18 Z9 18 U1 2 U2 6 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 2008 VL 15 IS 4 BP 583 EP 612 DI 10.1016/j.jempfin.2007.11.002 PG 30 WC Business, Finance; Economics SC Business & Economics GA 334BV UT WOS:000258198200001 ER PT J AU Eisenbeis, RA Kaufman, GG AF Eisenbeis, Robert A. Kaufman, George G. TI Cross-border banking and financial stability in the EU SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Deposit insurance; Supervision and regulation; Prompt corrective action AB This paper examines the implications that alternative regulatory structures may have for resolving failed banking institutions. Emphasis on the European Union (EU), which is both economically and financially large and has several features relating to cross-border banking in the form of direct investment that may heighten the problems we consider. To ensure the efficient resolution of bank failures with minimum, if any, credit and liquidity losses a four step program should be followed. This includes prompt legal closure of institutions before they become economically insolvent, prompt identification of claims and assignment of losses, prompt reopening of failed institutions, and prompt re-capitalizing and re-privatization of failed institutions. These policies together with a prompt corrective action system could be voluntarily adopted through the use of deposit insurance premium discounts as an incentive. (C) 2007 Elsevier B.V. All rights reserved. C1 [Eisenbeis, Robert A.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Kaufman, George G.] Loyola Univ Chicago, Chicago, IL USA. EM 770rae@gmail.com NR 53 TC 12 Z9 12 U1 2 U2 6 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 SEP PY 2008 VL 4 IS 3 BP 168 EP 204 DI 10.1016/j.jfs.2007.09.004 PG 37 WC Business, Finance; Economics SC Business & Economics GA V13JE UT WOS:000207662300002 ER PT J AU Mayes, DG Nieto, MJ Wall, L AF Mayes, David G. Nieto, Maria J. Wall, Larry TI Multiple safety net regulators and agency problems in the EU: Is Prompt Corrective Action partly the solution? SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Prompt Corrective Action; EU; Banking regulation; Cross-border AB Prompt Corrective Action (PCA) provides a more efficient mechanism for dealing with problem banks operating in more than one European country. In a PCA framework, a bank's losses are likely to be substantially reduced. This reduction in the losses to deposit insurance and governments will improve the problem of allocating those losses across the various insurance schemes and make it less likely that any deposit insurer will renege on its obligations in a cross-border banking crisis. This paper presents a stylized mechanism aimed at dealing with the cross-border agency problems that arise in supervising and resolving cross-border banking groups in the European Union (EU). The authors assume that PCA policies have been implemented by the national supervisors and explore the institutional changes needed in Europe if PCA is to be effective as an incentive compatible mechanism. The paper identifies these changes starting with enhancements in the availability of information on banking groups to supervisors. Next, the paper considers the collective decision making by supervisors with authority to make discretionary decisions within the PCA framework as soon as a bank of a cross-border banking group falls below the minimum capital standard. Finally, the paper analyzes the coordination measures that should be implemented if PCA requires the bank to be resolved. (C) 2007 Elsevier B.V. All rights reserved. C1 [Mayes, David G.] Univ Auckland, Helsinki 00101, Finland. [Mayes, David G.] Bank Finland, Helsinki 00101, Finland. [Nieto, Maria J.] Banco Espana, Madrid 28014, Spain. [Wall, Larry] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Mayes, DG (reprint author), Univ Auckland, POB 160, Helsinki 00101, Finland. EM david.mayes@bof.fi; maria.nieto@bde.es; larry.wall@atl.frb.org NR 29 TC 7 Z9 7 U1 1 U2 3 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 SEP PY 2008 VL 4 IS 3 BP 232 EP 257 DI 10.1016/j.jfs.2007.10.001 PG 26 WC Business, Finance; Economics SC Business & Economics GA V13JE UT WOS:000207662300004 ER PT J AU Cohen-Cole, E Fletcher, JM AF Cohen-Cole, Ethan Fletcher, Jason M. TI Is obesity contagious? Social networks vs. environmental factors in the obesity epidemic SO JOURNAL OF HEALTH ECONOMICS LA English DT Article DE obesity; peer effects; social networks ID BODY-MASS INDEX; IDENTIFICATION; PREVALENCE; ADULTS AB This note's aim is to investigate the sensitivity of Christakis and Fowler's claim [Christakis, N., Fowler, J., 2007. The spread of obesity in a large social network over 32 years. The New England Journal of Medicine 357, 370-379] that obesity has spread through Social networks. It is well known in the economics literature that failure to include contextual effects can lead 10 spurious inference on "social network effects." We replicate the NEJM results using their specification and a complementary dataset. We find that point estimates of the "social network effect" are reduced and become statistically indistinguishable from zero once standard econometric techniques are implemented. We further note the presence of estimation bias resulting from use of an incorrectly specified dynamic model. (c) 2008 Elsevier B.V. All rights reserved. C1 [Fletcher, Jason M.] Yale Univ, Sch Publ Hlth, Div Hlth Policy & Adm, New Haven, CT 06510 USA. [Cohen-Cole, Ethan] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Fletcher, JM (reprint author), Yale Univ, Sch Publ Hlth, Div Hlth Policy & Adm, 60 Coll St, New Haven, CT 06510 USA. EM jason.fletcher@yale.edu FU National Institute of Child Health and Human Development [P01-HD31921] FX The authors thank Elizabeth Bradley, Paul Cleary,John Mullahy, David Paltiel, and Jody Sindelar for very helpfu I comments and Jonathan Morse for research assistance. This research uses data from Add Health, a program project designed by J. Richard Udry, Peter S. Bearman, and Kathleen Mullan Harris, and funded by grant P01-HD31921 from the National Institute of Child Health and Human Development, with cooperative funding from 17 other agencies. Special acknowledgment is due to Ronald R. Rindfuss and Barbara Entwisle for assistance in the original design. Persons interested in obtaining data files from Add Health should contact Add Health, Carolina Population Center, 123 W. Franklin Street, Chapel Hill, NC 27516-2524 (addhealth@unc.edu). NR 18 TC 178 Z9 178 U1 3 U2 73 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6296 J9 J HEALTH ECON JI J. Health Econ. PD SEP PY 2008 VL 27 IS 5 BP 1382 EP 1387 DI 10.1016/j.jhealeco.2008.04.005 PG 6 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA 355DR UT WOS:000259689800020 PM 18571258 ER PT J AU Hellerstein, R AF Hellerstein, Rebecca TI Who bears the cost of a change in the exchange rate? Pass-through accounting for the case of beer SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE cross-border transmission; pass-through accounting; exchange-rate pass-through; pricing to market ID PRICING-TO-MARKET; PRODUCT DIFFERENTIATION; RATE DYNAMICS; MODELS; PRICES; OLIGOPOLY; INDUSTRY; POWER AB Nominal exchange rates are remarkably volatile. They ordinarily appear disconnected from the fundamentals of the economies whose currencies they price. These facts make up a classic puzzle about the international economy. If prices do not respond fully to changes in the nominal exchange rate, who bears the cost of such large and unpredictable changes: foreign firms, domestic firms, or domestic consumers? This study presents a new analysis of the sources of incomplete pass-through and then uses this analysis to re-examine its implications for social welfare. I develop and estimate a structural model that analyzes the sources of local-currency price stability for a particular industry. The model enables counterfactual simulations that quantify the relative importance of firms' local-cost components and markup adjustments in the incomplete transmission of exchange-Fate shocks to prices and the effect of the exchange-rate shock on domestic and foreign firms' profits and on consumer surplus. The model is applied to a panel dataset of one industry with retail and wholesale prices for UPC-level products. I find that markup adjustments by manufacturers and the retailer explain roughly half of the incomplete transmission and local-cost components account for the other half. Foreign manufacturers generally bear a greater cost (or reap a greater benefit) following an exchange-rate-induced marginal-cost shock than do domestic consumers, domestic manufacturers, or the domestic retailer. (C) 2008 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Hellerstein, R (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Rebecca.Hellerstein@ny.frb.org NR 32 TC 34 Z9 34 U1 1 U2 3 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 2008 VL 76 IS 1 BP 14 EP 32 DI 10.1016/j.jinteco.2008.03.007 PG 19 WC Economics SC Business & Economics GA 347GG UT WOS:000259128000002 ER PT J AU Quintin, E AF Quintin, Erwan TI Limited enforcement and the organization of production SO JOURNAL OF MACROECONOMICS LA English DT Article DE limited enforcement; organization of production; economic development ID OCCUPATIONAL CHOICE; INFORMAL SECTOR; ECONOMIC-GROWTH; ENTREPRENEURSHIP; COMMITMENT; MARKETS; MODEL; SIZE; DEBT AB This paper describes a dynamic, general equilibrium model designed to gauge the importance of contractual imperfections in the form of limited enforcement for international differences in the organization of production. In the model, limited enforcement constrains agents to operate establishments below their optimal scale. As a result, economies where contracts are enforced more efficiently tend to be richer and emphasize large scale production. Calibrated simulations of the model reveal that these effects can be large and account for a sizeable part of the observed differences in the size distribution of manufacturing establishments between the United States, Mexico and Argentina. (c) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Quintin, E (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM erwan.quintin@dal.frb.org NR 40 TC 12 Z9 12 U1 0 U2 2 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 2008 VL 30 IS 3 BP 1222 EP 1245 DI 10.1016/j.jmacro.2007.05.005 PG 24 WC Economics SC Business & Economics GA 355AR UT WOS:000259681500024 ER PT J AU Williamson, SD AF Williamson, Stephen D. TI Monetary policy and distribution SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Monetary policy; Segmented markets ID EXCHANGE-RATES; MONEY; MODEL; INFLATION; SEARCH AB A segmented markets model of monetary policy is constructed, in which a novel feature is goods market segmentation, and its relationship to conventional asset market segmentation. The implications of the model for the response of prices, interest rates, consumption, labor supply, and output to monetary policy are determined. As well, optimal monetary policy is studied, as are the costs of inflation. The model features persistent nonneutralities of money, relative price effects of increases in the money Supply, persistent liquidity effects. and a negative Fisher effect from a money supply increase. A Friedman rule is in general suboptimal. (C) 2008 Elsevier B.V. All rights reserved. C1 [Williamson, Stephen D.] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Williamson, Stephen D.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Williamson, SD (reprint author), Washington Univ, Dept Econ, St Louis, MO 63130 USA. EM swilliam@artsci.wust.edu RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 20 TC 16 Z9 16 U1 0 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 SEP PY 2008 VL 55 IS 6 BP 1038 EP 1053 DI 10.1016/j.jmoneco.2008.07.001 PG 16 WC Business, Finance; Economics SC Business & Economics GA 369JZ UT WOS:000260692000003 ER PT J AU Berentsen, A Monnet, C AF Berentsen, Aleksander Monnet, Cyril TI Monetary policy in a channel system SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Monetary policy; interest rates; Search ID MONEY; SEARCH; MODEL; CREDIT; ECONOMICS; BANKING; PRICES AB Channel systems for conducting monetary policy are becoming increasingly popular. Despite its popularity, the consequences of implementing policy with a channel system are not well understood. We develop a general equilibrium framework of a channel system and study the optimal policy. A novel aspect of the channel system is that a central bank can "tighten" or "loosen" its policy without changing its policy rate. This policy instrument has so far been overlooked by a large body of the literature on the optimal design of interest-rate rules. (C) 2008 Elsevier B.V. All rights reserved. C1 [Berentsen, Aleksander] Univ Basel, Dept Econ, CH-4003 Basel, Switzerland. [Monnet, Cyril] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Berentsen, A (reprint author), Univ Basel, Dept Econ, CH-4003 Basel, Switzerland. EM aleksander.berentsen@unibas.ch NR 33 TC 16 Z9 16 U1 1 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 SEP PY 2008 VL 55 IS 6 BP 1067 EP 1080 DI 10.1016/j.jmoneco.2008.07.002 PG 14 WC Business, Finance; Economics SC Business & Economics GA 369JZ UT WOS:000260692000005 ER PT J AU Corsetti, G Dedola, L Leduc, S AF Corsetti, Giancarlo Dedola, Luca Leduc, Sylvain TI High exchange-rate volatility and low pass-through SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE DSGE models; International business cycle; Purchasing-power parity puzzle ID OPEN-ECONOMY MODELS; MONETARY-POLICY; GOODS PRICES; DYNAMICS; MARKET AB Two specifications of an open-economy model are shown to generate high exchangerate volatility and low exchange-rate pass-through (ERPT). In the model, price discrimination causes ERPT to be incomplete in both the short and the long run. In the short run, a small amount of nominal rigidities is enough to reduce ERPT sharply: still, exchange-rate depreciation worsens the terms of trade, consistent with the evidence. Possible biases from omitted variables and measurement error in the ERPT empirical literature (due to data limitations) are investigated using model-generated time series. Estimates of ERPT coefficients can be quite different from true parameters, and are sensitive to the shocks driving the economies. Estimates can nonetheless detect key structural features of the models. (C) 2008 Elsevier B.V. All rights reserved. C1 [Corsetti, Giancarlo] Univ Rome III, Dept Econ, I-50016 Fiesole, Italy. [Corsetti, Giancarlo] Univ Rome III, Robert Schuman Ctr, European Univ Inst, I-50016 Fiesole, Italy. [Corsetti, Giancarlo] CEPR, I-50016 Fiesole, Italy. [Dedola, Luca] European Cent Bank, D-60066 Frankfurt, Germany. [Dedola, Luca] CEPR, D-60066 Frankfurt, Germany. [Leduc, Sylvain] Fed Reserve Board, Washington, DC 20551 USA. RP Corsetti, G (reprint author), Univ Rome III, Dept Econ, Via Roccettini 9, I-50016 Fiesole, Italy. EM Giancarlo.Corsetti@eui.eu; luca.dedola@ecb.int; Sylvain.Leduc@frb.gov OI Corsetti, Giancarlo/0000-0001-8965-9853 NR 36 TC 47 Z9 47 U1 2 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 SEP PY 2008 VL 55 IS 6 BP 1113 EP 1128 DI 10.1016/j.jmoneco.2008.05.013 PG 16 WC Business, Finance; Economics SC Business & Economics GA 369JZ UT WOS:000260692000008 ER PT J AU Dotsey, M Duarte, M AF Dotsey, Michael Duarte, Margarida TI Nontraded goods, market segmentation, and exchange rates SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Exchange rates; Nontraded goods; Distribution services; Incomplete asset markets ID BUSINESS CYCLES; FLUCTUATIONS; MODELS; TRADE AB Empirical evidence suggests that movements in international relative prices are large and persistent. Nontraded goods, both in the form of final consumption goods and as an input into the production of final tradable goods, are an important aspect driving international relative price movements. In this paper we show that nontraded goods play an important role in the context of an otherwise standard open-economy macromodel. Our quantitative study with nontraded goods generates implications along several dimensions that are more closely in line with the data relative to the model that abstracts from nontraded goods. (C) 2008 Elsevier B.V. All rights reserved. C1 [Duarte, Margarida] Univ Toronto, Dept Econ, Toronto, ON M5S 3G7, Canada. [Dotsey, Michael] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Duarte, M (reprint author), Univ Toronto, Dept Econ, Toronto, ON M5S 3G7, Canada. EM michael.dotsey@phil.frb.org; margarida.duarte@utoronto.ca RI nipe, cef/A-4218-2010 NR 32 TC 13 Z9 13 U1 1 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 SEP PY 2008 VL 55 IS 6 BP 1129 EP 1142 DI 10.1016/j.jmoneco.2008.07.011 PG 14 WC Business, Finance; Economics SC Business & Economics GA 369JZ UT WOS:000260692000009 ER PT J AU Veracierto, M AF Veracierto, Marcelo TI On the cyclical behavior of employment, unemployment and labor force participation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Business cycles; Employment; Unemployment; Labor force participation ID BUSINESS-CYCLE; JOB DESTRUCTION; EQUILIBRIUM UNEMPLOYMENT; MARKET; FLUCTUATIONS; SEARCH; CREATION; MODEL AB In this paper I evaluate to what extent a real business cycle (RBC) model that incorporates search and home production decisions can simultaneously account for the observed behavior of employment, unemployment and out-of-the-labor-force. This contrasts with the previous RBC literature, which analyzed employment or hours fluctuations either by lumping together unemployment and out-of-the-labor-force into a single non-employment state or by assuming a fixed labor force. Once the three employment states are explicitly introduced I find that the RBC model generates highly counterfactual labor market dynamics. (C) 2008 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. RP Veracierto, M (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S LaSalle St, Chicago, IL 60604 USA. EM mveracierto@frbchi.org NR 29 TC 20 Z9 20 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 SEP PY 2008 VL 55 IS 6 BP 1143 EP 1157 DI 10.1016/j.jmoneco.2008.07.008 PG 15 WC Business, Finance; Economics SC Business & Economics GA 369JZ UT WOS:000260692000010 ER PT J AU Kimball, MS Sahm, CR Shapiro, MD AF Kimball, Miles S. Sahm, Claudia R. Shapiro, Matthew D. TI Imputing Risk Tolerance From Survey Responses SO JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION LA English DT Article DE Interval regression; Measurement error; Ordered probit with known bounds; Proxy variable; Response error; Risk aversion; Risk tolerance; Surveys ID LIFETIME PORTFOLIO SELECTION AB Economic theory assigns a central role to risk preferences. This article develops a measure of relative risk tolerance using response to hypothetical income gambles in the Health and Retirement Study. In contrast to most survey measures that produce an ordinal metric, this article shows how to construct a cardinal proxy for the risk tolerance of each survey respondent. The article also shows how to account for measurement error in estimating this proxy and how to obtain consistent regression estimates despite the measurement error. The risk tolerance proxy is shown to explain differences in asset allocation across households. C1 [Kimball, Miles S.] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Kimball, Miles S.; Shapiro, Matthew D.] Univ Michigan, Survey Res Ctr, Ann Arbor, MI 48109 USA. [Kimball, Miles S.; Shapiro, Matthew D.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Sahm, Claudia R.] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Kimball, MS (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. EM mkimball@umich.edu; claudia.r.sahm@frb.gov; shapiro@umich.edu FU NIA NIH HHS [R01 AG020638-05, R01 AG020638, P01 AG010179-05]; NICHD NIH HHS [R24 HD041028] NR 11 TC 37 Z9 37 U1 3 U2 12 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0162-1459 J9 J AM STAT ASSOC JI J. Am. Stat. Assoc. PD SEP PY 2008 VL 103 IS 483 BP 1028 EP 1038 DI 10.1198/016214508000000139 PG 11 WC Statistics & Probability SC Mathematics GA 362JJ UT WOS:000260193700011 PM 20407599 ER PT J AU Bucks, B Pence, K AF Bucks, Brian Pence, Karen TI Do borrowers know their mortgage terms? SO JOURNAL OF URBAN ECONOMICS LA English DT Article ID WEALTH; CONSTRAINTS; MARKET AB We assess whether borrowers know their mortgage terms by comparing the distributions of these variables in the household-reported Survey of Consumer Finances (SCF) to the distributions in lender-reported data. We also examine the characteristics of SCIF respondents who report riot knowing these contract terms. Although most borrowers seem to know basic mortgage terms, borrowers with adjustable-rate mortgages appear likely to underestimate or to not know how much their interest rates could change. Borrowers who could experience large payment changes if interest rates rose are more likely to report not knowing these contract terms. Difficulties with gathering and processing information appear to be a factor in borrowers' lack of knowledge. Published by Elsevier Inc. C1 [Bucks, Brian; Pence, Karen] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Pence, K (reprint author), Fed Reserve Syst, Board Governors, 20th & C St, Washington, DC 20551 USA. EM brian.k.bucks@frb.gov; karen.pence@frb.gov NR 61 TC 51 Z9 51 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD SEP PY 2008 VL 64 IS 2 BP 218 EP 233 DI 10.1016/j.jue.2008.07.005 PG 16 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 353SQ UT WOS:000259588900003 ER PT J AU Foote, CL Gerardi, K Willen, PS AF Foote, Christopher L. Gerardi, Kristopher Willen, Paul S. TI Negative equity and foreclosure: Theory and evidence SO JOURNAL OF URBAN ECONOMICS LA English DT Article ID MORTGAGES; VALUATION AB Recent declines in housing prices have focused attention on the relationship between negative housing equity and mortgage default. Theory implies that negative equity is a necessary condition for default, but not a sufficient one. This often-misunderstood result is clearly illustrated in a dataset of Massachusetts homeowners during the early 1990s; fewer than 10 percent of borrowers likely to have had negative equity at the end of 1991 experienced a foreclosure during the following three years. An econometric model of default estimated on two decades of Massachusetts housing data also predicts low default rates for current negative-equity borrowers. We develop a simple theoretical model to interpret these empirical findings and to assess potential foreclosure-reduction policies. Our results imply that lenders and policymakers face an information problem in trying to help borrowers with negative equity. because it is hard to determine which owners really need help in order to stay in their homes. (C) 2008 Elsevier Inc. All rights reserved. C1 [Foote, Christopher L.; Willen, Paul S.] Fed Reserve Bank Boston, Boston, MA 02205 USA. [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Willen, Paul S.] NBER, Cambridge, MA 02138 USA. RP Willen, PS (reprint author), Fed Reserve Bank Boston, POB 55882, Boston, MA 02205 USA. EM Chris.Foote@bos.frb.org; Kristopher.Gerardi@atl.frb.org; Paul.Willen@bos.frb.org NR 15 TC 99 Z9 99 U1 0 U2 12 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD SEP PY 2008 VL 64 IS 2 BP 234 EP 245 DI 10.1016/j.jue.2008.07.006 PG 12 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 353SQ UT WOS:000259588900004 ER PT J AU Haughwout, A Peach, R Tracy, J AF Haughwout, Andrew Peach, Richard Tracy, Joseph TI Juvenile delinquent mortgages: Bad credit or bad economy? SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE housing; mortgage default; subprime mortgages; negative equity ID DEFAULT; PREPAYMENT; OPTIONS AB We study early default, defined as serious delinquency or foreclosure in the first year. among nonprime mortgages from the 2001 to 2007 vintages. After documenting a dramatic rise in such defaults and discussing their correlates, we examine two primary explanations: changes in underwriting standards that took place over this period, and changes in the economic environment. We find that while credit standards were important in determining the probability of an early default, changes in the economy-especially a sharp reversal in house price appreciation-after 2004 were the more critical factor in the increases in default rates that we observe. An important additional result is that in spite of our rich set of covariates, much of the increase remains unexplained, even in retrospect. Thus, the fact that the credit markets seemed surprised by the rate of early defaults in the 2006 and 2007 nonprime vintages becomes more understandable. (C) 2008 Elsevier Inc. All rights reserved. C1 [Haughwout, Andrew; Peach, Richard; Tracy, Joseph] Fed Reserve Bank New York, New York, NY 10045 USA. RP Haughwout, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Andrew.Haughwout@ny.frb.org; Richard.Peach@ny.frb.org; Joseph.Tracy@ny.frb.org NR 21 TC 31 Z9 31 U1 0 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD SEP PY 2008 VL 64 IS 2 BP 246 EP 257 DI 10.1016/j.jue.2008.07.008 PG 12 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 353SQ UT WOS:000259588900005 ER PT J AU Lee, Y AF Lee, Yoonsoo TI Geographic redistribution of US manufacturing and the role of state development policy SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE entry; exit; relocation; tax incentive ID UNITED-STATES; FIRM GROWTH; LOCATION DECISIONS; EMPLOYMENT GROWTH; INDUSTRIES; INCENTIVES; RELOCATION; IMPACTS; TAXES; SIZE AB Competition among state and local governments to lure businesses has attracted considerable interest from economists. as well as legislators and policy makers. This paper quantifies the role of plant relocations in the geographic redistribution of manufacturing employment and examines the effectiveness of state development policy. Only a few studies have looked at how manufacturing firms locate their production facilities geographically; they have used either small manufacturing samples or small geographic regions. This paper provides broader evidence of the impact of plant relocations using confidential establishment level data from the US Census Longitudinal Research Database (LRD), covering the full population of manufacturing establishments in the United States over the period from 1972 to 1992. This paper finds a relatively small role for relocation in explaining the disparity of manufacturing employment growth rates across states. Moreover, it finds evidence of very weak effects of incentive programs on plant relocations. (C) 2008 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. RP Lee, Y (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM yoonsoo.lee@clev.frb.org NR 39 TC 14 Z9 15 U1 2 U2 18 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD SEP PY 2008 VL 64 IS 2 BP 436 EP 450 DI 10.1016/j.jue.2008.04.001 PG 15 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 353SQ UT WOS:000259588900016 ER PT J AU Cagetti, M De Nardi, M AF Cagetti, Marco De Nardi, Mariacristina TI WEALTH INEQUALITY: DATA AND MODELS SO MACROECONOMIC DYNAMICS LA English DT Review DE Inequality; Savings; Life-Cycle Models ID LIFE-CYCLE; UNITED-STATES; INTERGENERATIONAL TRANSFERS; PRECAUTIONARY SAVINGS; CAPITAL ACCUMULATION; INCOME HYPOTHESIS; SIZE DISTRIBUTION; HOUSEHOLD WEALTH; ENTREPRENEURSHIP; RETIREMENT AB In the United States wealth is highly concentrated and very unequally distributed: the richest 1% hold one third of the total wealth in the economy. Understanding the determinants of wealth inequality is a challenge for many economic models. We summarize some key facts about the wealth distribution and what economic models have been able to explain so far. C1 [De Nardi, Mariacristina] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. [Cagetti, Marco] Fed Reserve Syst, Board Governors, Washington, DC USA. [De Nardi, Mariacristina] NBER, Cambridge, MA 02138 USA. RP De Nardi, M (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S La Salle St, Chicago, IL 60604 USA. EM denardim@nber.org NR 103 TC 34 Z9 34 U1 2 U2 18 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 2008 VL 12 BP 285 EP 313 DI 10.1017/S1365100507070150 PG 29 WC Economics SC Business & Economics GA 361YD UT WOS:000260163000005 ER PT J AU Follette, G Kusko, A Lutz, B AF Follette, Glenn Kusko, Andrea Lutz, Byron TI State and Local Finances and the Macroeconomy. The High-Employment Budget and Fiscal Impetus SO NATIONAL TAX JOURNAL LA English DT Article AB We use two measures of fiscal policy-the high-employment budget and fiscal impetus-to examine the interplay of the macroeconomy and state and local government budgets. We find that each one percent increase in GDP raises state and local net saving (as measured in the NIPA) by 0.1 percent of GDP through the automatic cyclical response of taxes and expenditures. We also find that the sector's budget policies have been modestly pro-cyclical: The direct contribution to growth in real GDP has been about 0.2 percentage points smaller, on average,following business cycle peaks than it was before the peaks. C1 [Follette, Glenn; Kusko, Andrea; Lutz, Byron] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Follette, G (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 10 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 2008 VL 61 IS 3 BP 531 EP 545 PG 15 WC Business, Finance; Economics SC Business & Economics GA 373OJ UT WOS:000260981100011 ER PT J AU Kodrzycki, YK AF Kodrzycki, Yolanda K. TI The Crisis in State and Local Government Statistics SO NATIONAL TAX JOURNAL LA English DT Article AB This article provides an unofficial summary of the findings and recommendations of the Panel on Research and Development Priorities for the U.S. Census Bureau's State and Local Government Statistics Program. The panel was convened by the Committee on National Statistics of the National Research Council, one of the four organizations that comprise the National Academies. The author served as a member of this panel. Robust statistical systems produce products that are important to understanding the changing state of the economy and to formulating sound policy But statistical systems, like physical infrastructures, become obsolete or depreciate with time if they are not maintained. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Kodrzycki, YK (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 1 TC 0 Z9 0 U1 0 U2 2 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 2008 VL 61 IS 3 BP 547 EP 553 PG 7 WC Business, Finance; Economics SC Business & Economics GA 373OJ UT WOS:000260981100012 ER PT J AU Lutz, BF AF Lutz, Byron F. TI The Connection Between House Price Appreciation and Property Tax Revenues SO NATIONAL TAX JOURNAL LA English DT Article ID LEVY GROWTH; VALUES; REVALUATION AB This paper explores two aspects of the connection between property tax revenues and house prices. First, I estimate the elasticity of property tax revenues with respect to house prices. This elasticity does not necessarily equal one as governments may adjust effective tax rates to offset changes in property values. Second, I examine the timing of the relationship. Institutional features of the property tax make it unlikely that changes in house prices will immediately influence tax revenues. The results suggest that the elasticity eventually equals 0.4 and that it takes three years for house price changes to impact tax revenues. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Lutz, BF (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 24 TC 12 Z9 12 U1 2 U2 8 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 2008 VL 61 IS 3 BP 555 EP 572 PG 18 WC Business, Finance; Economics SC Business & Economics GA 373OJ UT WOS:000260981100013 ER PT J AU Blau, DM van der Klaauw, W AF Blau, David M. van der Klaauw, Wilbert TI A demographic analysis of the family structure experiences of children in the United States SO REVIEW OF ECONOMICS OF THE HOUSEHOLD LA English DT Article DE Family structure; Children; Marriage; Cohabitation AB This paper analyzes the family structure experiences of children in the U.S. Childbearing and transitions among single, cohabiting, and married states are analyzed jointly. A novel contribution is to distinguish men by their relationship to children: biological father or stepfather. The analysis uses data from the NLSY79. A key finding is that children of black mothers spend on average only 33% of their childhood living with the biological father and mother, compared to 74% for children of white mothers. The two most important proximate demographic determinants of the large racial gap are the much higher propensity of black women to conceive children outside of a union, and the lower rate of "shotgun'' unions for blacks compared to whites. Another notable finding is that cohabitation plays a negligible role in the family structure experiences of children of white mothers, and even for children of black mothers accounts for less than one fifth of time spent living with both biological parents. C1 [Blau, David M.] Ohio State Univ, Dept Econ, Columbus, OH 43210 USA. [Blau, David M.] Ohio State Univ, Initiat Populat Res, Columbus, OH 43210 USA. [van der Klaauw, Wilbert] Fed Reserve Bank New York, New York, NY 10045 USA. RP Blau, DM (reprint author), Ohio State Univ, Dept Econ, Arps Hall,1945 N High St, Columbus, OH 43210 USA. EM Blau.12@osu.edu NR 33 TC 5 Z9 5 U1 2 U2 4 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 2008 VL 6 IS 3 BP 193 EP 221 DI 10.1007/s11150-008-9030-9 PG 29 WC Economics SC Business & Economics GA V13UI UT WOS:000207691300001 ER PT J AU Korniotis, GM AF Korniotis, George M. TI Habit formation, incomplete markets, and the significance of regional risk for expected returns SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID CONSUMPTION-BASED EXPLANATION; MUTUAL FUND PERFORMANCE; EQUITY PREMIUM PUZZLE; BETA-PRICING MODELS; CROSS-SECTION; STOCK RETURNS; HETEROGENEOUS CONSUMERS; AGGREGATE CONSUMPTION; IDIOSYNCRATIC RISK; COVARIANCE-MATRIX AB This paper introduces a consumption-based capital asset pricing model (CCAPM) that combines undiversifiable income shocks and external habit formation. Using US state-level data, the paper provides realistic estimates for preference parameters when the external habit of the state investors is based on the consumption of the four Census regions. The model also implies four asset pricing factors: the cross-sectional means of consumption growth and habit growth (capturing national systematic risk) and the cross-sectional variances of consumption growth and habit growth (capturing regional systematic risk). This four-factor model has greater power in explaining expected returns than the CCAPM described in Breeden (1979). C1 [Korniotis, George M.] Fed Reserve Board, Div Res & Stat, Washington, DC USA. RP Korniotis, GM (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Risk Anal Sect, Mail Stop 91,20th St & Constitut Ave NW, Washington, DC 20551 USA. EM George.M.Korniotis@frb.gov NR 60 TC 11 Z9 11 U1 5 U2 7 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 2008 VL 21 IS 5 BP 2139 EP 2172 DI 10.1093/rfs/hhn074 PG 34 WC Business, Finance; Economics SC Business & Economics GA 350CY UT WOS:000259331400008 ER PT J AU Cooper, RN AF Cooper, Richard N. TI Doubling Our World's Economy SO WORLD POLICY JOURNAL LA English DT Article C1 [Cooper, Richard N.] Harvard Univ, Cambridge, MA 02138 USA. [Cooper, Richard N.] Fed Reserve Bank Boston, Boston, MA USA. [Cooper, Richard N.] Yale Univ, New Haven, CT 06520 USA. RP Cooper, RN (reprint author), Harvard Univ, Cambridge, MA 02138 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0740-2775 J9 WORLD POLICY J JI World Policy J. PD FAL PY 2008 VL 25 IS 3 BP 41 EP 46 DI 10.1162/wopj.2008.25.3.41 PG 6 WC International Relations SC International Relations GA 363RY UT WOS:000260285600006 ER PT J AU Hotchkiss, JL Pitts, AM Robertson, JC AF Hotchkiss, Julie L. Pitts, M. Melinda Robertson, John C. TI The push-pull effects of the information technology boom and bust SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE push-pull; migration; information technology; administrative data ID UNITED-STATES; INTERNAL MIGRATION; SELF-SELECTION; EARNINGS AB This article examines the inflow and outflow of workers to different industries in Georgia during the information technology (IT) boom of the 1990s and the subsequent bust. Workers in the software and computer services industry were much more likely to have been absent from the Georgia workforce before the boom but were no more likely than workers from other industries to have exited Georgia's workforce during the bust. Consequently, Georgia likely experienced a net gain in worker human capital as a result of being an area of concentration of IT-producing activity during the IT boom. C1 [Hotchkiss, Julie L.; Pitts, M. Melinda; Robertson, John C.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hotchkiss, Julie L.] Georgia Inst Technol, Atlanta, GA 30332 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 45 TC 1 Z9 1 U1 1 U2 2 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0891-2424 J9 ECON DEV Q JI Econ. Dev. Q. PD AUG PY 2008 VL 22 IS 3 BP 200 EP 212 DI 10.1177/0891242408318974 PG 13 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA 329NM UT WOS:000257874300002 ER PT J AU Lutz, B AF Lutz, Byron TI Schools and the equal opportunity problem SO ECONOMICA LA English DT Book Review C1 [Lutz, Byron] Fed Reserve Board Governors, Washington, DC USA. RP Lutz, B (reprint author), Fed Reserve Board Governors, Washington, DC 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 0013-0427 J9 ECONOMICA JI Economica PD AUG PY 2008 VL 75 IS 299 BP 605 EP 606 DI 10.1111/j.1468-0335.2008.00704.x PG 2 WC Economics SC Business & Economics GA 327FY UT WOS:000257716200012 ER PT J AU Beechey, M Osterholm, P AF Beechey, Meredith Osterholm, Paer TI Revisiting the uncertain unit root in GDP and CPI: Testing for non-linear trend reversion SO ECONOMICS LETTERS LA English DT Article DE unit-root test; exponential smooth transition ID PURCHASING POWER PARITY; REAL EXCHANGE-RATES; GREAT CRASH; PRICE-LEVEL; UNEMPLOYMENT; OUTPUT AB We test for the presence of a unit root in U.S. GDP and CPI, allowing for non-linear trend reversion under the alternative hypothesis. In contrast to most previous results, we find evidence in favour of trend stationarity for both variables. (C) 2008 Elsevier B.V. All rights reserved. C1 [Beechey, Meredith] Fed Reserve Syst, Board Governors, Div Monetaty Affairs, Washington, DC 20551 USA. [Osterholm, Paer] Uppsala Univ, Sveriges Riksbank & Dept Econ, S-75120 Uppsala, Sweden. RP Beechey, M (reprint author), Fed Reserve Syst, Board Governors, Div Monetaty Affairs, Washington, DC 20551 USA. EM meredith.j.beecliey@frb.gov; par.osterholm@nek.uu.se NR 18 TC 11 Z9 12 U1 1 U2 5 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 2008 VL 100 IS 2 BP 221 EP 223 DI 10.1016/j.econlet.2008.01.013 PG 3 WC Economics SC Business & Economics GA 330CZ UT WOS:000257918400015 ER PT J AU Mills, DC AF Mills, David C., Jr. TI Imperfect monitoring and the discounting of inside money SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PRIVATE MONEY; PRICES; SEARCH; MODEL AB This article evaluates the efficiency of a requirement that private issuers redeem inside money on demand at par in a random-matching model of money where the issuers of inside money are imperfectly monitored. I find that for sufficiently imperfect monitoring, a par redemption requirement leads to lower social welfare than if private money were redeemed at a discount. A central message of the article is that if inside money and outside money are not perfect. substitutes, a par redemption requirement may not be socially optimal because such a requirement effectively binds them to circulate as if they are. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Mills, DC (reprint author), Fed Reserve Board, Mail Stop 188, Washington, DC 20551 USA. EM david.c.mills@frb.gov NR 16 TC 2 Z9 2 U1 0 U2 6 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2008 VL 49 IS 3 BP 737 EP 754 PG 18 WC Economics SC Business & Economics GA 334ZO UT WOS:000258260800001 ER PT J AU Nason, JM Smith, GW AF Nason, James M. Smith, Gregor W. TI Identifying the new Keynesian Phillips curve SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID RATIONAL-EXPECTATIONS MODELS; QUADRATIC INVENTORY MODEL; FORWARD-LOOKING MODELS; INFLATION DYNAMICS; WEAK INSTRUMENTS; STATISTICAL-INFERENCE; ECONOMETRIC-ANALYSIS; MAXIMUM-LIKELIHOOD; MONETARY-POLICY; IDENTIFICATION AB Phillips curves are central to discussions of inflation dynamics and monetary policy. The hybrid new Keynesian Phillips curve (NKPC) describes flow past inflation, expected future inflation, and a measure of real aggregate demand drive the current inflation rate. This paper studies the (potential) weak identification of the NKPC Under Generalized Method of Moments and traces this syndrome to a lack of higher-order dynamics in exogenous variables. We employ analytic methods to understand the economics of the NKPC identification problem in the canonical three-equation, new Keynesian model. We revisit the empirical evidence for the USA, the UK, and Canada by constructing, tests and confidence intervals based oil the Anderson and Rubin (1949) statistic, which is robust to Weak identification. We also apply the Guggenberger and Smith (2008) LM test to the Underlying NKPC pricing parameters. Both tests yield little evidence of forward-looking inflation dynamics. Copyright (c) 2008 John Wiley & Sons, Ltd. C1 [Nason, James M.] Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. [Smith, Gregor W.] Queens Univ, Dept Econ, Kingston, ON K7L 3N6, Canada. RP Nason, JM (reprint author), Fed Reserve Bank Atlanta, Dept Res, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM jim.nason@atl.frb.org NR 47 TC 28 Z9 29 U1 2 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 EI 1099-1255 J9 J APPL ECONOMET JI J. Appl. Econom. PD AUG PY 2008 VL 23 IS 5 BP 525 EP 551 DI 10.1002/jae.1011 PG 27 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 347FM UT WOS:000259126000001 ER PT J AU Canzoneri, M Henderson, D AF Canzoneri, Matthew Henderson, Dale TI Special issue: Dynamic stochastic general equilibrium (DSGE) modeling - Foreword SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Editorial Material C1 [Canzoneri, Matthew] Georgetown Univ, Dept Econ, Washington, DC 20057 USA. [Henderson, Dale] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Canzoneri, M (reprint author), Georgetown Univ, Dept Econ, Washington, DC 20057 USA. EM canzonem@georgetown.edu; dale.henderson@frb.gov NR 0 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 AUG PY 2008 VL 32 IS 8 BP 2397 EP 2397 DI 10.1016/j.jedc.2007.09.008 PG 1 WC Economics SC Business & Economics GA 346FC UT WOS:000259053000001 ER PT J AU Edge, RM Kiley, MT Laforte, JP AF Edge, Rochelle M. Kiley, Michael T. Laforte, Jean-Philippe TI Natural rate measures in an estimated DSGE model of the US economy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Conference on DSGE Modeling at Policy Making Institutions CY DEC 02-03, 2005 CL Washington, DC SP European Cent Bank, Fed Reserve Board, Georgetown Univ, BMW Ctr German & European Studies, Goethe Univ, Ctr Financial Studies DE potential output; natural rate of interest; Bayesian estimation ID MONETARY-POLICY; TECHNOLOGICAL-CHANGE; HABIT FORMATION; BUSINESS-CYCLE; INFLATION AB This paper presents an estimated DSGE model of the U.S. economy. The model captures the most important production, expenditure, and nominal-contracting decisions underlying economic data while remaining sufficiently small to allow a clear interpretation of the data. We emphasize the role of model-based analyses as vehicles for storytelling by providing examples - based around the evolution of natural rates of output and interest - of how our model can provide narratives to explain recent macroeconomic fluctuations. The stories obtained from our model are both similar to and quite different from conventional accounts. Published by Elsevier B.V. C1 [Edge, Rochelle M.; Kiley, Michael T.; Laforte, Jean-Philippe] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Edge, RM (reprint author), Fed Reserve Board, Div Res & Stat, 20th & C St NW, Washington, DC 20551 USA. EM rochelle.m.edge@frb.gov RI Kiley, Michael/H-1132-2012; OI Kiley, Michael/0000-0003-0427-0131 NR 32 TC 27 Z9 27 U1 3 U2 6 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 2008 VL 32 IS 8 BP 2512 EP 2535 DI 10.1016/j.jedc.2007.09.011 PG 24 WC Economics SC Business & Economics GA 346FC UT WOS:000259053000008 ER PT J AU Fuhrer, JC AF Fuhrer, Jeffrey C. TI Special issue comment on optimal price setting and inflation inertia in a rational expectations model SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Conference on DSGE Modeling at Policy Making Institutions CY DEC 02-03, 2005 CL Washington, DC SP European Cent Bank, Fed Reserve Board, Georgetown Univ, BMW Ctr German & European Studies, Goethe Univ, Ctr Financial Studies C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Fuhrer, JC (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM jeff.fuhrer@bos.frb.org RI Fuhrer, Jeff/F-8852-2013 NR 6 TC 0 Z9 0 U1 0 U2 3 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 AUG PY 2008 VL 32 IS 8 BP 2536 EP 2542 DI 10.1016/j.jedc.2007.09.006 PG 7 WC Economics SC Business & Economics GA 346FC UT WOS:000259053000009 ER PT J AU Erceg, CJ Guerrieri, L Gust, C AF Erceg, Christopher J. Guerrieri, Luca Gust, Christopher TI Trade adjustment and the composition of trade SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Conference on DSGE Modeling at Policy Making Institutions CY DEC 02-03, 2005 CL Washington, DC SP European Cent Bank, Fed Reserve Board, Georgetown Univ, BMW Ctr German & European Studies, Goethe Univ, Ctr Financial Studies DE DSGE model; open economy macroeconomics ID CAPITAL GOODS; MODELS; EXPORTS; BALANCE; TERMS AB A striking feature of U.S. trade is that both imports and exports are heavily concentrated in capital goods and consumer durables. However, most open economy general equilibrium models ignore the marked divergence between the composition of trade flows and the sectoral composition of U.S. expenditure. and simply posit import and exports as depending on an aggregate measure of real activity (such as domestic absorption). In this paper. we use a DSGE model (SIGMA) to show that taking account of the expenditure composition of U.S. trade in an empirically realistic way yields implications for the responses of trade to shocks that are markedly different from those of a 'standard' framework that abstracts from such compositional differences. overall. our analysis suggests that investment shocks, originating from either foreign or domestic sources, may serve as an important catalyst for trade adjustment. while implying a mi.nimal depreciation of the real exchange rate. Published by Elsevier B.V. C1 [Erceg, Christopher J.; Guerrieri, Luca; Gust, Christopher] Fed Reserve Board, Washington, DC 20551 USA. RP Gust, C (reprint author), Fed Reserve Board, Mailstop 42-B,20th & C St NW, Washington, DC 20551 USA. EM christopher.erceg@frb.gov; luca.guerrieri@frb.gov; christopher.j.gust@frb.gov NR 24 TC 12 Z9 12 U1 1 U2 8 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 AUG PY 2008 VL 32 IS 8 BP 2622 EP 2650 DI 10.1016/j.jedc.2007.09.015 PG 29 WC Economics SC Business & Economics GA 346FC UT WOS:000259053000012 ER PT J AU Faruqee, H Laxton, D Muir, D Pesenti, P AF Faruqee, Hamid Laxton, Douglas Muir, Dirk Pesenti, Paolo TI Would protectionism defuse global imbalances and spur economic activity? A scenario analysis SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Conference on DSGE Modeling at Policy Making Institutions CY DEC 02-03, 2005 CL Washington, DC SP European Cent Bank, Fed Reserve Board, Georgetown Univ, BMW Ctr German & European Studies, Goethe Univ, Ctr Financial Studies DE current account deficit; multi-country DGE models; net asset positions; trade policy ID OPTIMAL TARIFF; TRADE; MODELS; WARS AB In the evolving debate and analysis of global imbalances, a commonly overlooked issue pertains to rising protectionism. This paper attempts to fill that gap, examining the macroeconomic implications of trade policy changes through the lens of a dynamic general equilibrium model of the world economy encompassing four regional blocs. Simulation exercises are carried out to consider the imposition of uniform and discriminatory tariffs on trading partners as well as the case of tariff retaliation. We also discuss a scenario in which a 'globalization backlash' lowers the degree of competition in import-competing sectors, and compare the implications of higher markups in the product and labor markets. (c) 2007 Elsevier B.V. All rights reserved. C1 [Pesenti, Paolo] Fed Reserve Bank New York, New York, NY 10045 USA. [Pesenti, Paolo] CEPR, New York, NY 10045 USA. [Faruqee, Hamid; Laxton, Douglas] Int Monetary Fund, Washington, DC 20431 USA. RP Pesenti, P (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Paolo.Pesenti@ny.frb.org NR 43 TC 2 Z9 2 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 AUG PY 2008 VL 32 IS 8 BP 2651 EP 2689 DI 10.1016/j.jedc.2007.05.01 PG 39 WC Economics SC Business & Economics GA 346FC UT WOS:000259053000013 ER PT J AU Armenter, R AF Armenter, Roc TI A general theory (and some evidence) of expectation traps in monetary policy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE monetary policy discretion; multiple Markov equilibria; inflation dynamics ID RULES; DISCRETION; MODELS AB I show that multiple equilibria are a general property of economies under full monetary policy discretion. Three simple conditions are sufficient to rule out, generically, a unique equilibrium in a static economy. The key departure from Barro and Gordon (1983) is to consider bounded welfare costs of inflation. I also show that in a two Markov equilibrium economy the inflation response to certain perturbations is, generically, qualitatively different in each equilibrium. Finally, I discuss some evidence on inflation dynamics that supports the hypothesis that U.S. monetary policy was caught in an expectation trap during the high inflation episode of the 1970s. C1 Fed Reserve Bank New York, New York, NY USA. RP Armenter, R (reprint author), Fed Reserve Bank New York, New York, NY USA. EM roc.armenter@ny.frb.org NR 36 TC 1 Z9 1 U1 0 U2 3 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2008 VL 40 IS 5 BP 867 EP 895 DI 10.1111/j.1538-4616.2008.00140.x PG 29 WC Business, Finance; Economics SC Business & Economics GA 328EE UT WOS:000257779800002 ER PT J AU Evanoff, DD Ors, E AF Evanoff, Douglas D. Ors, Evren TI The competitive dynamics of geographic deregulation in banking: Implications for productive efficiency SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE market entry; bank mergers; banking deregulation; cost X-efficiency ID FINANCIAL INSTITUTIONS; COMMERCIAL-BANKS; INDUSTRY EVOLUTION; SCALE EFFICIENCY; MARKET-STRUCTURE; INTEREST-RATES; US BANKS; MERGERS; PERFORMANCE; CONSOLIDATION AB Deregulation of geographic restrictions in banking over the past 20 years has intensified both potential and actual competition in the industry. The accumulating empirical evidence suggests that potential efficiency gains associated with consolidating banks are often not realized. We evaluate the impact of this increased competition on the productive efficiency of non-merging banks confronted with new entry in their local markets and find that the incumbent banks respond by improving cost efficiency. Thus, studies evaluating the impact of bank mergers on the efficiency of the combining parties alone may be overlooking the most significant welfare-enhancing aspect of merger activity. C1 [Evanoff, Douglas D.] Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. [Ors, Evren] HEC Sch Management, Paris, France. [Ors, Evren] CEPR, London, England. RP Evanoff, DD (reprint author), Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. EM devanoff@frbchi.org; ors@hec.fr NR 69 TC 15 Z9 15 U1 1 U2 7 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2008 VL 40 IS 5 BP 897 EP 928 DI 10.1111/j.1538-4616.2008.00141.x PG 32 WC Business, Finance; Economics SC Business & Economics GA 328EE UT WOS:000257779800003 ER PT J AU Hayashi, F Prescott, EC AF Hayashi, Fumio Prescott, Edward C. TI The depressing effect of agricultural institutions on the prewar Japanese economy SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID INDIVISIBLE LABOR; BUSINESS-CYCLE; GROWTH AB Why didn't the Japanese miracle take place before World War II? The culprit we identify is a barrier that kept prewar agricultural employment constant. Using a standard neoclassical two-sector growth model, we show that the barrier-induced sectoral distortion and an ensuring lack of capital accumulation account well for the depressed output level. Without the barrier, Japan's prewar GNP per worker would have been at least about a half of that of the United States, not about a third as in the data. The labor barrier existed because, we argue, the prewar patriarchy forced the son designated as heir to stay in agriculture. C1 [Hayashi, Fumio] Univ Tokyo, Tokyo 1138654, Japan. [Hayashi, Fumio] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Prescott, Edward C.] Univ Arizona, Tucson, AZ 85721 USA. [Prescott, Edward C.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Hayashi, F (reprint author), Univ Tokyo, Tokyo 1138654, Japan. NR 51 TC 33 Z9 33 U1 3 U2 11 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 2008 VL 116 IS 4 BP 573 EP 632 DI 10.1086/591804 PG 60 WC Economics SC Business & Economics GA 343DK UT WOS:000258832600001 ER PT J AU Osili, UO Paulson, AL AF Osili, Una Okonkwo Paulson, Anna L. TI Institutions and financial development: Evidence from international migrants in the United States SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID PROPERTY-RIGHTS; ECONOMIC-DEVELOPMENT; IMMIGRANTS; EARNINGS; GROWTH; LAW; PARTICIPATION; ENFORCEMENT; INFORMATION; ENDOWMENTS AB We investigate the impact of institutions on financial development by analyzing the financial behavior of immigrants in the United States. We find that immigrants from countries with institutions that more effectively protect private property are more likely to own stock in the United States. The effect of home-country institutions is persistent and absorbed early in life. The impact of institutions is amplified for immigrants who live in metropolitan areas with many other immigrants from the same country. These findings are robust to alternative measures of institutional effectiveness and to various methods of controlling for unobserved individual characteristics, including specifications with country fixed effects. C1 [Osili, Una Okonkwo] Indiana Univ Purdue Univ, Indianapolis, IN 46202 USA. [Paulson, Anna L.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Osili, UO (reprint author), Indiana Univ Purdue Univ, Indianapolis, IN 46202 USA. NR 71 TC 12 Z9 12 U1 1 U2 8 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD AUG PY 2008 VL 90 IS 3 BP 498 EP 517 DI 10.1162/rest.90.3.498 PG 20 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 334ZL UT WOS:000258260500008 ER PT J AU Armour, BS Pitts, MM Lee, CW AF Armour, Brian S. Pitts, M. Melinda Lee, Chung-Won TI Cigarette smoking and food insecurity among low-income families in the United States, 2001 SO AMERICAN JOURNAL OF HEALTH PROMOTION LA English DT Article DE food security; smoking; poverty; prevention research ID CHILD HUNGER; CANADA AB Purpose. To quantify the association between food insecurity and smoking among low-income families. Design and Setting. A retrospective study using data from the 2001 Panel Study of Income Dynamics (PSID), a longitudinal study of a representative sample of U.S. men, women, and children and the family units in which they reside. Subjects. Low-income families. Measures. Family income was linked with U.S. poverty thresholds to identify 2099 families living near or below 200% of the federal poverty level. Food insecurity (i.e., having insufficient funds to purchase enough food to maintain an active and healthy lifestyle) was calculated from the 18-core-item food security module of the U.S. Department of Agriculture. Current smoking status was determined. Results. Smoking prevalence was higher among tow-income families who were food insecure compared with low-income families who were food secure (43.6% vs. 31.9%; p <.01). Multivariate analysis revealed that smoking was associated with an increase in food insecurity of approximately six percentage points (p <. 01). Conclusions. Given our finding that families near the federal poverty level spend a large share of their income on cigarettes, perhaps it would be prudent for food-assistance and tobacco-control programs to work together to help low-income people quit smoking. C1 [Armour, Brian S.; Lee, Chung-Won] Ctr Dis Control & Prevent, Atlanta, GA 30333 USA. [Pitts, M. Melinda] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Armour, BS (reprint author), Ctr Dis Control & Prevent, 1600 Clifton Rd NE,Mail Stop E-88, Atlanta, GA 30333 USA. EM barmour@cdc.gov NR 15 TC 20 Z9 21 U1 0 U2 5 PU AMER J HEALTH PROMOTION INC PI KEEGO HARBOR PA 1660 CASS LAKE RD, STE 104, KEEGO HARBOR, MI 48320 USA SN 0890-1171 J9 AM J HEALTH PROMOT JI Am. J. Health Promot. PD JUL-AUG PY 2008 VL 22 IS 6 BP 386 EP 392 DI 10.4278/ajhp.22.6.386 PG 7 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA 323KZ UT WOS:000257446300004 PM 18677878 ER PT J AU Duca, JV Saving, JL AF Duca, John V. Saving, Jason L. TI Stock ownership and congressional elections: The political economy of the mutual fund revolution SO ECONOMIC INQUIRY LA English DT Article ID BEHAVIOR; CHOICE; EQUITY; RISK AB We find that higher stock ownership rates are linked to an upward shift in the Republican share of the House popular vote since the late 1980s, consistent with theories that property interests affect voting. To proxy for discontinuous stock ownership rates, we use equity mutual fund costs, which have fallen, are negatively correlated with stock ownership rates and the Republican vote share in the long run, and help explain short-run changes along with midterm elections, economic conditions, and presidential popularity Findings suggest that the major parties' shares of the House popular vote will fluctuate around 50% until other factors trigger a political realignment. (JEL D72, G 11). C1 [Duca, John V.; Saving, Jason L.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. RP Duca, JV (reprint author), Fed Reserve Bank Dallas, Res Dept, POB 655906-5906, Dallas, TX 75265 USA. EM john.v.duca@dal.frb.org; jason.saving@dal.frb.org NR 54 TC 2 Z9 2 U1 1 U2 3 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JUL PY 2008 VL 46 IS 3 BP 454 EP 479 DI 10.1111/j.1465-7295.2007.00083.x PG 26 WC Economics SC Business & Economics GA 347ND UT WOS:000259147400011 ER PT J AU Rudebusch, GD Wu, T AF Rudebusch, Glenn D. Wu, Tao TI A macro-finance model of the term structure, monetary policy and the economy SO ECONOMIC JOURNAL LA English DT Article ID INTEREST-RATES; STRUCTURE DYNAMICS; MACRO FACTORS; NO-ARBITRAGE; YIELD CURVE; INFLATION; MARKET; OUTPUT AB This article develops and estimates a macro-finance model that combines a canonical affine no-arbitrage finance specification of the term structure of interest rates with standard macroeconomic aggregate relationships for output and inflation. Based on this combination of yield curve and macroeconomic structure and data, we obtain several interesting results: (1) the latent term structure factors from no-arbitrage finance models appear to have important macroeconomic and monetary policy underpinnings, (2) there is no evidence of a slow partial adjustment of the policy interest rate by the central bank, and (3) both forward-looking and backward-looking elements play roles in macroeconomic dynamics. C1 [Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA USA. Fed Reserve Bank Dallas, Dallas, TX USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 36 TC 84 Z9 84 U1 4 U2 26 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 JUL PY 2008 VL 118 IS 530 BP 906 EP 926 DI 10.1111/j.1468-0297.2008.02155.x PG 21 WC Economics SC Business & Economics GA 315BQ UT WOS:000256853300004 ER PT J AU Levin, AT AF Levin, Andrew T. TI Optimal monetary policy under uncertainty: A Markov jump-linear-quadratic approach - Commentary SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Levin, AT (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM andrew.levin@frb.gov NR 21 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 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2008 VL 90 IS 4 BP 301 EP 305 PG 5 WC Business, Finance; Economics SC Business & Economics GA 331MS UT WOS:000258016900005 ER PT J AU Plosser, CI AF Plosser, Charles I. TI Economic projections and rules of thumb for monetary policy - Commentary SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Plosser, CI (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Charles.Plosser@phil.frb.org NR 9 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 2008 VL 90 IS 4 BP 325 EP 329 PG 5 WC Business, Finance; Economics SC Business & Economics GA 331MS UT WOS:000258016900007 ER PT J AU Bernanke, BS AF Bernanke, Ben S. TI Monetary policy under uncertainty SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material ID MODEL UNCERTAINTY; INFLATION; EXPECTATIONS; RULES; MONEY C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Bernanke, BS (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. NR 27 TC 0 Z9 0 U1 2 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 JUL-AUG PY 2008 VL 90 IS 4 BP 410 EP 415 PG 6 WC Business, Finance; Economics SC Business & Economics GA 331MS UT WOS:000258016900016 ER PT J AU Poole, W AF Poole, William TI The importance of being predictable SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. NR 2 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 2008 VL 90 IS 4 BP 415 EP 419 PG 5 WC Business, Finance; Economics SC Business & Economics GA 331MS UT WOS:000258016900017 ER PT J AU Poole, W AF Poole, William TI Rules-of-thumb for guiding monetary policy (Reprinted from Board of Governors of the Federal Reserve System, vol 90, pg 447, 2008) SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Reprint ID AUTONOMOUS EXPENDITURES; INVESTMENT MULTIPLIER; RELATIVE IMPORTANCE; QUANTITY THEORY; VELOCITY; REJOINDER; STABILITY; KEYNES; TESTS; MONEY C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. NR 27 TC 1 Z9 1 U1 0 U2 12 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 2008 VL 90 IS 4 BP 447 EP 497 PG 51 WC Business, Finance; Economics SC Business & Economics GA 331MS UT WOS:000258016900020 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI The effect of minimum wages on immigrants' employment and earnings SO INDUSTRIAL & LABOR RELATIONS REVIEW LA English DT Article ID FAST-FOOD INDUSTRY; COHORT QUALITY; UNITED-STATES; ASSIMILATION; LAWS AB This study examines how minimum wage laws affect the employment and earnings of low-skilled immigrants and natives in the United States. Minimum wage increases might have larger effects among low-skilled immigrants than among natives because, on average, immigrants earn less than natives due to lower levels of education, limited English skills, and less social capital. Results based on data from the Current Population Survey for the years 1994-2005 do not indicate that minimum wages had adverse employment effects among adult immigrants or natives who did not complete high school. However, low-skilled immigrants may have been discouraged from settling in states that set wage floors substantially above the federal minimum. C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. [Zavodny, Madeline] Agnes Scott Coll, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. NR 40 TC 14 Z9 14 U1 0 U2 6 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 2008 VL 61 IS 4 BP 544 EP 563 PG 20 WC Industrial Relations & Labor SC Business & Economics GA 327JX UT WOS:000257726500006 ER PT J AU Borzekowski, R Kiser, EK AF Borzekowski, Ron Kiser, Elizabeth K. TI The choice at the checkout: Quantifying demand across payment instruments SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article DE demand estimation; consumer payments; rank order logit; interchange ID MODELS AB Dramatic changes have occurred in the U.S. payment system over the past two decades, most notably an explosion in electronic card-based payments. This shift has led to a series of policy debates driven in part by consumers' choice of payment instruments. Using a new nationally representative survey, we transform consumer responses to open-ended questions into product rankings and estimate a characteristics-based rank-order logit model in order to quantify consumer substitution among payment methods. Our estimates are then used to conduct supply-driven and demand-driven counterfactual experiments in order to estimate market share and cost effects. From a counterfactual experiment in which merchants stop accepting credit cards, we predict merchant costs to decline substantially. Because merchants accept credit cards nonetheless, we regard our fording as evidence either that the credit card networks hold market power, or that merchants experience unmeasured intangible benefits from credit card acceptance. We also predict that contactless debit will take market share from cash, checks, and credit, and that the age/cohort effect alone is unlikely to cause debit card use to increase substantially over a 10-year period. Published by Elsevier B.V. C1 [Borzekowski, Ron; Kiser, Elizabeth K.] Fed Reserve Board, Washington, DC 20551 USA. RP Borzekowski, R (reprint author), Fed Reserve Board, 20th & C St,NW, Washington, DC 20551 USA. EM ron.borzekowski@frb.gov; elizabeth.k.kiser@frb.gov NR 26 TC 17 Z9 18 U1 1 U2 10 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 JUL PY 2008 VL 26 IS 4 BP 889 EP 902 DI 10.1016/j.ijindorg.2007.07.006 PG 14 WC Economics SC Business & Economics GA 317ER UT WOS:000257003100003 ER PT J AU Vermilyea, TA Webb, ER Kish, AA AF Vermilyea, Todd A. Webb, Elizabeth R. Kish, Andrew A. TI Implicit recourse and credit card securitizations: What do fraud losses reveal? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE securitization; fraud; credit loss; Basel II AB In this paper, we develop and test a model of implicit recourse in asset-backed securitizations. Fraud losses on securitized assets are generally incurred by the bank and do not affect the performance of securitization trusts, while credit losses do affect the trust's performance and are potentially borne by the owner of the securitized assets. Thus, the classification of losses as either fraud or credit losses provides a potential avenue of implicit recourse to manipulate the performance of securitization trusts. Using annual data from 2001 to 2006, we find that the performance of the credit card securitization portfolio is negatively related to fraud losses reported by the bank. We examine these results in light of the proposed Basel II capital rules and argue that a bank's incentive to provide implicit recourse will increase under the anticipated regime. (C) 2007 Elsevier B.V. All rights reserved. C1 [Vermilyea, Todd A.; Webb, Elizabeth R.; Kish, Andrew A.] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Webb, ER (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM elizabeth.webb@phil.frb.org NR 10 TC 8 Z9 8 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 JUL PY 2008 VL 32 IS 7 BP 1198 EP 1208 DI 10.1016/j.jbankfin.2007.10.004 PG 11 WC Business, Finance; Economics SC Business & Economics GA 321ZW UT WOS:000257346000004 ER PT J AU Mizrach, B Neely, CJ AF Mizrach, Bruce Neely, Christopher J. TI Information shares in the US treasury market SO JOURNAL OF BANKING & FINANCE LA English DT Article DE information shares; Treasury market; microstructure; futures; price discovery ID PRICE DISCOVERY; BOND PRICES; PUBLIC-INFORMATION; ECONOMIC-NEWS; SECURITY; FUTURES; COINTEGRATION; COMPONENTS; LIQUIDITY; IMPACT AB This paper highlights the previously neglected role of the futures markets in US Treasury price discovery. The estimates of 5- and 10-year GovPX spot market information shares typically fail to reach 50% from 1999 on. The GovPX information shares for the 2-year contract are higher than those of the 5- and 10-year maturities but also decline after 1998. Relative bid-ask spreads, number of trades, and realized volatility are statistically significant and explain up to 21% of daily information shares. In roughly 1/4 of cases when public information is released, the futures market gains information share, but macroeconomic announcements rarely explain information shares independently of liquidity. (C) 2007 Elsevier B.V. All rights reserved. C1 [Neely, Christopher J.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Mizrach, Bruce] Rutgers State Univ, Dept Econ, Piscataway, NJ 08855 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 422, St Louis, MO 63166 USA. EM neely@stls.frb.org RI Mizrach, Bruce/B-1347-2009; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 40 TC 29 Z9 29 U1 2 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD JUL PY 2008 VL 32 IS 7 BP 1221 EP 1233 DI 10.1016/j.jbankfin.2007.10.007 PG 13 WC Business, Finance; Economics SC Business & Economics GA 321ZW UT WOS:000257346000006 ER PT J AU Balduzzi, P Robotti, C AF Balduzzi, Pierluigi Robotti, Cesare TI Mimicking portfolios, economic risk premia, and tests of multi-beta models SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE mimicking portfolios; economic risk premia; linear factor models ID EXPECTED STOCK RETURNS; ASSET PRICING MODEL; CROSS-SECTION; EMPIRICAL-EVIDENCE; CONSUMPTION; CAPM; EFFICIENCY; VARIABLES AB We consider two formulations of the linear factor model (LFM) with nontraded factors. In the first formulation, LFM, risk premia and alphas are estimated by a cross-sectional regression of average returns on betas. In the second formulation, LFM*, the factors are replaced by their projections on the span of e,,cess returns, and risk premia and alphas are estimated by time series regressions. We compare the two formulations and study the small-sample properties of estimates and test statistics. We conclude that the LFM* formulation should be considered in addition to, or even instead of, the more traditional LFM formulation. C1 [Balduzzi, Pierluigi] Boston Coll, Dept Finance, Wallace E Carroll Sch Management, Chestnut Hill, MA 02467 USA. [Robotti, Cesare] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Balduzzi, P (reprint author), Boston Coll, Dept Finance, Wallace E Carroll Sch Management, Chestnut Hill, MA 02467 USA. EM balduzzp@bc.edu; cesare.robotti@atl.frb.org NR 49 TC 11 Z9 11 U1 5 U2 10 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 EI 1537-2707 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JUL PY 2008 VL 26 IS 3 BP 354 EP 368 DI 10.1198/073500108000000042 PG 15 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 334RB UT WOS:000258237800013 ER PT J AU van der Klaauw, W Wolpin, KI AF van der Klaauw, Wilbert Wolpin, Kenneth I. TI Social security and the retirement and savings behavior of low-income households SO JOURNAL OF ECONOMETRICS LA English DT Article DE retirement; social security; structural estimation ID DYNAMIC-STOCHASTIC-MODEL; HEALTH-INSURANCE; OLDER MEN; SUBJECTIVE PROBABILITIES; STRUCTURAL MODEL; EXPECTATIONS; ATTAINMENT; MORTALITY; DECISIONS; PENSIONS AB In this paper, we develop and estimate a model of retirement and savings incorporating limited borrowing, stochastic wage offers, health status and survival, social security benefits, Medicare and employer-provided health insurance coverage, and intentional bequests. The model is estimated on a sample of relatively poor households from the first three waves of the Health and Retirement Study (HRS), for whom we would expect social security income to be of particular importance. The estimated model is used to simulate the responses to changes in social security rules, including changes in benefit levels, in the payroll tax, in the social security earnings tax and in early and normal retirement ages. Welfare and budget consequences are estimated. (C) 2008 Elsevier B.V. All rights reserved. C1 [van der Klaauw, Wilbert] Fed Reserve Bank New York, Microecon & Reg Studies Funct, New York, NY 10045 USA. [Wolpin, Kenneth I.] Univ Penn, Philadelphia, PA 19104 USA. RP van der Klaauw, W (reprint author), Fed Reserve Bank New York, Microecon & Reg Studies Funct, 33 Liberty St, New York, NY 10045 USA. EM Wilbert.VanderKlaauw@ny.frb.org FU National Institute on Aging [AG14862] FX We are grateful for support from the National Institute on Aging grant AG14862. The views and opinions offered in this article do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System as a whole. We thank the two anonymous referees for their extensive and helpful comments. NR 53 TC 52 Z9 53 U1 2 U2 24 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD JUL PY 2008 VL 145 IS 1-2 BP 21 EP 42 DI 10.1016/j.jeconom.2008.05.004 PG 22 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 354SO UT WOS:000259659500003 PM 21566719 ER PT J AU Wheelock, DC Wilson, PW AF Wheelock, David C. Wilson, Paul W. TI Non-parametric, unconditional quantile estimation for efficiency analysis with an application to Federal Reserve check processing operations SO JOURNAL OF ECONOMETRICS LA English DT Article DE payment system; check processing; productivity; efficiency; quantile estimation ID DATA ENVELOPMENT ANALYSIS; FLEXIBLE FUNCTIONAL FORMS; FRONTIER MODELS; DETECTING OUTLIERS; BANK FAILURES; SCORES; PRODUCTIVITY; VARIABLES; SERVICES; DEMAND AB This paper examines the technical efficiency of US Federal Reserve check processing offices over 1980-2003. We extend results from Park et al. [Park, B., Simar, L., Weiner, C., 2000. FDH efficiency scores from a stochastic point of view. Econometric Theory 16, 855-877] and Daouia and Simar [Daouia, A., Simar, L., 2007. Nonparametric efficiency analysis: a multivariate conditional quantile approach. journal of Econometrics 140, 375-400] to develop an unconditional, hyperbolic, alpha-quantile estimator of efficiency. Our new estimator is fully non-parametric and robust with respect to outliers; when used to estimate distance to quantiles lying close to the full frontier, it is strongly consistent and converges at rate root-n, thus avoiding the curse of dimensionality that plagues data envelopment analysis (DEA) estimators. Our methods could be used by policymakers to compare inefficiency levels across offices or by managers of individual offices to identify peer offices. (C) 2008 Elsevier B.V. All rights reserved. C1 [Wilson, Paul W.] Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA. [Wheelock, David C.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. RP Wilson, PW (reprint author), Clemson Univ, John E Walker Dept Econ, 222 Sirrine Hall, Clemson, SC 29634 USA. EM wheelock@stls.frb.org; pww@clemson.edu RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 50 TC 25 Z9 26 U1 1 U2 10 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD JUL PY 2008 VL 145 IS 1-2 BP 209 EP 225 DI 10.1016/j.jeconom.2008.05.007 PG 17 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 354SO UT WOS:000259659500014 ER PT J AU Dennis, R AF Dennis, Richard TI Robust control with commitment: A modification to Hansen-Sargent SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE robust control; robust stackelberg games; approximating equilibrium ID PERMANENT INCOME; MONETARY-POLICY; UNCERTAINTY AB I examine the Hansen and Sargent [2003. Robust control of forward-looking models. Journal of Monetary Economics 50, 581-604] formulation of the robust Stackelberg problem and show that their method of constructing the approximating equilibrium is generally invalid. I then turn to the Hansen and Sargent [2007. Robustness, manuscript (version dated March 22, 2007)] treatment, which, responding to the problems raised in this paper, changes subtly, but importantly, how the robust Stackelberg problem is formulated. In the context of Hansen and Sargent [2007. Robustness, manuscript (version dated March 22, 2007)], 1 prove, first, that their method for obtaining the approximating equilibrium is now equivalent to the one developed in this paper, and, second, that the worst-case specification errors are not subject to a time-consistency problem. In the context of the Erceg et al. [2000. Optimal monetary policy with staggered wage and price contracts. Journal of Monetary Economics 46, 281-313] sticky wage/sticky price model, I find that a robust central bank will fear primarily that the supply side of its approximating model is misspecified and that robustness affects importantly central bank promises about future policy. (C) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. EM richard.dennis@sf.frb.org NR 28 TC 8 Z9 8 U1 0 U2 4 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 2008 VL 32 IS 7 BP 2061 EP 2084 DI 10.1016/j.jedc.2007.08.003 PG 24 WC Economics SC Business & Economics GA 325PW UT WOS:000257601800001 ER PT J AU Della Corte, P Sarno, L Thornton, DL AF Della Corte, Pasquale Sarno, Lucio Thornton, Daniel L. TI The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article; Proceedings Paper CT 62nd European Meeting of the Econometric-Society CY AUG 27-31, 2007 CL Budapest, HUNGARY SP Econometr Soc DE expectation hypothesis; term structure of interest rates; vector autoregression; economic value ID RATIONAL-EXPECTATIONS; STRUCTURE MODELS; STOCHASTIC VOLATILITY; REGIME SHIFTS; INFORMATION; UTILITY; BONDS AB This paper reexamines the validity of the expectation hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to 3 months. We extend the work of Longstaff [2000b. The term Structure of very short term rates: new evidence for the expectations hypothesis. journal of Financial Economics 58, 397-415] in two directions: (1) we implement statistical tests designed to increase test power in this context; (2) more important, we assess the economic value of departures from the EH based on criteria of profitability and economic significance in the context of a simple trading strategy. The EH is rejected throughout the term structure examined on the basis of the statistical tests. However, the results Of Our economic analysis are favorable to the EH, suggesting that the statistical rejections of the EH in the repo market are economically insignificant. (C) 2008 Elsevier B.V. All rights reserved. C1 [Della Corte, Pasquale; Sarno, Lucio] Univ Warwick, Warwick Business Sch, Finance Grp, Coventry CV4 7AL, W Midlands, England. [Sarno, Lucio] AXA Investment Managers, Fixed Income & FX Team, London EC1A 7NX, England. [Sarno, Lucio] Ctr Econ Policy Res, London EC1V 7RR, England. [Thornton, Daniel L.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Sarno, L (reprint author), Univ Warwick, Warwick Business Sch, Finance Grp, Coventry CV4 7AL, W Midlands, England. EM lucio.sarno@wbs.ac.uk NR 45 TC 21 Z9 21 U1 0 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 2008 VL 89 IS 1 BP 158 EP 174 DI 10.1016/j.jfineco.2007.08.002 PG 17 WC Business, Finance; Economics SC Business & Economics GA 339GV UT WOS:000258567000008 ER PT J AU Krause, MU Lopez-Salido, D Lubik, TA AF Krause, Michael U. Lopez-Salido, David Lubik, Thomas A. TI Inflation dynamics with search frictions: A structural econometric analysis SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Phillips curve; Bayesian estimation; marginal costs; labor market frictions ID LABOR-MARKET SEARCH; BUSINESS-CYCLE; EMPLOYMENT; PRICES; FLUCTUATIONS; STICKINESS; SHOCKS AB The New Keynesian Phillips curve explains inflation dynamics as being driven by current and expected future real marginal costs. In competitive labor markets, the labor share can serve as a proxy for the latter. In this paper, we study the role of real marginal cost components implied by search frictions in the labor market. We construct a measure of real marginal costs by using newly available labor market data on worker finding rates. Over the business cycle, the measure is highly correlated with the labor share. Estimates of the Phillips curve using generalized method of moments reveal that the marginal cost measure remains significant, and that inflation dynamics are mainly driven by the forward-looking component. Bayesian estimation of the full New Keynesian model with search frictions helps us disentangle which shocks are driving the economy to generate the observed unit labor cost dynamics. We find that mark-up shocks are the dominant force in labor market fluctuations. (C) 2008 Elsevier B.V. All rights reserved. C1 [Lubik, Thomas A.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. [Krause, Michael U.] Deutsch Bundesbank, Frankfurt, Germany. [Lopez-Salido, David] Fed Reserve Board, Washington, DC USA. RP Lubik, TA (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM thomas.lubik@rich.frb.org NR 42 TC 29 Z9 29 U1 0 U2 8 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 2008 VL 55 IS 5 BP 892 EP 916 DI 10.1016/j.jmoneco.2008.04.004 PG 25 WC Business, Finance; Economics SC Business & Economics GA 345HF UT WOS:000258986300004 ER PT J AU Krusell, P Mukoyama, T Rogerson, R Sahin, A AF Krusell, Per Mukoyama, Toshihiko Rogerson, Richard Sahin, Ayseguel TI Aggregate implications of indivisible labor, incomplete markets, and labor market frictions SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE indivisible labor; incomplete markets; labor market frictions ID BUSINESS-CYCLE; EQUILIBRIUM; FLUCTUATIONS; UNEMPLOYMENT; SEARCH; HETEROGENEITY; MACROECONOMY; VACANCIES; RISK AB We study the impact of tax and transfer programs on steady-state allocations in a model with search frictions, an operative labor supply margin, and incomplete markets. In a benchmark model that has indivisible labor and incomplete markets but no trading frictions we show that the aggregate effects of taxes are identical to those in the economy with employment lotteries, though individual employment and asset dynamics can be different. The effect of frictions oil the response of aggregate hours to a permanent tax change is highly nonlinear. There is considerable scope for substitution between voluntary" and "frictional" nonemployment in some situations. (C) 2008 Elsevier B.V. All rights reserved. C1 [Rogerson, Richard] Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. [Rogerson, Richard] NBER, Tempe, AZ 85287 USA. [Krusell, Per] NBER, Cambridge, MA 02138 USA. [Krusell, Per] Princeton Univ, IIES, CAERP, CEPR, Princeton, NJ 08544 USA. [Mukoyama, Toshihiko] Univ Virginia, Charlottesville, VA 22903 USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY 10045 USA. RP Rogerson, R (reprint author), Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. EM Richard.Rogerson@asu.edu RI Villena, Benjamin/D-6996-2012 OI Villena, Benjamin/0000-0002-2780-0214 NR 25 TC 9 Z9 9 U1 1 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 JUL PY 2008 VL 55 IS 5 BP 961 EP 979 DI 10.1016/j.jmoneco.2008.03.008 PG 19 WC Business, Finance; Economics SC Business & Economics GA 345HF UT WOS:000258986300010 ER PT J AU Oliner, SD Sichel, DE Stiroh, KJ AF Oliner, Stephen D. Sichel, Daniel E. Stiroh, Kevin J. TI Explaining a productive decade SO JOURNAL OF POLICY MODELING LA English DT Article; Proceedings Paper CT 38th Annual Conference of the Brookings Panel on Economic Activity Conference CY MAR 29-30, 2007 CL Washington, DC SP Brookings Panel Econ Activity DE productivity growth; information technology; labor productivity; intangible capital ID FIRM-LEVEL EVIDENCE; INFORMATION-TECHNOLOGY; UNITED-STATES; SKILLED LABOR; INDUSTRY DATA; GROWTH; ECONOMY; PERFORMANCE; SPILLOVERS; DEMAND AB This paper analyzes the sources of U.S. productivity growth in recent years using both aggregate and industry-level data. We confirm the central role for information technology (IT) in the productivity revival during 1995-2000 and show that IT played a significant, though smaller, role after 2000. Productivity growth after 2000 appears to have been boosted by industry restructuring and cost cutting in response to profit pressures, an unlikely source of future strength. In addition, the incorporation of intangible capital into the growth accounting framework takes some of the luster off the performance of labor productivity since 2000 and makes the gain during 1995-2000 look larger than in the official data. Finally, we examine the outlook for trend growth in labor productivity; our estimate, though subject to much uncertainty, is centered at 2-1/4% a year, faster than the lackluster pace that prevailed before 1995 but somewhat slower than the 1995-2006 average. Published by Elsevier Inc. on behalf of Society for Policy Modeling. C1 [Oliner, Stephen D.; Sichel, Daniel E.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Stiroh, Kevin J.] Private Sector, New York, NY 10045 USA. RP Oliner, SD (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM soliner@frb.gov NR 87 TC 12 Z9 12 U1 1 U2 4 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 JUL-AUG PY 2008 VL 30 IS 4 BP 633 EP 673 DI 10.1016/j.jpolmod.2008.04.007 PG 41 WC Economics SC Business & Economics GA 336TQ UT WOS:000258387900008 ER PT J AU Mazumder, B AF Mazumder, Bhashkar TI Sibling similarities and economic inequality in the US SO JOURNAL OF POPULATION ECONOMICS LA English DT Article DE sibling correlation; intergenerational mobility ID INTERGENERATIONAL INCOME MOBILITY; UNITED-STATES; EARNINGS; VARIANCE; SONS AB I use a new methodological approach and larger US samples than previous studies and estimate that the sibling correlation across a range of economic outcomes is around 0.5. This suggests that half of economic inequality in the US can be attributed to family and community influences. A comparison with noneconomic outcomes suggests that individual choices rather than a simple mechanical relationship governs the intergenerational transmission of income. A decomposition of the sibling correlation suggests that the acquisition of human capital is an important channel through which family background affects future success but that noncognitive factors also play a role. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Mazumder, B (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM bmazumder@frbchi.org NR 27 TC 41 Z9 42 U1 0 U2 7 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0933-1433 J9 J POPUL ECON JI J. Popul. Econ. PD JUL PY 2008 VL 21 IS 3 BP 685 EP 701 DI 10.1007/s00148-006-0127-2 PG 17 WC Demography; Economics SC Demography; Business & Economics GA 301DM UT WOS:000255876600013 ER PT J AU Saks, RE AF Saks, Raven E. TI Job creation and housing construction: Constraints on metropolitan area employment growth SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE housing supply; zoning; local labor markets ID LABOR-MARKETS; REGIONS; PRICES AB Differences in the supply of housing generate substantial variation in house prices across the United States. Because house prices influence migration, the elasticity of housing supply also has an important impact on local labor markets. I assemble evidence on housing supply regulations and examine their effect on metropolitan area housing and labor market dynamics. Locations with relatively few barriers to construction experience more residential construction and smaller increases in house prices in response to an increase in housing demand. Furthermore, housing supply constraints alter local employment and wage dynamics in locations where the degree of regulation is most severe. Published by Elsevier Inc. C1 Fed Reserve Board Governors, Washington, DC USA. RP Saks, RE (reprint author), Fed Reserve Board Governors, 20th & C St,NW, Washington, DC USA. EM raven.e.saks@frb.gov NR 31 TC 44 Z9 44 U1 1 U2 18 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD JUL PY 2008 VL 64 IS 1 BP 178 EP 195 DI 10.1016/j.jue.2007.12.003 PG 18 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 312QQ UT WOS:000256686300013 ER PT J AU Ireland, PN Schuh, S AF Ireland, Peter N. Schuh, Scott TI Productivity and US macroeconomic performance: Interpreting the past and predicting the future with a two-sector real business cycle model SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE productivity; two-sector real business cycle model ID AGGREGATE FLUCTUATIONS; ECONOMIC-FLUCTUATIONS; TECHNOLOGICAL-CHANGE; INDIVISIBLE LABOR; LONG-RUN; INVESTMENT; GROWTH; SHOCKS; TIME; TRENDS AB A two-sector real business cycle model, estimated with postwar US data, identifies shocks to the levels and growth rates of total factor productivity in distinct. consumption- and investment-goods-producing technologies. This model attributes most of the productivity slowdown of the 1970s to the consumption-goods sector; it suggests that a slowdown in the investment-goods sector occurred later and was much less persistent. Against this broader backdrop, the model interprets the more recent episode of robust investment and investment-specific technological change during the 1990s largely as a catch-up in levels that is unlikely to persist or be repeated anytime soon. (C) 2007 Elsevier Inc. All rights reserved. C1 [Ireland, Peter N.] Boston Coll, Dept Econ, Chestnut Hill, MA 02467 USA. [Ireland, Peter N.] NBER, Cambridge, MA 02138 USA. [Schuh, Scott] Fed Reserve Bank Boston, Res Dept, Boston, MA 02205 USA. RP Ireland, PN (reprint author), Boston Coll, Dept Econ, 140 Commonwealth Ave, Chestnut Hill, MA 02467 USA. EM irelandp@bc.edu; scott.schuh@bos.frb.org NR 49 TC 11 Z9 11 U1 4 U2 9 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 JUL PY 2008 VL 11 IS 3 BP 473 EP 492 DI 10.1016/j.red.2007.10.001 PG 20 WC Economics SC Business & Economics GA 313XW UT WOS:000256774300001 ER PT J AU Wang, Z AF Wang, Zhu TI Income distribution, market size and the evolution of industry SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE product diffusion; industry life cycle; shakeout ID UNITED-STATES; MANUFACTURING-INDUSTRIES; TECHNOLOGICAL-CHANGE; FIRM SURVIVAL; LIFE-CYCLE; GROWTH; INNOVATION; DIFFUSION; ENTRY; EXPLORATION AB An industry typically experiences initial mass entry and later shakeout of producers over its life cycle. However, the timing of the evolution varies substantially across markets. By exploring the dynamic interactions between technology progress and demand diffusion, our theory suggests that the cross-market differences of industrial evolution are largely the result of underlying demand factors. Particularly, higher consumer income or larger market size tends to drive faster demand diffusion and earlier industry shakeout. A comparative study on the US and UK television industries supports the theoretical findings. (C) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Kansas, Kansas City, MO 64198 USA. RP Wang, Z (reprint author), Fed Reserve Bank Kansas, 925 Grand Blvd, Kansas City, MO 64198 USA. EM zhu.wang@kc.frb.org NR 47 TC 2 Z9 3 U1 1 U2 9 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 JUL PY 2008 VL 11 IS 3 BP 542 EP 565 DI 10.1016/j.red.2007.10.005 PG 24 WC Economics SC Business & Economics GA 313XW UT WOS:000256774300005 ER PT J AU Bodenstein, M AF Bodenstein, Martin TI International asset markets and real exchange rate volatility SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE risk-sharing; limited enforcement; real exchange rate; Backus-Smith puzzle; asset prices ID BUSINESS CYCLES; INCOMPLETE MARKETS; DYNAMIC ECONOMIES; CONSUMPTION; RISK; EXPLAIN; DEBT AB The real exchange rate is very volatile relative to major macroeconomic aggregates and its correlation with the ratio of domestic over foreign consumption is negative (Backus-Smith puzzle). These two observations constitute a puzzle to standard international macroeconomic theory. This paper develops a two country model with complete asset markets and limited enforcement for international financial contracts that provides a possible explanation of these two puzzles. The model performs better than a standard incomplete markets model with a single non-contingent bond unless very tight borrowing constraints are imposed in the latter. With limited enforcement for both domestic and international financial contracts, the model's asset pricing implications are brought into line with the empirical evidence, albeit at the expense of raising real exchange rate volatility. Published by Elsevier Inc. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Bodenstein, M (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM Martin.R.Bodenstein@frb.gov NR 33 TC 6 Z9 6 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2008 VL 11 IS 3 BP 688 EP 705 DI 10.1016/j.red.2007.12.003 PG 18 WC Economics SC Business & Economics GA 313XW UT WOS:000256774300013 ER PT J AU Bassetto, M Phelan, C AF Bassetto, Marco Phelan, Christopher TI Tax riots SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID TAXATION; IMPLEMENTATION; INSURANCE; POLICY AB This paper considers an optimal taxation environment where household income is private information, and the government randomly audits and punishes households found to be underreporting. We prove that the optimal mechanism derived using standard mechanism design techniques has a bad equilibrium (a tax riot) where households underreport their incomes, precisely because other households are expected to do so as well. We then consider three alternative approaches to designing a tax scheme when one is worried about bad equilibria. C1 [Bassetto, Marco] Fed Reserve Bank Chicago, Chicago, IL USA. [Bassetto, Marco] NBER, Cambridge, MA 02138 USA. [Phelan, Christopher] Univ Minnesota, Minneapolis, MN 55455 USA. [Phelan, Christopher] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Bassetto, M (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. OI Bassetto, Marco/0000-0001-8325-8450 NR 18 TC 14 Z9 14 U1 0 U2 7 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 2008 VL 75 IS 3 BP 649 EP 669 DI 10.1111/j.1467-937X.2008.00484.x PG 21 WC Economics SC Business & Economics GA 311SV UT WOS:000256620800001 ER PT J AU Lai, E AF Lai, Edwin TI International Public Goods and Transfer of Technology Under a Globalized Intellectual Property Regime SO WORLD TRADE REVIEW LA English DT Book Review C1 [Lai, Edwin] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. RP Lai, E (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. NR 3 TC 0 Z9 0 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 1474-7456 J9 WORLD TRADE REV JI World Trade Rev. PD JUL PY 2008 VL 7 IS 3 BP 576 EP 579 DI 10.1017/S1474745608003911 PG 4 WC Economics; International Relations; Law SC Business & Economics; International Relations; Government & Law GA 386JC UT WOS:000261878500006 ER PT J AU Justiniano, A Primiceri, GE AF Justiniano, Alejandro Primiceri, Giorgio E. TI The time-varying volatility of macroeconomic fluctuations SO AMERICAN ECONOMIC REVIEW LA English DT Article ID US MONETARY-POLICY; BUSINESS-CYCLE; STATE-SPACE; TECHNOLOGICAL-CHANGE; OUTPUT VOLATILITY; AGENCY COSTS; DSGE MODELS; NET WORTH; INVESTMENT; LIKELIHOOD AB We investigate the sources of the important shifts in the volatility of US macroeconomic variables in the postwar period. To this end, we propose the estimation of DSGE models allowing for time variation in the volatility of the structural innovations. We apply our estimation strategy to a large-scale model of the business cycle and find that shocks specific to the equilibrium condition of investment account for most of the sharp decline in volatility of the last two decades. C1 [Justiniano, Alejandro] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Primiceri, Giorgio E.] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. [Primiceri, Giorgio E.] NBER, Cambridge, MA 02138 USA. RP Justiniano, A (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM ajustiniano@frbchi.org; g-primiceri@northwestern.edu NR 81 TC 174 Z9 174 U1 3 U2 28 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 JUN PY 2008 VL 98 IS 3 BP 604 EP 641 DI 10.1257/aer.98.3.604 PG 38 WC Economics SC Business & Economics GA 323JD UT WOS:000257441500004 ER PT J AU Arellano, C AF Arellano, Cristina TI Default risk and income fluctuations in emerging economies SO AMERICAN ECONOMIC REVIEW LA English DT Article ID BUSINESS CYCLES; SOVEREIGN DEBT; INTEREST-RATES; REPUDIATION; MARKETS; EFFICIENCY; CREDIT; AGENCY AB Recent sovereign defaults are accompanied by interest rate spikes and deep recessions. This paper develops a small open economy model to study default risk and its interaction with output and foreign debt. Default probabilities and interest rates depend on incentives for repayment. Default is more likely in recessions because this is when it is more costly for a risk averse borrower to repay noncontingent debt. The model closely matches business cycles in Argentina predicting high volatility of interest rates, higher volatility of consumption relative to output, and negative correlations of output with interest rates and the trade balance. C1 [Arellano, Cristina] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Arellano, Cristina] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Arellano, C (reprint author), Univ Minnesota, Dept Econ, 1035 Heller Hall,271-19th Ave S, Minneapolis, MN 55455 USA. EM arellano@econ.umn.edu NR 41 TC 170 Z9 170 U1 6 U2 24 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 2008 VL 98 IS 3 BP 690 EP 712 DI 10.1257/aer.98.3.690 PG 23 WC Economics SC Business & Economics GA 323JD UT WOS:000257441500007 ER PT J AU Bullard, J Evans, GW Honkapohja, S AF Bullard, James Evans, George W. Honkapohja, Seppo TI Monetary policy, judgment, and near-rational exuberance SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT ECB Conference on Monetary Policy and Imperfect Knowlege CY 2004 CL Wurzburg, GERMANY ID CONSISTENT EXPECTATIONS; RULES C1 [Bullard, James] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Evans, George W.] Univ Oregon, Dept Econ, Eugene, OR 97403 USA. [Honkapohja, Seppo] Bank Finland, FIN-00101 Helsinki, Finland. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM bullard@stls.frb.org; gevans@uoregon.edu; seppo.honkapohja@bof.fi RI Evans, George/H-8051-2012; Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 25 TC 6 Z9 6 U1 3 U2 5 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 JUN PY 2008 VL 98 IS 3 BP 1163 EP 1177 DI 10.1257/aer.98.3.1163 PG 15 WC Economics SC Business & Economics GA 323JD UT WOS:000257441500026 ER PT J AU Chappell, HW McGregor, RR Vermilyea, TA AF Chappell, Henry W., Jr. McGregor, Rob Roy Vermilyea, Todd A. TI Regional economic conditions and monetary policy SO EUROPEAN JOURNAL OF POLITICAL ECONOMY LA English DT Article DE central banking; Federal Reserve; monetary policy; regional economic conditions ID US AB We use county-level unemployment data and data derived from FOMC meeting transcripts to test the hypothesis that monetary policymakers are influenced by economic conditions in regions that they represent. The analysis confirms that regional conditions affect the policy preferences of Reserve Bank presidents. Regional conditions also appear to influence Governors, but the evidence is weaker. For all FOMC members, we find that national conditions matter more than regional conditions; however, we are unable to verify that the evolving regional composition of the Committee's voting membership has any effect on the adopted policy stance. (C) 2008 Elsevier B.V All rights reserved. C1 [McGregor, Rob Roy] Univ N Carolina, Charlotte, NC 28223 USA. [Chappell, Henry W., Jr.] Univ S Carolina, Dept Econ, Columbia, SC 29208 USA. [Vermilyea, Todd A.] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP McGregor, RR (reprint author), Univ N Carolina, 9201 Univ City Blvd, Charlotte, NC 28223 USA. EM chappell@moore.sc.edu; rrmcgreg@uncc.edu; Todd.Vermilyea@phil.frb.org NR 26 TC 19 Z9 19 U1 1 U2 6 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0176-2680 J9 EUR J POLIT ECON JI Eur. J. Polit. Econ. PD JUN PY 2008 VL 24 IS 2 BP 283 EP 293 DI 10.1016/j.ejpoleco.2007.10.002 PG 11 WC Economics; Political Science SC Business & Economics; Government & Law GA 324RF UT WOS:000257535000001 ER PT J AU Hjalmarsson, E AF Hjalmarsson, Erik TI Interpreting long-horizon estimates in predictive regressions SO FINANCE RESEARCH LETTERS LA English DT Article DE Predictive regressions; Long-horizon regressions; Stock return predictability ID EXPECTED STOCK RETURNS; DIVIDEND YIELDS; PREDICTABILITY; INFERENCE; PRICES; MODELS; TESTS AB This paper analyzes the asymptotic properties of long-horizon estimators under both the null hypothesis and an alternative of predictability. Asymptotically, under the null of no predictability, the long-run estimator is an increasing deterministic function of the short-run estimate and the forecasting horizon. Under the alternative of predictability, the conditional distribution of the long-run estimator, given the short-run estimate, is no longer degenerate and the expected pattern of coefficient estimates across horizons differs from that under the null. Importantly. however, under the alternative, highly endogenous regressors, such as the dividend-price ratio. tend to deviate much less than exogenous regressors, such as the short interest rate. from the pattern expected under the null, making it more difficult to distinguish between the null and the alternative. Published by Elsevier Inc. C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Hjalmarsson, E (reprint author), Fed Reserve Board, Div Int Finance, Mail Stop 20, Washington, DC 20551 USA. EM erik.hjalmarsson@frb.gov NR 23 TC 4 Z9 4 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1544-6123 J9 FINANC RES LETT JI Financ. Res. Lett. PD JUN PY 2008 VL 5 IS 2 BP 104 EP 117 DI 10.1016/j.frl.2007.12.005 PG 14 WC Business, Finance SC Business & Economics GA 369QY UT WOS:000260710200005 ER PT J AU Pesenti, P AF Pesenti, Paolo TI The Global Economy Model: Theoretical framework SO IMF STAFF PAPERS LA English DT Article ID STICKY-PRICE MODELS; MONETARY RULES; BUSINESS-CYCLE AB This paper has two purposes. First, it provides a thorough exposition of the theoretical framework underlying the Global Economy Model (GEM), as the model stands in early 2008. Second, it discusses a number of variants and alternative features considered in the GEM-related literature since Laxton and Pesenti (2003). For an updated survey of GEM and other dynamic, stochastic, general-equilibrium applications at the IMF, the reader is referred to Botman and others (2007). Each section starts with a formal description of the relevant equations, and is followed by a presentation of modeling variants and options. When appropriate, the section provides a more detailed discussion of how the building blocks of GEM relate to the literature. It is worth emphasizing from the very beginning that the paper is meant to be used as a technical reference on GEM and related models, with apologies for the somewhat pedantic attention to details and formulas that stems directly from this premise. C1 [Pesenti, Paolo] Fed Reserve Bank New York, New York, NY 10045 USA. [Pesenti, Paolo] Ctr Econ Policy Res, Washington, DC USA. [Pesenti, Paolo] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Pesenti, P (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 16 TC 13 Z9 13 U1 0 U2 3 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 1020-7635 J9 IMF STAFF PAPERS JI IMF Staff Pap. PD JUN PY 2008 VL 55 IS 2 BP 243 EP 284 DI 10.1057/imfsp.2008.8 PG 42 WC Business, Finance; Economics SC Business & Economics GA 309OI UT WOS:000256469700003 ER PT J AU Elekdag, S Lalonde, R Laxton, D Muir, D Pesenti, P AF Elekdag, Selim Lalonde, Rene Laxton, Douglas Muir, Dirk Pesenti, Paolo TI Oil price movements and the global economy: A model-based assessment SO IMF STAFF PAPERS LA English DT Article AB This paper develops a five-region version - Canada, a group of oil-exporting countries, the United States, emerging Asia, and Japan plus the euro area - of the global economy model encompassing production and trade of crude oil. In the presence of real adjustment costs that reduce the short- and medium-term responses of oil supply and demand, our simulations can account for large endogenous variations of oil prices with large effects on the terms of trade of oil-exporting versus oil-importing countries, and result in significant wealth transfers between regions. This is especially true when we consider a sustained increase in productivity growth or a shift in production technology toward more oil-intensive goods in regions such as emerging Asia. In addition, we study the implications of higher taxes on gasoline, showing that such a policy could increase world productive capacity while being consistent with a reduction in oil consumption. C1 [Elekdag, Selim; Laxton, Douglas] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. [Lalonde, Rene; Muir, Dirk] Int Monetary Fund, Bank Canadas Int Dept, Washington, DC 20431 USA. [Pesenti, Paolo] Fed Reserve Bank New York, New York, NY 10045 USA. RP Elekdag, S (reprint author), Int Monetary Fund, Res Dept, 700 19th St NW, Washington, DC 20431 USA. NR 11 TC 4 Z9 5 U1 0 U2 8 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 1020-7635 J9 IMF STAFF PAPERS JI IMF Staff Pap. PD JUN PY 2008 VL 55 IS 2 BP 297 EP 311 DI 10.1057/imfsp.2008.3 PG 15 WC Business, Finance; Economics SC Business & Economics GA 309OI UT WOS:000256469700005 ER PT J AU Frydman, H Schuermann, T AF Frydman, Halina Schuermann, Til TI Credit rating dynamics and Markov mixture models SO JOURNAL OF BANKING & FINANCE LA English DT Article DE risk management; credit risk; credit derivatives ID MOVER-STAYER MODEL; TRANSITIONS; MIGRATION; DERIVATIVES; RISK AB Despite mounting evidence to the contrary, credit migration matrices, used in many credit risk and pricing applications, are typically assumed to be generated by a simple Markov process. Based on empirical evidence, we propose a parsimonious model that is a mixture of (two) Markov chains, where the mixing is on the speed of movement among credit ratings. We estimate this model using credit rating histories and show that the mixture model statistically dominates the simple Markov model and that the differences between two models can be economically meaningful. The non-Markov property of our model implies that the future distribution of a firm's ratings depends not only on its current rating but also on its past rating history. Indeed we find that two firms with identical current credit ratings can have substantially different transition probability vectors. We also find that conditioning on the state of the business cycle or industry group does not remove the heterogeneity with respect to the rate of movement. We go on to compare the performance of mixture and Markov chain using out-of-sample predictions. (C) 2007 Elsevier B.V. All rights reserved. C1 [Schuermann, Til] Fed Reserve Bank New York, New York, NY 10045 USA. [Frydman, Halina] New York Univ, Stern Sch Business, New York, NY 10012 USA. [Schuermann, Til] Wharton Financial Inst Ctr, New York, NY 10045 USA. RP Schuermann, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM hfrydman@stern.nyu.edu; til.schuermann@ny.frb.org NR 27 TC 30 Z9 30 U1 2 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 JUN PY 2008 VL 32 IS 6 BP 1062 EP 1075 DI 10.1016/j.jbankfin.2007.09.013 PG 14 WC Business, Finance; Economics SC Business & Economics GA 313LS UT WOS:000256742700013 ER PT J AU Dennis, R Ravenna, F AF Dennis, Richard Ravenna, Federico TI Learning and optimal monetary policy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE learning; optimal policy; transparency ID MODEL UNCERTAINTY; EXPECTATIONS; INFLATION; RULES; CONVERGENCE AB To conduct policy efficiently, central banks must use available data to infer, or learn, the relevant structural relationships in the economy. However, because a central bank's policy affects economic outcomes, the chosen policy may help or hinder its efforts to learn. This paper examines whether real-time learning allows a central bank to learn the economy's underlying structure and studies the impact that learning has on the performance of optimal policies under a variety of learning environments. Our main results are as follows. First, when monetary policy is formulated as an optimal discretionary targeting rule, we find that the rational expectations equilibrium and the optimal policy are real-time learnable. This result is robust to a range of assumptions concerning private-sector learning behavior. Second, when policy is set with discretion, learning can lead to outcomes that are better than if the model parameters are known. Finally, if the private sector is learning, then unannounced changes to the policy regime, particularly changes to the inflation target, can raise policy loss considerably. (C) 2007 Elsevier B.V. All rights reserved. C1 [Ravenna, Federico] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. [Dennis, Richard] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Ravenna, F (reprint author), Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. EM richard.dennis@sf.frb.org; fravenna@ucsc.edu NR 36 TC 5 Z9 5 U1 2 U2 4 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 JUN PY 2008 VL 32 IS 6 BP 1964 EP 1994 DI 10.1016/j.jedc.2007.08.002 PG 31 WC Economics SC Business & Economics GA 317AT UT WOS:000256992200011 ER PT J AU Foote, CL AF Foote, Christopher L. TI Economic turbulence: Is a volatile economy good for America? SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 [Foote, Christopher L.] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Foote, CL (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 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 JUN PY 2008 VL 46 IS 2 BP 429 EP 431 PG 3 WC Economics SC Business & Economics GA 320TQ UT WOS:000257258300013 ER PT J AU Santos, JAC Winton, A AF Santos, Joao A. C. Winton, Andrew TI Bank loans, bonds, and information monopolies across the business cycle SO JOURNAL OF FINANCE LA English DT Article ID MONETARY-POLICY; FINANCIAL INTERMEDIATION; LENDING RELATIONSHIPS; SYNDICATED LOANS; COMPETITION; TRANSMISSION; CHANNEL; FUNDS; SIZE; DEBT AB Theory suggests that banks' private information about borrowers lets them hold up borrowers for higher interest rates. Since hold-up power increases with borrower risk, banks with exploitable information should be able to raise their rates in recessions by more than is justified by borrower risk alone. We test this hypothesis by comparing the pricing of loans for bank-dependent borrowers with the pricing of loans for borrowers with access to public debt markets, controlling for risk factors. Loan spreads rise in recessions, but firms with public debt market access pay lower spreads and their spreads rise significantly less in recessions. C1 [Santos, Joao A. C.] Fed Reserve Bank New York, New York, NY USA. [Winton, Andrew] Univ Minnesota, Carlson Sch Management, Minneapolis, MN 55455 USA. RP Santos, JAC (reprint author), Fed Reserve Bank New York, New York, NY USA. RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 32 TC 47 Z9 47 U1 3 U2 18 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-1082 J9 J FINANC JI J. Financ. PD JUN PY 2008 VL 63 IS 3 BP 1315 EP 1359 DI 10.1111/j.1540-6261.2008.01359.x PG 45 WC Business, Finance SC Business & Economics GA 299KL UT WOS:000255754400009 ER PT J AU Aaronson, D French, E MacDonald, J AF Aaronson, Daniel French, Eric MacDonald, James TI The minimum wage, restaurant prices, and labor market structure SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID FAST-FOOD INDUSTRY; STICKY PRICES; RETAIL TRADE; EMPLOYMENT; UNEMPLOYMENT; COMPETITION; ECONOMICS; INCREASE AB Using store-level and aggregated Consumer Price Index data, we show that restaurant prices rise in response to minimum wage increases under several sources of identifying variation. We introduce a general model of employment determination that implies minimum wage hikes cause prices to rise in competitive labor markets but potentially fall in monopsonistic environments. Furthermore, the model implies employment and prices are always negatively related. Therefore, our empirical results provide evidence against the importance of monopsony power for understanding small observed employment responses to minimum wage changes. Our estimated price responses challenge other explanations of the small employment response, too. C1 [Aaronson, Daniel; French, Eric] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Aaronson, D (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM daaronson@frbchi.org; efrench@frbchi.org NR 46 TC 17 Z9 17 U1 2 U2 10 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X J9 J HUM RESOUR JI J. Hum. Resour. PD SUM PY 2008 VL 43 IS 3 BP 688 EP 720 PG 33 WC Economics; Industrial Relations & Labor SC Business & Economics GA 330EM UT WOS:000257922300008 ER PT J AU Fecht, F Huang, KXD Martin, A AF Fecht, Falko Huang, Kevin X. D. Martin, Antoine TI Financial intermediaries, markets, and growth SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE financial intermediaries; financial markets; risk-sharing; growth ID ECONOMIC-GROWTH; BANK RUNS; LIQUIDITY; SYSTEMS AB We build a model in which financial intermediaries provide insurance to households against idiosyncratic liquidity shocks. Households can invest in financial markets directly if they pay a cost. In equilibrium, the ability of intermediaries to share risk is constrained by the market. From a growth perspective, this can be beneficial because intermediaries invest less in the productive technology when they provide more risk-sharing. Our model predicts that bank-oriented economies can grow more slowly than more market-oriented economies, which is consistent with some recent empirical evidence. C1 [Huang, Kevin X. D.] Vanderbilt Univ, Dept Econ, Nashville, TN 37203 USA. [Martin, Antoine] Fed Reserve Bank New York, Dept Res, New York, NY USA. EM falko.fecht@bundesbank.de; kevin.huang@vanderbilt.edu; antoine.martin@ny.frb.org NR 22 TC 4 Z9 5 U1 7 U2 11 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 JUN PY 2008 VL 40 IS 4 BP 701 EP 720 DI 10.1111/j.1538-4616.2008.00132.x PG 20 WC Business, Finance; Economics SC Business & Economics GA 302BN UT WOS:000255942500005 ER PT J AU Aizenman, J Glick, R AF Aizenman, Joshua Glick, Reuven TI Pegged exchange rate regimes- A trap ? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE pegged exchange rate; duration; crises; credibility; discretion; monetary regime change ID MONETARY-POLICY; CENTRAL BANKERS; FLEXIBILITY; CREDIBILITY; COMMITMENT AB We analyze the role of an exchange rate peg as a commitment mechanism to achieve inflation stability when multiple equilibria are possible. We show that there are ex ante large gains from choosing a more conservative regime not only in order to mitigate inflation bias from time inconsistency but also to avoid high inflation equilibria. In these circumstances, using a pegged exchange rate as an anti-inflation commitment device can create a "trap" whereby the regime initially confers gains in anti-inflation credibility but ultimately results in an exit occasioned by a big enough adverse real shock that creates large welfare losses to the economy. C1 [Aizenman, Joshua] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. [Glick, Reuven] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. RP Aizenman, J (reprint author), Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. EM jaizen@ucsc.edu; reuven.glick@sf.frb.org NR 22 TC 6 Z9 6 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 JUN PY 2008 VL 40 IS 4 BP 817 EP 835 DI 10.1111/j.1538-4616.2008.00138.x PG 19 WC Business, Finance; Economics SC Business & Economics GA 302BN UT WOS:000255942500011 ER PT J AU Ergashev, B AF Ergashev, Bakhodir TI Should risk managers rely on the maximum likelihood estimation method while quantifying operational risk? SO JOURNAL OF OPERATIONAL RISK LA English DT Article AB This paper compares the performance of four estimation methods, including the maximum likelihood estimation method, which can be used in fitting operational risk models to historically available loss data. The other competing methods are based on minimizing different types of measure for the distance between empirical and,fitting loss distributions. These measures are the Cramer-von Mires statistic, the Anderson-Darling statistic and a measure of the distance between the quantiles of empirical and fitting distributions. We call the lost method the pantile distance estimation method. Our simulation exercise shows that the quantile distance estimation method is superior to the other three methods, especially when loss data sets are relatively small and/or the fitting model is misspecified. C1 Fed Reserve Bank Richmond, Charlotte Off, Charlotte, NC 28230 USA. RP Ergashev, B (reprint author), Fed Reserve Bank Richmond, Charlotte Off, POB 30248, Charlotte, NC 28230 USA. EM bakhodir.ergashev@rich.frb.org NR 14 TC 9 Z9 9 U1 0 U2 1 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6740 J9 J OPER RISK JI J. Oper. Risk. PD SUM PY 2008 VL 3 IS 2 BP 63 EP 86 PG 24 WC Business, Finance SC Business & Economics GA V15UV UT WOS:000207827800005 ER PT J AU Dromel, NL Pintus, PA AF Dromel, Nicolas L. Pintus, Patrick A. TI Are progressive income taxes stabilizing? SO JOURNAL OF PUBLIC ECONOMIC THEORY LA English DT Article ID POLICY; EQUILIBRIA; TAXATION; ECONOMY; GROWTH; RISK AB We assess the stabilizing effect of progressive income taxes in a monetary economy with constant returns to scale. It is shown that tax progressivity reduces, in parameter space, the likelihood of local indeterminacy, sunspots and cycles. However, considering plausibly low levels of tax progressivity does not ensure saddle-point stability and preserves as robust the occurrence of sunspot equilibria and endogenous cycles. It turns out that increasing progressivity, through its impact on after-tax income, makes labor supply more inelastic. However, even when large, tax progressivity does not neutralize the effects of expected inflation on current labor supply which may lead to expectation-driven business fluctuations. C1 [Dromel, Nicolas L.] CREST INSEE, F-92245 Malakoff, France. [Pintus, Patrick A.] Univ Mediterranee GREQAM IDEP, St Louis, MO 63166 USA. [Pintus, Patrick A.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. EM dromel@ensae.fr; Patrick.A.Pintus@stls.frb.org NR 26 TC 6 Z9 6 U1 0 U2 3 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1097-3923 J9 J PUBLIC ECON THEORY JI J. Public. Econ. Theory. PD JUN PY 2008 VL 10 IS 3 BP 329 EP 349 DI 10.1111/j.1467-9779.2008.00365.x PG 21 WC Economics SC Business & Economics GA 295PY UT WOS:000255487600001 ER PT J AU Chakrabarti, R AF Chakrabarti, Rajashri TI Can increasing private school participation and monetary loss in a voucher program affect public school performance? Evidence from Milwaukee SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE vouchers; public school performance; competition; response; mean reversion ID ACHIEVEMENT; CHOICE AB The Milwaukee voucher program, as implemented in 1990, allowed only non-sectarian private schools to participate in the program. Following a Wisconsin Supreme Court ruling, the program saw a major shift and entered into its second phase, when religious private schools were allowed to participate for the first time in 1998. This led to more than a three-fold increase in the number of private schools and almost a four-fold increase in the number of choice students. Moreover, due to some changes in funding provisions, the revenue loss per student from vouchers increased in the second phase of the program. This paper analyzes the impacts of increase in competition brought about by these changes on public school performance in Milwaukee. Using data from 1987 to 2002, and a difference-in-differences estimation strategy in trends, the paper finds that these changes have led to an improvement of the public schools in the second phase of the program as compared to the first phase. The results are robust to alternative samples and specifications, and survive several sensitivity checks including correcting for mean reversion. The findings imply that voucher design matters and choice of parameters in a voucher program is crucial as far as impacts on public school incentives and performance are concerned. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Chakrabarti, R (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Rajashri.Chakrabarti@ny.frb.org RI Chakrabarti, Rajashri/A-8138-2009 NR 20 TC 25 Z9 25 U1 0 U2 7 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 2008 VL 92 IS 5-6 BP 1371 EP 1393 DI 10.1016/j.jpubeco.2007.06.009 PG 23 WC Economics SC Business & Economics GA 295BJ UT WOS:000255449700026 ER PT J AU Holmes, TJ Mitchell, MF AF Holmes, Thomas J. Mitchell, Matthew F. TI A theory of factor allocation and plant size SO RAND JOURNAL OF ECONOMICS LA English DT Article ID CAPITAL-SKILL COMPLEMENTARITY; WAGE INEQUALITY; ECONOMIC-GROWTH; MANUFACTURES; TECHNOLOGY; DISPERSION; DEMAND; LABOR AB This article develops a theory of how capital, skilled labor, and unskilled labor interact at the plant level. The theory has implications for the relationship between factor allocation and plant size and the effects of trade and growth on the skill premium. The theory is consistent with certain facts about factor allocation and factor price changes in the 19th and 20th centuries. C1 [Holmes, Thomas J.] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Holmes, Thomas J.] NBER, Cambridge, MA 02138 USA. [Mitchell, Matthew F.] Univ Toronto, Toronto, ON M5S 1A1, Canada. RP Holmes, TJ (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. EM holmes@econ.umn.edu; matthew.mitchell@rotman.utoronto.ca NR 36 TC 7 Z9 7 U1 2 U2 7 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0741-6261 J9 RAND J ECON JI Rand J. Econ. PD SUM PY 2008 VL 39 IS 2 BP 329 EP 351 DI 10.1111/j.0741-6261.2008.00017.x PG 23 WC Economics SC Business & Economics GA 314YI UT WOS:000256844700001 ER PT J AU Grossman, GM Lai, ELC AF Grossman, Gene M. Lai, Edwin L. -C. TI Parallel imports and price controls SO RAND JOURNAL OF ECONOMICS LA English DT Article ID INTELLECTUAL PROPERTY; TRADE AB Price controls create opportunities for international arbitrage. Many have argued that such arbitrage, if tolerated, will undermine intellectual property rights and dull the incentives for investment in research-intensive industries such as pharmaceuticals. We challenge this orthodox view and show, to the contrary, that the pace of innovation often is faster in a world with international exhaustion of intellectual property rights than in one with national exhaustion. The key to our conclusion is to recognize that governments will make different choices of price controls when parallel imports are allowed by their trade partners than they will when they are not. C1 [Grossman, Gene M.] Princeton Univ, Princeton, NJ 08544 USA. [Lai, Edwin L. -C.] Fed Reserve Bank Dallas, Dallas, TX USA. RP Grossman, GM (reprint author), Princeton Univ, Princeton, NJ 08544 USA. EM grossman@princeton.edu; Edwin.Lai@dal.frb.org NR 19 TC 30 Z9 31 U1 0 U2 10 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0741-6261 J9 RAND J ECON JI Rand J. Econ. PD SUM PY 2008 VL 39 IS 2 BP 378 EP 402 DI 10.1111/j.0741-6261.2008.00019.x PG 25 WC Economics SC Business & Economics GA 314YI UT WOS:000256844700003 ER PT J AU Wilson, D AF Wilson, Daniel TI Investment behavior of US Firms over heterogeneous capital goods: A snapshot SO REVIEW OF INCOME AND WEALTH LA English DT Article ID TECHNOLOGY AB Previous research has shown that the composition of investment and capital can matter for investment dynamics and productivity. However, very little is known about the composition of investment at the micro level. The goal of this note is to help fill this knowledge gap by assessing the nature of the cross-firm variation in investment composition using micro data from the 1998 Annual Capital Expenditure Survey (ACES), a sample of roughly 30,000 firms drawn from the private, nonfarm economy. The data reveal substantial variation that can be characterized by heterogeneous lumpiness of investment in the asset-type dimension. The data also show that some of the variation in investment composition is due to the state of firms' total investment; specifically, computers account for a significantly larger share of firms' incremental investment than of lumpy investment. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Wilson, D (reprint author), Fed Reserve Bank San Francisco, 101 Market St,Mail Stop 1130, San Francisco, CA 94105 USA. EM Daniel.Wilson@sf.frb.org NR 14 TC 1 Z9 1 U1 1 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6586 J9 REV INCOME WEALTH JI Rev. Income Wealth PD JUN PY 2008 VL 54 IS 2 BP 269 EP 278 DI 10.1111/j.1475-4991.2008.00273.x PG 10 WC Economics SC Business & Economics GA 298ZA UT WOS:000255724400006 ER PT J AU Goldberg, PK Hellerstein, R AF Goldberg, Pinelopi Koujianou Hellerstein, Rebecca TI A structural approach to explaining incomplete exchange-rate pass-through and pricing-to market SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 120th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2008 CL New Orleans, LA SP Amer Econ Assoc ID UNITED-STATES C1 [Goldberg, Pinelopi Koujianou] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. [Goldberg, Pinelopi Koujianou] NBER, Cambridge, MA 02138 USA. [Hellerstein, Rebecca] Fed Reserve Bank New York, Int Res Grp, New York, NY 10045 USA. RP Goldberg, PK (reprint author), Princeton Univ, Dept Econ, Fisher Hall, Princeton, NJ 08544 USA. EM pennykg@princeton.edu; rebecca.hellerstein@ny.frb.org NR 14 TC 17 Z9 18 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 MAY PY 2008 VL 98 IS 2 BP 423 EP 429 DI 10.1257/aer.98.2.423 PG 7 WC Economics SC Business & Economics GA 308EE UT WOS:000256370300072 ER PT J AU Daly, MC Valletta, RG AF Daly, Mary C. Valletta, Robert G. TI Cross-national trends in earnings inequality and instability SO ECONOMICS LETTERS LA English DT Article DE earnings inequality; comparative ID UNITED-STATES; GREAT-BRITAIN; DYNAMICS; MOBILITY; GERMANY AB We compare trends in earnings inequality in the United States, Germany, and Great Britain. Estimation of a heterogeneous growth model of permanent and transitory earnings variation reveals substantial convergence in the permanent component of inequality in these countries during the 1990s. (C) 2008 Published by Elsevier B.V. C1 [Daly, Mary C.; Valletta, Robert G.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Daly, MC (reprint author), Fed Reserve Bank San Francisco, 101 Market St,Mail Stop 1130, San Francisco, CA 94105 USA. EM mary.daly@sf.frb.org NR 10 TC 8 Z9 8 U1 0 U2 2 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD MAY PY 2008 VL 99 IS 2 BP 215 EP 219 DI 10.1016/j.econlet.2007.04.019 PG 5 WC Economics SC Business & Economics GA 306FX UT WOS:000256234800001 ER PT J AU Adrian, T Estrella, A AF Adrian, Tobias Estrella, Arturo TI Monetary tightening cycles and the predictability of economic activity SO ECONOMICS LETTERS LA English DT Article DE monetary policy; interest rates; term structured discriminant analysis; logit ID POLICY AB Ten of thirteen monetary tightening cycles since 1955 were followed by increases in unemployment, three were not. The term spread at the end of these cycles discriminates between subsequent outcomes, but levels of nominal or real interest rates do not. Published by Elsevier B.V. C1 [Adrian, Tobias; Estrella, Arturo] Fed Reserve Bank New York, Capital Markets Res Funct, New York, NY 10045 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, Capital Markets Res Funct, 33 Liberty St, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org OI Adrian, Tobias/0000-0001-9379-9592 NR 9 TC 7 Z9 7 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 MAY PY 2008 VL 99 IS 2 BP 260 EP 264 DI 10.1016/j.econlet.2007.07.007 PG 5 WC Economics SC Business & Economics GA 306FX UT WOS:000256234800012 ER PT J AU Guo, H Neely, CJ AF Guo, Hui Neely, Christopher J. TI Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model SO ECONOMICS LETTERS LA English DT Article DE GARCH-in-mean; component GARCH; risk-return; international stock market AB Daily data and component GARCH (CGARCH) models strongly support a positive risk-return relation, in contrast to previous international results. Long-run volatility appears to be important in determining the conditional equity premium, but the evidence might be spurious. (c) 2007 Elsevier B.V. All rights reserved. C1 [Neely, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Guo, Hui] Univ Cincinnati, Coll Business, Cincinnati, OH 45221 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Box 442, St Louis, MO 63166 USA. EM hui.guo@uc.edu; neely@stls.frb.org RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 10 TC 8 Z9 8 U1 2 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 MAY PY 2008 VL 99 IS 2 BP 371 EP 374 DI 10.1016/j.econlet.2007.09.001 PG 4 WC Economics SC Business & Economics GA 306FX UT WOS:000256234800042 ER PT J AU Engelhardt, GV Kumar, A AF Engelhardt, Gary V. Kumar, Anil TI Money on the table: Some evidence on the role of liquidity constraints in 401(k) saving SO ECONOMICS LETTERS LA English DT Article DE saving; 401(k)s; liquidity constraints ID RETIREMENT AB Using Health and Retirement Study data on contributions, earnings, and pension plans, we examine the role of liquidity constraints in explaining why employees fail to take full advantage of employer matching contributions in 401 (k) plans, leaving "money on the table." (c) 2007 Elsevier B.V. All rights reserved. C1 [Engelhardt, Gary V.] Syracuse Univ, Dept Econ, Syracuse, NY 13210 USA. [Engelhardt, Gary V.] Syracuse Univ, Ctr Policy Res, Maxwell Sch Citizenship & Publ Affairs, Syracuse, NY 13210 USA. [Kumar, Anil] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Engelhardt, GV (reprint author), Syracuse Univ, Dept Econ, 426 Eggers Hall, Syracuse, NY 13210 USA. EM gvengelh@maxwell.syr.edu; anil.kumar@dal.frb.org NR 10 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD MAY PY 2008 VL 99 IS 2 BP 402 EP 404 DI 10.1016/j.econlet.2007.09.005 PG 3 WC Economics SC Business & Economics GA 306FX UT WOS:000256234800050 ER PT J AU Nelson, E AF Nelson, Edward TI Ireland and Switzerland: The jagged edges of the Great Inflation SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Ireland; Switzerland; Great Inflation; wage and price controls ID MONETARY-POLICY; MONEY AB Ireland and Switzerland both had rising inflation during the early 1970s, but their experiences diverged thereafter, so that they form a rare example of two countries whose inflation rates are poorly correlated with one another over the Great Inflation period. This paper proposes that the monetary policy neglect hypothesis can account for both countries' experiences. Extensive archival evidence is considered for each country regarding the doctrines that guided 1970s policymaking. This evidence establishes that Switzerland's better record is accounted for by the competition between monetary and nonmonetary views of inflation being resolved earlier and more decisively in favor of the monetary view. In Ireland, by contrast, nonmonetary views of inflation dominated policymaking throughout the 1970s. (C) 2007 Elsevier B.V. All rights reserved. C1 [Nelson, Edward] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Nelson, Edward] CEPR, London, England. RP Nelson, E (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM edward.nelson@stls.frb.org NR 37 TC 1 Z9 1 U1 0 U2 1 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 MAY PY 2008 VL 52 IS 4 BP 700 EP 732 DI 10.1016/j.euroecorev.2007.04.003 PG 33 WC Economics SC Business & Economics GA 316NS UT WOS:000256957400005 ER PT J AU Wheelock, DC AF Wheelock, David C. TI The federal response to home mortgage distress lessons from the Great Depression SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB This article examines the federal response to mortgage distress during the Great Depression: It documents features of the housing cycle of the 1920s and early 1930s, focusing on the growth of mortgage debt and the subsequent sharp increase in mortgage defaults and foreclosures during the Depression. It summarizes the major federal initiatives to reduce foreclosures and reform mortgage market practices, focusing especially on the activities of the Home Owners' Loan Corporation (HOLC), which acquired and refinanced one million delinquent mortgages between 1933 and 1936. Because the conditions under which the HOLC operated were unusual, the author cautions against drawing strong policy lessons from the HOLC's activities. Nonetheless, similarities between the Great Depression and the recent episode suggest that a review of the historical experience can provide insights about alternative policies to relieve mortgage distress. 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 30 TC 20 Z9 20 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 2008 VL 90 IS 3 BP 133 EP 148 PG 16 WC Business, Finance; Economics SC Business & Economics GA 303NH UT WOS:000256046700001 ER PT J AU Gavin, WT Pande, G AF Gavin, William T. Pande, Geetanjali TI FOMC consensus forecasts SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID FEDERAL-RESERVE; INFORMATION AB In November 2007, the Federal Open Market Committee (FOMC) announced a change in the way it communicates its view of the economic outlook: It increased the frequency of its forecasts from two to four times per year, and it increased the length of the forecasting horizon from two to three years. The FOMC does not release the individual members' forecasts or standard measures of consensus such as the mean or median. Rather, it continues to release the forecast information as a range of forecasts, both the full range between the high and the low and a central tendency that omits the extreme values. This paper uses individual forecaster data from the Survey of Professional Forecasters (SPF) to mimic the FOMC's method for creating their central tendency. The authors show that the midpoint of the central tendency of the SPF is a reliable measure of the consensus, suggesting that the FOMC reporting method is also a reliable measure of consensus. For the dates when both are available, the authors also compare the relative forecast accuracy of the FOMC and SPF consensus forecasts for output growth and inflation. Overall, the differences in forecast accuracy are too small to be statistically significant. C1 [Gavin, William T.; Pande, Geetanjali] Fed Reserve Bank St Louis, St Louis, France. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, St Louis, France. NR 19 TC 5 Z9 5 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 2008 VL 90 IS 3 BP 149 EP 163 PG 15 WC Business, Finance; Economics SC Business & Economics GA 303NH UT WOS:000256046700002 ER PT J AU Pintus, PA AF Pintus, Patrick A. TI Laffer traps and monetary policy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID FINANCE CONSTRAINED ECONOMY; ENDOGENOUS BUSINESS CYCLES; REDISTRIBUTIVE TAXATION; MODEL; STABILIZATION; EQUILIBRIUM; GROWTH AB This article focuses on the interaction, in a stylized economy with flexible prices, of monetary and fiscal policy when both are active-active in the sense that how the policy instrument is set depends on the state of the economy. Fiscal policy finances a given stream of government expenditures through distortionary labor taxes, and it operates under a strict balanced-budget rule. If monetary policy is passive, the economy may occasionally switch, because of self-fulfilling expectations, from the neighborhood of a "Laffer trap" equilibrium to the saddle-path leading to the high-welfare steady state. In the low-welfare stationary state, output, investment, and consumption are low while the tax rate is correspondingly high. However, active monetary policy may, by following a rule such that the nominal interest rate responds positively to the state of the economy, push the economy toward the high-welfare equilibrium and rule out expectation-driven business cycles. RP Pintus, PA (reprint author), Fed Reserve Bank St Louis, St Louis, France. NR 19 TC 1 Z9 1 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 MAY-JUN PY 2008 VL 90 IS 3 BP 165 EP 174 PG 10 WC Business, Finance; Economics SC Business & Economics GA 303NH UT WOS:000256046700003 ER PT J AU Gavin, WT Kliesen, KL AF Gavin, William T. Kliesen, Kevin L. TI Forecasting inflation and output: Comparing data-rich models with simple rules SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID DYNAMIC-FACTOR MODEL; MONETARY-POLICY AB There has been a resurgence of interest in dynamic factor models for use by policy advisors. Dynamic factor methods can be used to incorporate a wide range of economic information when forecasting or measuring economic shocks. This article introduces dynamic factor models that underlie the data-rich methods and also tests whether the data-rich models can help a benchmark autoregressive model forecast alternative measures of inflation and real economic activity at horizons of 3, 12, and 24 months ahead. The authors find that, over the past decade, the data-rich models significantly improve the forecasts for a variety of real output and inflation indicators. For all the series that they examine, the authors find that the data-rich models become more useful when forecasting over longer horizons. The exception is the unemployment rate, where the principal components provide significant forecasting information at all horizons. C1 [Gavin, William T.; Kliesen, Kevin L.] Fed Reserve Bank St Louis, Div Res, St Louis, France. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, France. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 29 TC 2 Z9 2 U1 1 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 MAY-JUN PY 2008 VL 90 IS 3 BP 175 EP 192 PG 18 WC Business, Finance; Economics SC Business & Economics GA 303NH UT WOS:000256046700004 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, Charles T. Fuerst, Timothy S. TI Inertial Taylor rules: The benefit of signaling future policy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY; PRICES AB This article traces the consequences of an energy shock on the economy under two different monetary policy rules: (i) a standard Taylor rule, where the Fed responds to inflation and the output gap, and (ii) a Taylor rule with inertia, where the Fed moves slowly to the rate predicted by the standard rule. The authors show that, with both sticky wages and sticky prices, the outcome of an inertial Taylor rule is superior to that of the standard rule, in the sense that inflation is lower and output is higher following an adverse energy shock. However, if prices alone are sticky, the results are less clear and the standard rule delivers substantially less inflation than the inertial rule in the short run. C1 [Carlstrom, Charles T.] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. [Fuerst, Timothy S.] Bowling Green State Univ, Bowling Green, OH 43403 USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 10 TC 2 Z9 2 U1 0 U2 2 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 MAY-JUN PY 2008 VL 90 IS 3 BP 193 EP 203 PN 2 PG 11 WC Business, Finance; Economics SC Business & Economics GA 315JW UT WOS:000256875800002 ER PT J AU Wynne, MA AF Wynne, Mark A. TI Core inflation: A review of some conceptual issues SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Review ID RELATIVE-PRICE CHANGES AB This paper reviews various approaches to the measurement of core inflation that have been proposed over the years using the stochastic approach to index numbers as a unifying framework. It begins with a review of how the concept of core inflation is used by the world's major central banks, including some of the inflation-targeting central banks. The author provides a comprehensive review of many of the measures of core inflation that have been developed over the years and highlights some of the conceptual and practical problems associated with them. C1 Fed Reserve Bank Dallas, Dallas, TX USA. RP Wynne, MA (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. NR 99 TC 7 Z9 8 U1 2 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 MAY-JUN PY 2008 VL 90 IS 3 BP 205 EP 228 PN 2 PG 24 WC Business, Finance; Economics SC Business & Economics GA 315JW UT WOS:000256875800003 ER PT J AU Stojanovic, D Vaughan, MD Yeager, TJ AF Stojanovic, Dusan Vaughan, Mark D. Yeager, Timothy J. TI Do Federal Home Loan Bank membership and advances increase bank risk-taking? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE government-sponsored enterprises; Federal Home Loan Bank; market discipline; bank risk; liquidity management ID DEPOSIT INSURANCE; INFORMATION-CONTENT; MARKET DISCIPLINE; MORAL HAZARD; COMMITMENTS; SYSTEM AB Since the early 1990s, commercial banks have turned to Federal Home Loan Bank (FHLBank) advances to plug the gap between loan and deposit growth. Is this trend worrisome? On the one hand, advances implicitly encourage risk by insulating borrowers from market discipline. On the other, advances give borrowers greater flexibility to managing interest rate and liquidity risk. And access to FHLBank funding encourages members to reshape their balance sheets in ways that could lower credit risk. Using quarterly financial and supervisory data for banks from 1992 to 2065, we assess the effect of FHLBank membership and advances on risk. The evidence suggests liquidity and leverage risks rose modestly, but interest-rate risk declined somewhat. Credit risk and overall failure risk were largely unaffected. Although the evidence suggest FHLBank membership and advances have had, at best, only a modest impact on bank risk, we caution that our sample period constitutes one observation and that moral hazard could be pronounced if leverage ratios revert to historical norms. (C) 2007 Elsevier B.V. All rights reserved. C1 [Yeager, Timothy J.] Univ Arkansas, Sam M Waltson Coll Business, Fayetteville, AR 72701 USA. [Vaughan, Mark D.] Fed Reserve Bank Richmond, Richmond, VA 23219 USA. [Stojanovic, Dusan] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Yeager, TJ (reprint author), Dept Finance, Business Bldg 302, Fayetteville, AR 72701 USA. EM tyeager@walton.uark.edu RI Yeager, Tim/F-3306-2010 NR 57 TC 6 Z9 6 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 2008 VL 32 IS 5 BP 680 EP 698 DI 10.1016/j.jbankfin.2007.05.004 PG 19 WC Business, Finance; Economics SC Business & Economics GA 302SQ UT WOS:000255990000005 ER PT J AU Wheeler, CH AF Wheeler, Christopher H. TI Worker turnover, industry localization, and producer size SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE firm size; turnover; search; vacancies ID FIRM; GROWTH; CITIES; RATES AB Empirically, large employers have been shown to devote greater resources to filling vacancies than small employers. Following this evidence, this paper offers a theory of producer size based on labor market search, whereby a key factor in the determination of a producer's total employment is the ease with which workers can be found to fill jobs that are, periodically, vacated. Since the geographic localization of industry has long been conjectured to facilitate the search process, the model provides an explanation for the observed positive association between average producer size and the magnitude of an industry's presence within local labor markets. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. RP Wheeler, CH (reprint author), Fed Reserve Bank St Louis, Div Res, 411 Locust St, St Louis, MO 63102 USA. EM Christopher.H.Wheeler@stls.frb.org NR 31 TC 1 Z9 2 U1 2 U2 4 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 MAY PY 2008 VL 66 IS 2 BP 322 EP 334 DI 10.1016/j.jebo.2003.11.017 PG 13 WC Economics SC Business & Economics GA 298OI UT WOS:000255696600013 ER PT J AU Ackert, LE Church, BK Zhang, P AF Ackert, Lucy E. Church, Bryan K. Zhang, Ping TI What affects the market's ability to adjust for optimistic forecast bias? Evidence from experimental asset markets SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE experimental asset markets; optimistic forecast bias ID ANALYSTS FORECASTS; PRICE FORMATION; DOUBLE AUCTION; INFORMATION; EARNINGS; RECOMMENDATIONS; EXPECTATIONS; BEHAVIOR AB This study uses experimental asset markets to investigate the effects of experience and common knowledge on a market's ability to adjust for optimistic forecast bias. As a baseline, we find that period-end prices reflect unbiased forecasts in markets with private information and inexperienced traders. With low bias forecasts, traders need experience before price adjusts for the bias. With high bias forecasts, traders need experience and public forecast releases before price adjusts for the bias. Overall, our findings provide insight into identifying conditions that are critical for the full revelation of biased, imperfect forecasts and provide direction for future theoretical work. (c) 2006 Elsevier B.V. All rights reserved. C1 [Church, Bryan K.] Georgia Tech, Coll Management, Atlanta, GA 30332 USA. [Ackert, Lucy E.] Kennesaw State Univ, Michaels J Coles Coll Business, Dept Econ & Finance, Kennesaw, GA 30144 USA. [Ackert, Lucy E.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Zhang, Ping] Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada. RP Church, BK (reprint author), Georgia Tech, Coll Management, Atlanta, GA 30332 USA. EM lackert@kennesaw.edu; bryan.church@mgt.gatech.edu; pzhang@mgmt.utoronto.ca NR 32 TC 2 Z9 2 U1 3 U2 4 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 MAY PY 2008 VL 66 IS 2 BP 358 EP 372 DI 10.1016/j.jebo.2006.05.004 PG 15 WC Economics SC Business & Economics GA 298OI UT WOS:000255696600016 ER PT J AU Raffo, A AF Raffo, Andrea TI Net exports, consumption volatility and international business cycle models SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE net exports; international business cycles; home production; consumption volatility ID SMALL OPEN-ECONOMY; TRADE; LABOR AB Conventional two-country RBC models interpret countercyclical net exports as reflecting primarily the dynamics of capital. I show that, quantitatively, theoretical economies rely on counterfactual terms of trade effects: trade fluctuations, on the contrary, are driven by consumption smoothing, thus generating procyclical net trade in goods. I then consider a class of preferences that embeds home production in a reduced form: consumption volatility increases so that countercyclical net exports reflect primarily a strong relation between consumption and imports, as in the data. The major discrepancy between theory and data concerns the variability of international prices. Published by Elsevier B.V. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. RP Raffo, A (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 925 Grand Blvd, Kansas City, MO 64198 USA. EM andrea.raffo@kc.frb.org RI RAFFO, ANDREA/D-7659-2014 OI RAFFO, ANDREA/0000-0003-1799-1739 NR 19 TC 22 Z9 22 U1 2 U2 11 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 MAY PY 2008 VL 75 IS 1 BP 14 EP 29 DI 10.1016/j.jinteco.2007.10.001 PG 16 WC Economics SC Business & Economics GA 313LC UT WOS:000256741100002 ER PT J AU Berger, DW Chaboud, AP Chernenko, SV Howorka, E Wright, JH AF Berger, David W. Chaboud, Alain P. Chernenko, Sergey V. Howorka, Edward Wright, Jonathan H. TI Order flow and exchange rate dynamics in electronic brokerage system data SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE order flow; foreign exchange; high-frequency data; news announcements; micro exchange rate economics; private information ID FOREIGN-EXCHANGE; PRICE DISCOVERY; MARKET; LIQUIDITY; ANNOUNCEMENTS; COINTEGRATION; VOLUME; TRADE AB We analyze the association between order flow and exchange rates using a new dataset representing a majority of global interdealer transactions in the two most-traded currency pairs at the one minute frequency over a six-year time period. This long span of high-frequency data allows us to gain new insights about the joint behavior of these series. We first confirm the presence of a substantial association between interdealer order flow and exchange rate returns at horizons ranging from 1 min to two weeks, but find that the association is substantially weaker at longer horizons. We study the time-variation of the association between exchange rate returns and order flow both intradaily and over the long term, and show that the relationship appears to be stronger when market liquidity is lower. Overall, our study supports the view that liquidity effects play an important role in the relationship between order flow and exchange rate changes. This by no means rules out a role for order flow as a channel by which fundamental information is transmitted to the market, as we show that our findings are quite consistent with a recent model by Bacchetta and Van Wincoop (2006: Can information heterogeneity explain the exchange rate determination puzzle? American Economic Review, 96, pp. 552-576.) that combines both liquidity and information effects. (C) 2007 Elsevier B.V. All rights reserved. C1 [Chaboud, Alain P.; Wright, Jonathan H.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Berger, David W.] Yale Univ, Dept Econ, New Haven, CT 06520 USA. [Chernenko, Sergey V.] Harvard Univ, Sch Business, Boston, MA 02163 USA. [Howorka, Edward] EBS, New York, NY 10022 USA. RP Wright, JH (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM david.berger@yale.edu; alain.p.chaboud@frb.gov; schernenko@hbs.edu; ehoworka@ebs.com; jonathan.h.wright@frb.gov RI Chernenko, Sergey/G-3918-2013 NR 28 TC 46 Z9 46 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 MAY PY 2008 VL 75 IS 1 BP 93 EP 109 DI 10.1016/j.jinteco.2007.10.004 PG 17 WC Economics SC Business & Economics GA 313LC UT WOS:000256741100006 ER PT J AU Alessandria, G Delacroix, A AF Alessandria, George Delacroix, Alain TI Trade and the (dis)incentive to reform labor markets: The case of reform in the European Union SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE firing costs; international trade; labor market reform ID EMPLOYMENT PROTECTION; INTERNATIONAL SPECIALIZATION; SEVERANCE PAYMENTS; INDIVISIBLE LABOR; BUSINESS CYCLES; MONETARY UNION; NORTH-AMERICA; FIRING COSTS; UNEMPLOYMENT; ECONOMY AB We study the relation between international trade and the gains to reform labor markets by removing firing restrictions. We find that trade linkages imply substantially smaller benefits to reform than those calculated in the closed economy general equilibrium model of Hopenhayn and Rogerson [Hopenhyn, Hugo, Rogerson, Richard, 1993. Job Turnover and policy evaluations: a general equilibrium analysis. journal of Political Economy 101 (5), 915-938 October]. When economies trade, labor market policies in one country spill over to other countries through their effect on the terms of trade. A key finding in the open economy is that the share of the welfare gains from domestic labor market reform exported substantially exceeds the share of goods exported. Thus, with international trade, a country retains little to no benefit from unilaterally reforming its labor market. A coordinated elimination of firing taxes yields considerable benefits. We also find that the U.K. benefits from labor market reform by its continental trading partners. These insights provide some explanation for recent efforts toward labor market reform in the European Union. (C) 2008 Elsevier B.V. All rights reserved. C1 [Alessandria, George] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Delacroix, Alain] CIRPEE, Montreal, PQ, Canada. [Delacroix, Alain] Univ Quebec, Montreal, PQ H3C 3P8, Canada. RP Alessandria, G (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. EM george.alessandria@phil.frb.org NR 53 TC 5 Z9 5 U1 2 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 MAY PY 2008 VL 75 IS 1 BP 151 EP 166 DI 10.1016/j.jinteco.2008.02.001 PG 16 WC Economics SC Business & Economics GA 313LC UT WOS:000256741100009 ER PT J AU Piazzesi, M Swanson, ET AF Piazzesi, Monika Swanson, Eric T. TI Futures prices as risk-adjusted forecasts of monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE federal funds futures; monetary policy; risk premia ID FEDERAL-RESERVE POLICY; INTEREST-RATES; TERM STRUCTURE; MARKET; YIELDS AB Many researchers have used federal funds futures rates as measures of financial markets' expectations of future monetary policy. However, to the extent that federal funds futures reflect risk premia, these measures require some adjustment. In this paper, we document that excess returns on federal funds futures have been positive on average and strongly countercyclical. In parti cular, excess returns are surprisingly well predicted by macroeconomic indicators such as employment growth and financial business-cycle indicators such as Treasury yield spreads and corporate bond spreads. Excess returns on eurodollar futures display similar patterns. We document that simply ignoring these risk premia significantly biases forecasts of the future path of monetary policy. We also show that risk premia matter for some futures-based measures of monetary policy shocks used in the literature. (c) 2008 Elsevier BY. All rights reserved. C1 [Piazzesi, Monika] Univ Chicago, NBER, Chicago, IL 60637 USA. [Swanson, Eric T.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Piazzesi, M (reprint author), Univ Chicago, NBER, Chicago, IL 60637 USA. EM piazzesi@uchicago.edu RI Johnson, Marilyn/E-7209-2011 NR 29 TC 67 Z9 68 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 MAY PY 2008 VL 55 IS 4 BP 677 EP 691 DI 10.1016/j.jmoneco.2008.04.003 PG 15 WC Business, Finance; Economics SC Business & Economics GA 336GA UT WOS:000258351100002 ER PT J AU Athreya, KB AF Athreya, Kartik B. TI Default, insurance, and debt over the life-cycle SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE default; unsecured debt; life-cycle consumption inequality ID UNSECURED DEBT; INEQUALITY; CONSUMPTION; RISK; WEALTH; STATE AB The widespread use of debt and default suggests that unsecured credit markets play an important role in consumption smoothing. In this paper, I address two previously unanswered questions. First, how does policy towards debt default affect the evolution of consumption and net worth over the life-cycle? Second, how does debt default policy interact with social insurance over the life-cycle? The findings are as follows. First, US default policy appears "lax", in the sense that it creates severe credit constraints, especially for the young. Second, eliminating default will lower consumption inequality among the young, but will increase it among the old. Third, social insurance alters default risk and, in turn, loan pricing, and therefore matters for purely intertemporal smoothing. (c) 2008 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Athreya, KB (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM kartik.athreya@rich.frb.org NR 38 TC 8 Z9 8 U1 1 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 MAY PY 2008 VL 55 IS 4 BP 752 EP 774 DI 10.1016/j.jmoneco.2008.05.006 PG 23 WC Business, Finance; Economics SC Business & Economics GA 336GA UT WOS:000258351100007 ER PT J AU Fuhrer, J Tootell, G AF Fuhrer, Jeff Tootell, Geoff TI Eyes on the prize: How did the fed respond to the stock market? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; asset prices ID MONETARY-POLICY RULES AB Since the stock market boom of the 1990s, many have suggested the Federal Open Market Committee (FOMC) has adopted an unannounced policy goal of supporting equity values. This paper offers a new approach to disentangle the relationship between changes in equity values and monetary policy. Specifically, the paper distinguishes the FOMC's reaction to forecasts of traditional goal variables, which may depend on equity prices, from the FOMC's independent reaction to changes in equity prices. By using actual forward-looking variables examined by the FOMC before each action (the "Greenbook" forecasts), the authors find little evidence to support the proposition that the FOMC responds to stock values, except as filtered through a forecast of accepted monetary policy goal variables. (c) 2008 Published by Elsevier B.V. C1 [Fuhrer, Jeff; Tootell, Geoff] Fed Reserve Bank Boston, Res Dept, Boston, MA 02106 USA. RP Tootell, G (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02106 USA. EM Jeff.Fuhrer@bos.frb.org; Geoff.Tootell@bos.frb.org RI Fuhrer, Jeff/F-8852-2013 NR 12 TC 15 Z9 15 U1 0 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 MAY PY 2008 VL 55 IS 4 BP 796 EP 805 DI 10.1016/j.jmoneco.2008.03.005 PG 10 WC Business, Finance; Economics SC Business & Economics GA 336GA UT WOS:000258351100009 ER PT J AU Nelson, E Schwartz, AJ AF Nelson, Edward Schwartz, Anna J. TI The impact of Milton Friedman on modern monetary economics: Setting the record straight on Paul Krugman's "Who was Milton Friedman? SO JOURNAL OF MONETARY ECONOMICS LA English DT Review DE monetarism; new Keynesian economics; inflation; price controls; great depression ID INFLATION; MONEY; UNEMPLOYMENT; EXPECTATIONS; DEPRESSION; CONTRACTS; FRAMEWORK; DYNAMICS; POLICY; RATES AB Paul Krugman's essay "Who Was Milton Friedman?" seriously mischaracterizes Friedman's economics and his legacy. In this paper, we provide a rejoinder to Krugman on these issues. In the course of setting the record straight, we provide a self-contained guide to Milton Friedman's impact on modern monetary economics and on today's central banks. We also refute the conclusions that Krugman draws about monetary policy from the experiences of the United States in the 1930s and of Japan in the 1990s. (c) 2008 Elsevier 13N. All rights reserved. C1 [Nelson, Edward] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Schwartz, Anna J.] NBER, New York, NY 10016 USA. RP Nelson, E (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM Edward.Nelson@stls.frb.org NR 112 TC 6 Z9 6 U1 1 U2 16 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 2008 VL 55 IS 4 BP 835 EP 856 DI 10.1016/j.jmoneco.2008.01.001 PG 22 WC Business, Finance; Economics SC Business & Economics GA 336GA UT WOS:000258351100012 ER PT J AU Nelson, E Schwartz, AJ AF Nelson, Edward Schwartz, Anna J. TI Rejoinder to Paul Krugman SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetarism; great depression AB We provide a brief rejoinder to Krugman [2008, Response to Nelson and Schwartz journal. of Monetary Economics 55, this issue] on three issues that are central to his original New York Review ofBooks article and his reply to our setting the record straight: (i) criticisms of Friedman; (ii) criticisms of monetarism; and (iii) interpretations of histor y. (c) 2008 Elsevier BY. All rights reserved. C1 [Nelson, Edward] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Schwartz, Anna J.] NBER, New York, NY 10016 USA. RP Nelson, E (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM edward.nelson@stls.frb.org NR 3 TC 0 Z9 0 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 MAY PY 2008 VL 55 IS 4 BP 861 EP 862 DI 10.1016/j.jmoneco.2008.05.004 PG 2 WC Business, Finance; Economics SC Business & Economics GA 336GA UT WOS:000258351100014 ER PT J AU Cunningham, CR Engelhardt, GV AF Cunningham, Christopher R. Engelhardt, Gary V. TI Housing capital-gains taxation and homeowner mobility: Evidence from the Taxpayer Relief Act of 1997 SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE housing; capital gains; taxation; mobility ID CREDIT; MODEL AB We provide new evidence on the impact of housing capital-gains taxation on homeowner behavior by examining residential mobility before and after the Taxpayer Relief Act of 1997 (TRA97), which generated the most sweeping reform of capital-gains taxation in the last two decades. In addition to lowering marginal tax rates on long-term capital gains for all assets, TRA97 also eliminated any differential treatment of housing gains above and below age 55, allowing all homeowners to qualify for capital-gains exclusions. Utilizing data drawn from the Current Population Survey (CPS) on either side of the law change (1996 and 1998) on homeowners just above (56-58 year olds) and below (52-54 year olds) the age-55 threshold and a reduced-form, difference-indifference empirical approach, our estimates suggest that the repeal of the differential capital-gains tax treatment by age embodied in TRA97 had an economically important and statistically significant impact on the residential mobility of under-55 homeowners. Across a variety of specifications, the repeal raised the mobility rate by around 1-1.4 percentage points, which, for a mean mobility rate of 4 percentage points, represented an increase in the mobility rate of homeowners in their early 50s by 22-31%. Furthermore, the bulk of this effect was concentrated among highly mobile homeowners who a priori were more likely to have wanted to trade down (e.g., divorced, empty nesters), those facing higher capital gains tax rates, and those living in states that had experienced higher rates of nominal appreciation. (C) 2007 Elsevier Inc. All rights reserved. C1 [Cunningham, Christopher R.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Engelhardt, Gary V.] Syracuse Univ, Dept Econ, Syracuse, NY 13210 USA. [Engelhardt, Gary V.] Syracuse Univ, Ctr Policy Res, Maxwell Sch Citizenship & Publ Affairs, Syracuse, NY 13210 USA. RP Cunningham, CR (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St, Atlanta, GA 30309 USA. EM Chris.Cunningham@atl.frb.org; gvengelh@maxwell.syr.edu NR 19 TC 11 Z9 11 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAY PY 2008 VL 63 IS 3 BP 803 EP 815 DI 10.1016/j.jue.2007.05.002 PG 13 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 298ZF UT WOS:000255724900004 ER PT J AU Nair, SK Anderson, RG AF Nair, Suresh K. Anderson, Richard G. TI A specialized inventory problem in banks: Optimizing retail sweeps SO PRODUCTION AND OPERATIONS MANAGEMENT LA English DT Article; Proceedings Paper CT Conference of the Production-and-Operations-Management-Society and the College-of-Service-Operations CY OCT, 2004 CL Columbia Univ, New York, NY SP Product & Operat Management Soc, Coll Serv Operat, Columbia Univ, Grad Sch Business, New York Univ, Stern Sch Business, Univ Penn, Wharton Sch, Yale Univ, Sch Management, IBM HO Columbia Univ DE retail banking; sweeps; Regulation D; required reserves; stochastic dynamic programming ID MODEL; POLICIES AB Deposits held at Federal Reserve Banks are an essential input to the business activity of most depository institutions in the United States. Managing these deposits is an important and complex inventory problem for two reasons. First, Federal Reserve regulations require that depository institutions hold certain amounts of such deposits at the Federal Reserve Banks to satisfy statutory reserve requirements against customers' transaction accounts (demand deposits and other checkable deposits). Second, some inventory of such deposits is essential for banks to operate one of their core lines of business: furnishing payment services to households and firms. Because the Federal Reserve does not pay interest on such deposits used to satisfy statutory reserve requirements, banks seek to minimize their inventory of such deposits. In 1994, the banking industry introduced a new inventory management tool for such deposits, the retail deposit sweep program, which avoids the statutory requirement by reclassifying transaction deposits as savings deposits. This is an interesting inventory problem for fungible items, where the conversion process is reversible. We examine two methods for operating such sweeps programs within the limits of Federal Reserve regulations, and we develop a stochastic dynamic programming model to implement one such method, the threshold method. C1 [Nair, Suresh K.] Univ Connecticut, Sch Business, Storrs, CT 06269 USA. [Anderson, Richard G.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Nair, SK (reprint author), Univ Connecticut, Sch Business, Storrs, CT 06269 USA. EM suresh.nair@business.uconn.edu; richard.g.anderson@stls.frb.org RI Oliveira, Luciano/N-4674-2014 NR 26 TC 7 Z9 7 U1 0 U2 2 PU PRODUCTION OPERATIONS MANAGEMENT SOC PI BALTIMORE PA UNIV BALTIMORE, 1420 CHARLES ST, BALTIMORE, MD 21201 USA SN 1059-1478 J9 PROD OPER MANAG JI Prod. Oper. Manag. PD MAY-JUN PY 2008 VL 17 IS 3 BP 285 EP 295 DI 10.3401/poms.1080.0028 PG 11 WC Engineering, Manufacturing; Operations Research & Management Science SC Engineering; Operations Research & Management Science GA 315HB UT WOS:000256868000005 ER PT J AU Smith, TE Smith, MM Wackes, J AF Smith, Tony E. Smith, Marvin M. Wackes, John TI Alternative financial service providers and the spatial void hypothesis SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE spatial void hypothesis; point pattern analysis; K-functions ID ASSOCIATION; PATTERNS; TESTS AB This paper studies the spatial relationship between traditional banking services (Banks) and alternative financial service providers (AFSPs). The main objective is to test the so-called spatial void hypothesis that AFSPs tend to locate in markets where traditional banking services are under-provided. The key question of interest here is whether or not AFSPs serve markets with significantly lower income levels than those of Banks. One of the main contributions of this paper is to develop a statistical methodology for addressing this question that builds on previous studies. The present approach is based largely on K-function analyses of both individual and paired point patterns. These Monte Carlo testing procedures are applied to Banks and AFSPs in the four-county region around Philadelphia, Pennsylvania, and are also compared with previous methods. In contrast to previous work, the key finding of the present research is that there is indeed strong empirical support for the spatial void hypothesis in this Philadelphia region. (C) 2008 Elsevier B.V. All rights reserved. C1 [Smith, Tony E.] Univ Penn, Dept Elect & Syst Engn, Philadelphia, PA 19104 USA. [Smith, Marvin M.; Wackes, John] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Smith, TE (reprint author), Univ Penn, Dept Elect & Syst Engn, Philadelphia, PA 19104 USA. EM tesmith@seas.upenn.edu NR 30 TC 10 Z9 10 U1 0 U2 2 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 2008 VL 38 IS 3 BP 205 EP 227 DI 10.1016/j.regsciurbeco.2008.01.012 PG 23 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 314ZB UT WOS:000256846600001 ER PT J AU Fischer, RL Nelson, L Mikelbank, K Coulton, C AF Fischer, Robert L. Nelson, Lisa Mikelbank, Kristen Coulton, Claudia TI Space to Learn and Grow: Assessing the Capacity of a Regional Early Care and Education System SO CHILD & YOUTH CARE FORUM LA English DT Article DE Early care; System capacity; Research; Market AB As communities across the United States work to meet the early care and education needs of young children, more research is needed to inform decision making at many levels. One key dimension of this is having clarity about the relative availability of care in light of demographic trends and geographic dispersion. The present study demonstrates a method to examine the capacity of early care programs to serve the children in a large urban county. The study takes stock of the existing early care system by comparing where the child care slots are and where the demand is-all at the neighborhood level. The existing capacity to meet the needs of 3-5 year olds could provide slots for approximately 70% of all children, though there are spatial imbalances in the location of supply and demand. The study illustrates the effective use of administrative and Census-based data to inform policy planning for children and identifies several key implications for this type of effort. C1 [Fischer, Robert L.; Mikelbank, Kristen; Coulton, Claudia] Case Western Reserve Univ, Mandel Sch Appl Social Sci, Ctr Urban Poverty & Community Dev, Cleveland, OH 44106 USA. [Nelson, Lisa] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Fischer, RL (reprint author), Case Western Reserve Univ, Mandel Sch Appl Social Sci, Ctr Urban Poverty & Community Dev, 10900 Euclid Ave, Cleveland, OH 44106 USA. EM fischer@case.edu NR 27 TC 3 Z9 3 U1 0 U2 0 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 1053-1890 J9 CHILD YOUTH CARE FOR JI Child Youth Care Forum PD APR PY 2008 VL 37 IS 2 BP 75 EP 86 DI 10.1007/s10566-008-9049-3 PG 12 WC Psychology, Developmental SC Psychology GA V13RJ UT WOS:000207683600002 ER PT J AU Bhattacharya, J Haslag, J Martin, A Singh, R AF Bhattacharya, Joydeep Haslag, Joseph Martin, Antoine Singh, Rajesh TI Who is afraid of the Friedman rule? SO ECONOMIC INQUIRY LA English DT Article ID OPTIMUM QUANTITY; MONEY; CYCLE AB We explore the connection between optimal monetary policy and heterogeneity among agents in a standard monetary economy with two types of agents where the stationary distribution of money holdings is nondegenerate. Sans type-specific fiscal policy, we show that the zero-nominal-interest rate policy (the Friedman rule) does not maximize type-specific welfare; it may not maximize aggregate ex ante social welfare either. Indeed, one or, more surprisingly, both types may benefit if the central bank deviates from the Friedman rule. C1 [Bhattacharya, Joydeep; Singh, Rajesh] Iowa State Univ, Dept Econ, Ames, IA 50011 USA. [Haslag, Joseph] Univ Missouri, Dept Econ, Columbia, MO 65211 USA. [Martin, Antoine] Fed Reserve Bank New York, Payments Studies Funct, New York, NY 10045 USA. RP Bhattacharya, J (reprint author), Iowa State Univ, Dept Econ, 260 Heady Hall, Ames, IA 50011 USA. EM joydeep@iastate.edu; haslagj@missouri.edu; antoine.martin@ny.frb.org; rsingh@iastate.edu OI Bhattacharya, Joydeep/0000-0002-3148-4592 NR 15 TC 3 Z9 3 U1 1 U2 8 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD APR PY 2008 VL 46 IS 2 BP 113 EP 130 DI 10.1111/j.1465-7295.2007.00068.x PG 18 WC Economics SC Business & Economics GA 290ME UT WOS:000255126100002 ER PT J AU Bordo, MD Haubrich, JG AF Bordo, Michael D. Haubrich, Joseph G. TI Forecasting with the yield curve; level, slope, and output 1875-1997 SO ECONOMICS LETTERS LA English DT Article DE interest rates; forecasting; GNP growth ID INFLATION; ACCURACY; TESTS AB Over the period 1875 to 1997, using the yield curve helps forecast real growth. Using both the level and slope of the curve improves forecasts more than using either variable alone. Forecast performance changes over time and depends somewhat on whether recursive or rolling out of sample regressions are used. (c) 2007 Elsevier B.V. All rights reserved. C1 [Haubrich, Joseph G.] Fed Reserve Bank Cleveland, Cleveland, OH 44120 USA. [Bordo, Michael D.] Rutgers State Univ, Piscataway, NJ 08855 USA. [Bordo, Michael D.] Kings Coll London, Cambridge, England. RP Haubrich, JG (reprint author), Fed Reserve Bank Cleveland, POB 6387, Cleveland, OH 44120 USA. EM jbaubrich@clev.frb.org NR 10 TC 5 Z9 5 U1 1 U2 5 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD APR PY 2008 VL 99 IS 1 BP 48 EP 50 DI 10.1016/j.econlet.2007.05.026 PG 3 WC Economics SC Business & Economics GA 297GF UT WOS:000255604400013 ER PT J AU Craig, B Rocheteau, G AF Craig, Ben Rocheteau, Guillaume TI State-dependent pricing, inflation, and welfare in search economies SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE search; money; inflation; menu cost; S-s rule ID STICKY PRICES; MENU COSTS; MONEY; EFFICIENCY; EQUILIBRIUM; ADJUSTMENT; DISPERSION; DYNAMICS; MARKETS; POLICY AB We investigate the welfare effects of inflation in economies with search frictions and menu costs. We first analyze an economy where there is no transaction demand for money balances: Money is a mere unit of account. We determine a condition under which strictly positive inflation is desirable. We relate this condition to a standard efficiency condition for search economies. Second, we consider a related economy in which there is a transaction role for money. In the absence of menu costs, the Friedman rule is optimal. In the presence of menu costs, the optimal inflation rate is negative for our numerical examples provided menu costs are small. A deviation from the Friedman rule can be optimal depending on the extent of the search externalities. (C) 2007 Elsevier B.V. All rights reserved. C1 [Craig, Ben; Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Rocheteau, G (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. EM Ben.Criag@clev.frb.org; Guilaume.Rocheteau@clev.frb.org NR 30 TC 8 Z9 8 U1 0 U2 2 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 APR PY 2008 VL 52 IS 3 BP 441 EP 468 DI 10.1016/j.euroecorev.2007.03.002 PG 28 WC Economics SC Business & Economics GA 298ZV UT WOS:000255726500003 ER PT J AU Mojon, B AF Mojon, Benoit TI When did unsystematic monetary policy have an effect on inflation? SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE monetary policy transmission; VARs; inflation dynamics ID UNITED-STATES; TIME-SERIES; PUZZLE; RULES AB An important stylized fact to emerge from VAR estimates is that exogenous monetary policy shocks (also labelled unsystematic monetary policy) have a delayed, persistent, hump-shaped effect on inflation. I argue that this empirical pattern is fragile. In particular, it disappears when one examines periods without large shifts in the level of inflation (such as 1984-2005). An important consequence is that the hump-shaped VAR estimated response of inflation is not appropriate to fit stylized models of the response of inflation around a stable steady state inflation level. (C) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Mojon, B (reprint author), European Cent Bank, Directorate Gen Res, Kaiser Str 29, D-60323 Frankfurt, Hessen, Germany. EM bmojon@frbchi.org NR 31 TC 6 Z9 6 U1 0 U2 1 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 2008 VL 52 IS 3 BP 487 EP 497 DI 10.1016/j.euroecorev.2007.02.007 PG 11 WC Economics SC Business & Economics GA 298ZV UT WOS:000255726500005 ER PT J AU Brown, CR Cyree, KB Griffiths, MD Winters, DB AF Brown, Craig R. Cyree, Ken B. Griffiths, Mark D. Winters, Drew B. TI Further analysis of the expectations hypothesis using very short-term rates SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT 18th Australasian Finance and Banking Conference CY DEC, 2005 CL Sydney, AUSTRALIA DE expectations hypothesis; term structure; repurchase agreements ID PREFERRED HABITAT; HETEROSKEDASTICITY; MARKETS; MODELS; POLICY; TESTS AB Longstaff (Longstaff, F., 2000. The term structure of very short-term rates: new evidence for the expectations hypothesis. Journal of Financial Economics 58, 397-415] finds support for the expectations hypothesis at the very short end of the repurchase agreement (repo) term structure while other studies find calendar-time-based regularities cause rejection of the expectations hypothesis. Using Longstaffs methods on a sample of repo rates that pre-dates Longstaffs sample, we reject the expectations hypothesis for every maturity. The pre-Longstaff-sample repo data comes from a time period where the behavior of short-term interest rates is similar to the long-run average behavior of short-term interest rates. Our results imply that expectations hold when rates are less volatile and/or that we may be entering a period of lower volatility. (C) 2007 Elsevier B.V. All rights reserved. C1 [Cyree, Ken B.] Univ Mississippi, Dept Finance, Frank R Dayl Mississippi Bankers Assoc Chair, University, MS 38677 USA. [Griffiths, Mark D.] Miami Univ, Farmer Sch Business, Oxford, OH 45056 USA. [Winters, Drew B.] Texas Tech Univ, Rawls Coll Business, Fed Reserve Bank St Louis, Lubbock, TX 79409 USA. RP Cyree, KB (reprint author), Univ Mississippi, Dept Finance, Frank R Dayl Mississippi Bankers Assoc Chair, 227 Holman Hall, University, MS 38677 USA. EM kcyree@bus.olemiss.edu NR 16 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 APR PY 2008 VL 32 IS 4 BP 600 EP 613 DI 10.1016/j.jbankfin.2007.04.026 PG 14 WC Business, Finance; Economics SC Business & Economics GA 298GY UT WOS:000255675600012 ER PT J AU Heathcote, J Storesletten, K Violante, GL AF Heathcote, Jonathan Storesletten, Kjetil Violante, Giovanni L. TI Insurance and opportunities: A welfare analysis of labor market risk SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE insurance; labor supply; productivity; wage dispersion; welfare ID BUSINESS CYCLES; CONSUMPTION INEQUALITY; LIQUIDITY CONSTRAINTS; INCOME INEQUALITY; LIFE-CYCLE; GROWTH; ECONOMIES; SAVINGS; COST AB Using a model with constant relative risk-aversion preferences, endogenous labor supply and partial insurance against idiosyncratic wage risk, this paper provides an analytical characterization of three welfare effects: (a) the welfare effect of a rise in wage dispersion, (b) the welfare gain from completing markets, and (c) the welfare effect from eliminating risk. The analysis reveals an important trade-off for these welfare calculations. On the one hand, higher wage uncertainty increases the cost associated with missing insurance markets. On the other hand, greater wage dispersion presents opportunities to raise aggregate productivity by concentrating market work among more productive workers. Welfare effects can be expressed in terms of the underlying parameters defining preferences and wage risk or, alternatively, in terms of changes in observable second moments of the joint distribution over individual wages, consumption and hours. (C) 2008 Elsevier B.V. All rights reserved. C1 [Storesletten, Kjetil] Univ Oslo, Dept Econ, N-0317 Oslo, Norway. [Heathcote, Jonathan] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Heathcote, Jonathan] Georgetown Univ, Washington, DC 20057 USA. [Violante, Giovanni L.] NYU, New York, NY 10003 USA. [Violante, Giovanni L.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Storesletten, K (reprint author), Univ Oslo, Dept Econ, Box 1095 Blindern, N-0317 Oslo, Norway. EM kjetil.storesletten@econ.uio.no RI Violante, Giovanni/F-1872-2017 NR 54 TC 34 Z9 34 U1 4 U2 10 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 APR PY 2008 VL 55 IS 3 BP 501 EP 525 DI 10.1016/j.jmoneco.2008.02.001 PG 25 WC Business, Finance; Economics SC Business & Economics GA 315DB UT WOS:000256857000005 ER PT J AU Klee, E AF Klee, Elizabeth TI How people pay: Evidence from grocery store data SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE media of exchange; monetary and payment economics; consumer behavior ID DEMAND; CASH AB Empirical evidence based on grocery store transaction data shows that consumer payment behavior at the point of sale is important for understanding models of money demand. There are statistically significant effects of transaction costs, opportunity costs, and product characteristics on the choice of payment instrument, which then, in turn, affect money demand. These results emphasize the overlap between the work of empirical researchers in payment choice and theoretical modelers of monetary economics and should inform both literatures. (C) 2008 Elsevier B.V. All rights reserved. C1 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, Washington, DC 20551 USA. EM elizabeth.klee@frb.gov NR 29 TC 39 Z9 39 U1 1 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 APR PY 2008 VL 55 IS 3 BP 526 EP 541 DI 10.1016/j.jmoneco.2008.01.009 PG 16 WC Business, Finance; Economics SC Business & Economics GA 315DB UT WOS:000256857000006 ER PT J AU Mills, DC Nesmith, TD AF Mills, David C., Jr. Nesmith, Travis D. TI Risk and concentration in payment and securities settlement systems SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE interbank payments; securities settlement; strategic games; bank behavior AB What drives the intraday patterns of settlement in payment and securities settlement systems? Using a model of the strategic interaction of participants in these systems to capture some stylized facts about the Federal Reserve's Fedwire funds and securities systems, this paper identifies three factors that influence a participant's decision on when to send transactions intraday: cost of intraday liquidity, extent of settlement risk, and system design. With these factors, the model can make predictions regarding the impact of policy on the concentration of transactions, amount of intraday overdrafts, central bank credit exposure, costs to system participants, and other risks. Published by Elsevier B.V. C1 [Mills, David C., Jr.; Nesmith, Travis D.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Mills, DC (reprint author), Fed Reserve Syst, Board Governors, MS 188, Washington, DC 20551 USA. EM david.c.mills@frb.gov; travis.d.nesmith@frb.gov NR 7 TC 9 Z9 9 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 APR PY 2008 VL 55 IS 3 BP 542 EP 553 DI 10.1016/j.jmoneco.2008.01.002 PG 12 WC Business, Finance; Economics SC Business & Economics GA 315DB UT WOS:000256857000007 ER PT J AU Martin, A McAndrews, J AF Martin, Antoine McAndrews, James TI Liquidity-saving mechanisms SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE liquidity-saving mechanisms; real-time gross settlement; large-value payment systems AB This paper studies the incentives of participants in a real-time gross settlement system with and without the addition of a liquidity-saving mechanism (LSM). Participants in the model face a liquidity shock and different costs for delaying payments. They trade off the cost of delaying a payment against the cost of borrowing liquidity from the central bank. The main contribution of the paper is to show that the design of an LSM has important implications for welfare. In particular, parameters determine whether the addition of an LSM increases or decreases welfare. (C) 2008 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 NR 10 TC 13 Z9 13 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 APR PY 2008 VL 55 IS 3 BP 554 EP 567 DI 10.1016/j.jmoneco.2007.12.011 PG 14 WC Business, Finance; Economics SC Business & Economics GA 315DB UT WOS:000256857000008 ER PT J AU Coate, S Conlin, M Moro, A AF Coate, Stephen Conlin, Michael Moro, Andrea TI The performance of pivotal-voter models in small-scale elections: Evidence from Texas liquor referenda SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE voter turnout; pivotal-voter model; structural estimation ID MULTIPLE EQUILIBRIA; PARTICIPATION; PARADOX; TURNOUT AB This paper explores the ability of pivotal-voter models to explain voter behavior in small-scale elections using data from Texas liquor referenda. The findings provide little support for the view that pivotal-voter models are a reasonable theory for understanding small-scale elections. Interestingly, this is not because they cannot explain the levels of turnout in the data, but rather because they cannot explain the size of the winning margins. The logic of pivotal-voter models implies that elections must be expected to be close even, if there is a significant difference between the sizes of the groups or the intensity of their preferences. With even a relatively small number of eligible voters, elections that are expected to be close ex ante must end up being close ex post. However, in the data, winning margins are often significant. (c) 2007 Elsevier B.V. All rights reserved. C1 [Coate, Stephen] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA. [Conlin, Michael] Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA. [Moro, Andrea] Fed Reserve Bank New York, Microecon & Reg Studies Funct, New York, NY 10045 USA. [Moro, Andrea] Vanderbilt Univ, Dept Econ, Nashville, TN 37235 USA. RP Coate, S (reprint author), Cornell Univ, Dept Econ, Ithaca, NY 14853 USA. EM sc163@cornell.edu; conlinmi@msu.edu; andrea@andreamoro.net OI Moro, Andrea/0000-0001-5570-8151 NR 28 TC 25 Z9 25 U1 0 U2 6 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 APR PY 2008 VL 92 IS 3-4 BP 582 EP 596 DI 10.1016/j.jpubeco.2007.08.007 PG 15 WC Economics SC Business & Economics GA 280AP UT WOS:000254397600011 ER PT J AU Lehnert, A Passmore, W Sherlund, SM AF Lehnert, Andreas Passmore, Wayne Sherlund, Shane M. TI GSEs, mortgage rates, and secondary market activities SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE mortgage finance; government-sponsored enterprises; financial stability AB Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) that securitize mortgages and issue mortgage-backed securities (MBS). In addition, the GSEs are active participants in the secondary mortgage market on behalf of their own investment portfolios. Because these portfolios have grown quite large, portfolio purchases (in addition to MBS issuance) are often thought to be an important force in the mortgage market. Using monthly data from 1993 to 2005 we estimate a VAR model of the relationship between GSE secondary market activities and mortgage interest rate spreads. We find that GSE portfolio purchases have no significant effects on either primary or secondary mortgage rate spreads. Further, we examine GSE activities and mortgage rate spreads in the wake of the 1998 debt crisis, and find that GSE portfolio purchases did little to affect mortgage rates. This empirical finding is robust to alternative identification assumptions and to alternative model and variable specifications. C1 [Lehnert, Andreas; Passmore, Wayne; Sherlund, Shane M.] Board Governors Fed Reserve Syst, Washington, DC USA. RP Lehnert, A (reprint author), Board Governors Fed Reserve Syst, Washington, DC USA. EM andreas.lehnert@frb.gov; wayne.passmore@frb.gov; shane.m.sherlund@frb.gov RI Lehnert, Andreas/H-1692-2012 NR 8 TC 10 Z9 10 U1 0 U2 14 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD APR PY 2008 VL 36 IS 3 BP 343 EP 363 DI 10.1007/s11146-007-9047-5 PG 21 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 269EM UT WOS:000253632300005 ER PT J AU Comin, D Hobijn, B Rovito, E AF Comin, Diego Hobijn, Bart Rovito, Emilie TI A new approach to measuring technology with an application to the shape of the diffusion curves SO JOURNAL OF TECHNOLOGY TRANSFER LA English DT Article DE technology adoption; cross-country studies ID GROWTH; TIME AB This paper documents the sources and measures of the cross-country historical adoption technology (CHAT) data set that covers the diffusion of about 115 technologies in over 150 countries over the last 200 years. We use this comprehensive data set to explore the shape of the diffusion curves. Our main finding is that, once the intensive margin is measured, technologies do not diffuse in a logistic way. C1 [Comin, Diego] Harvard Univ, Cambridge, MA 02138 USA. [Comin, Diego] NBER, Cambridge, MA 02138 USA. [Hobijn, Bart; Rovito, Emilie] Fed Reserve Bank New York, New York, NY 10045 USA. RP Comin, D (reprint author), Harvard Univ, Cambridge, MA 02138 USA. EM dcomin@hbs.edu; bart.hobijn@ny.frb.org; Emilie.rovito@ny.frb.org NR 23 TC 9 Z9 9 U1 1 U2 6 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0892-9912 J9 J TECHNOL TRANSFER JI J. Technol. Transf. PD APR PY 2008 VL 33 IS 2 BP 187 EP 207 DI 10.1007/s10961-007-9079-2 PG 21 WC Engineering, Industrial; Management SC Engineering; Business & Economics GA 354TZ UT WOS:000259663200006 ER PT J AU Chaboud, AP Chernenko, SV Wright, JH AF Chaboud, Alain P. Chernenko, Sergey V. Wright, Jonathan H. TI Trading activity and macroeconomic announcements in high-frequency exchange rate data SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 22nd Annual Congress of the European-Economic-Association CY AUG 27-31, 2007 CL Budapest, HUNGARY SP European Econ Assoc AB This article introduces a new high-frequency data set that includes global trading volume and prices over five years in the spot euro-dollar and dollar-yen currency pairs. Studying the effects of US macroeconomic data releases, we show that spikes in trading volume tend to occur even when announcements are in line with market expectations, in sharp contrast to the price response. There is some evidence that the volume after announcements is negatively related to the ex ante dispersion of market expectations, contrary to the standard theoretical prediction. At very high frequency, we find evidence that much of the immediate jump in prices in reaction to an announcement. occurs before the surge in volume. C1 [Chaboud, Alain P.; Wright, Jonathan H.] Fed Reserve Board, Washington, DC USA. [Chernenko, Sergey V.] Harvard Univ, Cambridge, MA 02138 USA. RP Chaboud, AP (reprint author), Fed Reserve Board, Washington, DC USA. EM alain.p.chaboud@frb.gov; schernenko@hbs.edu; jonathan.h.wright@frb.gov RI Chernenko, Sergey/G-3918-2013 NR 5 TC 9 Z9 9 U1 2 U2 7 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2008 VL 6 IS 2-3 BP 589 EP 596 DI 10.1162/JEEA.2008.6.2-3.589 PG 8 WC Economics SC Business & Economics GA 298ML UT WOS:000255691700026 ER PT J AU Kocherlakota, N Pistaferri, L AF Kocherlakota, Narayana Pistaferri, Luigi TI Inequality and real exchange rates SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 22nd Annual Congress of the European-Economic-Association CY AUG 27-31, 2007 CL Budapest, HUNGARY SP European Econ Assoc AB Kocherlakota and Pistaferri (2007) describe two different. models (Private Information Pareto Optimal and Incomplete Markets) of how households partially insure themselves against idiosyncratic shocks. They demonstrate that the models differ in terms of their implications for real exchange rates. In this paper, we use data from a wide range of countries, and document that there is a statististically significant relationship between real exchange rate growth and between-country differences in the growth rates of right-tail, but not left-tail, inequality growth. This finding is consistent with the Private Information Pareto Optimal model of partial insurance, but not the Incomplete Markets model. C1 [Kocherlakota, Narayana] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Pistaferri, Luigi] Stanford Univ, CEPR, Stanford, CA 94305 USA. RP Kocherlakota, N (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. EM nkocher@atlas.socsci.umn.edu; pista@stanford.edu NR 13 TC 0 Z9 0 U1 1 U2 2 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2008 VL 6 IS 2-3 BP 597 EP 608 DI 10.1162/JEEA.2008.6.2-3.597 PG 12 WC Economics SC Business & Economics GA 298ML UT WOS:000255691700027 ER PT J AU Krueger, D Lustig, H Perri, F AF Krueger, Dirk Lustig, Hanno Perri, Fabrizio TI Evaluating asset pricing models with limited commitment using household consumption data SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 22nd Annual Congress of the European-Economic-Association CY AUG 27-31, 2007 CL Budapest, HUNGARY SP European Econ Assoc ID HETEROGENEOUS CONSUMERS; EQUITY PREMIUM; PARTICIPATION; RISK AB We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enforcement constraints. These unconstrained households have lower consumption growth rates than all other households in the economy. We use household data on consumption growth from the U.S. Consumer Expenditure Survey to identify unconstrained households, to estimate the pricing kernel implied by these models, and to evaluate their performance in pricing aggregate risk. We find that with low risk aversion these models cannot generate a substantial equity premium. On the positive side for high values (over 30) of the relative risk aversion coefficient, the limited enforcement pricing kernel generates a market price of risk that is substantially closer. C1 [Krueger, Dirk] Univ Penn, Philadelphia, PA 19104 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, Philadelphia, PA 19104 USA. EM dkrueger@econ.upenn.edu; hlustig@econ.ucla.edu; fperri@umn.edu NR 13 TC 8 Z9 8 U1 0 U2 3 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2008 VL 6 IS 2-3 BP 715 EP 726 DI 10.1162/JEEA.2008.6.2-3.715 PG 12 WC Economics SC Business & Economics GA 298ML UT WOS:000255691700037 ER PT J AU Polgreen, L Silos, P AF Polgreen, Linnea Silos, Pedro TI Capital-skill complementarity and inequality: A sensitivity analysis SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE capital-skill complementarity; technological change; equipment prices ID TECHNICAL CHANGE; WILL AB Krusell et al. in [Krusell, P., Ohanian, L., Rios-Rull, J.V., Violante, G.L., 2000. Capital-skill complementarity and inequality: A macroeconomic analysis. Econometrica 68 (5), 1029-1053] analyzed the capital-skill complementarity hypothesis as an explanation for the behavior of the US skill premium. We refit Krusell et al.'s [Krusell, P., Ohanian, L., Rios-Rull, J.V., Violante, G.L., 2000. Capital-skill complementarity and inequality: A macroeconomic analysis. Econometrica 68 (5), 1029-1053] model with two alternative capital equipment price series: One proposed by Greenwood et al. [Greenwood, J., Hercowitz, Z., Krusell, P., 1997. Long-run implications of investment-specific technological change. Amer. Econ. Rev. 87 (3), 342-362] and the official, revised National Income and Product Accounts (NIPA) data. We find that capital-skill complementarity is preserved, but other results were sensitive to the data used. Specifically, the fit of the model was similar to Krusell et al.'s [Krusell, P., Ohanian, L., Rios-Rull, J.V., Violante, G.L., 2000. Capital-skill complementarity and inequality: A macroeconomic analysis. Econometrica 68 (5), 1029-1053] using the NIPA data, but not the Greenwood et al. [Greenwood, J., Hercowitz, Z., Krusell, P., 1997. Long-run implications of investment-specific technological change. Amer. Econ. Rev. 87 (3), 342-362] data. Also, both series produce estimates of the elasticity of substitution between unskilled labor and equipment that are substantially larger than Krusell et al.'s [Krusell, P., Ohanian, L., Rios-Rull, J.V., Violante, G.L., 2000. Capital-skill complementarity and inequality: A macroeconomic analysis. Econometrica 68 (5), 1029-1053] estimates. (c) 2007 Elsevier Inc. All rights reserved. C1 [Silos, Pedro] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Polgreen, Linnea] Univ Iowa, Dept Clin & Adm Pharm, Iowa City, IA 52242 USA. RP Silos, P (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM linnea-polgreen@uiowa.edu; pedro.silos@atl.frb.org NR 30 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2008 VL 11 IS 2 BP 302 EP 313 DI 10.1016/j.red.2007.09.001 PG 12 WC Economics SC Business & Economics GA 290DE UT WOS:000255102600004 ER PT J AU Schivardi, F Schneider, M AF Schivardi, Fabiano Schneider, Martin TI Strategic experimentation and disruptive technological change SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE oligopoly; innovation; learning; dynamic games ID ADOPTION; EQUILIBRIUM; INNOVATION; DIFFUSION; DYNAMICS; INDUSTRY; GROWTH; MODEL AB This paper studies the diffusion of a new technology that is brought to market while its potential is still uncertain. We consider a dynamic came in which an incumbent and a startup firm improve both a new and a rival old technology while learning about the relative potential of both technologies. The main findings are that (i) risk considerations make incumbents with higher market shares more likely to adopt the new technology and (ii) changes in market power are often preceded by a subpar performance of the new technology. We also show that introducing a better new technology or confronting a worse old technology may hurt the startup firm as its new technology is then adopted earlier by incumbents. (c) 2007 Elsevier Inc. All rights reserved. C1 [Schneider, Martin] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Schneider, Martin] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Schivardi, Fabiano] Univ Cagliari, I-09124 Cagliari, Italy. [Schneider, Martin] NYU, New York, NY USA. RP Schneider, M (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM fschivardi@unica.it; nis1927@nyu.edu NR 25 TC 5 Z9 5 U1 4 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 APR PY 2008 VL 11 IS 2 BP 386 EP 412 DI 10.1016/j.red.2007.09.002 PG 27 WC Economics SC Business & Economics GA 290DE UT WOS:000255102600008 ER PT J AU Guidolin, M Timmermann, A AF Guidolin, Massimo Timmermann, Allan TI International asset allocation under regime switching, skew, and kurtosis preferences SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID LIFETIME PORTFOLIO SELECTION; HOME BIAS; EQUITY RETURNS; EXPECTED RETURNS; RISK; DIVERSIFICATION; CONSUMPTION; EQUILIBRIUM; MARKETS; CHOICE AB This paper investigates the international asset allocation effects of time-variations in higher-order moments of stock returns such as skewness and kurtosis. In the context of a four-moment International Capital Asset Pricing Model (ICAPM) specification that relates stock returns in five regions to returns on a global market portfolio and allows for time-varying prices of covariance, co-skewness, and co-kurtosis risk, we find evidence of distinct bull and bear regimes. Ignoring such regimes, an unhedged US investor's optimal portfolio is strongly diversified internationally. The presence of regimes in the return distribution leads to a substantial increase in the investor's optimal holdings of US stocks, as does the introduction of skewness and kurtosis preferences. C1 Univ Manchester, Manchester Business Sch, Manchester M13 9PL, Lancs, England. [Guidolin, Massimo] Fed Reserve Bank, St Louis, MO USA. [Timmermann, Allan] Univ Calif San Diego, San Diego, CA 92103 USA. RP Guidolin, M (reprint author), Univ Manchester, Manchester Business Sch, MBS Crawford House,Booth St E, Manchester M13 9PL, Lancs, England. EM Massimo.Guidolin@mbs.ac.uk NR 58 TC 17 Z9 17 U1 2 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 2008 VL 21 IS 2 BP 855 EP 901 DI 10.1093/rfs/hhn006 PG 47 WC Business, Finance; Economics SC Business & Economics GA 281CA UT WOS:000254472800012 ER PT J AU Craig, BR Jackson, WE Thomson, JB AF Craig, Ben R. Jackson, William E., III Thomson, James B. TI Credit market failure intervention: Do government sponsored small business credit programs enrich poorer areas? SO SMALL BUSINESS ECONOMICS LA English DT Article DE low-income areas; employment rates; small business; credit markets; loan guarantees; credit rationing ID PRICE-CONCENTRATION RELATIONSHIP; ECONOMIC-GROWTH; FINANCIAL DEVELOPMENT; LENDING RELATIONSHIPS; BANKING AB Using local market employment rates as our measure of economic performance, we find a positive and significant correlation between the average annual level of employment in a local market and the level of SBA guaranteed lending in that local market. Furthermore, the intensity of this correlation is much larger in low-income markets. Indeed, our results suggest that this correlation is positive and significant only in low-income markets. This result has important implications for public policy in general and SBA guaranteed lending in particular. C1 [Jackson, William E., III] Univ Alabama, Culverhouse Coll Commerce, Tuscaloosa, AL 35487 USA. [Craig, Ben R.; Thomson, James B.] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. RP Jackson, WE (reprint author), Univ Alabama, Culverhouse Coll Commerce, Box 870225, Tuscaloosa, AL 35487 USA. EM wjackson@cba.ua.edu NR 31 TC 10 Z9 10 U1 0 U2 12 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0921-898X J9 SMALL BUS ECON JI Small Bus. Econ. Group PD APR PY 2008 VL 30 IS 4 BP 345 EP 360 DI 10.1007/s11187-007-9050-5 PG 16 WC Business; Economics; Management SC Business & Economics GA 291OQ UT WOS:000255207100002 ER PT J AU Baier, SL Bergstrand, JH Egger, P McLaughlin, PA AF Baier, Scott L. Bergstrand, Jeffrey H. Egger, Peter McLaughlin, Patrick A. TI Do economic integration agreements actually work? Issues in understanding the causes and consequences of the growth of regionalism SO WORLD ECONOMY LA English DT Article ID FREE-TRADE AGREEMENTS; WTO INCREASES TRADE; GRAVITY EQUATION; INTERNATIONAL-TRADE; DETERMINANTS; ARRANGEMENTS; SPECIFICATION; MODELS; COSTS C1 [Baier, Scott L.; McLaughlin, Patrick A.] Clemson Univ, Clemson, SC 29631 USA. [Baier, Scott L.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Bergstrand, Jeffrey H.] Univ Nortre Dame, Notre Dame, IN USA. [Egger, Peter] Univ Munich, D-80539 Munich, Germany. RP Baier, SL (reprint author), Clemson Univ, Clemson, SC 29631 USA. NR 52 TC 24 Z9 24 U1 2 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0378-5920 EI 1467-9701 J9 WORLD ECON JI World Econ. PD APR PY 2008 VL 31 IS 4 BP 461 EP 497 DI 10.1111/j.1467-9701.2008.01092.x PG 37 WC Business, Finance; Economics; International Relations SC Business & Economics; International Relations GA 283NB UT WOS:000254641800001 ER PT J AU Crowley, MA AF Crowley, Meredith A. TI The Box: How the Shipping Container Made the World Smaller and the World Economy Bigger SO WORLD TRADE REVIEW LA English DT Book Review ID TRADE C1 [Crowley, Meredith A.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Crowley, MA (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 6 TC 0 Z9 0 U1 1 U2 2 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 1474-7456 EI 1475-3138 J9 WORLD TRADE REV JI World Trade Rev. PD APR PY 2008 VL 7 IS 2 BP 458 EP 461 DI 10.1017/S1474745608003856 PG 4 WC Economics; International Relations; Law SC Business & Economics; International Relations; Government & Law GA 386JB UT WOS:000261878400006 ER PT J AU Phillips, KR Canas, J AF Phillips, Keith R. Canas, Jesus TI Regional business cycle integration along the US-Mexico border SO ANNALS OF REGIONAL SCIENCE LA English DT Article AB Because of the growing internationalization of the US economy, a literature has developed on the impacts of globalization on US industries and regions. In this paper we look at four MSAs that have a long history of integration with Mexico and test how their overall business cycles are connected to those of the broader economies that surround them. As globalization increases in the US, the lessons learned from these MSAs can be useful for cities trying to understand how globalization may impact them in the future. Results suggest that the border MSAs are significantly integrated with the broader economies that surround them but that the integration varies based on the structure of the local economy. Border MSAs that have large retail sectors that sell to Mexican nationals are more integrated with the Mexican economy, while El Paso, which has a close relationship with the maquiladora sector in Juarez, is more integrated with the US and Texas economies. C1 [Phillips, Keith R.] Fed Reserve Bank Dallas, San Antonio Branch, Res Dept, San Antonio, TX 78204 USA. [Canas, Jesus] Fed Reserve Bank Dallas, Dept Res, El Paso Branch, El Paso, TX 79901 USA. RP Canas, J (reprint author), Fed Reserve Bank Dallas, San Antonio Branch, Res Dept, 126 E Nueva, San Antonio, TX 78204 USA. EM jesus.canas@dal.frb.org NR 19 TC 5 Z9 5 U1 0 U2 2 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 MAR PY 2008 VL 42 IS 1 BP 153 EP 168 DI 10.1007/s00168-007-0124-8 PG 16 WC Environmental Studies; Geography SC Environmental Sciences & Ecology; Geography GA 252ZD UT WOS:000252485800009 ER PT J AU Anderson, GS AF Anderson, Gary S. TI Solving linear rational expectations models: A horse race SO COMPUTATIONAL ECONOMICS LA English DT Article DE linear rational expectations; Blanchard-Kahn; saddle point solution AB This paper compares the generality, accuracy and computational speed of alternative approaches to solving linear rational expectations models, including the procedures of Sims (Solving linear rational expectations models, 1996), Anderson and Moore (Unpublished manuscript, 1983), Binder and Pesaran (Multivariate rational expectations models and macroeconometric modelling: A review and some new results, 1994), King and Watson (International Economic review, 39, 1015-1026, 1998), Klein (Journal of Economic Dynamics and Control, 24, 1405-1423, 1999), and Uhlig (A toolkit for analyzing nonlinear dynamic stochastic models easily, 1999). While all six procedures yield equivalent results for models with a unique stationary solution, the algorithm of Anderson and Moore (Unpublished manuscript, 1983) is the fastest and provides the highest accuracy; furthermore, the speed advantage increases with the size of the model. C1 Board Governors Fed Reserve Syst, Washington, DC USA. RP Anderson, GS (reprint author), Board Governors Fed Reserve Syst, Washington, DC USA. EM ganderson@frb.gov NR 11 TC 8 Z9 8 U1 0 U2 1 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0927-7099 J9 COMPUT ECON JI Comput. Econ. PD MAR PY 2008 VL 31 IS 2 BP 95 EP 113 DI 10.1007/s10614-007-9108-0 PG 19 WC Economics; Management; Mathematics, Interdisciplinary Applications SC Business & Economics; Mathematics GA 346XG UT WOS:000259102300001 ER PT J AU Khan, A Thomas, JK AF Khan, Aubhik Thomas, Julia K. TI Idiosyncratic shocks and the role of nonconvexities in plant and aggregate investment dynamics SO ECONOMETRICA LA English DT Article DE (S, s) policies; lumpy investment; quantitative general equilibrium ID BUSINESS-CYCLE; INDIVISIBLE LABOR; EQUILIBRIUM; NONLINEARITIES; ADJUSTMENT AB We study a model of lumpy investment wherein establishments face persistent shocks to common and plant-specific productivity, and nonconvex adjustment costs lead them to pursue generalized (S, s) investment rules. We allow persistent heterogeneity in both capital and total factor productivity alongside low-level investments exempt from adjustment costs to develop the first model consistent with the cross-sectional distribution of establishment investment rates. Examining the implications of lumpy investment for aggregate dynamics in this setting, we find that they remain substantial when factor supply considerations are ignored, but are quantitatively irrelevant in general equilibrium. The substantial implications of general equilibrium extend beyond the dynamics of aggregate series. While the presence of idiosyncratic shocks makes the time-averaged distribution of plant-level investment rates largely invariant to market-clearing movements in real wages and interest rates, we show that the dynamics of plants' investments differ sharply in their presence. Thus, model-based estimations of capital adjustment costs involving panel data may be quite sensitive to the assumption about equilibrium. Our analysis also offers new insights about how nonconvex adjustment costs influence investment at the plant. When establishments face idiosyncratic productivity shocks consistent with existing estimates, we find that nonconvex costs do not cause lumpy investments, but act to eliminate them. C1 [Khan, Aubhik; Thomas, Julia K.] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Khan, A (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM mail@juliathomas.net NR 22 TC 51 Z9 51 U1 3 U2 11 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD MAR PY 2008 VL 76 IS 2 BP 395 EP 436 DI 10.1111/j.1468-0262.2008.00837.x PG 42 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 268MV UT WOS:000253584800004 ER PT J AU Poole, W AF Poole, William TI Market bailouts and the "Fed put" SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 4 TC 2 Z9 2 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 MAR-APR PY 2008 VL 90 IS 2 BP 65 EP 73 PG 9 WC Business, Finance; Economics SC Business & Economics GA 277EU UT WOS:000254196300001 ER PT J AU Garrett, TA AF Garrett, Thomas A. TI Pandemic economics: The 1918 influenza and its modern-day implications SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID UNITED-STATES; MORTALITY; GROWTH AB Many predictions of the economic and social costs of a modern-day pandemic are based on the effects of the influenza pandemic of 1918. Despite killing 675,000 people in the United States and 40 million worldwide, the influenza of 1918 has been nearly forgotten. The purpose of this paper is to provide an overview of the influenza pandemic of 1918 in the United States, its economic effects, and its implications for a modern-day pandemic. The paper provides a brief historical background as well as detailed influenza mortality statistics for cities and states, including those in the Eighth Federal Reserve District, that account for differences in race, income, and place of residence. Information is obtained from two sources: (i) newspaper articles published during the pandemic and (ii) a survey of economic research on the subject. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 23 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 MAR-APR PY 2008 VL 90 IS 2 BP 75 EP 93 PG 19 WC Business, Finance; Economics SC Business & Economics GA 277EU UT WOS:000254196300002 ER PT J AU Nelson, E AF Nelson, Edward TI Friedman and Taylor on monetary policy rules: A comparison SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Conference on John Taylor's Contributions to Monetary Theory and Policy CY OCT 12-13, 2007 CL Dallas, TX ID RATIONAL EXPECTATIONS; STAGGERED PRICES; MONEY; INFLATION; CONTRACTS; PERSISTENCE; FRAMEWORK; MODELS; RATES; WAGE AB The names Milton Friedman and John Taylor are associated with different monetary policy rules; but, as shown in this paper, the difference between their perceptions of how the economy works is not great. The monetary policy rules advanced by Taylor and Friedman are compared by linking the rules to the two economists' underlying views about nominal rigidity, the source of trade-offs, the sources of shocks, and model uncertainty. Taylor and Friedman both emphasized Phillips curve specifications that impose temporary nominal price rigidity and the long-run natural-rate restriction; and they basically agreed on the specification of shocks, policymaker objectives, and trade-offs. Where they differed was on the extent to which structural models should enter the monetary policy decisionmaking process. This difference helps account for the differences in their preferred monetary policy rules. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Nelson, E (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 82 TC 6 Z9 6 U1 0 U2 3 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 2008 VL 90 IS 2 BP 95 EP 116 PG 22 WC Business, Finance; Economics SC Business & Economics GA 277EU UT WOS:000254196300003 ER PT J AU Engemann, KM Owyang, MT Zubairy, S AF Engemann, Kristie M. Owyang, Michael T. Zubairy, Sarah TI A primer on the empirical identification of government spending shocks SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY AB The empirical literature on the effects of government spending shocks lacks unanimity about the responses of consumption and wages. Proponents of shocks identified by structural vector auto-regressions (VARs) find results consistent with New Keynesian models: consumption and wages increase. On the other hand, proponents of the narrative approach find results consistent with neoclassical models: consumption and wages decrease. This paper reviews these two identifications and confirms their differences by using standard economic series. It also uses alternative measures of government spending, output, and the labor market and shows that, although there are minor fluctuations within each identification, the disparate results between the two are robust to the alternative measures. However, under the structural VAR approach, the authors find some differences between the responses to federal and state/local government spending. C1 [Engemann, Kristie M.; Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. [Zubairy, Sarah] Duke Univ, Durham, NC 27706 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 26 TC 3 Z9 3 U1 1 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 2008 VL 90 IS 2 BP 117 EP 132 PG 16 WC Business, Finance; Economics SC Business & Economics GA 277EU UT WOS:000254196300004 ER PT J AU Hjalmarsson, E AF Hjalmarsson, Erik TI The Stambaugh bias in panel predictive regressions SO FINANCE RESEARCH LETTERS LA English DT Article DE Panel data; Pooled regression; Predictive regression; Stock return predictability ID STOCK RETURN PREDICTABILITY; MODELS; TESTS AB This paper analyzes predictive regressions in a panel data setting. The standard fixed effects estimator suffers from a small sample bias, which is the analogue of the Stambaugh bias in time-series predictive regressions. Monte Carlo evidence shows that the bias and resulting size distortions can be severe. A new bias-corrected estimator is proposed, which is shown to work well in finite samples and to lead to approximately normally distributed t-statistics. Overall, the results show that the econometric issues associated with predictive regressions when using time-series data to a large extent also carry over to the panel case. The results are illustrated with an application to predictability in international stock indices. Published by Elsevier Inc. C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Hjalmarsson, E (reprint author), Fed Reserve Board, Div Int Finance, Mail Stop 20, Washington, DC 20551 USA. EM erik.hjalmarsson@frb.gov NR 12 TC 4 Z9 4 U1 1 U2 1 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1544-6123 J9 FINANC RES LETT JI Financ. Res. Lett. PD MAR PY 2008 VL 5 IS 1 BP 47 EP 58 DI 10.1016/j.frl.2007.11.003 PG 12 WC Business, Finance SC Business & Economics GA 369QV UT WOS:000260709900006 ER PT J AU Krainer, J Lopez, JA AF Krainer, John Lopez, Jose A. TI Using Securities Market Information for Bank Supervisory Monitoring SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID RISK; DISCIPLINE; FAILURES; RATINGS; MODELS; EQUITY; YIELDS AB U.S. bank supervisors conduct comprehensive inspections of bank holding companies and assign them a supervisory rating, known as a BOPEC rating prior to 2005, meant to summarize their overall condition. We develop an empirical model of these BOPEC ratings that combines supervisory and securities market information. Securities market variables, such as stock returns and bond yield spreads, improve the model's in-sample fit. Debt market variables provide more information on supervisory ratings for banks closer to default, while equity market variables provide useful information on ratings for banks further from default. The out-of-sample accuracy of the model with securities market variables is little different from that of a model based on supervisory variables alone. However, the model with securities market information identifies additional ratings downgrades, which are of particular importance to bank supervisors who are concerned with systemic risk and contagion. C1 [Krainer, John; Lopez, Jose A.] Fed Reserve Bank, Econ Res Dept, San Francisco, CA USA. RP Krainer, J (reprint author), Fed Reserve Bank, Econ Res Dept, San Francisco, CA USA. EM john.krainer@sf.frb.org; jose.a.lopez@sf.frb.org NR 34 TC 5 Z9 5 U1 0 U2 1 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2008 VL 4 IS 1 BP 125 EP 164 PG 40 WC Business, Finance SC Business & Economics GA 521HH UT WOS:000271910700004 ER PT J AU Cohen, A AF Cohen, Andrew TI Package size and price discrimination in the paper towel market SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article; Proceedings Paper CT IJIO Symposium on Public/Private Partnerships CY 2006 CL Inst Econom Indust, Toulouse, FRANCE HO Inst Econom Indust DE nonlinear pricing; quantity discounts; demand estimation; paper towels ID COMPETITION; MONOPOLY; INDUSTRY; QUALITY; GASOLINE; MODELS AB Estimates from a structural model of consumer behavior and firm conduct are used to decompose the extent to which quantity discounts for paper towels are consistent with second degree price discrimination as opposed to cost differences across sizes. Counterfactual exercises assuming that firms offer only one package size or charge uniform prices across sizes indicate that competition in the multi-roll package size segment results in increased consumer surplus and lower prices for all consumers. Published by Elsevier B.V. C1 Fed Reserve Board Governors, Washington, DC USA. RP Cohen, A (reprint author), Fed Reserve Board Governors, Washington, DC USA. EM andrew.m.cohen@frb.gov NR 35 TC 14 Z9 14 U1 0 U2 8 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 MAR PY 2008 VL 26 IS 2 BP 502 EP 516 DI 10.1016/j.ijindorg.2006.01.004 PG 15 WC Economics SC Business & Economics GA 281DD UT WOS:000254476100009 ER PT J AU Huang, RR AF Huang, Rocco R. TI Evaluating the real effect of bank branching deregulation: Comparing contiguous counties across US state borders SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE banking deregulation; economic growth; regression discontinuity ID ENTREPRENEURSHIP; CONSEQUENCES; RESTRICTIONS; COMPETITION; LOCATION; DISTANCE; INDUSTRY; IMPACT AB This paper proposes a new methodology to evaluate the economic effect of state-specific policy changes, using bank-branching deregulations in the US as an example. The new method compares economic performance of pairs of contiguous counties separated by state borders, where on one side restrictions on statewide branching were removed relatively earlier, to create a natural "regression discontinuity" setup. The study uses a total of 285 pairs of contiguous counties along 38 segments of such regulation change borders to estimate treatment effects for 23 separate deregulation events taking place between 1975 and 1990. To distinguish real treatment effects from those created by data-snooping and spatial correlations, fictitious placebo deregulations are randomized (permutated) on another 32 segments of non-event borders to establish empirically a statistical table of critical values for the estimator. The method determines that statistically significant growth accelerations can be established at a > 90% confidence level in five (and none prior to 1985) out of the 23 deregulation events examined. "Hinterland counties" within the still-regulated states, but farther away from the state borders, are used as a second control group to consider and reject the possibility that cross-border spillover of deregulation effects may invalidate the empirical design. (C) 2007 Published by Elsevier B.V. C1 Fed Res Bank Philadelphia, Philadelphia, PA 19106 USA. RP Huang, RR (reprint author), Fed Res Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM rocco.huang@phil.frb.org NR 41 TC 34 Z9 34 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 MAR PY 2008 VL 87 IS 3 BP 678 EP 705 DI 10.1016/j.jfineco.2007.01.004 PG 28 WC Business, Finance; Economics SC Business & Economics GA 295AU UT WOS:000255448200007 ER PT J AU Manuszak, MD Moul, CC AF Manuszak, Mark D. Moul, Charles C. TI Prices and endogenous market structure in office supply superstores SO JOURNAL OF INDUSTRIAL ECONOMICS LA English DT Article ID ENTRY; OLIGOPOLY; INDUSTRY; MODEL AB We consider the relationship between prices and market structure for office supply superstores in the U.S. which was central to the Federal Trade Commission's opposition to the merger of Staples and Office Depot. Due to potential biases in a standard regression, we employ a two-stage approach in which a model of endogenous market structure provides correction terms for a second stage price regression. Using a cross-section of data on market structures and Staples' prices, we find that excluding the correction term substantially distorts the importance of competitors as the two-stage model yields stronger negative relationships between prices and market structure variables. C1 [Manuszak, Mark D.] Fed Reserve Board, Washington, DC 20551 USA. [Moul, Charles C.] Washington Univ, Dept Econ, St Louis, MO 63130 USA. RP Manuszak, MD (reprint author), Fed Reserve Board, 20th C St NW, Washington, DC 20551 USA. EM mark.d.manuszak@frb.gov; moul@artsci.wustl.edu NR 22 TC 24 Z9 24 U1 1 U2 3 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-1821 J9 J IND ECON JI J. Indust. Econ. PD MAR PY 2008 VL 56 IS 1 BP 94 EP 112 DI 10.1111/j.1467-6451.2008.00334.x PG 19 WC Business, Finance; Economics SC Business & Economics GA 287YL UT WOS:000254953300005 ER PT J AU Duarte, M Wolman, AL AF Duarte, Margarida Wolman, Alexander L. TI Fiscal policy and regional inflation in a currency union SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE currency union; inflation differentials; fiscal policy ID EXCHANGE-RATE; MONETARY-POLICY; PRICE; MODEL; FLUCTUATIONS; CONVERGENCE; RULES; TRADE AB Substantial attention has been devoted to inflation differentials within the European Monetary Union, including suggestions that inflation differentials area policy issue for national governments. This paper investigates the ability of a region participating in a currency union to affect its inflation differential with respect to the union through fiscal policy. In a two-region general equilibrium model with traded and nontraded goods, lowering the labor income tax rate in response to positive inflation differentials succeeds in compressing inflation differentials. Such policies can lead to higher volatility of domestic inflation while leaving the volatility of real output roughly unchanged. Regional fiscal policies also have spill-over effects on the volatility of union-wide and foreign inflation in our model. Published by Elsevier B.V. C1 [Wolman, Alexander L.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. [Duarte, Margarida] Univ Toronto, Dept Econ, Toronto, ON M5S 3G7, Canada. RP Wolman, AL (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23219 USA. EM margarida.duarte@utoronto.ca; alexander.wolman@rich.frb.org RI nipe, cef/A-4218-2010 NR 29 TC 11 Z9 11 U1 0 U2 3 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 2008 VL 74 IS 2 BP 384 EP 401 DI 10.1016/j.jinteco.2007.07.002 PG 18 WC Economics SC Business & Economics GA 284AY UT WOS:000254678800008 ER PT J AU Demyanyk, Y Volosovych, V AF Demyanyk, Yuhya Volosovych, Vadym TI Gains from financial integration in the European Union: Evidence for new and old members SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT 11th International Conference on Macroeconomic Analysis and International Finance CY MAY 24-26, 2007 CL Univ Rethymno, Rethymno, GREECE HO Univ Rethymno DE EU enlargement; financial integration; welfare gains; risk sharing ID OPTIMUM CURRENCY AREAS; BUSINESS CYCLES; WELFARE GAINS; HOME BIAS; SYNCHRONIZATION; SPECIALIZATION AB We estimate the benefits of financial integration resulting from international risk sharing among the 25 EU countries. Under full risk sharing, country-specific output shocks are diversified across the EU members and output volatility of an individual country is not reflected in its consumption. The gains from risk sharing are expressed as the utility equivalent of a permanent increase in consumption. We report positive potential welfare gains for all the EU countries if they move toward full risk sharing. Ten country-members who joined the Union in 2004 would potentially obtain much higher gains than the longer-standing 15 members. (C) 2008 Elsevier Ltd. All rights reserved. C1 [Volosovych, Vadym] Florida Atlantic Univ, Dept Econ, Boca Raton, FL 33431 USA. [Demyanyk, Yuhya] Fed Reserve Bank St Louis, Supervisory Policy Anal, St Louis, MO 63166 USA. RP Volosovych, V (reprint author), Florida Atlantic Univ, Dept Econ, 777 Glades Rd, Boca Raton, FL 33431 USA. EM vvolosov@fau.edu RI Volosovych, Vadym/A-7742-2009; OI Volosovych, Vadym/0000-0002-8143-5203 NR 42 TC 9 Z9 9 U1 0 U2 4 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 MAR PY 2008 VL 27 IS 2 BP 277 EP 294 DI 10.1016/j.jimonfin.2007.12.011 PG 18 WC Business, Finance SC Business & Economics GA 289WW UT WOS:000255085600008 ER PT J AU Kahn, CM Roberds, W AF Kahn, Charles M. Roberds, William TI Credit and identity theft SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE identity theft; fraud; money; search ID PRIVATE INFORMATION; MONEY; ARRANGEMENTS; EXCHANGE; CURRENCY; ECONOMY AB The quintessential crime of the information age is identity theft, the malicious use of personal identifying data. In this paper we model "identity" and its use in credit transactions. Various types of identity theft occur in equilibrium, including "new account fraud," "existing account fraud," and "friendly fraud." The equilibrium incidence of identity theft represents a tradeoff between a desire to avoid costly or invasive monitoring of individuals on the one hand, and the need to control transactions fraud on the other. Our results suggest that technological advances will not eliminate this tradeoff. (C) 2007 Elsevier B.V. All rights reserved. C1 [Roberds, William] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Kahn, Charles M.] Univ Illinois, Chicago, IL 60680 USA. RP Roberds, W (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM william.roberds@atl.frb.org NR 29 TC 11 Z9 11 U1 2 U2 8 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 2008 VL 55 IS 2 BP 251 EP 264 DI 10.1016/j.jmoneco.2007.08.001 PG 14 WC Business, Finance; Economics SC Business & Economics GA 289ZT UT WOS:000255093100004 ER PT J AU John, AA Wolman, AL AF John, A. Andrew Wolman, Alexander L. TI Steady-state equilibrium with state-dependent pricing SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE price adjustment; menu costs; state-dependent pricing; multiple equilibria ID BUSINESS-CYCLE; MONOPOLISTIC COMPETITION; GENERAL EQUILIBRIUM; MONETARY-POLICY; MENU COSTS; OUTPUT; DYNAMICS; MONEY; INFLATION; ECONOMY AB State-dependent pricing models are now an operational framework for quantitative business cycle analysis. The analysis in Ball and Romer [1991. Sticky prices as coordination failure. American Economic Review 81 (3), 539-552], however, suggests that such models may be rife with multiple equilibria, for in their static model, price adjustment is always characterized by complementarity, a necessary condition for multiplicity. We study existence and uniqueness of steady-state equilibrium in a discrete-time state-dependent pricing model. We find only weak complementarity and no evidence of multiplicity. However, nonexistence of symmetric steady-state equilibrium with pure strategies arises in the region of the parameter space between flexible and sticky prices. (C) 2007 Elsevier B.V. All rights reserved. C1 [Wolman, Alexander L.] Fed Reserve Bank Richmond, Richmond, VA 23261 USA. [John, A. Andrew] AJK Consulting, Singapore, Singapore. RP Wolman, AL (reprint author), Fed Reserve Bank Richmond, POB 27622, Richmond, VA 23261 USA. EM andrew.john@ajkconsulting.com; alexander.wolman@rich.frb.org RI John, Andrew/F-8407-2016 OI John, Andrew/0000-0002-6811-3525 NR 24 TC 1 Z9 1 U1 4 U2 8 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 MAR PY 2008 VL 55 IS 2 BP 383 EP 405 DI 10.1016/j.jrnoneco.2007.10.001 PG 23 WC Business, Finance; Economics SC Business & Economics GA 289ZT UT WOS:000255093100012 ER PT J AU Ravenna, F Natalucci, FM AF Ravenna, Federico Natalucci, Fabio M. TI Monetary policy choices in emerging market economies: The case of high productivity growth SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE Balassa-Samuelson effect; optimal monetary policy; exchange rate regimes; emerging markets; European Monetary Union ID REAL EXCHANGE-RATE; BALASSA-SAMUELSON; BUSINESS-CYCLE; PASS-THROUGH; COUNTRIES; MODEL; INFLATION; ACCESSION; EUROPE; RULES AB We develop a general equilibrium model of an emerging market economy where productivity growth differentials between tradable and non-tradable sectors result in an equilibrium appreciation of the real exchange rate-the so-called Balassa-Samuelson effect. The paper explores the dynamic properties of this economy and the welfare implications of alternative policy rules. We show that the real exchange rate appreciation limits the range of policy rules that, with a given probability, keep inflation and exchange rate within predetermined numerical targets. We also find that the B-S effect raises by an order of magnitude the welfare loss associated with policy rules that prescribe active exchange rate management. C1 [Ravenna, Federico] Univ Calif Santa Cruz, Dept Econ, San Francisco, CA 94105 USA. [Natalucci, Fabio M.] Fed Res Board, Div Monetary Affairs, Washington, DC 20551 USA. [Ravenna, Federico] Fed Reserve Bank San Fransisco, San Francisco, CA 94105 USA. RP Ravenna, F (reprint author), Univ Calif Santa Cruz, Dept Econ, 101 Mkt St, San Francisco, CA 94105 USA. EM fravenna@ucsc.edu NR 47 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 MAR-APR PY 2008 VL 40 IS 2-3 BP 243 EP 271 DI 10.1111/j.1538-4616.2008.00112.x PG 29 WC Business, Finance; Economics SC Business & Economics GA 279YQ UT WOS:000254392500001 ER PT J AU Ashcraft, AB AF Ashcraft, Adam B. TI Are bank holding companies a source of strength to their banking subsidiaries? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE source-of-strength doctrine; cross-guarantee provision; bank capital regulation ID INTERNAL CAPITAL-MARKETS; POLICY AB I document evidence that a bank affiliated with a multi-bank holding company (MBHC) is significantly safer than either a stand-alone bank or a bank affiliated with a one-bank holding company. Not only does MBHC affiliation reduce the probability of future financial distress, but distressed affiliated banks are also more likely to receive capital injections, recover more quickly, and are less likely to fail over the next year. Moreover, the measured benefits of affiliation are much larger than those that existed before recent reforms of bank holding company regulation, suggesting that much of the observed benefit can be attributed to regulation and not the market. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Ashcraft, AB (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM adam.ashcraft@ny.frb.org NR 10 TC 25 Z9 25 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 MAR-APR PY 2008 VL 40 IS 2-3 BP 273 EP 294 DI 10.1111/j.1538-4616.2008.00113.x PG 22 WC Business, Finance; Economics SC Business & Economics GA 279YQ UT WOS:000254392500002 ER PT J AU King, TB AF King, Thomas B. TI Discipline and liquidity in the interbank market SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE market discipline; federal funds; liquidity; bank risk ID FEDERAL-FUNDS MARKET; RESERVE MANAGEMENT; EMPIRICAL-EVIDENCE; SAMPLE SELECTION; MONETARY-POLICY; BANKING; MODEL; INFORMATION; DEPOSITORS; BEHAVIOR AB Using 20 years of panel data, I demonstrate that high-risk banks have consistently paid more than safe banks for interbank loans and have been less likely to use these loans as a source of liquidity. The economic importance of this effect was relatively small until the mid-1990s, when regulatory and institutional changes began to impose more of the costs of bank failure on uninsured creditors. Subsequently, interbank-market price discipline roughly doubled, and risk-based rationing effects increased by a factor of six. In imposing this discipline, lenders seem to care most about credit risk at borrowing institutions. C1 Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP King, TB (reprint author), Fed Reserve Board, Div Monetary Affairs, 20th & C St NW, Washington, DC 20551 USA. EM thomas.king@frb.gov NR 39 TC 18 Z9 18 U1 0 U2 11 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 MAR-APR PY 2008 VL 40 IS 2-3 BP 295 EP 317 DI 10.1111/j.1538-4616.2008.00114.x PG 23 WC Business, Finance; Economics SC Business & Economics GA 279YQ UT WOS:000254392500003 ER PT J AU Koop, G Potter, SM Strachan, RW AF Koop, Gary Potter, Simon M. Strachan, Rodney W. TI Re-examining the consumption-wealth relationship: The role of model uncertainty SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE wealth effect; vector error correction model; Bayesian model averaging; co-integration; variance decomposition ID ERROR-CORRECTION MODEL; BAYES FACTORS; GROWTH; COINTEGRATION; PERMANENT; SELECTION; CYCLE AB This paper discusses the consumption-wealth relationship. We use data on consumption, assets, and labor income and a vector error correction framework. This framework defines a set of models that differ in the number of co-integrating vectors, the form of deterministic components and tag length. Further models can be defined through parametric restrictions and, in particular, interest centers on a weak exogeneity restriction that says that the co-integrating residuals do not affect consumption and income directly. Key results in previous work relate to the roles of permanent and transitory shocks in driving wealth and how consumption responds to these shocks. We investigate the robustness of these results to model uncertainty and argue for the use of Bayesian model averaging. We find that there is a large degree of model uncertainty. Whether this uncertainty has important empirical implications depends on the researcher's attitude toward the theory used to motivate a co-integrating relationship between consumption, assets and income. If we work with models consistent with this theory and impose the weak exogeneity restriction, we find precisely estimated results that show that permanent shocks have only a small role in driving assets and that the predominant transitory shocks have little effect on consumption. These findings are consistent with the previous literature. However, if we work with a broader set of models and let the data speak, we find that the exact magnitude of the role of permanent shocks is hard to estimate precisely. Thus, although some support exists for the view that their role is small, we cannot rule out the possibility that they have a substantive role to play. C1 [Koop, Gary] Univ Strathclyde, Dept Econ, Glasgow G1 1XQ, Lanark, Scotland. [Potter, Simon M.] Fed Reserve Bank New York, New York, NY 10045 USA. [Strachan, Rodney W.] Univ Queensland, Sch Econ, St Lucia, Qld 4067, Australia. 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; r.strachan@uq.edu.au RI Strachan, Rodney/B-4214-2013; OI Koop, Gary/0000-0002-6091-378X NR 42 TC 10 Z9 10 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 MAR-APR PY 2008 VL 40 IS 2-3 BP 341 EP 367 DI 10.1111/j.1538-4616.2008.00116.x PG 27 WC Business, Finance; Economics SC Business & Economics GA 279YQ UT WOS:000254392500005 ER PT J AU Henderson, JV Ono, Y AF Henderson, J. Vernon Ono, Yukako TI Where do manufacturing firms locate their headquarters? SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE headquarters; coordination; location decision; manufacturing ID AGGLOMERATION AB Firms often separate headquarters' (HQ) functions physically from their production facilities and construct stand-alone HQs. By locating its HQ in a large, service oriented metro area away from its production facilities, a firm may be better able to outsource service functions in that local metro market and also to gather information about market conditions for their products. However if the firm locates the HQ away from its production activity, the coordination costs in managing plant activities are increased. In this paper, we empirically analyze the trade-off between these two considerations. (C) 2007 Elsevier Inc. All rights reserved. C1 [Ono, Yukako] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Henderson, J. Vernon] Brown Univ, Dept Econ, Providence, RI 02912 USA. RP Ono, Y (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle, Chicago, IL 60604 USA. EM j-henderson@brown.edu; yono@frbchi.org NR 15 TC 24 Z9 28 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2008 VL 63 IS 2 BP 431 EP 450 DI 10.1016/j.jue.2007.02.006 PG 20 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 271YC UT WOS:000253823600003 ER PT J AU Blanchard, L Zhao, B Yinger, J AF Blanchard, Lloyd Zhao, Bo Yinger, John TI Do lenders discriminate against minority and woman entrepreneurs? SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE small-business credit; lending discrimination ID MORTGAGE LENDING DISCRIMINATION; BUSINESS START-UPS; CREDIT; FINANCE; BLACK; INSTRUMENTS; MARKET; WEAK AB This paper draws on a conceptual analysis of discrimination to improve the methodology for estimating discrimination in small-business credit markets and to provide some evidence about the possible causes of discrimination in these markets. Using a variety of statistical enhancements to existing studies, we find statistically significant evidence of substantial discrimination in loan approval against black-owned and Hispanic-owned businesses in 1998. We also find some hints that this discrimination takes the form of statistical discrimination, driven by lenders' stereotypes about the ability of black- and Hispanic-owned businesses to succeed under some circumstances. Although we find no discrimination, on average, in interest rates on approved loans, we also find that black-owned businesses do face discrimination in interest rates when they borrow from finance companies and businesses, such as mutual fund companies and leasing companies, with a primary mission other than lending. These findings suggest that federal financial regulatory agencies should re-double their efforts to uncover and prosecute lenders who discriminate against black- and Hispanic-owned businesses and that new tools may be needed to find discrimination by firms not well covered by the existing fair-lending enforcement system. (C) 2007 Elsevier Inc. All rights reserved. C1 [Yinger, John] Syracuse Univ, Maxwell Sch, Ctr Policy Res, Syracuse, NY 13244 USA. [Zhao, Bo] Fed Reserve Bank Boston, New Englannd Publ Policy Ctr, Boston, MA 02210 USA. [Blanchard, Lloyd] Louisiana State Univ, Off Chancellor, Baton Rouge, LA 70803 USA. RP Yinger, J (reprint author), Syracuse Univ, Maxwell Sch, Ctr Policy Res, 426 Eggers Hall, Syracuse, NY 13244 USA. EM lablanch@lsu.edu; bo.zhao@bos.frb.org; joyinger@syr.edu NR 37 TC 21 Z9 21 U1 4 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2008 VL 63 IS 2 BP 467 EP 497 DI 10.1016/j.jue.2007.03.001 PG 31 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 271YC UT WOS:000253823600005 ER PT J AU Rappaport, J AF Rappaport, Jordan TI A productivity model of city crowdedness SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE population density; productivity; urban agglomeration ID ECONOMIC-ACTIVITY; HOUSING DEMAND; SUBSTITUTION; ELASTICITY; GEOGRAPHY AB Population density varies widely across US cities. A simple, static general equilibrium model suggests that moderate-sized differences in cities' total factor productivity can account for such variation. Nevertheless, the productivity required to sustain above-average population densities considerably exceeds estimates of the increase in productivity caused by such high density. In contrast, increasing returns to scale may be able to sustain multiple equilibria at below-average population densities. (C) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Kansas, Kansas City, MO USA. RP Rappaport, J (reprint author), Fed Reserve Bank Kansas, 925 Grand Blvd, Kansas City, MO USA. EM jordan.rappaport@kc.frb.org NR 17 TC 13 Z9 13 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2008 VL 63 IS 2 BP 715 EP 722 DI 10.1016/j.jue.2007.04.008 PG 8 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 271YC UT WOS:000253823600018 ER PT J AU Wheeler, CH AF Wheeler, Christopher H. TI Local market scale and the pattern of job changes among young men SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE job search; labor market matching; agglomeration ID MOBILITY; CITIES; UNEMPLOYMENT; DIVERSITY; WORKERS; GROWTH; WAGES AB In finding a career, workers tend to make numerous job changes, with the majority of 'complex' changes (i.e. those involving changes of industry) occurring relatively early in their working lives. This pattern suggests that workers tend to experiment with different types of work before settling on the one they like best. Of course, since the extent of economic diversity differs substantially across local labor markets in the U.S. (e.g. counties and metro areas), this career search process may exhibit important differences depending on the size of a worker's local market. This paper explores this issue using a sample of young male workers drawn from the National Longitudinal Survey of Youth 1979 Cohort. The results uncover two rather striking patterns. First, the likelihood that a worker changes industries rises with the size and diversity of his local labor market when considering the first job change he makes. Second, however, this association gradually decreases as a worker makes greater numbers of job changes. By the time he makes his fourth change, the likelihood of changing industries significantly decreases with the scale and diversity of the local market. Both results are consistent with the idea that urban areas play an important role in the job matching process. (C) 2008 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wheeler, CH (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM christopher.h.wheeler@stls.frb.org NR 23 TC 11 Z9 11 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 MAR PY 2008 VL 38 IS 2 BP 101 EP 118 DI 10.1016/j.regsciurbeco.2008.01.011 PG 18 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 310TU UT WOS:000256554100001 ER PT J AU Rabanal, P Rubio-Ramirez, JF AF Rabanal, Pau Rubio-Ramirez, Juan F. TI Comparing new Keynesian models in the Euro area: a Bayesian approach SO SPANISH ECONOMIC REVIEW LA English DT Article DE nominal rigidities; indexation; Bayesian econometrics; model comparison ID MONETARY-POLICY; BUSINESS-CYCLE AB This paper estimates and compares four versions of the sticky price New Keynesian model for the Euro area using a Bayesian approach. We find that the average duration of price contracts is between two and four quarters, while the average duration of wage contracts is estimated to be below two quarters. Both mechanisms of price and wage indexation are not important when autocorrelated price markup shocks are introduced in the model. These results are in stark contrast to Smets and Wouters (2003): when we use their priors, our estimated posterior distributions are similar to theirs, but the models' fit to the data is worse. C1 [Rubio-Ramirez, Juan F.] Duke Univ, Durham, NC 27008 USA. [Rubio-Ramirez, Juan F.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Rabanal, Pau] Caixa Estalvis & Pens Barcelona, Barcelona, Spain. RP Rubio-Ramirez, JF (reprint author), Duke Univ, POB 90097, Durham, NC 27008 USA. EM juan.rubio-ramirez@duke.edu NR 21 TC 6 Z9 7 U1 0 U2 1 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1435-5469 J9 SPAN ECON REV JI Span. Econ. Rev. PD MAR PY 2008 VL 10 IS 1 BP 23 EP 40 DI 10.1007/s10108-007-9031-5 PG 18 WC Economics SC Business & Economics GA 267QD UT WOS:000253523400002 ER PT J AU Perozek, M AF Perozek, Maria TI Using subjective expectations to forecast longevity: Do survey respondents know something we don't know? SO DEMOGRAPHY LA English DT Article ID LIFE EXPECTANCY; SURVIVAL; LIMITS; PROBABILITIES; RETIREMENT; MORTALITY; BEHAVIOR; HEALTH AB Old-age mortality is notoriously difficult to predict because it requires not only an understanding of the process of senescence-which is influenced by genetic, environmental, and behavioral factors-but also a prediction of how these factors will evolve. In this paper I argue that individuals are uniquely qualified to predict their own mortality based on their own genetic background, as well as environmental and behavioral risk factors that are often known only to the individual. Given this private information, individuals form expectations about survival probabilities that may provide additional information to demographers and policymakers in their challenge to predict mortality. From expectations data from the 1992 Health and Retirement Study (HRS), I construct subjective, cohort life tables that are shown to predict the unusual direction of revisions to U.S. life expectancy by gender between 1992 and 2004: that is, for these cohorts, the Social Security Actuary (SSA) raised male life expectancy in 2004 and at the same lowered female life expectancy, narrowing the gender gap in longevity by 25% over this period. Further, although the subjective life expectancies for men appear to be roughly in line with the 2004 life tables, the subjective expectations of women suggest that female life expectancies estimated by the SSA might still be on the high side. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Perozek, M (reprint author), Fed Reserve Board Governors, Mail Stop 97,20th & C Streets,NW, Washington, DC 20551 USA. EM mperozek@frb.gov NR 25 TC 22 Z9 23 U1 1 U2 8 PU POPULATION ASSOC AMER PI WASHINGTON PA 1722 N ST NW, WASHINGTON, DC 20036 USA SN 0070-3370 J9 DEMOGRAPHY JI Demography PD FEB PY 2008 VL 45 IS 1 BP 95 EP 113 DI 10.1353/dem.2008.0010 PG 19 WC Demography SC Demography GA 272HJ UT WOS:000253850200006 PM 18390293 ER PT J AU Guzman, MG Haslag, JH Orrenius, PM AF Guzman, Mark G. Haslag, Joseph H. Orrenius, Pia M. TI On the determinants of optimal border enforcement SO ECONOMIC THEORY LA English DT Article DE smuggling; illegal immigration; border enforcement; economic growth ID ILLEGAL IMMIGRATION; POLITICAL-ECONOMY; MIGRATION; GROWTH; UNEMPLOYMENT; WAGES; MODEL AB We extend the current immigration-enforcement literature by incorporating both the practice of people smuggling and a role for non-wage income into a two-country, dynamic general equilibrium model. We use the model economy to examine three questions. First, how does technological progress in the smuggling industry affect the level of migration and capital accumulation for a given level of enforcement? Second, do changes in border enforcement affect the level of migration, capital accumulation, and smuggling activity? Third, is the optimal level of enforcement sensitive to technological progress in the smuggling industry? We show that the government chooses to devote resources to border enforcement only if the deterrent effect on smugglers is large enough. Otherwise, it is not worth taxing host-country natives as the taxes paid will more than offset any income gain resulting from fewer migrants. C1 Univ Missouri, Columbia, MO 65211 USA. Univ Reading, Reading RG6 6AH, Berks, England. Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Haslag, JH (reprint author), Univ Missouri, 118 Profess Bldg, Columbia, MO 65211 USA. EM m.g.guzman@reading.ac.uk; haslagj@missouri.edu; pia.orrenius@dal.frb.org NR 33 TC 5 Z9 5 U1 1 U2 6 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD FEB PY 2008 VL 34 IS 2 BP 261 EP 296 DI 10.1007/s00199-006-0166-7 PG 36 WC Economics SC Business & Economics GA 232DE UT WOS:000250997600003 ER PT J AU Meier, S Stutzer, A AF Meier, Stephan Stutzer, Alois TI Is volunteering rewarding in itself? SO ECONOMICA LA English DT Article ID WARM-GLOW; HAPPINESS; REUNIFICATION; SATISFACTION; BEHAVIOR; WORK AB Volunteering constitutes one of the most important pro-social activities. Following Aristotle, helping others is the way to higher individual wellbeing. This view contrasts with the selfish utility maximizer, who avoids helping others. The two rival views are studied empirically. We find robust evidence that volunteers are more satisfied with their life than non-volunteers. The issue of causality is studied from the basis of the collapse of East Germany and its infrastructure of volunteering. People who lost their opportunities for volunteering are compared with people who experienced no change in their volunteer status. C1 [Meier, Stephan] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Stutzer, Alois] Univ Basel, CH-4003 Basel, Switzerland. RP Meier, S (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. RI Stutzer, Alois/A-2302-2013 NR 41 TC 110 Z9 112 U1 4 U2 45 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0427 J9 ECONOMICA JI Economica PD FEB PY 2008 VL 75 IS 297 BP 39 EP 59 DI 10.1111/j.1468-0335.2007.00597.x PG 21 WC Economics SC Business & Economics GA 246CA UT WOS:000251983900003 ER PT J AU Gupta, N Ham, JC Svejnar, J AF Gupta, Nandim Ham, Jhon C. Svejnar, Jan TI Priorities and sequencing in privatization: Evidence from Czech firm panel data SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE privatization; political economy; transition ID CORPORATE PERFORMANCE; TRANSITION ECONOMIES; OWNERSHIP; SELECTION; STATE; WORK AB While privatization of state-owned enterprises has been one of the most important aspects of the economic transition from a centrally planned to a market system, no transition economy has privatized all its firms simultaneously. This raises the question of whether governments privatize firms strategically. In this paper we examine the determinants of the sequencing of privatization. To obtain testable predictions about the factors that may affect sequencing, we investigate the following competing government objectives: (i) Maximizing efficiency through resource allocation; (ii) maximizing public goodwill from the free transfers of shares to the public; (iii) minimizing political costs; (iv) maximizing efficiency through information gains; and (v) maximizing privatization revenues. Next, we use firm-level data from the Czech Republic to test the competing predictions about the sequencing of privatization. Consistent with the hypotheses of a government priority on revenues and public goodwill, we find strong evidence that more profitable firms were privatized first. The sequencing of privatization is also consistent with maximizing efficiency through information gains. Our results indicate that many empirical studies of the effects of privatization on firm performance suffer from a selection bias. (C) 2007 Elsevier B.V. All rights reserved. C1 [Ham, Jhon C.] Univ So Calif, USA, Fed Reserve Bank, San Francisco, CA USA. [Gupta, Nandim] Indiana Univ, Kelley Sch Business, Bloomington, IN 47405 USA. [Svejnar, Jan] Univ Michigan, USA, CERGE EI, CEPR, Ann Arbor, MI 48109 USA. [Svejnar, Jan] IZA, Bonn, Germany. RP Ham, JC (reprint author), Univ So Calif, Dept Econ, 3620 S Vermont Ave KAP 3000, Los Angeles, CA 90089 USA. EM nagupta@indiana.edu; johnham@usc.edu; svejnar@umich.edu RI Svejnar, Jan/H-2924-2014 NR 37 TC 31 Z9 31 U1 1 U2 10 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 2008 VL 52 IS 2 BP 183 EP 208 DI 10.1016/j.euroecorev.2007.05.004 PG 26 WC Economics SC Business & Economics GA 279SZ UT WOS:000254376200001 ER PT J AU Veracierto, M AF Veracierto, Marcelo TI Firing costs and business cycle fluctuations SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID INDIVISIBLE LABOR; EMPLOYMENT; EQUILIBRIUM; INVESTMENT AB This article considers a real business cycle model with establishment level dynamics and uses it to analyze the effects of firing taxes. It finds that firing taxes can have significant consequences on business cycle fluctuations, that the largest effects are on aggregate employment, and that even relatively small firing taxes have substantial effects. A significant contribution of the article is computational: It describes how to use standard linear-quadratic methods to solve for a stochastic equilibrium of an (S,s) economy with tax distortions. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. RP Veracierto, M (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S LaSalle St, Chicago, IL 60604 USA. EM mveracierto@frbchi.org NR 28 TC 20 Z9 20 U1 1 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD FEB PY 2008 VL 49 IS 1 BP 1 EP 39 DI 10.1111/j.1468-2354.2008.00472.x PG 39 WC Economics SC Business & Economics GA 262KM UT WOS:000253147400001 ER PT J AU Conesa, JC Garriga, C AF Conesa, Juan C. Garriga, Carlos TI Optimal fiscal policy in the design of social security reforms SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID EQUILIBRIUM; EFFICIENCY; TAXATION; MODELS AB The quantitative literature has documented that a privatization of the social security system generates large long-run welfare gains at the cost of welfare losses for transition generations. In this article, we maximize over the entire policy space, following the optimal fiscal policy approach. The resulting allocation, by construction, lies on the constrained Pareto frontier. We find that the optimal design of reforms exhibits sizeable welfare gains arising from a reduction in labor supply distortions. In contrast, the welfare gains coming from the reduction of savings distortions are relatively small. C1 [Conesa, Juan C.] Univ Autonoma Barcelona, Dept Econ & Econ Hist, Bellaterra, Cerdanyola Del, Spain. Fed Reserve Bank St Louis, St Louis, MO USA. RP Conesa, JC (reprint author), Univ Autonoma Barcelona, Dept Econ & Econ Hist, Bellaterra, Cerdanyola Del, Spain. EM carlos.garriaga@stts.frb.org RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 36 TC 14 Z9 14 U1 0 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD FEB PY 2008 VL 49 IS 1 BP 291 EP 318 DI 10.1111/j.1468-2354.2008.00480.x PG 28 WC Economics SC Business & Economics GA 262KM UT WOS:000253147400009 ER PT J AU Amiti, M Javorcik, BS AF Amiti, Mary Javorcik, Beata Smarzynska TI Trade costs and location of foreign firms in China SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE foreign direct investment; trade costs; market access; supplier access ID ECONOMIC-GEOGRAPHY; DIRECT-INVESTMENT; COMPARATIVE ADVANTAGE; INCREASING RETURNS; INDUSTRIES; INEQUALITY AB This study examines the determinants of entry by foreign firms, using information on 515 Chinese industries at the provincial level during 1998-2001. The analysis is based on new economic geography theory and thus focuses on market and supplier access within and outside the province of entry, as well as production and trade costs. The results indicate that market and supplier access are the most important factors affecting foreign entry. Access to markets and suppliers in the province of entry matters more than access to the rest of China, which is consistent with market fragmentation due to underdeveloped transport infrastructure and informal trade barriers. (c) 2006 Elsevier B.V All rights reserved. C1 [Amiti, Mary] Fed Reserve Bank New York, New York, NY 10045 USA. [Javorcik, Beata Smarzynska] World Bank, Washington, DC 20433 USA. RP Amiti, M (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Mary.Amiti@ny.frb.org; bjavorcik@worldbank.org NR 34 TC 70 Z9 72 U1 2 U2 23 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD FEB PY 2008 VL 85 IS 1-2 BP 129 EP 149 DI 10.1016/j.jdeveco.2006.06.001 PG 21 WC Economics SC Business & Economics GA 244BW UT WOS:000251842000007 ER PT J AU van der Klaauw, W AF van der Klaauw, Wilbert TI Breaking the link between poverty and low student achievement: An evaluation of title I SO JOURNAL OF ECONOMETRICS LA English DT Article; Proceedings Paper CT Conference on the Regression Discontinuity Design CY MAY 00, 2003-SEP 08, 2005 CL Banff, CANADA SP Banff Int Res Stn DE regression-discontinuity design; federal aid; compensatory education; school finance ID IDENTIFICATION; AID AB This Study provides an evaluation of the impact of Title I funding of compensatory education programs on school finance and student performance in New York City public schools during the 1993, 1997 and 2001 school years. Estimates based on a regression-discontinuity approach indicate that the program was unsuccessful in improving student outcomes in high-poverty schools in New York City during this period, and may in fact have had adverse effects during the earlier years in Our sample. Less evidence of a negative effect is found for the 2001 school year. These findings are related to the way in which the federal funds were spent. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Microecon & Reg Studies Funct, New York, NY 10045 USA. RP van der Klaauw, W (reprint author), Fed Reserve Bank New York, Microecon & Reg Studies Funct, 33 Liberty St, New York, NY 10045 USA. EM Wilbert.Vanderklaauw@ny.frb.org NR 31 TC 27 Z9 28 U1 2 U2 9 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD FEB PY 2008 VL 142 IS 2 BP 731 EP 756 DI 10.1016/j.jeconom.2007.05.007 PG 26 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 253MN UT WOS:000252522400008 ER PT J AU Chen, S van der Klaauw, W AF Chen, Susan van der Klaauw, Wilbert TI The work disincentive effects of the disability insurance program in the 1990s SO JOURNAL OF ECONOMETRICS LA English DT Article; Proceedings Paper CT Conference on the Regression Discontinuity Design CY MAY 00, 2003-SEP 08, 2005 CL Banff, CANADA SP Banff Int Res Stn DE regression-discontinuity design; disability; labor force participation ID LABOR-FORCE PARTICIPATION; OLDER MEN; APPLICANTS; HEALTH; EARNINGS; DECLINE; IDENTIFICATION; RETIREMENT; TRANSFERS AB In this paper we evaluate the work disincentive effects of the disability insurance (DI) program during the 1990s using comparison group and regression-discontinuity methods. The latter approach exploits a particular feature of the DI eligibility determination process to estimate the program's impact on labor supply for an important subset of DI applicants. Using merged survey-adininistrative data, we find that during the 1990s the labor force participation rate of DI beneficiaries would have been at most 20 percentage points higher had none received benefits. In addition, we find even smaller labor supply responses for the subset of 'marginal' applicants whose disability determination is based on vocational factors. (c) 2007 Elsevier B.V. All rights reserved. C1 [van der Klaauw, Wilbert] Fed Reserve Bank New York, Microecon & Reg Studies Funct, New York, NY 10045 USA. [Chen, Susan] Purdue Univ, Dept Agr Econ, W Lafayette, IN 47907 USA. RP van der Klaauw, W (reprint author), Fed Reserve Bank New York, Microecon & Reg Studies Funct, 33 Liberty St, New York, NY 10045 USA. EM sechen@purdue.edu; Wilbert.vanderklaauw@ny.frb.org OI Chen, Susan/0000-0003-4409-7417 NR 35 TC 43 Z9 43 U1 6 U2 12 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD FEB PY 2008 VL 142 IS 2 BP 757 EP 784 DI 10.1016/j.jeconom.2007.05.016 PG 28 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 253MN UT WOS:000252522400009 ER PT J AU Epstein, LG Schneider, M AF Epstein, Larry G. Schneider, Martin TI Ambiguity, information quality, and asset pricing SO JOURNAL OF FINANCE LA English DT Article ID EXCESS VOLATILITY; STOCK-PRICES; PREDICTABILITY; EXPLORATION; RETURNS; MARKET; RISK AB When ambiguity-averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile. These effects induce ambiguity premia that depend on idiosyncratic risk in fundamentals as well as skewness in returns. Moreover, shocks to information quality can have persistent negative effects on prices even if fundamentals do not change. C1 [Epstein, Larry G.] Boston Univ, Dept Econ, Boston, MA 02215 USA. [Schneider, Martin] NYU, Dept Econ, New York, NY USA. [Schneider, Martin] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Epstein, LG (reprint author), Boston Univ, Dept Econ, Boston, MA 02215 USA. NR 26 TC 105 Z9 107 U1 1 U2 18 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 FEB PY 2008 VL 63 IS 1 BP 197 EP 228 DI 10.1111/j.1540-6261.2008.01314.x PG 32 WC Business, Finance; Economics SC Business & Economics GA 250TI UT WOS:000252323100007 ER PT J AU Vickery, J AF Vickery, James TI How and why do small firms manage interest rate risk? SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE risk management; interest rate risk; loans; small firms ID MONETARY-POLICY TRANSMISSION; SMALL BUSINESS DATA; LENDING RELATIONSHIPS; CURRENCY DERIVATIVES; MODEL; DEBT; INFORMATION; COMPETITION; CONTRACTS; CHOICE AB Although small firms are particularly sensitive to interest rates and other shocks, empirical work on corporate risk management has focused instead on large public companies. This paper studies fixed-rate and adjustable-rate loans to see how small firms manage their exposure to interest rate risk. Credit-constrained firms are found to match significantly more often with fixed-rate loans, consistent with prior research that shows the supply of credit shrinks during periods of rising interest rates. Banks originate a higher share of adjustable-rate loans than other lenders, ameliorating maturity mismatch and exposure to the lending channel of monetary policy. Time-series patterns in the fixed-rate share are consistent with recent evidence on debt market timing. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Banking Studies, New York, NY 10045 USA. RP Vickery, J (reprint author), Fed Reserve Bank New York, Banking Studies, 33 Liberty St, New York, NY 10045 USA. EM james.vickery@ny.frb.org NR 58 TC 16 Z9 17 U1 3 U2 24 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 FEB PY 2008 VL 87 IS 2 BP 446 EP 470 DI 10.1016/j.jfineco.2006.09.011 PG 25 WC Business, Finance; Economics SC Business & Economics GA 265IS UT WOS:000253352900010 ER PT J AU Warusawitharana, M AF Warusawitharana, Missaka TI Corporate asset purchases and sales: Theory and evidence SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE acquisitions; asset sales; Tobin's Q; selection models ID ADJUSTMENT COSTS; INVESTMENT; MARKET; FIRM; DYNAMICS; MERGERS; DIVERSIFICATION; DIVESTITURES; EQUILIBRIUM; CONSTRAINTS AB Purchases and sales of operating assets by firms generated $162 billion for shareholders over the past 20 years. This contrasts sharply with the evidence on mergers. This paper characterizes the behavior of value-maximizing firms, which could grow organically, purchase existing assets, or sell assets. The approach yields an endogenous selection model that links asset purchases and sales to fundamental properties of the firm. Empirical tests confirm the predictions of the model. In particular, return on assets and size strongly predict when firms purchase or sell assets, and the transaction size covaries with the value of capital employed by the firm. These findings indicate that corporate asset purchases and sales are consistent with efficient investment decisions. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Warusawitharana, M (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. EM m1mnw00@frb.gov NR 54 TC 27 Z9 27 U1 3 U2 22 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 FEB PY 2008 VL 87 IS 2 BP 471 EP 497 DI 10.1016/j.jfineco.2007.02.005 PG 27 WC Business, Finance; Economics SC Business & Economics GA 265IS UT WOS:000253352900011 ER PT J AU Webb, E AF Webb, Elizabeth TI Regulator scrutiny and bank CEO incentives SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE banks; regulatory ratings; CEO compensation ID PERFORMANCE; COMPENSATION; PAY; MARKET AB This study analyzes the effects of monitoring intensity on compensation and turnover for CEOs of publicly-traded banks. Using a sample of banks from 1992 to 2004, I find that monitoring intensity plays a significant role in compensation levels, pay-for-performance sensitivity, and CEO turnover. The results show that CEOs from highly-rated institutions receive smaller pay than CEOs from competing institutions, and that monitoring intensity, as proxied by CEO age, influences the relationship between market performance and executive incentives. These findings suggest that regulatory ratings and CEO age impact optimal bank governance structure by varying incentive sensitivity to market performance. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Webb, E (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM elizabeth.webb@phil.frb.org NR 16 TC 8 Z9 8 U1 1 U2 3 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 FEB PY 2008 VL 33 IS 1 BP 5 EP 20 DI 10.1007/s10693-007-0023-2 PG 16 WC Business, Finance SC Business & Economics GA 351LF UT WOS:000259425100001 ER PT J AU Neely, CJ AF Neely, Christopher J. TI Central bank authorities' beliefs about foreign exchange intervention SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE intervention; foreign exchange; survey; central bank; exchange rate ID FUTURE MONETARY-POLICY; MARKET INTERVENTION; US INTERVENTION; RATE DYNAMICS; SIGNAL; PROFITABILITY; COUNTRIES; DOLLAR; MATTER; JAPAN AB This paper presents the results of a survey of monetary authorities with respect to foreign exchange intervention. The survey offers evidence on new issues that would otherwise be difficult to investigate, such as response times, non-foreign exchange factors in intervention and profitability. The survey also reveals new evidence on previously studied issues, such as channels of effectiveness. Respondents disagreed with predominant views on intervention and volatility and common arguments against intervention. Exchange rate regimes explain central bank beliefs about important aspects of intervention, including factors that lead to detection of secret interventions and the potential profitability of intervention. (c) 2007 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM neely@stls.frb.org RI Neely, Christopher/D-3636-2012; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 68 TC 20 Z9 23 U1 1 U2 9 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 FEB PY 2008 VL 27 IS 1 BP 1 EP 25 DI 10.1016/j.jimonfin.2007.04.012 PG 25 WC Business, Finance SC Business & Economics GA 263IF UT WOS:000253210100001 ER PT J AU Carpenter, S Demiralp, S AF Carpenter, Seth Demiralp, Selva TI The liquidity effect in the federal funds market: Evidence at the monthly frequency SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE liquidity effect; federal funds market ID MONETARY-POLICY AB In this paper, we argue that much of the research into the link between money and interest rates suffers from misspecification. The measure of money and the measure of interest rates are not always well matched. In examining the transmission of monetary policy, we show that using an appropriate measure of money, Federal Reserve balances, and the appropriate interest rate, the federal funds rate, a clear liquidity effect exists. Furthermore, we explain how a lack of a clear institutional understanding may have contributed to the finding of a "liquidity puzzle" in the past. C1 [Demiralp, Selva] Koc Univ, Dept Econ, Istanbul, Turkey. [Carpenter, Seth] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Carpenter, S (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. EM scarpenter@frb.gov; sdemiralp@ku.edu.tr RI Demiralp, Selva/L-6650-2016 OI Demiralp, Selva/0000-0003-4087-168X NR 15 TC 14 Z9 14 U1 1 U2 6 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 FEB PY 2008 VL 40 IS 1 BP 1 EP 24 DI 10.1111/j.1538-4616.2008.00102.x PG 24 WC Business, Finance; Economics SC Business & Economics GA 257CD UT WOS:000252775900001 ER PT J AU Craig, B Rocheteau, G AF Craig, Ben Rocheteau, Guillaume TI Inflation and welfare: A search approach SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE inflation; search; money ID FIAT MONEY; EQUILIBRIUM; EFFICIENCY; EXCHANGE; VELOCITY; MODEL AB This paper uses a search model of monetary exchange to provide new insights for evaluating the welfare costs of inflation. We first show that the search model of money can rationalize the estimates of the welfare cost of inflation based on the "welfare triangle" methodology of Bailey (1956) and Lucas (2000) provided that buyers appropriate the social marginal benefit of their real balances. For other mechanisms, the measure given by the welfare triangle has to be scaled up by a factor that increases with sellers' market power. We introduce capital and endogenous participation decisions and study how the cost of inflation is affected. We provide calibrated examples in which a deviation from the Friedman rule is optimal. C1 [Craig, Ben; Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Craig, B (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. EM Ben.Craig@clev.frb.org; Guillaume.Rocheteau@clev.frb.org NR 28 TC 16 Z9 16 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 FEB PY 2008 VL 40 IS 1 BP 89 EP 119 DI 10.1111/j.1538-4616.2008.00105.x PG 31 WC Business, Finance; Economics SC Business & Economics GA 257CD UT WOS:000252775900004 ER PT J AU Borzekowski, R Kiser, EK Ahmed, S AF Borzekowski, Ron Kiser, Elizabeth K. Ahmed, Shaista TI Consumers' use of debit cards: Patterns, preferences, and price response SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE debt payment choice; price response; bank fees ID PAYMENT SYSTEMS AB Debit card use at the point of sale has grown dramatically in recent years in the United States and now exceeds the number of credit card transactions. However, many questions remain regarding patterns of debit card use, consumer preferences when using debit, and how consumers might respond to explicit pricing of card transactions. Using a new nationally representative consumer survey, this paper describes the current use of debit cards by U.S. consumers, including how demographics affect use. In addition, consumers' stated reasons for using debit cards are used to analyze how consumers substitute between debit and other payment instruments. We also examine the relationship between household financial conditions and payment choice. Finally, we use a key variable on bank-imposed transaction fees to analyze price sensitivity of card use, and find a 12% decline in overall use in reaction to a mean 1.8% fee charged on certain debit card transactions; we believe this represents the first microeconomic evidence in the United States on price sensitivity for a card payment at the point of sale. C1 [Borzekowski, Ron; Kiser, Elizabeth K.] Fed Reserve Board, Washington, DC USA. [Ahmed, Shaista] Princeton Univ, Woodrow Wilson Sch Publ & Int Affairs, Princeton, NJ 08544 USA. RP Borzekowski, R (reprint author), Fed Reserve Board, Washington, DC USA. EM ron.borzekowski@frb.gov; elizabeth.k.kiser@frb.gov NR 34 TC 44 Z9 44 U1 1 U2 14 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 FEB PY 2008 VL 40 IS 1 BP 149 EP 172 DI 10.1111/j.1538-4616.2008.00107.x PG 24 WC Business, Finance; Economics SC Business & Economics GA 257CD UT WOS:000252775900006 ER PT J AU Bartolini, L Hilton, S Prati, A AF Bartolini, Leonardo Hilton, Spence Prati, Alessandro TI Money market integration SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE federal funds; Eurodollars; market segmentation ID FEDERAL-FUNDS; MONETARY-POLICY; VOLATILITY; RATES AB We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds-Eurodollar spreads to provide evidence of strong integration of the U.S. markets for federal funds and Eurodollars, the two core components of the dollar money market. Our evidence of negligible federal funds-Eurodollar premia contrasts with previous findings of large and predictable premia, which have been interpreted as evidence of segmentation between the markets for federal funds and Eurodollars. Our results, however, are consistent with possible persistent segmentation within the global Eurodollar market. We document several patterns in the behavior of federal funds-Eurodollar spreads, including liquidity effects from trading volume to yield spreads' volatility. C1 [Bartolini, Leonardo; Hilton, Spence] Fed Reserve Bank New York, New York, NY 10045 USA. [Prati, Alessandro] Int Monetary Fund, Washington, DC 20431 USA. RP Bartolini, L (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM leo.bartolini@ny.frb.org NR 17 TC 7 Z9 7 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 FEB PY 2008 VL 40 IS 1 BP 193 EP 213 DI 10.1111/j.1538-4616.2008.00109.x PG 21 WC Business, Finance; Economics SC Business & Economics GA 257CD UT WOS:000252775900008 ER PT J AU Acharya, VV Yorulmazer, T AF Acharya, Viral V. Yorulmazer, Tanju TI Information contagion and bank herding SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE systemic risk; information spillover; inter-bank correlation ID SUBORDINATED DEBT; GREAT-DEPRESSION; FAILURES; RUNS; EXTERNALITIES; CONSEQUENCES; BEHAVIOR; POLICIES; PERIOD; CRISIS AB We show that the likelihood of information contagion induces profit-maximizing bank owners to herd with other banks. When bank loan returns have a common systematic factor, the cost of borrowing for a bank increases when there is adverse news on other banks since such news conveys adverse information about the common factor. The increase in a bank's cost of borrowing relative to the situation of good news about other banks is greater when bank loan returns have less commonality (in addition to the systematic risk factor). Hence, banks herd and undertake correlated investments so as to minimize the impact of such information contagion on the expected cost of borrowing. Competitive effects such as superior margins from lending in different industries mitigate herding incentives. C1 [Acharya, Viral V.] London Business Sch, Dept Finance, London, England. [Yorulmazer, Tanju] Fed Reserve Bank New York, New York, NY 10045 USA. RP Acharya, VV (reprint author), London Business Sch, Dept Finance, London, England. EM vacharya@london.edu; Tanju.Yorulmazer@ny.frb.org NR 33 TC 37 Z9 38 U1 2 U2 15 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 FEB PY 2008 VL 40 IS 1 BP 215 EP 231 DI 10.1111/j.1538-4616.2008.00110.x PG 17 WC Business, Finance; Economics SC Business & Economics GA 257CD UT WOS:000252775900009 ER PT J AU Kumar, A AF Kumar, Anil TI Labor supply, deadweight loss and tax reform act of 1986: A nonparametric evaluation using panel data SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE taxes and labor supply; nonlinear budget set; nonparametric estimation ID NONLINEAR BUDGET SETS; INCOME TAXATION; TAXABLE INCOME; REGRESSION; SWEDEN; MODEL; ECONOMETRICS; RESTRICTIONS; CONSTRAINTS; NETHERLANDS AB Tax Reform Act of 1986 (TRA 1986) has provided an invaluable source of variation in tax rates to study the effects of tax reforms on labor supply in the US. Most existing studies exploiting variation generated by TRA 1986 have used cross-sectional variation in tax rates or assumed a linear labor supply function or have not couched their analysis in a nonlinear budget set framework. This paper uses the drastic variation in the budget set induced by TRA 1986 as a source of identification and combines two novel approaches to estimate behavioral effects of tax reforms. I first use nonparametric estimation methods with nonlinear budget sets [Blomquist, Soren, Newey, W., 2002. Nonparametric estimation with nonlinear budget sets. Econometrica 70 (6), 2455-2480] to estimate a labor supply function, using waves of PSID just before and after TRA 1986. Nonparametric method developed in Hausman and Newey [Hausman, J., Whitney Newey, 1995. Nonparametric measurement of exact consumer's surplus and deadweight loss. Econometrica 63, 1145-76] is then applied to estimate the deadweight loss from TRA 1986. The nonparametric estimate of the compensated wage elasticity is 0.22.1 find that TRA 1986 had a small but positive effect on labor supply of men of about 2% at the sample mean. TRA 1986 was associated with robust reduction in deadweight loss from the pre-TRA 1986 level and this reduction is positively correlated with income and wages. (C) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Kumar, A (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM anil.kumar@dal.frb.org NR 65 TC 5 Z9 5 U1 1 U2 5 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 2008 VL 92 IS 1-2 BP 236 EP 253 DI 10.1016/j.jpubeco.2007.04.002 PG 18 WC Economics SC Business & Economics GA 261DS UT WOS:000253059900010 ER PT J AU Klier, T McMillen, DP AF Klier, Thomas McMillen, Daniel P. TI Evolving agglomeration in the US auto supplier industry SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID MODELS AB Using nonparametric descriptive tools developed by Duranton and Overman (2005, Review of Economic Studies, 72, 1077-1106), we show that both new and old auto supplier plants are highly concentrated in the eastern United States. Conditional logit models imply that much of this concentration can be explained parametrically by distance from Detroit, proximity to assembly plants, and access to the interstate highway system. New plants are more likely to be located in zip codes that are close to existing supplier plants. However, the degree of clustering observed is still greater than implied by the logit estimates. C1 [Klier, Thomas] Fed Reserve Bank Chicago, Res Dev, Chicago, IL 60604 USA. [McMillen, Daniel P.] Univ Illinois, Dept Econ, Chicago, IL 60607 USA. RP Klier, T (reprint author), Fed Reserve Bank Chicago, Res Dev, 230 S LaSalle St, Chicago, IL 60604 USA. EM tklier@frbchi.org; mcmillen@uic.edu NR 15 TC 24 Z9 27 U1 0 U2 8 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD FEB PY 2008 VL 48 IS 1 BP 245 EP 267 PG 23 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 249NF UT WOS:000252234700008 ER PT J AU Jones, LE AF Jones, Larry E. TI A note on the joint occurrence of insurance and gambling SO MACROECONOMIC DYNAMICS LA English DT Article DE indivisibilities; insurance; gambling; labor supply ID INDIVISIBLE LABOR AB This note provides a formal justification for the Friedman and Savage nonconcavity in the utility of money. This is based on the possibility of indivisibilities in the consumption possibilities set. A precise characterization of when gambling is optimal (and the optimal type) is provided in one special case. Some possible limitations are considered. C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Jones, Larry E.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Jones, LE (reprint author), Univ Minnesota, Dept Econ, 1035 Heller Hall,271-19th Ave S, Minneapolis, MN 55455 USA. EM lej@econ.umn.edu NR 13 TC 0 Z9 0 U1 1 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 FEB PY 2008 VL 12 IS 1 BP 97 EP 111 DI 10.1017/S1365100507060348 PG 15 WC Economics SC Business & Economics GA 245QJ UT WOS:000251950200005 ER PT J AU Boon, Z Carson, CM Faberman, RJ Ilg, RE AF Boon, Zhi Carson, Charles M. Faberman, R. Jason Ilg, Randy E. TI Studying the labor market using BLS labor dynamics data SO MONTHLY LABOR REVIEW LA English DT Article AB Three relatively new data sources released by the BLS help analysts track the rich dynamics underlying the changes in employment and unemployment; these data add depth and context, and they ultimately provide a better understanding of movements in the labor market C1 [Boon, Zhi; Carson, Charles M.; Ilg, Randy E.] US Bur Labor Stat, Off Employment & Unemployment Stat, Washington, DC 20212 USA. [Faberman, R. Jason] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Boon, Z (reprint author), US Bur Labor Stat, Off Employment & Unemployment Stat, Washington, DC 20212 USA. EM Jason.Faberman@phil.frb.org NR 10 TC 5 Z9 5 U1 0 U2 1 PU LEGAL BOOKS DEPOT PI LOS ANGELES PA PO BOX 27789, LOS ANGELES, CA 90027 USA SN 0098-1818 J9 MON LABOR REV JI Mon. Labor Rev. PD FEB PY 2008 VL 131 IS 2 BP 3 EP 16 PG 14 WC Industrial Relations & Labor SC Business & Economics GA V12VD UT WOS:000207625800001 ER PT J AU Foote, CL Goetz, CF AF Foote, Christopher L. Goetz, Christopher F. TI The impact of legalized abortion on crime: Comment SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article AB This comment makes three observations about Donohue and Levitt's paper on abortion and crime (Quarterly Journal of Economics 119(l) (2001), 249-275). First, there is a coding mistake in the concluding regressions, which identify abortion's effect on crime by comparing the experiences of different age cohorts within the same state and year. Second, correcting this error and using a more appropriate per capita specification for the crime variable generates much weaker results. Third, earlier tests in the paper, which exploit cross-state rather than within-state variation, are not robust to allowing for differential state trends based on statewide crime rates that predate the period when abortion could have had a causal effect on crime. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Univ Maryland, College Pk, MD 20742 USA. RP Foote, CL (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 11 TC 33 Z9 33 U1 0 U2 12 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD FEB PY 2008 VL 123 IS 1 BP 407 EP 423 DI 10.1162/qjec.2008.123.1.407 PG 17 WC Economics SC Business & Economics GA 263CM UT WOS:000253195200010 ER PT J AU Bordo, MD Haubrich, JG AF Bordo, Michael D. Haubrich, Joseph G. TI The yield curve as a predictor of growth: Long-run evidence, 1875-1997 SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID TERM STRUCTURE; INTEREST-RATES; OUTPUT; INFLATION; ACCURACY AB This paper brings historical evidence to bear on the stylized fact that the yield curve predicts future growth. The spread between corporate bonds and commercial paper reliably predicts future growth over the period 1875-1997. This predictability varies over time, however, and has been strongest in the post-World War II period. C1 [Bordo, Michael D.] Rutgers State Univ, Piscataway, NJ 08855 USA. [Bordo, Michael D.] NBER, Cambridge, MA 02138 USA. [Haubrich, Joseph G.] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Bordo, MD (reprint author), Rutgers State Univ, Piscataway, NJ 08855 USA. NR 26 TC 9 Z9 9 U1 2 U2 5 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD FEB PY 2008 VL 90 IS 1 BP 182 EP 185 DI 10.1162/rest.90.1.182 PG 4 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 299XS UT WOS:000255789500018 ER PT J AU Bandyopadhyay, S Coughlin, CC Wall, HJ AF Bandyopadhyay, Subhayu Coughlin, Cletus C. Wall, Howard J. TI Ethnic Networks and US Exports SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article ID INTERNATIONAL-TRADE; IMMIGRATION; CANADA; STATES AB This paper provides new estimates of the effects of ethnic networks on US exports. In line with recent research, our dataset is a panel of exports from US states to 29 foreign countries. Our analysis departs from the literature in two ways, both of which show that previous estimates of the ethnic-network elasticity of trade are sensitive to the restrictions imposed on the estimated models. Our first departure is to control for unobserved heterogeneity with properly specified fixed effects, which we can do because our dataset contains a time dimension absent from previous studies. Our second departure is to remove the restriction that the network effect is the same for all ethnicities. We find that ethnic-network effects are much larger than has been estimated previously, although they are important only for a subset of countries. C1 [Bandyopadhyay, Subhayu; Coughlin, Cletus C.; 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; coughlin@stls.frb.org; wall@stls.frb.org RI Bandyopadhyay, Subhayu/I-5739-2016; Coughlin, Cletus/K-6860-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543; Coughlin, Cletus/0000-0002-8304-2796 NR 26 TC 43 Z9 43 U1 0 U2 7 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 FEB PY 2008 VL 16 IS 1 BP 199 EP 213 DI 10.1111/j.1467-9396.2007.00722.x PG 15 WC Economics SC Business & Economics GA V16AG UT WOS:000207841900013 ER PT J AU Barrett, CB Sherlund, SM Adesina, AA AF Barrett, Christopher B. Sherlund, Shane M. Adesina, Akinwumi A. TI Shadow wages, allocative inefficiency, and labor supply in smallholder agriculture SO AGRICULTURAL ECONOMICS LA English DT Article DE bootstrap bias correction; Cote d'Ivoire; risk; transactions costs ID FAMILY LABOR; FARM SIZE; PRODUCTIVITY; HOUSEHOLD; PEASANT; UNCERTAINTY; MARKETS; COUNTRY AB This article introduces a method for estimating structural labor supply models in the presence of unobservable wages and deviations of households' marginal revenue product of self-employed labor from their shadow wage. This method is therefore robust to a wide range of assumptions about labor allocation decisions in the presence of uncertainty, market frictions, locational preferences, etc. We illustrate the method using data from rice producers in Cote d'Ivoire. These data, like previous studies, reveal significant systematic differences between shadow wages and the marginal revenue product of family farm labor. We demonstrate how one can exploit systematic deviations, in the present case related to household characteristics such as the land/labor endowment ratio, to control for both unobservable wages and prospective allocative inefficiency in labor allocation in structural household labor supply estimation. C1 [Barrett, Christopher B.] Cornell Univ, Dept Appl Econ & Management, Ithaca, NY 14853 USA. [Sherlund, Shane M.] Fed Reserve Board Governors, Washington, DC 20551 USA. [Adesina, Akinwumi A.] Rockefeller Fdn, New York, NY 10018 USA. RP Barrett, CB (reprint author), Cornell Univ, Dept Appl Econ & Management, Ithaca, NY 14853 USA. EM cbb2@cornell.edu NR 26 TC 13 Z9 13 U1 0 U2 13 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0169-5150 EI 1574-0862 J9 AGR ECON-BLACKWELL JI Agric. Econ. PD JAN PY 2008 VL 38 IS 1 BP 21 EP 34 DI 10.1111/j.1574-0862.2007.00278.x PG 14 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 243OR UT WOS:000251807700003 ER PT J AU Agarwal, S Chomsisengphet, S Liu, CL AF Agarwal, Sumit Chomsisengphet, Souphala Liu, Chunlin BE Christodoulakis, G Satchell, S TI Determinants of small business default SO ANALYTICS OF RISK MODEL VALIDATION SE Quantitative Finance Series LA English DT Article; Book Chapter ID EMPIRICAL-ANALYSIS; EQUITY AB In this paper, we empirically validate the importance of owner and business credit risk characteristics in determining default behaviour of more than 31 000 small business loans by type and size. Our results indicate that both owner- and firm-specific characteristics are important predictors of overall small business default. However, owner characteristics are more important determinants of small business loans but not small business lines. We also differentiate between small and large business accounts. The results suggest that owner scores are better predictors of small firm default behaviours, whereas firm scores are better predictors of large firm default behaviour. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 6 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 978-0-08-055388-7 J9 QUANT FINANC SER PY 2008 BP 1 EP 12 DI 10.1016/B978-075068158-2.50004-4 PG 12 WC Business, Finance SC Business & Economics GA BEE33 UT WOS:000316280100002 ER PT J AU Bhattacharya, N Garrett, TA AF Bhattacharya, N. Garrett, T. A. TI Why people choose negative expected return assets - an empirical examination of a utility theoretic explanation SO APPLIED ECONOMICS LA English DT Article ID FAVORITE-LONGSHOT BIAS; RISK; LOTTERIES; SKEWNESS; BEHAVIOR; BETTORS AB Using a theoretical extension of the Friedman and Savage (1948) utility function developed in Bhattacharyya (2003), we predict that for assets with negative expected returns, such as state lottery games, expected return will be a declining and convex function of skewness. That is, lottery players trade-off expected return for skewness. Using two samples of lottery game data, we find that our theoretical conclusions are supported by the empirical results. The findings obtained here not only contribute to the literature on why individuals may participate in unfair gambles, the framework could be extended to an analysis of the stock market where higher returns cannot be solely explained by risk (variance). C1 [Bhattacharya, N.] Univ Alaska, Anchorage, AK 99508 USA. [Garrett, T. A.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Bhattacharya, N (reprint author), Univ Alaska, Anchorage, AK 99508 USA. EM nalinaksha@gmail.com; garrett@stls.frb.org NR 21 TC 3 Z9 3 U1 0 U2 0 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0003-6846 J9 APPL ECON JI Appl. Econ. PY 2008 VL 40 IS 1 BP 27 EP 34 DI 10.1080/00036840701335587 PG 8 WC Economics SC Business & Economics GA 250OF UT WOS:000252309200004 ER PT J AU Pakko, MR AF Pakko, Michael R. TI No smoking at the slot machines: the effect of a smoke-free law on Delaware gaming revenues SO APPLIED ECONOMICS LA English DT Article AB As communities around the nation consider laws restricting smoking in public places, a key political and economic issue that often arises is the effect that such laws have on the sales and profits of particular sectors. The gaming industry has been active in opposition to such ordinances, citing large prospective losses. This article analyses the revenues of three gaming facilities in Delaware following the implementation of a smoke-free law in December 2002. Revenues are found to have declined significantly at each of the three facilities, with relative magnitudes of losses corresponding to the availability of alternative gaming venues in the region. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Pakko, MR (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM pakko@stls.frb.org NR 11 TC 10 Z9 10 U1 0 U2 4 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0003-6846 J9 APPL ECON JI Appl. Econ. PY 2008 VL 40 IS 14 BP 1769 EP 1774 DI 10.1080/00036840600905241 PG 6 WC Economics SC Business & Economics GA 327TQ UT WOS:000257751800001 ER PT J AU Occhino, F AF Occhino, Filippo TI Optimal fiscal policy when migration is feasible SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article DE optimal fiscal policy; Ramsey equilibrium; migration; fiscal competition; mobility; fiscal burden; Tiebout ID POLITICAL-ECONOMY; COMPETITION AB This paper investigates how the feasibility of migration affects governments' optimal fiscal policies. We assume that households migrate toward economies where their welfare is higher, governments choose taxes and public expenditures to maximize a weighted sum of the households' welfare, welfare is increasing in public expenditures, and only distortionary labor income taxes are available. In isolated economies, the optimal fiscal policy implies that some households are net fiscal contributors, while other households are net fiscal beneficiaries. When households can migrate, however, governments compete for the households which are net fiscal contributors, and modify the fiscal policy in their favor, lowering their taxes and net fiscal contribution, and increasing their welfare. The magnitude of the effect increases with the sensitivity of migration to welfare. In the limiting case of free mobility, all households are zero net fiscal contributors. As to the patterns of migration, the model predicts that, with high migration costs, all households migrate toward the same high-productivity countries, which benefits low-productivity households, whereas with low migration costs, households with different productivities migrate toward different countries, which benefits high-productivity households. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Occhino, F (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. EM filippo.occhino@clev.frb.org NR 9 TC 0 Z9 0 U1 0 U2 0 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 2008 VL 8 IS 1 AR 35 PG 19 WC Economics SC Business & Economics GA 343TG UT WOS:000258877500002 ER PT J AU Gagnon, JE AF Gagnon, Joseph E. TI Growth-led exports: Implications for the cross-country effects of shocks to potential output SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE international trade; macroeconomic model; product variety ID EQUATIONS; DEMAND AB Fast-growing countries tend to experience rapid export growth with little secular change in their terms of trade. This contradicts most international macroeconomic models, which predict that productivity and labor-supply shocks can affect exports only through changes in the terms of trade. This paper generalizes the monopolistic competition trade model of Helpman and Krugman (1985), providing a basis for growth-led exports without declining terms of trade. The key mechanism behind this result is that fast-growing countries are able to develop new varieties of products that can be exported without pushing down the prices of existing products. There is strong support for the new model in the long-run export growth of many countries in the post-war era. These results have major implications for the analysis of supply shocks in international macroeconomic models. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Gagnon, JE (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Mail Stop 19,2000 C St NW, Washington, DC 20551 USA. EM joseph.gagnon@frb.gov NR 23 TC 0 Z9 0 U1 1 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 2008 VL 8 IS 1 AR 2 PG 30 WC Economics SC Business & Economics GA 307EZ UT WOS:000256302300011 ER PT J AU Nason, JM Smith, GW AF Nason, James M. Smith, Gregor W. TI Great Moderation(s) and US Interest Rates: Unconditional Evidence SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE Great Moderation; asset pricing; interest rate ID EQUITY PREMIUM; CONSUMPTION; BEHAVIOR; ECONOMY AB The Great Moderation refers to the fall in US output growth volatility in the mid-1980s. At the same time, the US experienced a moderation in inflation and lower average inflation. Asset pricing theory predicts that moderations - real or nominal - influence interest rates. Using annual data since 1890, we find that an earlier 1946 moderation in output and consumption growth was comparable to that of 1984. To assess the impact of these moderations, we also isolate the 1969-1983 Great Inflation using quarterly data since 1947. We examine the quantitative predictions of a consumption-based asset pricing model for shifts in the unconditional average of US interest rates across these time periods. A central finding is that such shifts probably were related to changes in average inflation rather than to moderations in inflation and consumption growth. C1 [Smith, Gregor W.] Queens Univ, Kingston, ON K7L 3N6, Canada. [Nason, James M.] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Nason, JM (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM jim.nason@atl.frb.org; smithgw@econ.queensu.ca NR 36 TC 5 Z9 5 U1 0 U2 0 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 2008 VL 8 IS 1 AR 30 PG 33 WC Economics SC Business & Economics GA 378OT UT WOS:000261334500002 ER PT S AU de Pooter, M Ravazzolo, F Segers, R van Dijk, HK AF de Pooter, Michiel Ravazzolo, Francesco Segers, Rene van Dijk, Herman K. BE Chib, S Griffiths, W Koop, G Terrell, D TI BAYESIAN NEAR-BOUNDARY ANALYSIS IN BASIC MACROECONOMIC TIME-SERIES MODELS SO BAYESIAN ECONOMETRICS SE Advances in Econometrics LA English DT Article; Book Chapter ID MONTE-CARLO METHODS; POSTERIOR DISTRIBUTIONS; GIBBS SAMPLER; REGRESSION-MODELS; ECONOMIC-GROWTH; MIXTURE-MODELS; REDUCED RANK; FORECASTS; STOCK; RESTORATION AB Several lessons learnt from a Bayesian analysis of basic macroeconomic time-series models are presented for the situation where some model parameters have substantial posterior probability near the boundary of the parameter region. This feature refers to near-instability within dynamic models, to forecasting with near-random walk models and to clustering of C1 [de Pooter, Michiel] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. [Ravazzolo, Francesco] Norges Bank, Oslo, Norway. [Segers, Rene; van Dijk, Herman K.] Erasmus Univ, Tinbergen Inst, Rotterdam, Netherlands. [Segers, Rene; van Dijk, Herman K.] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands. RP de Pooter, M (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. NR 91 TC 3 Z9 3 U1 2 U2 2 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 0731-9053 BN 978-1-84855-308-8 J9 ADV ECONOMETRICS PY 2008 VL 23 BP 331 EP 402 DI 10.1016/S0731-9053(08)23011-2 PG 72 WC Business; Economics SC Business & Economics GA BLO55 UT WOS:000270678200012 ER PT B AU Welch, JH AF Welch, John H. BE Haar, J Price, J TI Competitive Capital Markets: Brazil's Capital Markets Finally Maturing SO CAN LATIN AMERICA COMPETE: CONFRONTING THE CHALLENGES OF GLOBALIZATION LA English DT Article; Book Chapter C1 [Welch, John H.] Fed Reserve Bank Dallas, Dallas, TX USA. [Welch, John H.] Univ Texas Austin, Austin, TX 78712 USA. [Welch, John H.] Univ N Texas, Denton, TX 76203 USA. NR 15 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-61214-3 PY 2008 BP 63 EP 77 D2 10.1057/9780230610477 PG 15 WC Economics; Public Administration SC Business & Economics; Public Administration GA BRN45 UT WOS:000283152700006 ER PT J AU Koo, J Cox, WM AF Koo, Jahyeong Cox, W. Michael TI An economic interpretation of suicide cycles in Japan SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID BUSINESS CYCLES; TIME-SERIES; UNEMPLOYMENT; MORTALITY; RATES; USA AB Suicide rates in Japan have increased dramatically in recent years, making Japan's male rate the highest among developed economies. This study revises the standard economic model of suicide to accommodate Japan's experience, focusing on the change in human capital for the unemployed. We then use the new model and detrended data to empirically investigate the relationship between the suicide cycle and the unemployment cycle. Unlike previous aggregate time series studies, we find that the relationship between the suicide rate and the unemployment rate is significantly and robustly positive for both men and women even after controlling for several social variables. C1 [Koo, Jahyeong; Cox, W. Michael] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Cox, W. Michael] So Methodist Univ, Dallas, TX 75205 USA. RP Koo, J (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM jahyeong.koo@dal.frb.org; wm.cox@dal.frb.org NR 31 TC 25 Z9 25 U1 2 U2 12 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1074-3529 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD JAN PY 2008 VL 26 IS 1 BP 162 EP 174 DI 10.1111/j.1465-7287.2007.00042 PG 13 WC Economics; Public Administration SC Business & Economics; Public Administration GA 251SB UT WOS:000252393200011 ER PT J AU Kroszner, RS Melick, WR AF Kroszner, Randall S. Melick, William R. BE DemirgucKunt, A Kane, EJ Laeven, L TI Lessons from the US Experience with Deposit Insurance SO DEPOSIT INSURANCE AROUND THE WORLD: ISSUES OF DESIGN AND IMPLEMENTATION LA English DT Article; Book Chapter ID GLASS-STEAGALL ACT; UNITED-STATES; THRIFT CRISIS; BANK FAILURES; MORAL HAZARD; CLEARINGHOUSES; DEPRESSION; CONTAGION; OKLAHOMA; DISTRESS C1 [Kroszner, Randall S.] Board Governors, Fed Reserve Syst, Washington, DC USA. [Melick, William R.] Kenyon Coll, Gambier, OH USA. [Melick, William R.] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Kroszner, RS (reprint author), Board Governors, Fed Reserve Syst, Washington, DC USA. NR 70 TC 4 Z9 4 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-04254-3 PY 2008 BP 181 EP 217 PG 37 WC Business, Finance SC Business & Economics GA BQF87 UT WOS:000280893500006 ER PT J AU Hasan, I Zhou, MM AF Hasan, Iftekhar Zhou, Mingming BA Mavrotas, G BF Mavrotas, G TI Financial Sector Development and Growth: The Chinese Experience SO DOMESTIC RESOURCE MOBILIZATION AND FINANCIAL DEVELOPMENT SE Studies in Development Economics and Policy LA English DT Article; Book Chapter ID ECONOMIC-GROWTH; STOCK MARKETS; TAX POLICY; INSTITUTIONS; DETERMINANTS; PERFORMANCE C1 [Hasan, Iftekhar] Rensselaer Polytech Inst, Troy, NY USA. [Hasan, Iftekhar] Cent Bank Finland, Helsinki, Finland. [Hasan, Iftekhar] NYU, Berkeley Ctr Entrepreneurial Studies, Stern Sch Business, New York, NY 10003 USA. [Zhou, Mingming] Univ Alaska Fairbanks, Fairbanks, AK USA. RP Hasan, I (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 61 TC 0 Z9 0 U1 0 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-59401-2 J9 STUD DEV ECON POLICY PY 2008 BP 89 EP 111 D2 10.1057/9780230594012 PG 23 WC Economics SC Business & Economics GA BRL59 UT WOS:000283067000005 ER PT J AU Cohen-Cole, E Zanella, G AF Cohen-Cole, Ethan Zanella, Giulio TI Unpacking social interactions SO ECONOMIC INQUIRY LA English DT Article; Proceedings Paper CT 81st Annual Meeting of the Western-Economic-Association-International CY JUL 01, 2006 CL San Diego, CA SP Western Econ Assoc Int AB As empirical work in identifying social effects becomes moreprevalent, researchers are beginning to struggle in identifying the composition of social interactions within any given reference group. In this article, we present a simple econometric methodology for the separate identification of multiple social interactions. The setting under which we achieve separation is special but is likely to be appropriate in many applications. C1 [Cohen-Cole, Ethan] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Zanella, Giulio] Univ Siena, Dept Econ, I-53100 Siena, Italy. RP Cohen-Cole, E (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02210 USA. EM ethan.cohen-cole@bos.frb.org; zanella@unisi.it NR 10 TC 2 Z9 2 U1 0 U2 1 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2008 VL 46 IS 1 BP 19 EP 24 DI 10.1111/j.1465-7295.2007.00075.x PG 6 WC Economics SC Business & Economics GA 279AJ UT WOS:000254327100004 ER PT J AU Fisher, R AF Fisher, Richard BE McKinney, JA Gardner, HS TI Trade liberalization as a moral imperative SO ECONOMIC INTEGRATION IN THE AMERICAS SE Routledge Studies in the Modern World Economy LA English DT Article; Book Chapter C1 [Fisher, Richard] Fed Reserve Bank Dallas, Dallas, TX USA. RP Fisher, R (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-93040-3 J9 ROUTL STUD MOD WORLD PY 2008 VL 73 BP 62 EP 67 D2 10.4324/9780203930403 PG 6 WC Economics SC Business & Economics GA BNZ77 UT WOS:000275957300006 ER PT J AU Posen, AS AF Posen, Adam S. BE Schettkat, R LAngkau, J TI Exportweltmeister - so what? Better goals for German foreign economic policy SO ECONOMIC POLICY PROPOSALS FOR GERMANY AND EUROPE SE Routledge Studies in the European Economy LA English DT Article; Book Chapter ID TRADE; PRODUCTIVITY; GROWTH; PERFORMANCE C1 [Posen, Adam S.] Peterson Inst Int Econ, Washington, DC USA. [Posen, Adam S.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Posen, AS (reprint author), Peterson Inst Int Econ, Washington, DC USA. NR 66 TC 0 Z9 0 U1 1 U2 1 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-92853-0 J9 ROUTL STUD EUR ECON PY 2008 VL 18 BP 119 EP 143 D2 10.4324/9780203928530 PG 25 WC Economics SC Business & Economics GA BNX82 UT WOS:000275834800006 ER PT J AU Starr, MA AF Starr, Martha A. BE Davis, JB Dolfsma, W TI Saving, stock market investments and pension systems SO ELGAR COMPANION TO SOCIAL ECONOMICS SE Elgar Original Reference LA English DT Article; Book Chapter ID UNITED-STATES; INCOME; INEQUALITY; ECONOMY; WANTS C1 [Starr, Martha A.] Fed Reserve Board Governors, Washington, DC USA. NR 96 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 978-1-84542-280-6 J9 ELGAR ORIG REF PY 2008 BP 447 EP 462 PG 16 WC Business; Economics SC Business & Economics GA BZH60 UT WOS:000301644500027 ER PT J AU Brown, SPA Yucel, MK AF Brown, Stephen P. A. Yuecel, Mine K. TI What drives natural gas prices? SO ENERGY JOURNAL LA English DT Article; Proceedings Paper CT 26th North American Conference of the IAEE/USAEE CY SEP, 2006 CL Ann Arbor, MI SP IAEE, USAEE ID COINTEGRATION TESTS; ENERGY PRICES; UNITED-STATES; MARKET; ELECTRICITY; OIL AB For many years, fuel switching between natural gas and residual fuel oil kept natural gas prices closely aligned with those for crude oil. More recently, however, the number of U.S. facilities able to switch between natural gas and residual fuel oil has declined, and over the past seven years, U.S. natural gas prices have been on an upward trend with crude oil prices but with considerable independent movement. Natural gas market analysts generally emphasize weather and inventories as drivers of natural gas prices. Using an error-correction model, we show that when these and other additional factors are taken into account, movements in crude oil prices have a prominent role in shaping natural gas prices. Our findings imply a continuum of prices at which natural gas and petroleum products are substitutes. C1 [Brown, Stephen P. A.; Yuecel, Mine K.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. RP Brown, SPA (reprint author), Fed Reserve Bank Dallas, Res Dept, POB 655906, Dallas, TX 75265 USA. EM stephen.p.brown@dal.frb.org; mine.k.yucel@dal.frb.org NR 18 TC 40 Z9 41 U1 0 U2 13 PU INT ASSOC ENERGY ECONOMICS PI CLEVELAND PA 28790 CHAGRIN BLVD, STE 210, CLEVELAND, OH 44122 USA SN 0195-6574 J9 ENERG J JI Energy J. PY 2008 VL 29 IS 2 BP 45 EP 60 PG 16 WC Economics; Energy & Fuels; Environmental Studies SC Business & Economics; Energy & Fuels; Environmental Sciences & Ecology GA 282VE UT WOS:000254594500003 ER PT S AU Edmiston, KD AF Edmiston, Kelly D. BE Yago, G Barth, JR Zeidman, B TI Entrepreneurship in Low and Moderate Income Communities SO ENTREPRENEURSHIP IN EMERGING DOMESTIC MARKETS: BARRIERS AND INNOVATION SE Milken Institute Series on Financial Innovation and Economic Growth LA English DT Article; Book Chapter C1 Fed Reserve Bank Kansas City, Community Affairs Dept, Kansas City, MO 64198 USA. RP Edmiston, KD (reprint author), Fed Reserve Bank Kansas City, Community Affairs Dept, Kansas City, MO 64198 USA. EM kelly.edmiston@kc.frb.org NR 12 TC 1 Z9 1 U1 0 U2 0 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES SN 1571-4772 BN 978-0-387-72857-5 J9 MILKEN INST SER FINA PY 2008 VL 7 BP 1 EP 8 D2 10.1007/978-0-387-72857-5 PG 8 WC Business; Economics; Planning & Development SC Business & Economics; Public Administration GA BLN19 UT WOS:000270569500001 ER PT S AU Craig, BR Jackson, WE Thomson, JB AF Craig, Ben R. Jackson, William E. Thomson, James B. BE Yago, G Barth, JR Zeidman, B TI On Government Intervention in the Small-Firm Credit Market and Economic Performance SO ENTREPRENEURSHIP IN EMERGING DOMESTIC MARKETS: BARRIERS AND INNOVATION SE Milken Institute Series on Financial Innovation and Economic Growth LA English DT Article; Book Chapter ID SMALL-BUSINESS; LENDING RELATIONSHIPS; GROWTH; FINANCE; INFORMATION; ALLOCATION; ENTREPRENEURSHIP; AVAILABILITY; PRICE AB In this paper we empirically test whether the Small Business Administration's main guaranteed-lending program-the 7(a) program-has a greater impact on economic performance in low-income markets. This hypothesis is predicated on our previous research (Craig, Jackson, and Thomson, 2007b), where we investigate aggregate SBA guaranteed lending. In that research, we found that the overall impact of SBA-guaranteed lending on economic performance is significant and positive in low-income markets. Using local labor market employment rates as our measure of economic performance, we find a quantitatively similar positive impact of SBA 7(a)-guaranteed lending. This impact on economic performance is also significantly larger in low-income areas. This result suggests that the 7(a) program, which is the largest SBA guaranteed lending program, is also the main contributor to the positive impact of SBA-guaranteed lending on local market economic performance. C1 [Craig, Ben R.; Thomson, James B.] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH USA. [Jackson, William E.] Fed Reserve Bank Atlanta, Financial Grp, Res Dept, Atlanta, GA USA. [Jackson, William E.] Univ Alabama, Tuscaloosa, AL 35487 USA. RP Craig, BR (reprint author), Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH USA. EM ben.r.craig@clev.frb.org; william.jackson@atl.frb.org; jb.thomson@clev.frb.org NR 35 TC 1 Z9 1 U1 0 U2 1 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES SN 1571-4772 BN 978-0-387-72857-5 J9 MILKEN INST SER FINA PY 2008 VL 7 BP 47 EP 67 D2 10.1007/978-0-387-72857-5 PG 21 WC Business; Economics; Planning & Development SC Business & Economics; Public Administration GA BLN19 UT WOS:000270569500004 ER PT J AU De Silva, DG Dunne, T Kankanamge, A Kosmopoulou, G AF De Silva, Dakshina G. Dunne, Timothy Kankanamge, Anuruddha Kosmopoulou, Georgia TI The impact of public information on bidding in highway procurement auctions SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE information release; procurement auctions ID COMMON-VALUE AUCTIONS; WINNERS CURSE; RESERVE PRICES; PRIVATE; VALUES; COMPETITION; BEHAVIOR; EQUILIBRIUM; SECRET; BIDDER AB A number of papers in the theoretical auction literature show that the release of information regarding the seller's valuation of an item can cause bidders to bid more aggressively. This widely accepted result in auction theory remains largely untested in the empirical literature. Recent theoretical work has also shown that this effect can be more pronounced in auctions with larger common cost uncertainty. We examine the impact of a policy change by the Oklahoma Department of Transportation that led to the release of the state's internal estimate of the costs to complete highway construction projects. We perform a differences-in-differences analysis comparing bidding in Texas, a state that had a uniform policy of revealing the same information all throughout the period of analysis, to bidding in Oklahoma. Our results show that, in comparison to Texas auctions, the average bid in Oklahoma fell after the change in engineers' cost estimate (ECE) policy. This decline in bids was even larger for projects where the common uncertainty in costs is greater. Moreover, the within-auction standard deviation of bids fell after the change in ECE policy with the most significant decline observed again in projects with greater common cost uncertainty. (c) 2007 Elsevier B.V. All rights reserved. C1 [Kosmopoulou, Georgia] Univ Oklahoma, Norman, OK 73019 USA. [De Silva, Dakshina G.] Texas Tech Univ, Lubbock, TX 79409 USA. [Dunne, Timothy] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. Univ Peradeniya, Peradeniya, Sri Lanka. RP Kosmopoulou, G (reprint author), Univ Oklahoma, Norman, OK 73019 USA. EM georgiak@ou.edu NR 40 TC 23 Z9 24 U1 1 U2 9 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 JAN PY 2008 VL 52 IS 1 BP 150 EP 181 DI 10.1016/j.euroecorev.2007.07.003 PG 32 WC Economics SC Business & Economics GA 260VC UT WOS:000253037500008 ER PT J AU Tallman, EW Moen, JR AF Tallman, Ellis W. Moen, Jon R. TI Gold shocks, liquidity, and the United States Economy during the National Banking Era (vol 35, pg 381, 1998) SO EXPLORATIONS IN ECONOMIC HISTORY LA English DT Correction DE gold; gold shocks; National Banking Era AB This note draws attention to an important data error that is at the center of our paper "Gold Shocks, Liquidity, and the United States Economy during the National Banking Era" (this journal 1998). The gold stock series we used was compiled from the annual reports of the US Treasury, which contains a large drop between May and June, 1907. This drop was an error. We redo our original statistical work with a revised series. Our results are robust to the new gold stock series. (C) 2007 Elsevier Inc. All rights reserved. C1 [Moen, Jon R.] Univ Mississippi, Dept Econ, University, MS 38677 USA. [Tallman, Ellis W.] Res Dept, Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Moen, JR (reprint author), Univ Mississippi, Dept Econ, University, MS 38677 USA. EM ellis.tallman@atl.frb.org; jmoen@olemiss.edu NR 9 TC 0 Z9 0 U1 0 U2 0 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0014-4983 J9 EXPLOR ECON HIST JI Explor. Econ. Hist. PD JAN PY 2008 VL 45 IS 1 BP 100 EP 105 DI 10.1016/j.eeh.2007.06.004 PG 6 WC Economics; History Of Social Sciences SC Business & Economics; Social Sciences - Other Topics GA 254HY UT WOS:000252578900006 ER PT J AU Poole, W AF Poole, William TI Thinking like a central banker SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Conference of Market-News-International CY SEP 28, 2007 CL New York, NY SP Market News Int C1 Fed Reserve Bank, St Louis, MO 63106 USA. RP Poole, W (reprint author), Fed Reserve Bank, St Louis, MO 63106 USA. NR 2 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 JAN-FEB PY 2008 VL 90 IS 1 BP 1 EP 7 PG 7 WC Business, Finance; Economics SC Business & Economics GA 253PL UT WOS:000252530000001 ER PT J AU Sengupta, R Aubuchon, CP AF Sengupta, Rajdeep Aubuchon, Craig P. TI The microfinance revolution: An overview SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID JOINT LIABILITY; CREDIT PROGRAMS; UNITED-STATES; BANGLADESH; POVERTY; GENDER AB The Nobel Prize committee awarded the 2006 Nobel Peace Prize to Muhammad Yunus and the Grameen Bank "for their efforts to create economic and social development from below." The microfinance revolution has come a long way since Yunus first provided financing to the poor in Bangladesh. The committee has recognized microfinance as "an important liberating force" and an "ever more important instrument in the struggle against poverty." Although several authors have provided comprehensive surveys of microfinance, our aim is somewhat more modest: This article is intended as a non-technical overview on the growth and development of microcredit and microfinance. C1 [Sengupta, Rajdeep; Aubuchon, Craig P.] Fed Reserve Bank, St Louis, MO 63106 USA. RP Sengupta, R (reprint author), Fed Reserve Bank, St Louis, MO 63106 USA. NR 35 TC 22 Z9 23 U1 1 U2 24 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 2008 VL 90 IS 1 BP 9 EP 30 PG 22 WC Business, Finance; Economics SC Business & Economics GA 253PL UT WOS:000252530000002 ER PT J AU McDonald, DJ Thornton, DL AF McDonald, Daniel J. Thornton, Daniel L. TI A primer on the mortgage market and mortgage finance SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB This article is a primer on mortgage finance. It discusses the basics of the mortgage market and mortgage finance. In so doing, it provides useful information that can aid individuals in making better mortgage finance decisions. The discussion and the tools are presented within the context of mortgage finance; however, these same principles and tools can be applied to a wide range of financial decisions. C1 [McDonald, Daniel J.; Thornton, Daniel L.] Fed Reserve Bank, St Louis, MO 63106 USA. RP McDonald, DJ (reprint author), Fed Reserve Bank, St Louis, MO 63106 USA. NR 5 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 JAN-FEB PY 2008 VL 90 IS 1 BP 31 EP 45 PG 15 WC Business, Finance; Economics SC Business & Economics GA 253PL UT WOS:000252530000003 ER PT J AU DiCecio, R Engemann, KM Owyang, MT Wheeler, CH AF DiCecio, Riccardo Engemann, Kristie M. Owyang, Michael T. Wheeler, Christopher H. TI Changing trends in the labor force: A survey SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PARTICIPATION; MARKET; PROJECTIONS; DECLINE; MOTHERS; FAMILY AB The composition of the American workforce has changed dramatically over the past half century as a result of both the emergence of married women as a substantial component of the labor force and an increase in the number of minority workers. The aging of the population has contributed to this change as well. In this paper, the authors review the evidence of changing labor force participation rates, estimate the trends in labor force participation over the past 50 years, and find that aggregate participation has stabilized after a period of persistent increases. Moreover, they examine the disparate labor force participation experiences of different demographic groups. Finally, they survey some of the studies that have provided explanations for these differences. C1 [DiCecio, Riccardo; Engemann, Kristie M.; Owyang, Michael T.; Wheeler, Christopher H.] Fed Reserve Bank, Senior Res Associate, St Louis, MO 63106 USA. RP DiCecio, R (reprint author), Fed Reserve Bank, Senior Res Associate, St Louis, MO 63106 USA. RI Owyang, Michael/I-5750-2016; DiCecio, Riccardo/K-6861-2016 OI Owyang, Michael/0000-0002-2109-3432; DiCecio, Riccardo/0000-0002-3288-8396 NR 32 TC 10 Z9 10 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 JAN-FEB PY 2008 VL 90 IS 1 BP 47 EP 62 PG 16 WC Business, Finance; Economics SC Business & Economics GA 253PL UT WOS:000252530000004 ER PT J AU Garcia, GGH AF Garcia, Gillian G. H. BE Bliss, RR Kaufman, GG TI The Political Economy of Burden Sharing and Prompt Corrective Action SO FINANCIAL INSTITUTIONS AND MARKETS: CURRENT ISSUES IN FINANCIAL MARKETS LA English DT Article; Book Chapter C1 [Garcia, Gillian G. H.] Univ Calif Berkeley, Berkeley, CA 94720 USA. [Garcia, Gillian G. H.] Fed Reserve Bank Chicago, Chicago, IL USA. [Garcia, Gillian G. H.] Int Monetary Fund, Washington, DC 20431 USA. RP Garcia, GGH (reprint author), Univ Calif Berkeley, Berkeley, CA 94720 USA. NR 43 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-61714-8 PY 2008 BP 97 EP 125 D2 10.1057/9780230617148 PG 29 WC Business, Finance SC Business & Economics GA BRO92 UT WOS:000283301500004 ER PT J AU Rosenblum, H Cote, NY AF Rosenblum, Harvey Cote, Nicole Y. BE Bliss, RR Kaufman, GG TI The Trimmed Mean PCE Inflation Rate: A Better Measure of Core Inflation SO FINANCIAL INSTITUTIONS AND MARKETS: CURRENT ISSUES IN FINANCIAL MARKETS LA English DT Article; Book Chapter C1 [Rosenblum, Harvey] Fed Reserve Bank Dallas, Dallas, TX USA. [Cote, Nicole Y.] Boston Fed, Boston, MA USA. [Cote, Nicole Y.] Dallas Fed, Dallas, TX USA. NR 7 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-61714-8 PY 2008 BP 153 EP 161 D2 10.1057/9780230617148 PG 9 WC Business, Finance SC Business & Economics GA BRO92 UT WOS:000283301500006 ER PT J AU DeYoung, R Phillips, RJ AF DeYoung, Robert Phillips, Ronnie J. BE Bliss, RR Kaufman, GG TI Payday Lending and Payments Services: A Historical and Modern Analysis SO FINANCIAL INSTITUTIONS AND MARKETS: CURRENT ISSUES IN FINANCIAL MARKETS LA English DT Article; Book Chapter C1 [DeYoung, Robert] Univ Kansas, Sch Business, Lawrence, KS 66045 USA. [Phillips, Ronnie J.] Networks Financial Inst, Indianapolis, IN USA. [Phillips, Ronnie J.] Colorado State Univ, Ft Collins, CO 80523 USA. RP DeYoung, R (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO USA. NR 8 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-61714-8 PY 2008 BP 163 EP 179 D2 10.1057/9780230617148 PG 17 WC Business, Finance SC Business & Economics GA BRO92 UT WOS:000283301500007 ER PT S AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. BE Rapach, DE Wohar, ME TI Forecasting with Small Macroeconomic VARs in the Presence of Instabilities SO FORECASTING IN THE PRESENCE OF STRUCTURAL BREAKS AND MODEL UNCERTAINTY SE Frontiers of Economics and Globalization LA English DT Article; Book Chapter DE Real-time data; prediction; structural change ID MONETARY-POLICY MODELS; REAL-TIME DATA; STRUCTURAL-CHANGE; VECTOR AUTOREGRESSIONS; INFLATION-FORECASTS; PREDICTIVE ABILITY; INTEREST-RATES; TERM STRUCTURE; CHANGE-POINT; OUTPUT GAP AB Small-scale VARs are widely used in macroeconomics for forecasting US output, prices, and interest rates. However, recent work suggests these models may exhibit instabilities. As such, a variety of estimation or forecasting methods might be used to improve their forecast accuracy. These include using different observation windows for estimation, intercept correction, time-varying parameters, break dating, Bayesian shrinkage, model averaging, etc. This paper compares the effectiveness of such methods in real-time forecasting. We use forecasts from univariate time series models, the Survey of Professional Forecasters, and the Federal Reserve Board's Greenbook as benchmarks. C1 [Clark, Todd E.] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. [McCracken, Michael W.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 925 Grand, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org; michael.w.mccracken@frb.gov NR 79 TC 9 Z9 9 U1 1 U2 1 PU EMERALD GROUP PUBLISHING LIMITED PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 1574-8715 BN 978-0-444-52942-8 J9 FRONT ECON GLOBAL PY 2008 VL 3 BP 93 EP 147 DI 10.1016/S1574-8715(07)00203-5 PG 55 WC Economics SC Business & Economics GA BLU93 UT WOS:000271113200004 ER PT S AU Guidolin, M Na, CF AF Guidolin, Massimo Na, Carrie Fangzhou BE Rapach, DE Wohar, ME TI The Economic and Statistical Value of Forecast Combinations Under Regime Switching: An Application to Predictable US Returns SO FORECASTING IN THE PRESENCE OF STRUCTURAL BREAKS AND MODEL UNCERTAINTY SE Frontiers of Economics and Globalization LA English DT Article; Book Chapter DE Forecast combination; predictability; multivariate regime switching; portfolio performance ID INTEREST-RATES; COMBINING FORECASTS; TERM STRUCTURE; TIME-SERIES; DENSITY FORECASTS; ASSET ALLOCATION; RISK-MANAGEMENT; STOCK RETURNS; BOND RETURNS; MODELS AB We address an interesting case - the predictability of excess US asset returns from macroeconomic factors within a flexible regime-switching VAR framework - in which the presence of regimes may lead to superior forecasting performance from forecast combinations. After documenting that forecast combinations provide gains in predictive accuracy and that these gains are statistically significant, we show that forecast combinations may substantially improve portfolio selection. We find that the best-performing forecast combinations are those that either avoid estimating the pooling weights or that minimize the need for estimation. In practice, we report that the best-performing combination schemes are based on the principle of relative past forecasting performance. The economic gains from combining forecasts in portfolio management applications appear to be large, stable over time, and robust to the introduction of realistic transaction costs. C1 [Guidolin, Massimo] Univ Manchester, Sch Business, Manchester M13 9PL, Lancs, England. [Guidolin, Massimo] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Na, Carrie Fangzhou] Fannie Mae, Washington, DC 20016 USA. RP Guidolin, M (reprint author), Univ Manchester, Sch Business, MBS Crawford House,Booth St E, Manchester M13 9PL, Lancs, England. EM massimo.guidolin@mbs.ac.uk NR 67 TC 3 Z9 3 U1 1 U2 1 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 1574-8715 BN 978-0-444-52942-8 J9 FRONT ECON GLOBAL PY 2008 VL 3 BP 595 EP 655 DI 10.1016/S1574-8715(07)00216-3 PG 61 WC Economics SC Business & Economics GA BLU93 UT WOS:000271113200017 ER PT J AU Lacker, J AF Lacker, Jeffrey BE Haldane, AG Millard, S Saporta, V TI Payment economics and the role of central banks SO FUTURE OF PAYMENT SYSTEMS SE Routledge International Studies in Money and Banking LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Lacker, J (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. NR 7 TC 1 Z9 1 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-94014-3 J9 ROUTL INT STUD MONEY PY 2008 VL 43 BP 68 EP 72 PG 5 WC Business; Business, Finance; Economics SC Business & Economics GA BOT46 UT WOS:000277527000006 ER PT J AU McAndrews, J AF McAndrews, James BE Haldane, AG Millard, S Saporta, V TI The microstructure of money SO FUTURE OF PAYMENT SYSTEMS SE Routledge International Studies in Money and Banking LA English DT Article; Book Chapter ID FEDERAL-FUNDS; DEALER MARKETS; LIQUIDITY; SETTLEMENT; GROSS; RISK C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY USA. RP McAndrews, J (reprint author), Fed Reserve Bank New York, Res & Stat Grp, New York, NY USA. NR 36 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-94014-3 J9 ROUTL INT STUD MONEY PY 2008 VL 43 BP 100 EP 115 PG 16 WC Business; Business, Finance; Economics SC Business & Economics GA BOT46 UT WOS:000277527000009 ER PT J AU Speight, G Willison, M Bech, M Yang, J AF Speight, George Willison, Matthew Bech, Morten Yang, Jing BE Haldane, AG Millard, S Saporta, V TI Central banks' interest calculating conventions Deviating from the intraday/overnight status quo SO FUTURE OF PAYMENT SYSTEMS SE Routledge International Studies in Money and Banking LA English DT Article; Book Chapter ID INTRADAY LIQUIDITY; GROSS SETTLEMENT; PAYMENTS C1 [Speight, George; Willison, Matthew] Bank England, Syst Risk Reduct Div, London, England. [Yang, Jing] Bank England, Int Finance Div, London, England. [Bech, Morten] Fed Reserve Bank New York, New York, NY USA. RP Speight, G (reprint author), Bank England, Syst Risk Reduct Div, London, England. NR 16 TC 2 Z9 2 U1 0 U2 0 PU ROUTLEDGE PI ABINGDON PA 2 PARK SQ, MILTON PARK, ABINGDON OX14 4RN, OXFORD, ENGLAND BN 978-0-203-94014-3 J9 ROUTL INT STUD MONEY PY 2008 VL 43 BP 160 EP 174 PG 15 WC Business; Business, Finance; Economics SC Business & Economics GA BOT46 UT WOS:000277527000012 ER PT J AU Bech, ML AF Bech, Morten L. BE Haldane, AG Millard, S Saporta, V TI The diffusion of real-time gross settlement SO FUTURE OF PAYMENT SYSTEMS SE Routledge International Studies in Money and Banking LA English DT Article; Book Chapter C1 [Bech, Morten L.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Bech, ML (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 17 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-94014-3 J9 ROUTL INT STUD MONEY PY 2008 VL 43 BP 189 EP 205 PG 17 WC Business; Business, Finance; Economics SC Business & Economics GA BOT46 UT WOS:000277527000014 ER PT J AU Gup, BE AF Gup, Benton E. BE Gup, BE TI Introduction to financial institutions SO HANDBOOK FOR DIRECTORS OF FINANCIAL INSTITUTIONS LA English DT Editorial Material; Book Chapter C1 [Gup, Benton E.] Univ Alabama, Tuscaloosa, AL 35487 USA. [Gup, Benton E.] Univ Tulsa, Tulsa, OK 74104 USA. [Gup, Benton E.] Univ Virginia, Charlottesville, VA 22903 USA. [Gup, Benton E.] Fed Reserve Bank Cleveland, Cleveland, OH USA. NR 27 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 978-1-84720-469-1 PY 2008 BP 1 EP 17 PG 17 WC Business, Finance; Economics SC Business & Economics GA BZD77 UT WOS:000301193300002 ER PT J AU Gup, BE AF Gup, Benton E. BE Gup, BE TI Handbook for Directors of Financial Institutions Preface SO HANDBOOK FOR DIRECTORS OF FINANCIAL INSTITUTIONS LA English DT Editorial Material; Book Chapter C1 [Gup, Benton E.] Univ Alabama, Tuscaloosa, AL 35487 USA. [Gup, Benton E.] Univ Tulsa, Tulsa, OK 74104 USA. [Gup, Benton E.] Univ Virginia, Charlottesville, VA 22903 USA. [Gup, Benton E.] Fed Reserve Bank Cleveland, Cleveland, OH USA. NR 0 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 978-1-84720-469-1 PY 2008 BP VI EP VI PG 1 WC Business, Finance; Economics SC Business & Economics GA BZD77 UT WOS:000301193300001 ER PT J AU Gup, BE AF Gup, Benton E. BE Gup, BE TI Forces of change SO HANDBOOK FOR DIRECTORS OF FINANCIAL INSTITUTIONS LA English DT Article; Book Chapter C1 [Gup, Benton E.] Univ Alabama, Tuscaloosa, AL 35487 USA. [Gup, Benton E.] Univ Tulsa, Tulsa, OK 74104 USA. [Gup, Benton E.] Univ Virginia, Charlottesville, VA 22903 USA. [Gup, Benton E.] Fed Reserve Bank Cleveland, Cleveland, OH USA. NR 28 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 978-1-84720-469-1 PY 2008 BP 18 EP 32 PG 15 WC Business, Finance; Economics SC Business & Economics GA BZD77 UT WOS:000301193300003 ER PT J AU Lemieux, C VanBever, S AF Lemieux, Cathy VanBever, Steven BE Gup, BE TI Improving director oversight of compliance: a bank regulator's view SO HANDBOOK FOR DIRECTORS OF FINANCIAL INSTITUTIONS LA English DT Article; Book Chapter C1 [Lemieux, Cathy; VanBever, Steven] Fed Reserve Bank Chicago, Chicago, IL USA. RP Lemieux, C (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 32 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 978-1-84720-469-1 PY 2008 BP 44 EP 61 PG 18 WC Business, Finance; Economics SC Business & Economics GA BZD77 UT WOS:000301193300005 ER PT J AU Gup, BE Bickelhaupt, DL Burling, I AF Gup, Benton E. Bickelhaupt, David L. Burling, Irv BE Gup, BE TI Advice for new directors SO HANDBOOK FOR DIRECTORS OF FINANCIAL INSTITUTIONS LA English DT Article; Book Chapter C1 [Gup, Benton E.] Univ Alabama, Tuscaloosa, AL 35487 USA. [Gup, Benton E.] Univ Tulsa, Tulsa, OK 74104 USA. [Gup, Benton E.] Univ Virginia, Charlottesville, VA 22903 USA. [Gup, Benton E.] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Bickelhaupt, David L.] Ohio State Univ, Columbus, OH 43210 USA. [Bickelhaupt, David L.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. [Bickelhaupt, David L.] Skidmore Coll, Saratoga Springs, NY USA. [Bickelhaupt, David L.] Georgia State Univ, Atlanta, GA 30303 USA. [Bickelhaupt, David L.] Univ Arizona, Tucson, AZ 85721 USA. [Burling, Irv] Wartburg Coll, Waverly, IA USA. [Burling, Irv] Wartburg Seminary, Waverly, IA USA. NR 5 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 978-1-84720-469-1 PY 2008 BP 119 EP 133 PG 15 WC Business, Finance; Economics SC Business & Economics GA BZD77 UT WOS:000301193300009 ER PT S AU Berlin, M AF Berlin, Mitchell BE Thakor, AV Boot, AWA TI Financial Intermediary Structure SO HANDBOOK OF FINANCIAL INTERMEDIATION AND BANKING SE Handbooks in Finance LA English DT Article; Book Chapter ID SYNDICATED LOANS; DEBT; INFORMATION; INCENTIVES; MARKETS C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. RP Berlin, M (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. NR 22 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1568-4997 BN 978-0-08-055992-6 J9 HANDB FINANC PY 2008 BP 97 EP 106 DI 10.1016/B978-044451558-2.50008-8 PG 10 WC Business, Finance SC Business & Economics GA BEL21 UT WOS:000317184700007 ER PT S AU Mester, LJ AF Mester, Loretta J. BE Thakor, AV Boot, AWA TI Optimal Industrial Structure in Banking SO HANDBOOK OF FINANCIAL INTERMEDIATION AND BANKING SE Handbooks in Finance LA English DT Article; Book Chapter ID EXPENSE-PREFERENCE BEHAVIOR; FINANCIAL INSTITUTIONS; SCALE ECONOMIES; PROFIT FUNCTION; US BANKING; EFFICIENCY; CONSOLIDATION; PROFITABILITY; ACQUISITIONS; DEREGULATION C1 [Mester, Loretta J.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Mester, Loretta J.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Mester, LJ (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 38 TC 9 Z9 9 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1568-4997 BN 978-0-08-055992-6 J9 HANDB FINANC PY 2008 BP 133 EP 162 DI 10.1016/B978-044451558-2.50010-6 PG 30 WC Business, Finance SC Business & Economics GA BEL21 UT WOS:000317184700009 ER PT S AU Mehra, R Prescott, EC AF Mehra, Rajnish Prescott, Edward C. BE Mehra, R TI Non-Risk-based Explanations of the Equity Premium SO HANDBOOK OF THE EQUITY RISK PREMIUM SE Handbooks in Finance LA English DT Article; Book Chapter DE asset pricing; equity risk premium; liquidity; risk free rate; transaction balances; government regulations; taxes; agent heterogeneity; intermediation costs ID RETURNS; PUZZLE C1 [Mehra, Rajnish] Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. [Mehra, Rajnish] NBER, Cambridge, MA 02138 USA. [Prescott, Edward C.] Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. [Prescott, Edward C.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Mehra, R (reprint author), Univ Calif Santa Barbara, Dept Econ, 3014 North Hall, Santa Barbara, CA 93106 USA. NR 17 TC 1 Z9 1 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA SARA BURGERHARTSTRAAT 25, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1568-4997 BN 978-0-08-055585-0; 978-0-444-50899-7 J9 HANDB FINANC PY 2008 BP 101 EP 115 DI 10.1016/B978-044450899-7.50006-3 PG 15 WC Business, Finance SC Business & Economics GA BEO59 UT WOS:000317588900005 ER PT S AU Lai, ELC AF Lai, Edwin L. -C. BE Maskus, KE TI The Theory of International Policy Coordination in the Protection of Ideas SO INTELLECTUAL PROPERTY, GROWTH AND TRADE SE Frontiers of Economics and Globalization LA English DT Article; Book Chapter DE Intellectual property rights; patent; policy coordination; TRIPS ID INTELLECTUAL PROPERTY-RIGHTS; NORTH-SOUTH TRADE; DEVELOPING-COUNTRIES; INNOVATION; INVESTMENT; COSTS; SALE AB In this chapter I put forward a framework to help us understand the underlying sources of national policy failures regarding intellectual property rights (IPR) protection, the need for international coordination, and how the coordination should be done. I also analyze whether global harmonization of IPR standards is necessary or sufficient for achieving globally welfare-maximizing policies. Then I move on to analyze the Agreement on Trade-Related Aspects of Intellectual Property Rights (TRIPS), which is a mighty effort to coordinate IPR policies across member countries of the World Trade Organization (WTO). I discuss what TRIPS was supposed to do and what it has actually achieved, with reference to my theoretical framework. I explain that it is desirable for IPR to be included in world trade talks and be negotiated along with other trade issues. I offer analyses on the extensions of the basic model by introducing political economy and trade barriers, as well as allowing countries to discriminate against foreign firms. Finally, I comment on further potential extensions such as introduction of foreign direct investment (FDI) or licensing, parallel imports, cumulative innovations, subject matter of protection and costs of implementation. The main thrust of the basic model is that, provided that there is free trade and non-discrimination of foreign firms, there exist positive cross-border externalities as a country strengthens its IPR protection, since it raises the profits of foreign firms and the welfare of foreign consumers without causing any deadweight loss on foreign soil. This implies that national governments tend to provide too little IPR protection compared with the global optimum. The model also implies that a country with higher innovative capability and larger domestic market would provide stronger IPR. Thus, it is natural for the South to protect IPR less than the North in the absence of international coordination. These basic results largely continue to hold under various extensions. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Lai, ELC (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM edwin.lai@cityu.edu.hk OI Lai, Edwin/0000-0002-1188-4855 NR 43 TC 1 Z9 1 U1 0 U2 3 PU EMERALD GROUP PUBLISHING LIMITED PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 1574-8715 BN 978-0-444-52764-6 J9 FRONT ECON GLOBAL PY 2008 VL 2 BP 357 EP 389 DI 10.1016/S1574-8715(07)00011-5 PG 33 WC Economics; Law SC Business & Economics; Government & Law GA BLU98 UT WOS:000271115600011 ER PT J AU Ergungor, OE AF Ergungor, O. Emre TI Financial system structure and economic growth: Structure matters SO INTERNATIONAL REVIEW OF ECONOMICS & FINANCE LA English DT Article DE economic growth; judicial flexibility; banks; stock market; financial development ID STOCK MARKETS; LAW; COURTS; BANKS AB This paper investigates how the structure of a financial system-whether it is bank or market-oriented-affects economic growth. In contrast to earlier research, which indicates that the financial system's structure is irrelevant for growth, I find that there is a nonlinear (contingent) relationship between growth and financial structure, Countries that have an inflexible judicial system grow faster when they have a more bank-oriented financial system. (C) 2006 Elsevier Inc. All rights reserved. C1 [Ergungor, O. Emre] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Ergungor, OE (reprint author), Res Dept, POB 6387, Cleveland, OH 44101 USA. EM ozgur.e.ergungor@clev.fbr.org NR 35 TC 17 Z9 19 U1 1 U2 9 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. PY 2008 VL 17 IS 2 BP 292 EP 305 DI 10.1016/j.iref.2006.09.001 PG 14 WC Business, Finance; Economics SC Business & Economics GA 344VF UT WOS:000258954700010 ER PT J AU Ennis, HM AF Ennis, Huberto M. TI Search, money, and inflation under private information SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE random matching; demand for money; welfare ID SIGNALING GAMES; EQUILIBRIUM; EXCHANGE; WELFARE; PRICES; POLICY AB I study monetary exchange and inflation when buyers have private information about their willingness to pay for certain goods. Introducing imperfect information in the Lagos-Wright [A unified framework for monetary theory and policy analysis, J. Polit. Economy 113(3) (2005) 463-484] economy shows that the existence of monetary equilibrium is a more robust feature of the environment. In general, my model has a monetary steady state in which only a proportion of the agents hold money. Agents who do not hold money cannot participate in trade in the decentralized market. The proportion of agents holding money is endogenous and depends (negatively) on the level of expected inflation. As in Lagos and Wright's model, in equilibrium there is a positive welfare cost of expected inflation, but the origins of this cost are very different. (C) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM huberto.ennis@rich.frb.org NR 27 TC 11 Z9 11 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 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD JAN PY 2008 VL 138 IS 1 BP 101 EP 131 DI 10.1016/j.jet.2007.01.016 PG 31 WC Economics SC Business & Economics GA 259YT UT WOS:000252977500005 ER PT J AU Berger, AN Klapper, LF Peria, MSM Zaidi, R AF Berger, Allen N. Klapper, Leora F. Peria, Maria Soledad Martinez Zaidi, Rida TI Bank ownership type and banking relationships SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article; Proceedings Paper CT Conference on Bank Relationships, Credit Extension and the Macroeconomy CY JUN, 2005 CL Berlin, GERMANY SP German Inst Econ Res, Fed Reserve Bank Phila DE banks; government policies; international ID SMALL BUSINESS DATA; LENDING RELATIONSHIPS; INTERNATIONAL EVIDENCE; CORPORATE GOVERNANCE; CREDIT; INFORMATION; PERFORMANCE; COMPETITION; FOREIGN; FINANCE AB We formulate and test hypotheses about the role of bank ownership type-foreign, state-owned, and private domestic banks-in banking relationships. Our application uses data from India, an important developing nation. The empirical results are consistent with all of our hypotheses with regard to foreign banks. First, these banks tend to establish relationships with relatively transparent firms. Second, firms that have relationships with foreign banks are more likely to enter into multiple banking relationships and to maintain a larger number of such relationships. Finally, firms banking with foreign banks are more likely than others to diversify relationships across bank ownership types. The data are also consistent with the hypotheses that firms with relationships with state-owned banks are relatively unlikely to maintain multiple banking relationships, tend to interact with a smaller number of banks, and less often diversify across ownership types. (C) 2006 Elsevier Inc. All rights reserved. C1 [Berger, Allen N.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Berger, Allen N.] Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. [Klapper, Leora F.; Peria, Maria Soledad Martinez] World Bank, Dev Res Grp, Washington, DC 20433 USA. [Zaidi, Rida] Univ Cambridge Wolfson Coll, Cambridge CB3 9BB, England. RP Berger, AN (reprint author), Mail Stop 153,Fed Reserve Board,20th & C St, Washington, DC 20551 USA. EM aberger@frb.gov; lklapper@worldbank.org; mmartinezperia@worldbank.org; rz213@hermes.cam.ac.uk NR 67 TC 48 Z9 48 U1 1 U2 16 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 JAN PY 2008 VL 17 IS 1 BP 37 EP 62 DI 10.1016/j.jfi.2006.11.001 PG 26 WC Business, Finance SC Business & Economics GA 245CQ UT WOS:000251912700003 ER PT J AU Elul, R AF Elul, Ronel TI Collateral, credit history, and the financial decelerator SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article; Proceedings Paper CT Conference on Bank Relationships, Credit Extension and the Macroeconomy CY JUN, 2005 CL Berlin, GERMANY SP German Inst Econ Res, Fed Reserve Bank Phila DE financial accelerator; default; collateral; credit history ID HOUSING-MARKET; MODEL; FLUCTUATIONS; EQUILIBRIUM; INFORMATION; CONTRACTS; DEFAULT; LAWS AB We develop a simple model of the housing market in which financial imperfections can serve to stabilize aggregate fluctuations, and not necessarily aggravate them as in much of the previous literature; we term this a financial decelerator. Stabilization can occur in our model because lenders are imperfectly informed as to borrowers' propensity to default. As a result, it is too costly for lenders to impose borrowing constraints that guarantee repayment in every possible eventuality. This allows some borrowers to default when house prices are low, thereby leaving them with more wealth. This then serves as an endogenous stabilizing force. Published by Elsevier Inc. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Elul, R (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM ronel.elul@phil.frb.org NR 34 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 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JAN PY 2008 VL 17 IS 1 BP 63 EP 88 DI 10.1016/j.jfi.2007.07.001 PG 26 WC Business, Finance SC Business & Economics GA 245CQ UT WOS:000251912700004 ER PT J AU Arteta, C Hale, G AF Arteta, Carlos Hale, Galina TI Sovereign debt crises and credit to the private sector SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE sovereign debt; debt crisis; credit rationing; credit constraints; international capital flows ID CAPITAL CONTROLS; INTEREST-RATES; FUNDAMENTALS; COUNTRIES; MARKETS; LOANS AB We use micro-level data to analyze emerging markets' private sector access to international debt markets during sovereign debt crises. We find that these crises are systematically accompanied by a decline in foreign credit to domestic private firms, both during debt renegotiations and for over two years after restructuring agreements are reached. This decline is large, statistically significant, and robust. We find that this effect is concentrated in the non-financial sector and is different for firms in the exporting and in the non-exporting sectors. We also find that the magnitude of the effect depends on the type of debt restructuring agreement. (C) 2007 Elsevier B.V All rights reserved. C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Arteta, Carlos] Fed Reserve Syst, Board Governors, Div Int Finance, Fed Reserve Board, Washington, DC 20551 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM galina.b.hale@sffrb.org OI Hale, Galina/0000-0002-5604-9730 NR 47 TC 44 Z9 44 U1 2 U2 16 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 2008 VL 74 IS 1 BP 53 EP 69 DI 10.1016/j.jinteco.2007.05.008 PG 17 WC Economics SC Business & Economics GA 268BB UT WOS:000253551800005 ER PT J AU Bandyopadhyay, S Wall, HJ AF Bandyopadhyay, Subhayu Wall, Howard J. TI Is there too little immigration? An analysis of temporary skilled migration SO JOURNAL OF INTERNATIONAL TRADE & ECONOMIC DEVELOPMENT LA English DT Article DE skilled immigration; optimal immigration; capital mobility; externalities; public goods; assimilation costs ID ILLEGAL IMMIGRATION; WELFARE; IMPACT; TAXES; TRADE AB This paper presents a model of legal migration of temporary skilled workers from one source country to two host countries, both of which can control their levels of such immigration. Because of complementarities between capital and labor, the return on capital is positively related to the level of immigration. Consequently, when capital is immobile, host nations' optimal levels of immigration are positively related to their capital endowments. Further, when capital is mobile between the host nations, the common return on capital is a function of the levels of immigration in both countries, meaning that immigration is a public good. As a result, when immigration imposes costs on host countries, the Nash equilibrium results in free riding and less immigration than would occur in the cooperative equilibrium. These results are qualitatively unaltered when capital mobility extends to the source nation. C1 [Bandyopadhyay, Subhayu; Wall, Howard J.] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. [Bandyopadhyay, Subhayu] IZA, Bonn, Germany. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. EM bandyopadhyay@stls.frb.org RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 16 TC 0 Z9 0 U1 0 U2 4 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0963-8199 J9 J INT TRADE ECON DEV JI J. Int. Trade Econ. Dev. PY 2008 VL 17 IS 2 BP 197 EP 211 DI 10.1080/09638190701872616 PG 15 WC Economics SC Business & Economics GA 298LG UT WOS:000255688600002 ER PT J AU Grochulski, B AF Grochulski, Borys TI Comment on: "Optimal human capital policies" by Bohacek and Kapicka SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID INCOME TAXATION; LIFE-CYCLE; EARNINGS; INVESTMENT; RISK C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Grochulski, B (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM borys.grochulski@rich.frb.org NR 13 TC 0 Z9 0 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 JAN PY 2008 VL 55 IS 1 BP 17 EP 20 DI 10.1016/j.jmoneco.2007.11.001 PG 4 WC Business, Finance; Economics SC Business & Economics GA 288BM UT WOS:000254961200002 ER PT J AU Perri, F AF Perri, Fabrizio TI Comment on: "Optimal saving distortions with recursive preferences" by Emmanuel Fahri and Ivan Werning SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 [Perri, Fabrizio] Univ Minnesota, Fed Reserve Bank Minneapolis, NBER, Minneapolis, MN 55455 USA. RP Perri, F (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, NBER, Minneapolis, MN 55455 USA. EM fperri@umn.edu NR 8 TC 0 Z9 0 U1 0 U2 0 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 JAN PY 2008 VL 55 IS 1 BP 43 EP 47 DI 10.1016/j.jmoneco.2007.12.005 PG 5 WC Business, Finance; Economics SC Business & Economics GA 288BM UT WOS:000254961200004 ER PT J AU Glaeser, EL Kahn, ME Rappaport, J AF Glaeser, Edward L. Kahn, Matthew E. Rappaport, Jordan TI Why do the poor live in cities? The role of public transportation SO JOURNAL OF URBAN ECONOMICS LA English DT Article ID RESIDENTIAL LOCATION; SUBURBANIZATION; INCOME; TIME AB More than 19 percent of people in American central cities are poor. In suburbs, just 7.5 percent of people live in poverty. The income elasticity of demand for land is too low for urban poverty to come from wealthy individuals' wanting to live where land is cheap (the traditional explanation of urban poverty). A significant income elasticity for land exists only because the rich eschew apartment living, and that elasticity is still too low to explain the poor's urbanization. The urbanization of poverty comes mainly from better access to public transportation in central cities. (C) 2007 Elsevier Inc. All rights reserved. C1 [Kahn, Matthew E.] Tufts Univ, Medford, MA 02155 USA. [Glaeser, Edward L.] Harvard Univ, Cambridge, MA 02138 USA. [Glaeser, Edward L.] NBER, Cambridge, MA 02138 USA. [Kahn, Matthew E.] Univ Calif Los Angeles, Los Angeles, CA 90024 USA. [Rappaport, Jordan] Fed Reserve Bank Kansas City, Kansas City, MO USA. RP Kahn, ME (reprint author), Tufts Univ, Medford, MA 02155 USA. EM matt.kahn@tufts.edu RI Freeman, Lance/B-8774-2009 NR 35 TC 132 Z9 132 U1 7 U2 56 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD JAN PY 2008 VL 63 IS 1 BP 1 EP 24 DI 10.1016/j.jue.2006.12.004 PG 24 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 259YR UT WOS:000252977300001 ER PT J AU Davis, MA Palumbo, MG AF Davis, Morris A. Palumbo, Michael G. TI The price of residential land in large US cities SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE land prices; land values; housing prices; housing values; construction costs; replacement costs AB Combining data from several sources. we build a database of home values, the cost of housing structures, and residential land values for 46 large US metropolitan areas from 1984 to 2004. Our analysis of these new data reveal that since the mid-1980s residential land values have appreciated over a much wider range of cities than is commonly believed. And, since 1998, almost all large US cities have seen significant increases in real residential land prices. Averaging across the cities in our sample, by year-end 2004, the value of residential land accounted for about 50 percent of the total market value of housing, up from 32 percent in 1984. An implication of our results is that housing is much more land intensive than it used to be. meaning that the future course of home prices-the average rate of appreciation and volatility-is likely to be determined even more by demand factors than was the case even ten or twenty years ago. (C) 2007 Elsevier Inc. All rights reserved. C1 [Davis, Morris A.] Univ Wisconsin, Sch Business, Dept Real Estate & Urban Land Econ, Madison, WI 53706 USA. [Palumbo, Michael G.] Fed Reserve Board, Flow Funds Sect, Washington, DC 20551 USA. RP Davis, MA (reprint author), Univ Wisconsin, Sch Business, Dept Real Estate & Urban Land Econ, 975 Univ Ave, Madison, WI 53706 USA. EM mdavis@bus.wisc.edu; michael.g.palumho@frb.gov RI Palumbo, Michael/H-6212-2012 NR 17 TC 49 Z9 49 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD JAN PY 2008 VL 63 IS 1 BP 352 EP 384 DI 10.1016/j.jue.2007.02.003 PG 33 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 259YR UT WOS:000252977300018 ER PT J AU Hagstromer, B Anderson, RG Binner, JM Elger, T Nilsson, B AF Hagstroemer, Bjorn Anderson, Richard G. Binner, Jane M. Elger, Thomas Nilsson, Birger TI Mean-variance versus full-scale optimization: Broad evidence for the UK SO MANCHESTER SCHOOL LA English DT Article ID EXPECTED UTILITY; HIGHER MOMENTS; NORMALITY; TESTS AB Portfolio choice by full-scale optimization applies the empirical return distribution to a parameterized utility function, and the maximum is found through numerical optimization. Using a portfolio choice setting of three UK equity indices we identify several utility functions featuring loss aversion and prospect theory, under which full-scale optimization is a substantially better approach than the mean-variance approach. As the equity indices have return distributions with small deviations from normality, the findings indicate much broader usefulness of full-scale optimization than has earlier been shown. The results hold in- and out-of-sample, and the performance improvements are given in terms of utility as well as certainty equivalents. C1 [Hagstroemer, Bjorn; Binner, Jane M.] Aston Univ, Birmingham B4 7ET, W Midlands, England. [Anderson, Richard G.] Fed Reserve Bank, St Louis, MO USA. [Elger, Thomas; Nilsson, Birger] Lund Univ, S-22100 Lund, Sweden. RP Hagstromer, B (reprint author), Aston Univ, Birmingham B4 7ET, W Midlands, England. NR 26 TC 1 Z9 1 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1463-6786 J9 MANCH SCH JI Manch. Sch. PY 2008 VL 76 SU S BP 134 EP 156 DI 10.1111/j.1467-9957.2008.01084.x PG 23 WC Economics SC Business & Economics GA 345ZQ UT WOS:000259038600007 ER PT S AU Gertler, M AF Gertler, Mark BE Acemoglu, D Rogoff, K Woodford, M TI Aggregate Implications of Credit Market Imperfections Comment SO NBER MACROECONOMICS ANNUAL 2007 SE NBER Macroeconomics Annual LA English DT Editorial Material; Book Chapter ID BUSINESS FLUCTUATIONS; AGENCY COSTS; NET WORTH C1 [Gertler, Mark] NYU, New York, NY 10003 USA. [Gertler, Mark] Fed Reserve Bank New York, New York, NY USA. RP Gertler, M (reprint author), NYU, New York, NY 10003 USA. NR 6 TC 0 Z9 0 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00202-6 J9 NBER MACROECON ANNU PY 2008 VL 22 BP 61 EP 69 PG 9 WC Economics SC Business & Economics GA BJL77 UT WOS:000266772800002 ER PT S AU Fernandez-Villaverde, J Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. BE Acemoglu, D Rogoff, K Woodford, M TI How Structural Are Structural Parameters? SO NBER MACROECONOMICS ANNUAL 2007 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter ID US MONETARY-POLICY; DYNAMIC EQUILIBRIUM ECONOMIES; BUSINESS-CYCLE; VECTOR AUTOREGRESSIONS; TECHNOLOGICAL-CHANGE; BAYESIAN-APPROACH; TIME-SERIES; LONG-RUN; MODELS; INVESTMENT C1 [Fernandez-Villaverde, Jesus] Univ Penn, Philadelphia, PA 19104 USA. [Fernandez-Villaverde, Jesus] NBER, Cambridge, MA 02138 USA. [Rubio-Ramirez, Juan F.] Duke Univ, Durham, NC 27706 USA. [Rubio-Ramirez, Juan F.] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Philadelphia, PA 19104 USA. NR 84 TC 30 Z9 30 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00202-6 J9 NBER MACROECON ANNU PY 2008 VL 22 BP 83 EP 137 PG 55 WC Economics SC Business & Economics GA BJL77 UT WOS:000266772800005 ER PT S AU Kashyap, AK AF Kashyap, Anil K. BE Acemoglu, D Rogoff, K Woodford, M TI Cyclical Budgetary Policy and Economic Growth: What Do We Learn from OECD Panel Data? Comment SO NBER MACROECONOMICS ANNUAL 2007 SE NBER Macroeconomics Annual LA English DT Editorial Material; Book Chapter C1 [Kashyap, Anil K.] Univ Chicago, Grad Sch Business, Fed Reserve Bank Chicago, Chicago, IL 60637 USA. [Kashyap, Anil K.] NBER, Cambridge, MA 02138 USA. RP Kashyap, AK (reprint author), Univ Chicago, Grad Sch Business, Fed Reserve Bank Chicago, Chicago, IL 60637 USA. NR 5 TC 0 Z9 0 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00202-6 J9 NBER MACROECON ANNU PY 2008 VL 22 BP 287 EP 293 PG 7 WC Economics SC Business & Economics GA BJL77 UT WOS:000266772800015 ER PT J AU Ewig, C Kay, SJ AF Ewig, Christina Kay, Stephen J. BE Beland, D Gran, B TI New Political Legacies and the Politics of Health and Pension Re-reforms in Chile SO PUBLIC AND PRIVATE SOCIAL POLICY: HEALTH AND PENSION POLICIES IN A NEW ERA LA English DT Article; Book Chapter ID SOCIAL-SECURITY C1 [Ewig, Christina] Univ Wisconsin, Dept Gender & Womens Studies, Madison, WI 53706 USA. [Ewig, Christina] Univ Wisconsin, Dept Polit Sci, Madison, WI 53706 USA. [Kay, Stephen J.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. [Kay, Stephen J.] Fed Reserve Bank Atlanta, Amer Ctr, Atlanta, GA USA. RP Ewig, C (reprint author), Univ Wisconsin, Dept Gender & Womens Studies, Madison, WI 53706 USA. NR 38 TC 2 Z9 2 U1 0 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-23022-877-1 PY 2008 BP 249 EP 268 D2 10.1057/9780230228771 PG 20 WC Public Administration SC Public Administration GA BRN29 UT WOS:000283145300012 ER PT J AU Daly, M Krainer, J Lopez, JA AF Daly, Mary Krainer, John Lopez, Jose A. BE Chen, AH TI REGIONAL ECONOMIC CONDITIONS AND AGGREGATE BANK PERFORMANCE SO RESEARCH IN FINANCE, VOL 24 SE Research in Finance LA English DT Article; Book Chapter ID MONETARY-POLICY AB The idea that a bank's overall performance is influenced by the regional economy in which it operates is intuitive and broadly consistent with historical bank performance. Yet, micro-level research on the topic has borne mixed results, failing to find a consistent link between various measures of bank performance and regional economic variables. This chapter attempts to reconcile the intuition with the micro-level data by aggregating bank performance, as measured by nonperforming loans, up to the state level. This level of aggregation reduces the influence of idiosyncratic bank effects sufficiently so as to examine more clearly the influence of state-level economic variables. We show that regional variables, such as employment growth and changes in real estate prices, are not particularly useful for predicting changes in bank performance, but that coincident indicators developed to track a state's gross output are quite useful. We find that these coincident indicators have a statistically significant and economically important influence on state-level, aggregate bank performance. In addition, the coincident indicators potentially contribute to the out-of-sample forecasts of the relative riskiness of state-level bank portfolios, which should be of interest to bankers and bank supervisors. C1 [Daly, Mary; Krainer, John; Lopez, Jose A.] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. RP Daly, M (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. NR 18 TC 5 Z9 5 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LIMITED PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND BN 978-0-7623-1377-8 J9 RES FINANC PY 2008 VL 24 BP 103 EP 127 DI 10.1016/S0196-3821(07)00205-5 PG 25 WC Business, Finance SC Business & Economics GA BLR33 UT WOS:000270856400006 ER PT J AU Gowrisankaran, G Mitchell, MF Moro, A AF Gowrisankaran, Gautam Mitchell, Matthew F. Moro, Andrea TI Electoral design and voter welfare from the US Senate: Evidence from a dynamic selection model SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE term limits; incumbency advantage; elections; selection; tenure; senate ID CONGRESSIONAL ELECTIONS; INCUMBENCY ADVANTAGE; HOUSE AB Since 1914, the US Senate has been elected and incumbent senators allowed to run for reelection without limit. This differs from several other elected offices in the US, which impose term limits on incumbents. Term limits may harm the electorate if tenure is beneficial or if they force high quality candidates to retire but may also benefit the electorate if they cause higher quality candidates to run. We investigate how changes in electoral design affect voter utility by specifying and structurally estimating a dynamic model of voter decisions. We find that tenure effects for the US Senate are negative or small and that incumbents face weaker challengers than candidates running for open seats. Because of this, term limits can significantly increase voter welfare. (C) 2007 Elsevier Inc. All rights reserved. C1 [Moro, Andrea] Fed Reserve Bank New York, Microecon & Reg Studies Funct, New York, NY 10045 USA. [Gowrisankaran, Gautam] Univ Arizona, Dept Econ, Tucson, AZ 85721 USA. [Gowrisankaran, Gautam] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Mitchell, Matthew F.] Univ Toronto, Rotman Sch Management, Toronto, ON, Canada. RP Moro, A (reprint author), Fed Reserve Bank New York, Microecon & Reg Studies Funct, 33 Liberty St, New York, NY 10045 USA. EM ggowrisankaran@nber.org; matthew-mitchell@uiowa.edu; andrea@andreamoro.net OI Moro, Andrea/0000-0001-5570-8151 NR 26 TC 12 Z9 12 U1 0 U2 5 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 2008 VL 11 IS 1 BP 1 EP 17 DI 10.1016/j.red.2007.04.005 PG 17 WC Economics SC Business & Economics GA 260FJ UT WOS:000252995900001 ER PT J AU Bassetto, M AF Bassetto, Marco TI Political economy of taxation in an overlapping-generations economy SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE social security; bargaining; distortionary taxes ID WELFARE-STATE; POSITIVE THEORY; EQUILIBRIUM; EDUCATION; GROWTH; MODELS AB This paper analyzes the effects of intergenerational conflict on capital and labor income tax rates, transfers, and government spending in a model of multidimensional policy choice. The different nature of tax liabilities for the young and the old can explain why the old receive large gross lump-sum transfers through social security, while the young receive little or none. A natural link also emerges between the size of the government as a provider of public goods and the magnitude of transfers that the same government will implement. (C) 2007 Elsevier Inc. All rights reserved. C1 [Bassetto, Marco] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Bassetto, Marco] NBER, Cambridge, MA 02138 USA. RP Bassetto, M (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM bassetto@nber.org OI Bassetto, Marco/0000-0001-8325-8450 NR 28 TC 11 Z9 11 U1 0 U2 5 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 2008 VL 11 IS 1 BP 18 EP 43 DI 10.1016/j.red.2007.06.002 PG 26 WC Economics SC Business & Economics GA 260FJ UT WOS:000252995900002 ER PT J AU Martin, A Orlando, MJ Skeie, D AF Martin, Antoine Orlando, Michael J. Skeie, David TI Payment networks in a search model of money SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE payment networks; money; search ID MONETARY EXCHANGE; CREDIT; PRICES AB In a simple search model of money, we study a special kind of memory which gives rise to an arrangement resembling a payment network. Specifically, we assume that agents can pay a cost to have access to a central data base that keeps track of payments made and received. Incentives must be provided to agents to access the central data base and to produce when they have access to this arrangement. We study policies that can relax these incentive constraints. In particular, we show that a 'no-surcharge' rule has good incentive properties. Finally, we compare our model with the model of Cavalcanti and Wallace. (C) 2007 Elsevier Inc. All rights reserved. C1 [Martin, Antoine; Skeie, David] Fed Reserve Bank New York, New York, NY 10045 USA. [Orlando, Michael J.] Evolve24 LLC, St Louis, MO USA. RP Martin, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM antoine.martin@ny.frb.org RI Skeie, David/J-4007-2016 OI Skeie, David/0000-0003-1076-7697 NR 25 TC 2 Z9 2 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2008 VL 11 IS 1 BP 104 EP 132 DI 10.1016/j.red.2007.04.001 PG 29 WC Economics SC Business & Economics GA 260FJ UT WOS:000252995900006 ER PT J AU Barlevy, G AF Barlevy, Gadi TI Identification of search models using record statistics SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID THE-JOB SEARCH; EQUILIBRIUM SEARCH; WAGES RISE; LABOR-MARKET; UNEMPLOYMENT; SENIORITY; MOBILITY; DISTRIBUTIONS; DISPERSION; CAREERS AB This paper shows how record-value theory, a branch of statistics that deals with the timing and magnitude of extreme values in sequences of random variables, can be used to recover features of the wage offer distribution in conventional search models. Using National Longitudinal Survey of Youth (NLSY) wage data, I show that the data are not compatible with specifications for the offer distribution characterized by extreme negative skewness. In addition, I show that my approach can be used to construct a bound on the returns to job seniority. My results suggest that job seniority plays only a minor role in the wage growth of the workers surveyed in the NLSY. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Barlevy, G (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 40 TC 14 Z9 14 U1 0 U2 8 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JAN PY 2008 VL 75 IS 1 BP 29 EP 64 DI 10.1111/j.1467-937X.2007.00459.x PG 36 WC Economics SC Business & Economics GA 238GJ UT WOS:000251435100002 ER PT J AU Gillette, AB Noe, TH Rebello, MJ AF Gillette, Ann B. Noe, Thomas H. Rebello, Michael J. TI Board structures around the world: An experimental investigation SO REVIEW OF FINANCE LA English DT Article ID EXPECTATIONS; OWNERSHIP; COMMITTEE; FAIRNESS; AUCTIONS; MARKETS; GAMES; NEED AB We model and experimentally examine the board structure-performance relationship. We examine single-tiered boards, two-tiered boards, insider-controlled boards, and outsider-controlled boards. We find that even insider-controlled boards frequently adopt institutionally preferred rather than self-interested policies. Two-tiered boards adopt institutionally preferred policies more frequently but tend to destroy value by being too conservative, frequently rejecting good projects. Outsider-controlled single-tiered boards, both when they have multiple insiders and only a single insider, adopt institutionally preferred policies most frequently. In those board designs where the efficient Nash equilibrium produces strictly higher payoffs to all agents than the coalition-proof equilibria, agents tend to select the efficient Nash equilibria. C1 [Gillette, Ann B.] Kennesaw State Univ, Kennesaw, GA 30144 USA. [Gillette, Ann B.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Noe, Thomas H.] Said Business Sch, Oxford, England. [Noe, Thomas H.] Univ Oxford Balliol Coll, Oxford OX1 2JD, England. [Rebello, Michael J.] Univ Texas Dallas, Richardson, TX 75083 USA. RP Gillette, AB (reprint author), Kennesaw State Univ, Kennesaw, GA 30144 USA. NR 39 TC 12 Z9 12 U1 3 U2 14 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1572-3097 J9 REV FINANC JI Rev. Financ. PY 2008 VL 12 IS 1 BP 93 EP 140 PG 48 WC Business, Finance; Economics SC Business & Economics GA 319LQ UT WOS:000257165500004 ER PT S AU Amromin, G AF Amromin, Gene BE Poterba, JM TI Precautionary Savings Motives and Tax Efficiency of Household Portfolios: An Empirical Analysis SO TAX POLICY AND THE ECONOMY, VOL 22 SE Tax Policy and the Economy LA English DT Proceedings Paper CT 22nd Tax Policy and the Economy Conference CY SEP 29, 2007 CL Washington, DC SP Natl Bur Econ Res ID ASSET LOCATION; LIFE-CYCLE; ACCOUNTS; RISK; CHOICE; ALLOCATION; INCOME; STOCK; INVESTORS AB Theoretical portfolio models with taxable and tax-deferred savings require savers to locate higher-tax assets such as bonds in their tax-deferred retirement accounts (TDAs) while keeping low-tax assets (equities) in taxable accounts. Yet, observed portfolio allocations are often not tax efficient. This paper empirically evaluates one of the explanations for this puzzle that rests on the simultaneous presence of uninsurable labor income risk and limited accessibility of TDA assets. Together, these elements lead some borrowing-constrained households to forgo tax efficiency in favor of allocations that provide more liquidity in bad income states-an outcome labeled as precautionary portfolio choice. The analysis of household-level portfolio data from the Survey of Consumer Finances suggests that both the choice of whether to hold a tax-efficient portfolio and the degree of portfolio tax inefficiency are related to the presence and severity of precautionary motives. C1 [Amromin, Gene] Fed Reserve Bank Chicago, Chicago, IL USA. NR 46 TC 1 Z9 1 U1 8 U2 8 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0892-8649 BN 978-0-226-67626-5 J9 TAX POL EC PY 2008 VL 22 BP 5 EP 41 PG 37 WC Economics SC Business & Economics GA BIP39 UT WOS:000261579000001 ER PT J AU Blomberg, SB Hess, GD AF Blomberg, S. Brock Hess, Gregory D. BE Keefer, P Loayza, N TI From (No) Butter to Guns? Understanding the Economic Role in Transnational Terrorism SO TERRORISM, ECONOMIC DEVELOPMENT, AND POLITICAL OPENNESS LA English DT Article; Book Chapter ID MACROECONOMIC CONSEQUENCES; WAR; MODEL C1 [Blomberg, S. Brock] Claremont Mckenna Coll, Dept Econ, Claremont, CA 91711 USA. [Blomberg, S. Brock] Claremont Mckenna Coll, Polit Philosophy & Econ Program, Claremont, CA 91711 USA. [Blomberg, S. Brock] Fed Reserve Bank New York, New York, NY USA. [Blomberg, S. Brock] Int Monetary Fund, Washington, DC 20431 USA. [Blomberg, S. Brock] Harvard Univ, Cambridge, MA 02138 USA. [Blomberg, S. Brock] Wellesley Coll, Wellesley, MA 02181 USA. [Blomberg, S. Brock] Univ So Calif, Los Angeles, CA 90089 USA. [Hess, Gregory D.] Oberlin Coll, Oberlin, OH 44074 USA. [Hess, Gregory D.] Univ Cambridge, Cambridge CB2 1TN, England. [Hess, Gregory D.] St Johns Coll, Agra, Uttar Pradesh, India. [Hess, Gregory D.] Fed Reserve Board, Washington, DC USA. RP Blomberg, SB (reprint author), Claremont Mckenna Coll, Dept Econ, Claremont, CA 91711 USA. NR 36 TC 20 Z9 20 U1 0 U2 2 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-88758-8 PY 2008 BP 83 EP 115 DI 10.1017/CBO9780511754388.004 D2 10.1017/CBO9780511754388 PG 33 WC Planning & Development; Political Science SC Public Administration; Government & Law GA BAR98 UT WOS:000305339500004 ER PT J AU Blomberg, SB Hess, GD AF Blomberg, S. Brock Hess, Gregory D. BE Keefer, P Loayza, N TI The Lexus and the Olive Branch Globalization, Democratization, and Terrorism SO TERRORISM, ECONOMIC DEVELOPMENT, AND POLITICAL OPENNESS LA English DT Article; Book Chapter ID TRADE C1 [Blomberg, S. Brock] Claremont Mckenna Coll, Dept Econ, Claremont, CA 91711 USA. [Blomberg, S. Brock] Claremont Mckenna Coll, Polit Philosophy & Econ Program, Claremont, CA USA. [Blomberg, S. Brock] Fed Reserve Bank New York, New York, NY USA. [Blomberg, S. Brock] Int Monetary Fund, Washington, DC 20431 USA. [Blomberg, S. Brock] Harvard Univ, Cambridge, MA 02138 USA. [Blomberg, S. Brock] Wellesley Coll, Wellesley, MA 02181 USA. [Blomberg, S. Brock] Univ So Calif, Los Angeles, CA 90089 USA. [Hess, Gregory D.] Oberlin Coll, Oberlin, OH 44074 USA. [Hess, Gregory D.] Univ Cambridge, Cambridge CB2 1TN, England. [Hess, Gregory D.] St Johns Coll, Agra, Uttar Pradesh, India. [Hess, Gregory D.] Fed Reserve Board, Washington, DC USA. RP Blomberg, SB (reprint author), Claremont Mckenna Coll, Dept Econ, Claremont, CA 91711 USA. NR 19 TC 22 Z9 22 U1 2 U2 4 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-88758-8 PY 2008 BP 116 EP 147 DI 10.1017/CBO9780511754388.005 D2 10.1017/CBO9780511754388 PG 32 WC Planning & Development; Political Science SC Public Administration; Government & Law GA BAR98 UT WOS:000305339500005 ER PT J AU Gine, X Townsend, R Vickery, J AF Gine, Xavier Townsend, Robert Vickery, James TI Patterns of Rainfall Insurance Participation in Rural India SO WORLD BANK ECONOMIC REVIEW LA English DT Article ID SOUTHERN INDIA; INFORMATION; RISK AB Take-up of an innovative rainfall insurance policy offered to smallholder farmers in rural India decreases with basis risk between insurance payouts and income fluctuations, increases with household wealth, and decreases with binding credit constraints. These results are consistent with the predictions of a simple neoclassical model with borrowing constraints. Other patterns are less consistent with the benchmark model. For example, participation in village networks and measures of familiarity with the insurance vendor are strongly correlated with insurance take-up decisions, and risk-averse households are less, not more, likely to purchase insurance. These results may reflect household uncertainty about the product, given their limited experience with it. C1 [Vickery, James] Fed Reserve Bank New York, New York, NY 10045 USA. [Gine, Xavier] World Bank, Dev Res Grp, Washington, DC USA. [Townsend, Robert] Univ Chicago, Chicago, IL 60637 USA. RP Vickery, J (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM xgine@worldbank.org; rtownsen@uchicago.edu; james.vickery@ny.frb.org NR 24 TC 76 Z9 76 U1 0 U2 24 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0258-6770 J9 WORLD BANK ECON REV JI World Bank Econ. Rev. PY 2008 VL 22 IS 3 BP 539 EP 566 DI 10.1093/wber/lhn015 PG 28 WC Business, Finance; Economics; Planning & Development SC Business & Economics; Public Administration GA 386OJ UT WOS:000261892200007 ER PT J AU Crowley, MA AF Crowley, Meredith A. TI United States - Final Dumping Determination on Softwood Lumber from Canada: Recourse to Article 21.5 of the DSU by Canada (Softwood V) Prepared for the ALI Project on the Case Law of the WTO Comment SO WORLD TRADE REVIEW LA English DT Editorial Material C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Crowley, MA (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM mcrowley@frbchi.org NR 0 TC 0 Z9 0 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 1474-7456 J9 WORLD TRADE REV JI World Trade Rev. PD JAN PY 2008 VL 7 IS 1 BP 143 EP 147 DI 10.1017/S1474745608003686 PG 5 WC Economics; International Relations; Law SC Business & Economics; International Relations; Government & Law GA 385GK UT WOS:000261802500010 ER PT J AU Amiti, M Konings, J AF Amiti, Mary Konings, Jozef TI Trade liberalization, intermediate inputs, and productivity: Evidence from Indonesia SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INTERNATIONAL-TRADE; MANUFACTURING FIRMS; MARKET-DISCIPLINE; SCALE; GROWTH; CONSEQUENCES; COMPETITION; PROTECTION; EFFICIENCY; AGREEMENT AB This paper estimates the productivity gains from reducing tariffs on final goods and from reducing tariffs on intermediate inputs. Lower output tariffs can increase productivity by inducing tougher import competition, whereas cheaper imported inputs can raise productivity via learning, variety, and quality effects. We use Indonesian manufacturing census data from 1991 to 2001, which include plant-level information on imported inputs. The results show that a 10 percentage point fall in input tariffs leads to a productivity gain of 12 percent for firms that import their inputs, at least twice as high as any gains from reducing output tariffs. C1 [Amiti, Mary] Fed Reserve Bank New York, New York, NY 10045 USA. [Konings, Jozef] Katholieke Univ Leuven, Dept Econ, B-3000 Louvain, Belgium. [Konings, Jozef] Katholieke Univ Leuven, LICOS, B-3000 Louvain, Belgium. RP Amiti, M (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM mary.amiti@ny.frb.org; joep.konings@econ.kuleuven.be NR 57 TC 258 Z9 263 U1 7 U2 43 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 2007 VL 97 IS 5 BP 1611 EP 1638 DI 10.1257/aer.97.5.1611 PG 28 WC Economics SC Business & Economics GA 249LD UT WOS:000252228800005 ER PT J AU Guidolin, M La Ferrara, E AF Guidolin, Massimo La Ferrara, Eliana TI Diamonds are forever, wars are not: Is conflict bad for private firms? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID SECURITY-PRICE PERFORMANCE; THINLY TRADED STOCKS; CIVIL-WAR; EVENT C1 [Guidolin, Massimo] Fed Res Bank St Louis, St Louis, MO 63102 USA. [Guidolin, Massimo] Manchester Business Sch, Manchester, Lancs, England. [La Ferrara, Eliana] Bocconi Univ, Dept Econ, I-20136 Milan, Italy. RP Guidolin, M (reprint author), Fed Res Bank St Louis, St Louis, MO 63102 USA. EM Massimo.Guidolin@stls.frb.org; laferrara@unibocconi.it NR 18 TC 47 Z9 47 U1 1 U2 16 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 2007 VL 97 IS 5 BP 1978 EP 1993 DI 10.1257/aer.97.5.1978 PG 16 WC Economics SC Business & Economics GA 249LD UT WOS:000252228800022 ER PT J AU Groen, JA Nagowski, MP Ehrenberg, RG AF Groen, Jeffrey A. Nagowski, Matthew P. Ehrenberg, Ronald G. TI PhD ATTAINMENT OF GRADUATES OF SELECTIVE PRIVATE ACADEMIC INSTITUTIONS SO EDUCATION FINANCE AND POLICY LA English DT Article C1 [Groen, Jeffrey A.] US Dept Labor, Bur Labor Stat, Washington, DC 20212 USA. [Nagowski, Matthew P.] Fed Reserve Bank Boston, Boston, MA 02205 USA. [Ehrenberg, Ronald G.] Cornell Univ, Cornell Higher Educ Res Inst, Ithaca, NY 14853 USA. RP Groen, JA (reprint author), US Dept Labor, Bur Labor Stat, 2 Massachusetts Ave NE,Room 4945, Washington, DC 20212 USA. EM Groen.Jeffrey@bls.gov; matthew.nagowski@bos.frb.org; rge2@cornell.edu OI Groen, Jeffrey/0000-0003-1905-7026 NR 11 TC 1 Z9 1 U1 1 U2 4 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 1557-3060 J9 EDUC FINANC POLICY JI Educ. Financ. Policy PD WIN PY 2007 VL 2 IS 1 BP 100 EP 110 DI 10.1162/edfp.2007.2.1.100 PG 11 WC Education & Educational Research SC Education & Educational Research GA V22IC UT WOS:000208267900005 ER PT J AU Allen, L Peristiani, S AF Allen, Linda Peristiani, Stavros TI Loan underpricing and the provision of merger advisory services SO JOURNAL OF BANKING & FINANCE LA English DT Article DE relationship banking; investment bank advisors; commercial bank advisors; conflicts of interest; mergers; acquisitions; syndicated bank loans ID INVESTMENT BANKER; FEE CONTRACTS; TENDER OFFERS; BANKING; ACQUISITIONS; FIRMS; BORROWERS; BENEFITS; ADVISERS; CHOICE AB This paper investigates the primary and secondary syndicated bank loan market to analyze the effect on pricing when the financial institution commingles syndicated lending with merger advisory services. In particular, we investigate the connection between the acquirer's choice of financial advisor in a merger and future financing commitments. We find evidence of underpricing of syndicated bank loans in both the primary and secondary market. In the primary market, we show that non-acquisition loans granted by merger advisors to acquiring firms after the merger announcement date are charged a lower all-in-spread relative to acquisition loans if there has been a prior lending relationship. Consistent with this finding, we find that syndicated bank loans for non-acquisition purposes arranged by the acquirer's advisor after the merger announcement date trade in the secondary market at a significant discount. Since the terms on these non-acquisition loans are not set upon merger announcement, they are most subject to risk shifting and underpricing agency problems. These findings offer evidence consistent with the existence of loss leader and potentially conflicted loans (priced at below-market terms) that are offered by the acquirer's relationship bank advisor in order to win merger advisory business. (C) 2007 Elsevier B.V. All rights reserved. C1 [Allen, Linda] CUNY Bernard M Baruch Coll, Zicklin Sch Business, New York, NY 10010 USA. [Peristiani, Stavros] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Allen, L (reprint author), CUNY Bernard M Baruch Coll, Zicklin Sch Business, 1 Bernard Baruch Way, New York, NY 10010 USA. EM Linda_Allen@baruch.cuny.edu NR 28 TC 3 Z9 3 U1 1 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 2007 VL 31 IS 12 BP 3539 EP 3562 DI 10.1016/j.jbankfin.2006.12.011 PG 24 WC Business, Finance; Economics SC Business & Economics GA 243YP UT WOS:000251833500001 ER PT J AU Hirtle, B AF Hirtle, Beverly TI The impact of network size on bank branch performance SO JOURNAL OF BANKING & FINANCE LA English DT Article DE banking; bank branches; deposits; retail banking ID MARKET; SCALE; ACQUISITIONS; EFFICIENCY; ECONOMIES; INDUSTRY; MERGERS; SCOPE AB Despite significant technological innovation in retail banking services delivery, the number of US bank branches has grown steadily over time. Further, more and more of these branches are held by banks with large branch networks. This paper assesses the implications of these developments by examining measures of branch performance and asking how these measure vary across institutions with different branch network sizes. Our findings suggest that banks with mid-sized branch networks may be at a competitive disadvantage in branching activities. We find no systematic relationship between branch network size and overall institutional profitability, perhaps because banking organizations optimize the size of their branch network operations as part of an overall strategy involving both branch-based and non-branch-based activities. Published by Elsevier B.V. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Hirtle, B (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Beverly.hirtle@ny.frb.org NR 27 TC 16 Z9 17 U1 2 U2 16 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 2007 VL 31 IS 12 BP 3782 EP 3805 DI 10.1016/j.jbankfin.2007.01.020 PG 24 WC Business, Finance; Economics SC Business & Economics GA 243YP UT WOS:000251833500013 ER PT J AU Rosen, RJ AF Rosen, Richard J. TI Banking market conditions and deposit interest rates SO JOURNAL OF BANKING & FINANCE LA English DT Article DE banks; size structure; deposits; interest rates; antitrust policy; market concentration AB This paper shows that the impact of market structure on bank deposit interest rates is complex. Both market size structure and multimarket bank presence have independent effects on rates. There is evidence that mid-size banks were more aggressive competitors than other banks, but that the effect of market structure on deposit rates has evolved over time, with mega-banks recently becoming more aggressive competitors. This may be related to the growth of mega-banks in many markets. These findings have implications for existing theories of deposit pricing and, by extension, antitrust policy in banking. (C) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Rosen, RJ (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM rrosen@frbchi.org NR 21 TC 12 Z9 13 U1 0 U2 1 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 2007 VL 31 IS 12 BP 3862 EP 3884 DI 10.1016/j.jbankfin.2007.02.009 PG 23 WC Business, Finance; Economics SC Business & Economics GA 243YP UT WOS:000251833500017 ER PT J AU Hogarth, JM AF Hogarth, Jeanne M. TI Sins, sinners, data, and details SO JOURNAL OF CONSUMER AFFAIRS LA English DT Editorial Material C1 Fed Reserve Board, Consumer Educ & Res, Consumer & Community Affairs, Washington, DC USA. RP Hogarth, JM (reprint author), Fed Reserve Board, Consumer Educ & Res, Consumer & Community Affairs, Washington, DC USA. EM jeanne.m.hogarth@frb.gov NR 1 TC 0 Z9 0 U1 0 U2 0 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-0078 J9 J CONSUM AFF JI J. Consum. Aff. PD WIN PY 2007 VL 41 IS 2 BP 214 EP 216 PG 3 WC Business; Economics SC Business & Economics GA 212VF UT WOS:000249624200002 ER PT J AU Dueker, MJ Sola, M Spagnolo, F AF Dueker, Michael J. Sola, Martin Spagnolo, Fabio TI Contemporaneous threshold autoregressive models: Estimation, testing and forecasting SO JOURNAL OF ECONOMETRICS LA English DT Article DE smooth transition threshold autoregressive; forecasting; nonlinear models ID NUISANCE PARAMETER; TERM STRUCTURE; INTEREST-RATES; SETAR MODELS; HYPOTHESIS; UNEMPLOYMENT; PERFORMANCE; ADJUSTMENT; INFERENCE; SELECTION AB This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Terasvirta [1998. Modelling economic relationships with smooth transition regressions. In: Ullah, A., Giles, D.E.A. (Eds.), Handbook of Applied Economic Statistics. Marcel Dekker, New York, pp. 507-552.], in which the regime weights depend on the ex ante probability that a latent regime-specific variable will exceed a threshold value. We argue that the contemporaneous model is well suited to rational expectations applications (and pricing exercises), in that it does not require the initial regimes to be predetermined. We investigate the properties of the model and evaluate its finite-sample maximum likelihood performance. We also propose a method to determine the number of regimes based on a modified Hansen [1992. The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP. Journal of Applied Econometrics 7, S61-S82.] procedure. Furthermore, we construct multiple-step ahead forecasts and evaluate the forecasting performance ofthe model. Finally, an empirical application of the short term interest rate yield is presented and discussed. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. Univ London, Birkbeck Coll, London WC1E 7HU, England. Brunel Univ, Uxbridge UB8 3PH, Middx, England. RP Dueker, MJ (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM mdueker@stls.frb.org NR 47 TC 11 Z9 11 U1 0 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD DEC PY 2007 VL 141 IS 2 BP 517 EP 547 DI 10.1016/j.jeconom.2006.10.022 PG 31 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 230JD UT WOS:000250871900008 ER PT J AU Demyanyk, Y Ostergaard, C Sorensen, BE AF Demyanyk, Yuliya Ostergaard, Charlotte Sorensen, Bent E. TI US banking deregulation, small businesses, and interstate insurance of personal income SO JOURNAL OF FINANCE LA English DT Article ID FINANCIAL INTERMEDIATION; CREDIT AVAILABILITY; RISK; MARKETS; INFORMATION; DEBT; SECURITIZATION; RESTRICTIONS; COMPETITION; ECONOMICS AB We estimate the effects of deregulation of U.S. banking restrictions on interstate personal income insurance for the period 1970 to 2001. Interstate income insurance occurs when personal income reacts less than one-to-one to state-specific output shocks. We find that insurance improved after banking deregulation, with a larger effect in states where small businesses are more important and on proprietors' income than on other components of personal income. Our explanation centers on the role of banks as a prime source of small business finance and on the close intertwining of the personal and business finances of small business owners. C1 Fed Reserve Bank St Louis, St Louis, MO 63106 USA. Norwegian Sch Management, Oslo, Norway. Norges Bank, Oslo, Norway. Univ Houston, Houston, TX 77004 USA. RP Demyanyk, Y (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63106 USA. NR 52 TC 29 Z9 29 U1 3 U2 15 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 DEC PY 2007 VL 62 IS 6 BP 2763 EP 2801 DI 10.1111/j.1540-6261.2007.01292.x PG 39 WC Business, Finance; Economics SC Business & Economics GA 235RI UT WOS:000251251600007 ER PT J AU Carey, M Nini, G AF Carey, Mark Nini, Greg TI Is the corporate loan market globally integrated? A pricing puzzle SO JOURNAL OF FINANCE LA English DT Article ID DEBT; DETERMINANTS; DISTANCE; QUALITY; PRIVATE; FINANCE; SPREAD; BANKS; RISK AB We offer evidence that interest rate spreads on syndicated loans to corporate borrowers are economically significantly smaller in Europe than in the United States, other things equal. Differences in borrower, loan, and lender characteristics do not appear to explain this phenomenon. Borrowers overwhelmingly issue in their natural home market and bank portfolios display home bias. This may explain why pricing discrepancies are not competed away, though their causes remain a puzzle. Thus, important determinants of loan origination market outcomes remain to be identified, home bias appears to be material for pricing, and corporate financing costs differ across Europe and the United States. C1 Fed Reserve Board, Washington, DC USA. RP Carey, M (reprint author), Fed Reserve Board, Washington, DC USA. NR 34 TC 44 Z9 44 U1 2 U2 11 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 DEC PY 2007 VL 62 IS 6 BP 2969 EP 3007 DI 10.1111/j.1540-6261.2007.01298.x PG 39 WC Business, Finance; Economics SC Business & Economics GA 235RI UT WOS:000251251600013 ER PT J AU Francesconi, M van der Klaauw, W AF Francesconi, Marco van der Klaauw, Wilbert TI The socioeconomic consequences of "in-work" benefit reform for British lone mothers SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID INCOME-TAX CREDIT; FEMALE HEADSHIP; WELFARE AB In October 1999, the British government enacted the Working Families' Tax Credit, which aimed at encouraging work among low-income families with children. This paper uses panel data collected between 1991 and 2001 to evaluate the effect of this reform on single mothers. We find that the reform led to a substantial increase in their employment rate of about five percentage points, which was driven by both a higher rate at which lone mothers retrained in the labor force and a higher rate at which they entered it. Women's responses were highly heterogeneous, with effects double this size for mothers with one preschool-aged child, and virtually no effect for mothers with multiple older children. The employment increase was accompanied by significant increases in paid childcare utilization and our analysis in fact suggests that the generous childcare credit component of the reform played a key role in explaining the estimated employment and childcare usage responses. We also find that the increase in labor market participation was accompanied by reductions in single mothers' subsequent fertility and in the rate at which they married, behavioral responses, which in turn are likely to influence the reform's overall impact on child poverty and welfare. C1 Univ Essex, Colchester CO4 3SQ, Essex, England. UNC, Chapel Hill, NC USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Francesconi, M (reprint author), Univ Essex, Colchester CO4 3SQ, Essex, England. NR 33 TC 43 Z9 43 U1 0 U2 7 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X J9 J HUM RESOUR JI J. Hum. Resour. PD WIN PY 2007 VL 42 IS 1 BP 1 EP 31 PG 31 WC Economics; Industrial Relations & Labor SC Business & Economics GA 131RT UT WOS:000243888300001 ER PT J AU Kackmeister, A AF Kackmeister, Alan TI Yesterday's bad times are today's good old times: Retail price changes are more frequent today than in the 1890s SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE nominal price rigidity; frequency of price change; price flexibility; price history; micro-data prices; cost of changing prices ID STICKY PRICES; MENU COSTS; RIGIDITY; ADJUSTMENT; MAGNITUDE; DEMAND; MARKET; SIZE AB This paper documents differences in the nominal rigidity of retail prices across two 28-month periods: 1889-91 and 1997-99. The most striking finding is that prices changed much less frequently in 1889-91. In the late-1800s when price changes did occur they were smaller on average and more narrowly distributed with fewer small or large price changes. Further, price changes were more permanent 100-plus years ago. These differences are consistent with a high occurrence of temporary price shocks and a higher cost of changing prices in 1889-91 than in 1997-99. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Kackmeister, A (reprint author), Fed Reserve Board Governors, 20th St & C St NW, Washington, DC 20551 USA. EM alan.k.kackmeister@frb.gov NR 56 TC 8 Z9 8 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 DEC PY 2007 VL 39 IS 8 BP 1987 EP 2020 DI 10.1111/j.1538-4616.2007.00095.x PG 34 WC Business, Finance; Economics SC Business & Economics GA 234WN UT WOS:000251195000005 ER PT J AU Agarwal, S Liu, CL Souleles, NS AF Agarwal, Sumit Liu, Chunlin Souleles, Nicholas S. TI The reaction of consumer spending and debt to tax rebates - Evidence from consumer credit data SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID ANTICIPATED INCOME CHANGES; HOUSEHOLD CONSUMPTION; WINDFALL INCOME; EXPENDITURE; HYPOTHESIS AB We use a new panel data set of credit card accounts to analyze how consumers responded to the 2001 federal income tax rebates. We estimate the monthly response of credit card payments, spending, and debt, exploiting the unique, randomized timing of the rebate disbursement. We find that, on average, consumers initially saved some of the rebate, by increasing their credit card payments and thereby paying down debt. But soon afterward their spending increased, counter to the permanent income model. Spending rose most for consumers who were initially most likely to be liquidity constrained, whereas debt declined most (so saving rose most) for unconstrained consumers. C1 [Agarwal, Sumit] Fed Res Bank Chicago, Chicago, IL USA. [Liu, Chunlin] Univ Nevada, Reno, NV 89557 USA. [Souleles, Nicholas S.] Univ Penn, Philadelphia, PA 19104 USA. [Souleles, Nicholas S.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Agarwal, S (reprint author), Fed Res Bank Chicago, Chicago, IL USA. RI Agarwal, Sumit/F-4836-2012 NR 37 TC 47 Z9 47 U1 2 U2 15 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 DEC PY 2007 VL 115 IS 6 BP 986 EP 1019 DI 10.1086/528721 PG 34 WC Economics SC Business & Economics GA 302FQ UT WOS:000255954600003 ER PT J AU Meier, S AF Meier, Stephan TI Do subsidies increase charitable giving in the long run? Matching donations in a field experiment SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID PRO-SOCIAL BEHAVIOR; MOTIVATION; INCENTIVES; ALTRUISM; INCOME; TAXES; PRICE AB Subsidizing charitable giving-for example, for victims of natural disasters-is very popular, not only with governments but also with private organizations. Many companies match their employees' charitable contributions, hoping that this will foster the willingness to contribute. However, systematic analyses of the effect of such a matching mechanism are still lacking. This article tests the effect of matching charitable giving in a randomized field experiment in the short and the long run. The donations of a randomly selected group were matched by contributions from an anonymous donor. The results support the hypothesis that a matching mechanism increases contributions to a public good. However, in the periods after the experiment, when matching donations have been stopped, the contribution rate declines for the treatment group. The matching mechanism leads to a negative net effect on the participation rate. The field experiment therefore provides evidence suggesting that the willingness to contribute may be undermined by a matching mechanism in the long run. C1 Fed Reserve Bank Boston, Boston, MA USA. RP Meier, S (reprint author), Fed Reserve Bank Boston, Boston, MA USA. EM stephan.mcier@bos.frb.org NR 34 TC 53 Z9 55 U1 2 U2 9 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD DEC PY 2007 VL 5 IS 6 BP 1203 EP 1222 DI 10.1162/JEEA.2007.5.6.1203 PG 20 WC Economics SC Business & Economics GA 232MS UT WOS:000251024400004 ER PT J AU Coto-Martinez, J Garriga, C Sanchez-Losada, F AF Coto-Martinez, Javier Garriga, Carlos Sanchez-Losada, Fernando TI Optimal taxation with imperfect competition and aggregate returns to specialization SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID MONOPOLISTIC COMPETITION; INCOME TAXATION; CAPITAL-INCOME; GROWTH; DIVERSITY; VARIETY; MODELS; SCALE; TASTE; TOO AB In this article we explore the proposition that, in economies with imperfect competitive markets, the optimal capital income tax is negative and the optimal tax on firms' profits is confiscatory. We show that if the total factor productivity as well as the number of firms or varieties are endogenous instead of fixed, then the optimal fiscal policy can lead to different results. The government faces a trade-off between the fixed costs that society pays for the introduction of a new firm and the productivity gains associated to the introduction of a new variety. We find that the optimal fiscal policy depends on the relationship between the index of market power, the returns to specialization, and the government's ability to control entry. C1 City Univ London, London EC1V 0HB, England. Univ Barcelona, E-08007 Barcelona, Spain. Fed Reserve Bank St Louis, St Louis, MO USA. RP Coto-Martinez, J (reprint author), City Univ London, London EC1V 0HB, England. EM j.coto-martinez@city.ac.uk; Carlos.Garriga@stls.frb.org; fernando.sanchezlosada@ub.edu RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 28 TC 6 Z9 6 U1 0 U2 6 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 2007 VL 5 IS 6 BP 1269 EP 1299 DI 10.1162/JEEA.2007.5.6.1269 PG 31 WC Economics SC Business & Economics GA 232MS UT WOS:000251024400006 ER PT J AU Yin, L Hastings, J AF Yin, Li Hastings, Jonathan TI Capitalizing on views: Assessing visibility by using 3D visualization and GIS technologies for hotel development in the city of Niagara falls, New York SO JOURNAL OF URBAN TECHNOLOGY LA English DT Article ID HOUSE PRICES; EVOLUTION C1 [Yin, Li] SUNY Buffalo, Dept Urban & Reg Planning, Buffalo, NY 14260 USA. [Hastings, Jonathan] Fed Reserve Bank New York, Buffalo Branch, New York, NY USA. RP Yin, L (reprint author), SUNY Buffalo, Dept Urban & Reg Planning, Buffalo, NY 14260 USA. NR 32 TC 3 Z9 3 U1 0 U2 1 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1063-0732 J9 J URBAN TECHNOL JI J. Urban Technol. PD DEC PY 2007 VL 14 IS 3 BP 59 EP 82 DI 10.1080/10630730801927483 PG 24 WC Urban Studies SC Urban Studies GA 290KT UT WOS:000255122400004 ER PT J AU Testa, WA Mattoon, RH AF Testa, William A. Mattoon, Richard H. TI Is there a role for gross receipts taxation? SO NATIONAL TAX JOURNAL LA English DT Article AB States are showing renewed interest in using Gross Receipts Taxes (GRTs) as a method for taxing business. This paper discusses the advantages and disadvantages of GRTs along three dimensions-as a stand alone tax against standard tax principles, as a replacement for an existing business tax structure, and finally as a "fill-in" or corrective tax to rebalance a state's tax system. In addition, the paper offers estimates of current state and local tax levies on business relative to estimates of the benefits that business receives through public services. The paper concludes that the GRT is not a first best option, and that an origin-based value added tax would be a preferred business tax structure. C1 [Testa, William A.; Mattoon, Richard H.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Testa, WA (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 19 TC 3 Z9 3 U1 0 U2 5 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 2007 VL 60 IS 4 BP 821 EP 840 PG 20 WC Business, Finance; Economics SC Business & Economics GA 260OC UT WOS:000253018600013 ER PT J AU Chatterjee, S Corbae, D Nakaiima, M Rios-Rull, JV AF Chatterjee, Satyajit Corbae, Dean Nakaiima, Makoto Rios-Rull, Jose-Victor TI A quantitative theory of unsecured consumer credit with risk of default SO ECONOMETRICA LA English DT Article DE bankruptcy; general equilibrium; default risk ID LIQUIDITY CONSTRAINTS; MARKETS; EQUILIBRIUM; EFFICIENCY AB We study, theoretically and quantitatively, the general equilibrium of an economy in which households smooth consumption by means of both a riskless asset and unsecured loans with the option to default. The default option resembles a bankruptcy filing under Chapter 7 of the U.S. Bankruptcy Code. Competitive financial intermediaries offer a menu of loan sizes and interest rates wherein each loan makes zero profits. We prove the existence of a steady-state equilibrium and characterize the circumstances under which a household defaults on its loans. We show that our model accounts for the main statistics regarding bankruptcy and unsecured credit while matching key macroeconomic aggregates, and the earnings and wealth distributions. We use this model to address the implications of a recent policy change that introduces a form of "means testing" for households contemplating a Chapter 7 bankruptcy filing. We find that this policy change yields large welfare gains. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Univ Texas, Dept Econ, Austin, TX 78712 USA. Univ Illinois, Dept Econ, Champaign, IL 61820 USA. Univ Penn, CAERP, CEPR, NBER, Philadelphia, PA 19104 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. RP Chatterjee, S (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM satyajit.chatterjee@phil.frb.org; corbae@eco.utexas.edu; makoto@uiuc.edu; vr0j@econ.upenn.edu NR 26 TC 103 Z9 104 U1 7 U2 28 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD NOV PY 2007 VL 75 IS 6 BP 1525 EP 1589 DI 10.1111/j.1468-0262.2007.00806.x PG 65 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 228GX UT WOS:000250719000001 ER PT J AU Barwell, RD Schweitzer, ME AF Barwell, Richard D. Schweitzer, Mark E. TI The incidence of nominal and real wage rigidities in Great Britain: 1978-98 SO ECONOMIC JOURNAL LA English DT Article AB This article analyses the extent of rigidities in wage setting in Great Britain over the 1980s and 1990s. Our estimation strategy follows the generalised Altonji and Devereux (2000) model discussed in the introduction to this Feature, but it includes modifications to include some special features of the British data. Our estimates reveal that real rigidities in wage setting are more prevalent than nominal rigidities in Great Britain, although the incidence of these real wage rigidities has fallen gradually over time. If firms cannot cut real wages in response to negative demand shocks they may resort to laying off workers. Our results support this micro-foundation of the wage-unemployment Phillips curve: workers who are more likely to be protected from wage cuts are also more likely to lose their jobs. C1 Bank England, London, England. Fed Res Bank Kansas City, Kansas City, KS USA. RP Barwell, RD (reprint author), Bank England, London, England. NR 12 TC 6 Z9 6 U1 0 U2 1 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0133 J9 ECON J JI Econ. J. PD NOV PY 2007 VL 117 IS 524 SI F BP F553 EP F569 DI 10.1111/j.1468-0297.2007.02096.x PG 17 WC Economics SC Business & Economics GA 234TX UT WOS:000251188000005 ER PT J AU Bauer, T Bonin, H Goette, L Sunde, U AF Bauer, Thomas Bonin, Holger Goette, Lorenz Sunde, Uwe TI Real and nominal wage rigidities and the rate of inflation: Evidence from West German micro data SO ECONOMIC JOURNAL LA English DT Article AB This article examines real and nominal wage rigidities in West Germany. Using regionally disaggregated register data for 1975-2001, we estimate the extent of both types of wage rigidities from the observed distribution of individual wage changes, taking into account possible measurement error. The fraction of workers facing wage increases that are caused by nominal and particularly real wage rigidity is substantial. The extent of real rigidity rises with inflation and falls with regional unemployment, whereas the opposite holds for nominal rigidity. Overall, the incidence of wage rigidity, which accelerates unemployment growth, is most likely minimised in a moderate inflation environment. C1 Univ Bochum, RWI Essen, IZA, Bonn, Germany. CEPR, ZEW Mannheim, Bonn, Germany. Fed Reserve Bank Boston, Bonn, Germany. Univ Bonn, D-5300 Bonn, Germany. RP Bauer, T (reprint author), Univ Bochum, RWI Essen, IZA, Bonn, Germany. NR 15 TC 11 Z9 11 U1 1 U2 8 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0133 J9 ECON J JI Econ. J. PD NOV PY 2007 VL 117 IS 524 SI F BP F508 EP F529 DI 10.1111/j.1468-0297.2007.02094.x PG 22 WC Economics SC Business & Economics GA 234TX UT WOS:000251188000003 ER PT J AU Goette, L Sunde, U Bauer, T AF Goette, Lorenz Sunde, Uwe Bauer, Thomas TI Wage rigidity: Measurement, causes and consequences SO ECONOMIC JOURNAL LA English DT Article ID EQUILIBRIUM UNEMPLOYMENT; INFLATION AB Wage rigidity - the observation that wages cannot be adjusted downwards - has important implications for labour markets and macroeconomic performance. Empirical evidence on the extent, causes and consequences of wage rigidity on the individual level is relatively scant, however. This Feature presents articles that apply a new methodology to estimate the incidence and extent of nominal and real wage rigidity among the employed in three major European countries (Germany, Italy and Great Britain). The results document the pervasiveness of nominal and, particularly, real wage rigidity in different institutional and economic environments, and a recent decline in real wage rigidity. C1 Fed Reserve Bank Boston, Bonn, Germany. IZA, Bonn, Germany. Univ Bonn, D-5300 Bonn, Germany. Univ Bochum, IZA, CEPR, Bonn, Germany. RP Goette, L (reprint author), Fed Reserve Bank Boston, Bonn, Germany. RI Villena, Benjamin/D-6996-2012 OI Villena, Benjamin/0000-0002-2780-0214 NR 37 TC 6 Z9 7 U1 0 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0133 J9 ECON J JI Econ. J. PD NOV PY 2007 VL 117 IS 524 SI F BP F499 EP F507 DI 10.1111/j.1468-0297.2007.02093.x PG 9 WC Economics SC Business & Economics GA 234TX UT WOS:000251188000002 ER PT J AU Prescott, EC AF Prescott, Edward C. TI The future of Europe: Reform or decline SO ECONOMIC JOURNAL LA English DT Book Review C1 Univ Arizona, Tucson, AZ 85721 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Prescott, EC (reprint author), Univ Arizona, Tucson, AZ 85721 USA. NR 1 TC 0 Z9 0 U1 1 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0133 J9 ECON J JI Econ. J. PD NOV PY 2007 VL 117 IS 524 SI F BP F648 EP F650 DI 10.1111/j.1468-0297.2007.02100_3.x PG 3 WC Economics SC Business & Economics GA 234TX UT WOS:000251188000011 ER PT J AU Guidolin, M La Jeunesse, EA AF Guidolin, Massimo La Jeunesse, Elizabeth A. TI The decline in the US personal saving rate: Is it real and is it a puzzle? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID STOCK-MARKET; CONSUMPTION; RETIREMENT; WEALTH; SAVE AB Since the mid-1990s, the national income and product accounts personal saving rate for the United States has been trending down, dropping into negative territory for three months during the past two years. This paper examines measurement problems surrounding two of the standard definitions of the personal saving rate. The authors conclude that, despite these measurement problems, the recent decline of the U.S. personal saving rate to low levels seems to be a real economic phenomenon and may be a cause for concern for several reasons. After examining several possible explanations for the trend advanced in the recent literature, the authors conclude that none of them provides a compelling explanation for the steep decline and negative levels of the U.S. personal saving rate. C1 Fed Reserve Bank St Louis, St Louis, MO 63106 USA. RP Guidolin, M (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63106 USA. NR 39 TC 26 Z9 26 U1 4 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 NOV-DEC PY 2007 VL 89 IS 6 BP 491 EP 514 PG 24 WC Business, Finance; Economics SC Business & Economics GA 231WP UT WOS:000250980200001 ER PT J AU Gilbert, RA Wheelock, DC AF Gilbert, R. Alton Wheelock, David C. TI Measuring commercial bank profitability: Proceed with caution SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The federal tax code creates challenges for comparing the profit rates of different banks on a consistent basis. The earnings of banks that elect to operate under subchapter S of the federal tax code are not subject to federal corporate income tax, but shareholders of these "S-banks" are taxed on their pro rata share of the entire earnings of the bank. The number of banks electing subchapter S tax treatment has increased rapidly, especially among small banks. The authors use estimates of the federal corporate income tax that S-banks would pay if they were subject to the tax to show that the difference in the tax treatment of S-banks and other banks has a large impact on measures of U.S. banking system profitability. Further, the article shows that adjustment of S-bank earnings by estimates of federal income taxes to make them comparable with the earnings of other banks can markedly affect conclusions of studies that use net income as a measure of performance. Finally, the article shows that S-banks (even after their earnings are reduced by estimated federal taxes) tend to out-earn their peers; S-banks also tend to have higher earnings rates than their peers in the year before they elect S-bank status. C1 Fed Reserve Bank St Louis, St Louis, MO 63106 USA. RP Gilbert, RA (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63106 USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 11 TC 3 Z9 3 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 2007 VL 89 IS 6 BP 515 EP 532 PG 18 WC Business, Finance; Economics SC Business & Economics GA 231WP UT WOS:000250980200002 ER PT J AU Bandyopadhyay, S Wall, HJ AF Bandyopadhyay, Subhayu Wall, Howard J. TI The determinants of aid in the post-cold war era SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID FOREIGN-AID; ALLOCATION; COUNTRIES; POLICIES; GROWTH AB The authors estimate the responsiveness of aid to recipient countries' economic and physical needs, civil/political rights, and government effectiveness. They look exclusively at the post-Cold War era and use fixed effects to control for the political, strategic, and other considerations of donors. They find that aid and per capita income have been negatively related, while aid has been positively related to infant mortality, rights, and government effectiveness. C1 Fed Reserve Bank St Louis, St Louis, MO 63106 USA. W Virginia Univ, Morgantown, WV 26506 USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63106 USA. RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 19 TC 6 Z9 6 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 NOV-DEC PY 2007 VL 89 IS 6 BP 533 EP 547 PG 15 WC Business, Finance; Economics SC Business & Economics GA 231WP UT WOS:000250980200003 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI Open market operations and the federal funds rate SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RESERVES AB It is commonly believed that the Fed's ability to control the federal funds rate stems from its ability to alter the supply of liquidity in the overnight market through open market operations. This paper uses daily data compiled by the author from the records of the Trading Desk of the Federal Reserve Bank of New York over the period March 1, 1984, through December 31, 1996: He analyzes the Desk's use of its operating procedure in implementing monetary policy and the extent to which open market operations affect the federal funds rate-the liquidity effect. The author finds that the operating procedure was used to guide daily open market operations; however, there is little evidence of a liquidity effect at the daily frequency and even less evidence at lower frequencies. Consistent with the absence of a liquidity effect, open market operations appear to be a relatively unimportant source of liquidity to the federal funds market. C1 Fed Reserve Bank St Louis, St Louis, MO 63106 USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63106 USA. NR 22 TC 3 Z9 3 U1 1 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 2007 VL 89 IS 6 BP 549 EP 570 PG 22 WC Business, Finance; Economics SC Business & Economics GA 231WP UT WOS:000250980200004 ER PT J AU Guidolin, M Timmermann, A AF Guidolin, Massimo Timmermann, Allan TI Asset allocation under multivariate regime switching SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE regime switching; portfolio choice; predictability ID PORTFOLIO CHOICE; INTEREST-RATES; TERM STRUCTURE; STOCK RETURNS; RISK; MODEL; CONSUMPTION; DECISIONS; SELECTION; MARKETS AB This paper studies asset allocation decisions in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to capture the joint distribution of stock and bond returns. Optimal asset allocations vary considerably across these states and change over time as investors revise their estimates of the state probabilities. In the crash state, buy-and-hold investors allocate more of their portfolio to stocks the longer their investment horizon, while the optimal allocation to stocks declines as a function of the investment horizon in bull markets. The joint effects of learning about state probabilities and predictability of asset returns from the dividend yield give rise to a non-monotonic relationship between the investment horizon and the demand for stocks. Out-of-sample forecasting experiments confirm the economic importance of accounting for the presence of regimes in asset returns. (c) 2007 Elsevier B.V. All rights reserved. C1 Univ Manchester, Manchester Business Sch, Manchester M13 9PL, Lancs, England. Fed Reserve Bank, St Louis, MO USA. Univ Calif San Diego, San Diego, CA 92103 USA. RP Guidolin, M (reprint author), Univ Manchester, Manchester Business Sch, Crawford House,Booth St E, Manchester M13 9PL, Lancs, England. EM Massimo.Guidolin@mbs.ac.uk NR 39 TC 73 Z9 73 U1 0 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 NOV PY 2007 VL 31 IS 11 BP 3503 EP 3544 DI 10.1016/j.jedc.2006.12.004 PG 42 WC Economics SC Business & Economics GA 220UG UT WOS:000250182200003 ER PT J AU Fujita, S Ramey, G AF Fujita, Shigeru Ramey, Garey TI Job matching and propagation SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE unemployment; vacancies; labor adjustment; matching ID REAL-BUSINESS-CYCLE; CYCLICAL BEHAVIOR; UNEMPLOYMENT; SHOCKS; DESTRUCTION; VACANCIES; DYNAMICS; SEARCH AB In the U.S. labor market, the vacancy-unemployment ratio and employment react sluggishly to productivity shocks. We show that the job matching model in its standard form cannot reproduce these patterns due to excessively rapid vacancy responses. Extending the model to incorporate sunk costs for vacancy creation yields highly realistic dynamics. Creation costs induce entrant firms to smooth the adjustment of new openings following a shock, leading the stock of vacancies to react sluggishly. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Ten Independence Mall, Philadelphia, PA 19106 USA. Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. RP Fujita, S (reprint author), Fed Reserve Bank Philadelphia, Ten Independence Mall, Philadelphia, PA 19106 USA. EM shigeru.fujita@phil.frb.org; gramey@ucsd.edu NR 27 TC 31 Z9 31 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 NOV PY 2007 VL 31 IS 11 BP 3671 EP 3698 DI 10.1016/j.jedc.2006.12.008 PG 28 WC Economics SC Business & Economics GA 220UG UT WOS:000250182200009 ER PT J AU Andolfatto, D Nosal, E Wallace, N AF Andolfatto, David Nosal, Ed Wallace, Neil TI The role of independence in the Green-Lin Diamond-Dybvig model SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE bank run; implementation; sequential service ID BANK RUNS; IMPLEMENTATION; EQUILIBRIUM AB Green and Lin study a version of the Diamond-Dybvig model with a finite number of agents, independence (independent determination of each agent's type), and sequential service. For special preferences, they show that the ex ante first-best allocation is the unique equilibrium outcome of the model with private information about types. Via a simple argument, it is shown that uniqueness of the truth-telling equilibrium holds for general preferences-and, in particular, for a constrained-efficient allocation whether first-best or not. The crucial assumption is independence. (c) 2007 Elsevier Inc. All rights reserved. C1 [Wallace, Neil] Penn State Univ, Dept Econ, University Pk, PA 16802 USA. [Andolfatto, David] Simon Fraser Univ, Dept Econ, Burnaby, BC V5A 1S6, Canada. [Nosal, Ed] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Wallace, N (reprint author), Penn State Univ, Dept Econ, 612 Kern Grad Bldg, University Pk, PA 16802 USA. EM dandolfa@sfu.ca; ed.nosal@clev.frb.org; neilw@psu.edu RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 7 TC 17 Z9 17 U1 4 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 2007 VL 137 IS 1 BP 709 EP 715 DI 10.1016/j.jet.2006.11.004 PG 7 WC Economics SC Business & Economics GA 246PU UT WOS:000252020200033 ER PT J AU Gurkaynaka, RS Sack, B Wright, JH AF Gurkaynaka, Refet S. Sack, Brian Wright, Jonathan H. TI The US Treasury yield curve: 1961 to the present SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE yield curve; treasury market; on the run premia; high-frequency data AB The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers and practitioners do not have available to them a long history of high-frequency yield curve estimates. This paper fills that void by making public the Treasury yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present. We use a well-known and simple smoothing method that is shown to fit the data very well. The resulting estimates can be used to compute yields or forward rates for any horizon. We hope that the data, which are posted on the website http://www.federalreserve.gov/pubs/feds/2006 and which will be updated quarterly, will provide a benchmark yield curve that will be useful to applied economists. (c) 2007 Elsevier B.V. All rights reserved. C1 [Wright, Jonathan H.] Fed Reserve Board, Washington, DC 20551 USA. [Gurkaynaka, Refet S.] Bilkent Univ, Dept Econ, TR-06800 Ankara, Turkey. [Sack, Brian] Macroecon Advisers LLC, Washington, DC 20006 USA. [Gurkaynaka, Refet S.] CEPR, London, England. RP Wright, JH (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM refet@bilkent.edu.tr; sack@macroadvisers.com; jonathan.h.wright@frb.gov NR 15 TC 150 Z9 150 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 NOV PY 2007 VL 54 IS 8 BP 2291 EP 2304 DI 10.1016/j.jmoneco.2007.06.029 PG 14 WC Business, Finance; Economics SC Business & Economics GA 246MN UT WOS:000252011200007 ER PT J AU Bullard, J Feigenbaum, J AF Bullard, James Feigenbaum, James TI A leisurely reading of the life-cycle consumption data SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE life-cycle consumption and saving; overlapping generations; consumption humps ID INCOME; MODEL AB A puzzle in consumption theory is the observation of a hump in age-consumption profiles. This paper studies a general equilibrium life-cycle economy with capital in which households include both consumption and leisure in their period utility function. A calibrated version of the model shows that a significant hump in life-cycle consumption is a feature of the equilibrium. Thus inclusion of leisure in household preferences may provide part of the explanation of observed life-cycle consumption humps. (c) 2007 Elsevier B.V. All rights reserved. C1 [Bullard, James] Fed Reserve Bank St Louis, St Louis, MO USA. [Feigenbaum, James] Univ Pittsburgh, Pittsburgh, PA 15260 USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM bullard@stls.frb.org; jfeigen+@pitt.edu RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 29 TC 23 Z9 23 U1 4 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 NOV PY 2007 VL 54 IS 8 BP 2305 EP 2320 DI 10.1016/j.jmoneco.2007.06.025 PG 16 WC Business, Finance; Economics SC Business & Economics GA 246MN UT WOS:000252011200008 ER PT J AU Chari, VV Kehoe, PJ AF Chari, V. V. Kehoe, Patrick J. TI On the need for fiscal constraints in a monetary union SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE free riding problem; growth and stability pact; time inconsistency; international cooperation ID POLICY AB The desirability of fiscal constraints in monetary unions depends critically on whether the monetary authority can commit to following its policies. If it can commit, then debt constraints can only impose costs. If it cannot commit, then fiscal policy has a free-rider problem, and debt constraints may be desirable. This type of free-rider problem is new and arises only because of a time inconsistency problem. (c) 2007 Elsevier B.V. All rights reserved. C1 [Chari, V. V.; Kehoe, Patrick J.] Univ Minnesota, Minneapolis, MN 55455 USA. [Chari, V. V.; Kehoe, Patrick J.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55041 USA. [Kehoe, Patrick J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Kehoe, PJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM pkehoe@res.mpls.frb.fed.us NR 19 TC 18 Z9 18 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 2007 VL 54 IS 8 BP 2399 EP 2408 DI 10.1016/j.jmoneco.2007.06.032 PG 10 WC Business, Finance; Economics SC Business & Economics GA 246MN UT WOS:000252011200012 ER PT J AU Edge, RM Laubach, T Williams, JC AF Edge, Rochelle M. Laubach, Thomas Williams, John C. TI Learning and shifts in long-run productivity growth SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE DGE models; Kalman filter; real-time data; productivity shocks ID ECONOMY; MODEL AB An extensive literature has analyzed the macroeconomic effects of shocks to the level of aggregate productivity; however, there has been little corresponding research on sustained shifts in the growth rate of productivity. In this paper, we examine the effects of shocks to productivity growth in a dynamic general equilibrium model where agents do not directly observe whether shocks are transitory or persistent. We show that an estimated Kalman filter model using real-time data describes economists' long-run productivity growth forecasts in the United States extremely well and that filtering has profound implications for the macroeconomic effects of shifts in productivity growth. Published by Elsevier B.V. C1 [Williams, John C.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Edge, Rochelle M.; Laubach, Thomas] Fed Reserve Board, Washington, DC 20551 USA. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM john.c.williams@sf.frb.org RI Williams, John/A-8226-2009 NR 29 TC 31 Z9 31 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 NOV PY 2007 VL 54 IS 8 BP 2421 EP 2438 DI 10.1016/j.jmoneco.2007.01.003 PG 18 WC Business, Finance; Economics SC Business & Economics GA 246MN UT WOS:000252011200014 ER PT J AU Coenen, G Levin, AT Christoffel, K AF Coenen, Guenter Levin, Andrew T. Christoffel, Kai TI Identifying the influences of nominal and real rigidities in aggregate price-setting behavior SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE overlapping contracts; nominal rigidity; real rigidity; inflation persistence; simulation-based indirect inference ID MONETARY-POLICY; RATIONAL-EXPECTATIONS; INFLATION DYNAMICS; MODELS; STICKY; PERSISTENCE; CONTRACTS; MONEY; EQUILIBRIUM; OUTPUT AB We formulate a generalized price-setting framework that incorporates staggered contracts of multiple durations and that enables us to directly identify the influences of nominal vs. real rigidities. We estimate this framework using macroeconomic data for Germany (1975-1998) and for the U.S. (1983-2003). In each case, we find that the data are well-characterized by nominal contracts with an average duration of about two to three quarters. We also find that new contracts exhibit very low sensitivity to marginal cost, corresponding to a relatively high degree of real rigidity. Finally, our results indicate that backward-looking price-setting behavior (such as indexation to lagged inflation) is not needed in explaining the aggregate data, at least in an environment with a stable monetary policy regime and a transparent and credible inflation objective. (c) 2007 Elsevier B.V. All rights reserved. C1 [Levin, Andrew T.] Fed Reserve Board, Washington, DC USA. [Coenen, Guenter; Christoffel, Kai] European Cent Bank, Frankfurt, Germany. RP Levin, AT (reprint author), Fed Reserve Board, Washington, DC USA. EM andrew.levin@frb.gov NR 66 TC 18 Z9 18 U1 2 U2 3 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 NOV PY 2007 VL 54 IS 8 BP 2439 EP 2466 DI 10.1016/j.jmoneco.2006.12.017 PG 28 WC Business, Finance; Economics SC Business & Economics GA 246MN UT WOS:000252011200015 ER PT J AU Fernald, JG AF Fernald, John G. TI Trend breaks, long-run restrictions, and contractionary technology improvements SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE technology; business cycles; structural change; long-run restrictions ID BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; SHOCKS; GROWTH; PRODUCTIVITY; HYPOTHESIS; MODELS AB Structural vector autoregressions with long-run restrictions are extraordinarily sensitive to low-frequency correlations. Recent literature finds that the estimated effects of technology shocks are sensitive to how one treats hours per capita. However, after allowing for (statistically and economically significant) trend breaks in productivity, results are much less sensitive: hours fall when technology improves. The issue is that the common high-low-high pattern of productivity growth and hours (i.e., the low-frequency correlation) inevitably leads to a positive estimated response. The trend breaks control for this correlation. This example suggests a practical need for care in using long-run restrictions. (c) 2007 Elsevier B.V. All rights reserved. C1 [Fernald, John G.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Fernald, JG (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM john.fernald@sf.frb.org NR 33 TC 50 Z9 50 U1 2 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 NOV PY 2007 VL 54 IS 8 BP 2467 EP 2485 DI 10.1016/j.jmoneco.2007.06.031 PG 19 WC Business, Finance; Economics SC Business & Economics GA 246MN UT WOS:000252011200016 ER PT J AU Edge, RM Rudd, JB AF Edge, Rochelle M. Rudd, Jeremy B. TI Taxation and the Taylor principle SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Taylor principle; equilibrium determinacy ID MONETARY-POLICY RULES AB A nominal tax system is added to a sticky-price monetary business cycle model. When nominal interest income is taxed, the coefficient on inflation in a Taylor-type monetary policy rule must be significantly larger than one in order for the model economy to have a determinate rational-expectations equilibrium. When effective tax rates are raised by inflation, the stability of the economy's equilibrium can be adversely affected. Finally, when depreciation is treated as a charge against taxable income, an even larger weight on inflation is required in the Taylor rule in order to obtain a determinate and stable equilibrium. 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, 20th & C St NW, Washington, DC 20551 USA. EM rochelle.m.edge@frb.gov NR 7 TC 8 Z9 8 U1 0 U2 3 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 NOV PY 2007 VL 54 IS 8 BP 2554 EP 2567 DI 10.1016/j.jmoneco.2007.06.026 PG 14 WC Business, Finance; Economics SC Business & Economics GA 246MN UT WOS:000252011200021 ER PT J AU Davis, MA Heathcote, J AF Davis, Morris A. Heathcote, Jonathan TI The price and quantity of residential land in the United States SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE land; land value; land prices; house prices ID HOUSING-MARKET AB One can conceptualize a house as a bundle comprising a reproducible tangible structure and a nonreproducible plot of land. When the value of a home is decomposed this way, land capitalizes the market value of a home's location. We develop a formal relationship between the dynamics of house prices, structures costs and land prices, and thereby construct the first constant-quality price and quantity indexes for the aggregate stock of residential land in the United States. In a range of applications we show that these series can shed light on trends, fluctuations and regional variation in the price of housing. (c) 2007 Elsevier B.V. All rights reserved. C1 [Davis, Morris A.] Univ Wisconsin, Dept Real Estate & Urban Land Econ, Madison, WI 53706 USA. [Heathcote, Jonathan] Fed Reserve Board, Washington, DC USA. [Heathcote, Jonathan] Georgetown Univ, Washington, DC 20057 USA. [Heathcote, Jonathan] CEPR, Minneapolis, MN USA. RP Davis, MA (reprint author), Univ Wisconsin, Dept Real Estate & Urban Land Econ, 5261 Grainger Hall,975 Univ Ave, Madison, WI 53706 USA. EM mdavis@bus.wisc.edu NR 36 TC 78 Z9 79 U1 6 U2 23 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 NOV PY 2007 VL 54 IS 8 BP 2595 EP 2620 DI 10.1016/j.jmoneco.2007.06.023 PG 26 WC Business, Finance; Economics SC Business & Economics GA 246MN UT WOS:000252011200024 ER PT J AU Aruoba, SB Rocheteau, G Waller, C AF Aruoba, S. Boragan Rocheteau, Guillaume Waller, Christopher TI Bargaining and the value of money SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE money; bargaining; search; inflation ID SEARCH; PRICES; MODELS; EQUILIBRIUM; EFFICIENCY; ECONOMICS AB Search models of monetary exchange have typically relied on Nash [1950. The bargaining problem. Econometrica 18, 155-162] bargaining, or strategic games that yield an equivalent outcome, to determine the terms of trade. By considering alternative axiomatic bargaining solutions in a search model with divisible money, we show that the properties of the bargaining solutions do matter both qualitatively and quantitatively for questions of first-degree importance in monetary economics such as: (i) the efficiency of monetary equilibrium; (ii) the optimality of the Friedman rule and (iii) the welfare cost of inflation. (C) 2007 Elsevier B.V. All rights reserved. C1 [Waller, Christopher] Univ Notre Dame, Notre Dame, IN 46556 USA. [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Aruoba, S. Boragan] Univ Maryland, College Pk, MD 20742 USA. RP Waller, C (reprint author), Univ Notre Dame, Notre Dame, IN 46556 USA. EM cwaller@nd.edu RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 25 TC 31 Z9 32 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 NOV PY 2007 VL 54 IS 8 BP 2636 EP 2655 DI 10.1016/j.jmoneco.2007.07.003 PG 20 WC Business, Finance; Economics SC Business & Economics GA 246MN UT WOS:000252011200026 ER PT J AU Engelhardt, GV Kumar, A AF Engelhardt, Gary V. Kumar, Anil TI Employer matching and 401(k) saving: Evidence from the health and retirement study SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article; Proceedings Paper CT Trans-Atlantic Public Economics Seminat (TAPES) CY JUN 12-14, 2006 CL Uppsala, SWEDEN SP Natl Bur Econ Res, Uppsala Univ DE employer matching; saving; taxation; private pensions ID ENDOGENOUS EXPLANATORY VARIABLES; NONLINEAR BUDGET SETS; NONPARAMETRIC-ESTIMATION; PLANS; PARTICIPATION; ECONOMETRICS; MODELS; CONSTRAINTS; CONSUMER; BEHAVIOR AB Employer matching of employee 401(k)contributions is often touted as a powerful incentive to save for retirement and is a key component in pension-plan design in the United States. Using detailed administrative contribution, earnings, and pension-plan data from the Health and Retirement Study, this analysis formulates a life-cycle-consistent econometric specification of 401(k) saving and estimates the determinants of saving accounting for non-linearities in the household budget set induced by matching. The participation estimates indicate that an increase in the match rate by 25 cents per dollar of employee contribution raises 401(k) participation by 5 percentage points. The parametric and semi-parametric estimates for saving indicate that an increase in the match rate by 25 cents per dollar of employee contribution raises 401(k) saving by $365 (in 1991 dollars). Overall, the analysis reveals that the 401(k) saving response to matching is quite inelastic, and, hence, matching is a rather poor policy instrument with which to raise retirement saving. (c) 2007 Elsevier B.V. All rights reserved. C1 [Engelhardt, Gary V.] Syracuse Univ, Dept Econ, Syracuse, NY 13244 USA. [Engelhardt, Gary V.] Syracuse Univ, Ctr Policy Res, Syracuse, NY 13244 USA. [Kumar, Anil] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. RP Engelhardt, GV (reprint author), Syracuse Univ, Dept Econ, Syracuse, NY 13244 USA. EM gvengelh@maxwell.syr.edu; anil.kumar@dal.frb.org NR 64 TC 21 Z9 21 U1 1 U2 5 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 NOV PY 2007 VL 91 IS 10 BP 1920 EP 1943 DI 10.1016/j.jpubeco.2007.02.009 PG 24 WC Economics SC Business & Economics GA 240YU UT WOS:000251624900004 ER PT J AU Amromin, G Huang, J Sialm, C AF Amromin, Gene Huang, Jennifer Sialm, Clemens TI The tradeoff between mortgage prepayments and tax-deferred retirement savings SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article; Proceedings Paper CT Trans-Atlantic Public Economics Seminat (TAPES) CY JUN 12-14, 2006 CL Uppsala, SWEDEN SP Natl Bur Econ Res, Uppsala Univ DE tax arbitrages; debt aversion; savings choice ID ASSET LOCATION; INTEREST-RATES; CHOICE; INVESTORS; PARTICIPATION; CONSUMPTION; PSYCHOLOGY; ALLOCATION; BANKRUPTCY; BEHAVIOR AB Many households face the tradeoff between paying an extra dollar off the remaining mortgage on their house and saving that extra dollar in tax-deferred accounts (TDAs) used for retirement. We show that, under certain conditions, it becomes a tax arbitrage to reduce mortgage prepayments and to increase TDA contributions because of the tax deductibility of mortgage interest and tax-exemption of qualified retirement savings. Using data from the Survey of Consumer Finances, we document that a significant number of households that are accelerating their mortgage payments instead of saving in TDAs forgo a profitable tax arbitrage opportunity. Finally, we show empirically that this inefficient behavior is unlikely to be driven by liquidity or other financial constraints. Rather, the observed behavior can be attributed to a certain extent to the reluctance of many households to participate in financial markets as either lenders or borrowers. (c) 2007 Elsevier B.V. All rights reserved. C1 [Huang, Jennifer; Sialm, Clemens] Univ Texas Austin, McCombs Sch Business, Austin, TX 78712 USA. [Sialm, Clemens] NBER, Austin, TX 78712 USA. [Amromin, Gene] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Sialm, C (reprint author), Univ Texas Austin, McCombs Sch Business, Austin, TX 78712 USA. EM gamromin@frbchi.org; jennifer.huang@mccombs.utexas.edu; clemens.sialm@mccombs.utexas.edu RI Amromin, Gene/B-7425-2011 NR 50 TC 14 Z9 14 U1 4 U2 18 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 NOV PY 2007 VL 91 IS 10 BP 2014 EP 2040 DI 10.1016/j.jpubeco.2007.03.011 PG 27 WC Economics SC Business & Economics GA 240YU UT WOS:000251624900008 ER PT J AU Marquez, J Schindler, J AF Marquez, Jaime Schindler, John TI Exchange-rate Effects on China's Trade SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article AB Though China's share of world trade exceeds that of Japan, little is known about the response of China's trade to changes in exchange rates. The few estimates available have two limitations. First, the data for trade prices are based on proxies for prices from other countries. Secondly, the estimation sample includes the period of China's transformation from a centrally-planned economy to a more market-oriented one. We address these limitations with an empirical model explaining the shares of China's exports and imports in world trade in terms of the real effective value of the renminbi. The specifications control for foreign direct investment and for the role of imports of parts to assemble exports. Parameter estimation uses disaggregated monthly trade data and excludes China's decentralization period. We find that a 10 percent real appreciation of the renminbi lowers the share of aggregate Chinese exports by nearly one percentage point. However, the estimated response of imports is negligible and lacks precision. C1 [Marquez, Jaime; Schindler, John] Fed Reserve Board, Washington, DC 20551 USA. RP Marquez, J (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM jaime.marquez@frb.gov; john.schindler@frb.gov NR 21 TC 33 Z9 34 U1 0 U2 9 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 NOV PY 2007 VL 15 IS 5 BP 837 EP 853 DI 10.1111/j.1467-9396.2007.00700.x PG 17 WC Economics SC Business & Economics GA V22GA UT WOS:000208262500001 ER PT J AU Bergin, P Glick, R AF Bergin, Paul Glick, Reuven TI A Model of Endogenous Nontradability and its Implications for the Current Account SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article AB This paper studies how nontraded goods limit the ability of a country to finance current account deficits. It uses an intertemporal model of the current account for a small open economy where goods are endogenously nontraded due to explicit trade costs. The economy has an endowment of two goods with differing trade costs, either of which can be traded or nontraded in equilibrium. The model implies that current account deficits impose a cost, in the form of raising the effective interest rate in the country. The findings differ from some recent studies: first, in that the interest rate rises even for countries with modest current account deficits; secondly, the interest rate cost eventually reaches an upper bound as current account deficits grow, and progressively more nontraded goods become traded to service the debt. Panel regression analysis of interest rate and current account data is consistent with our conclusions. C1 [Bergin, Paul] Univ Calif Davis, Davis, CA 95616 USA. [Glick, Reuven] Fed Reserve Bank, Econ Res Dept, San Francisco, CA 96105 USA. RP Bergin, P (reprint author), Univ Calif Davis, 1 Shields Ave, Davis, CA 95616 USA. EM prbergin@ucdavis.edu; reuven.glick@sf.frb.org NR 8 TC 1 Z9 1 U1 0 U2 1 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 NOV PY 2007 VL 15 IS 5 BP 916 EP 931 DI 10.1111/j.1467-9396.2007.00662.x PG 16 WC Economics SC Business & Economics GA V22GA UT WOS:000208262500007 ER PT J AU Swanson, ET AF Swanson, Eric T. TI Real wage cyclicality in the panel study of income dynamics Real wage cyclicality in the panel study of income dynamics SO SCOTTISH JOURNAL OF POLITICAL ECONOMY LA English DT Article ID BUSINESS-CYCLE; TIME AB Previous studies of real wage cyclicality have made only sparing use of the micro-data detail that is available in the Panel Study of Income Dynamics (PSID). The present paper brings to bear this additional detail to investigate the robustness of the previous results and to examine whether there are important cross-sectional and demographic differences in wage cyclicality. Although real wages were procyclical across the entire distribution of workers from 1967 to 1991, the wages of lower-income, younger, and less-educated workers exhibited greater procyclicality. However, workers' straight-time hourly pay rates have been acyclical, suggesting that more variable pay margins such as bonuses, overtime, late shift premia, and commissions have played a substantial if not primary role in generating procyclicality. C1 Fed Reserve Bank, San Francisco, CA 94105 USA. RP Swanson, ET (reprint author), Fed Reserve Bank, San Francisco, CA 94105 USA. NR 25 TC 7 Z9 7 U1 0 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0036-9292 J9 SCOT J POLIT ECON JI Scott. J. Polit. Econ. PD NOV PY 2007 VL 54 IS 5 BP 617 EP 647 DI 10.1111/j.1467-9485.2007.00433.x PG 31 WC Economics; Political Science SC Business & Economics; Government & Law GA 226KL UT WOS:000250587800003 ER PT J AU Beyeler, WE Glass, RJ Bech, ML Soramaki, K AF Beyeler, Walter E. Glass, Robert J. Bech, Morten L. Soramaki, Kimmo TI Congestion and cascades in payment systems SO PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS LA English DT Article DE network; topology; interbank; payment; money market; sandpile model; congestion ID MARKET-MODELS; NETWORKS; TRANSMISSION; INFORMATION; MANAGEMENT; BEHAVIOR AB We develop a parsimonious model of the interbank payment system. The model incorporates an endogenous instruction arrival process, a scale-free topology of payments between banks, a fixed total liquidity which limits banks' capacity to process arriving instructions, and a global market that distributes liquidity. We find that at low liquidity the system becomes congested and payment settlement loses correlation with payment instruction arrival, becoming coupled across the network. The onset of congestion is evidently related to the relative values of three characteristic times: the time for banks' net position to return to 0, the time for a bank to exhaust its liquidity endowment, and the liquidity market relaxation time. In the congested regime settlement takes place in cascades having a characteristic length scale. A global liquidity market substantially attenuates congestion, requiring only a small fraction of the payment-induced liquidity flow to achieve strong beneficial effects. (C) 2007 Elsevier B.V. All rights reserved. C1 Sandia Natl Labs, Albuquerque, NM 87185 USA. Fed Reserve Bank New York, New York, NY USA. Helsinki Univ Technol, Helsinki, Finland. RP Beyeler, WE (reprint author), Sandia Natl Labs, POB 5800, Albuquerque, NM 87185 USA. EM webeyel@sandia.gov NR 27 TC 11 Z9 11 U1 1 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4371 J9 PHYSICA A JI Physica A PD OCT 15 PY 2007 VL 384 IS 2 BP 693 EP 718 DI 10.1016/j.physa.2007.05.061 PG 26 WC Physics, Multidisciplinary SC Physics GA 217IU UT WOS:000249942400053 ER PT J AU Rose, AK Spiegel, MM AF Rose, Andrew K. Spiegel, Mark M. TI Offshore financial centres: Parasites or symbionts SO ECONOMIC JOURNAL LA English DT Article ID TAX HAVENS; FLOWS AB This article analyses the causes and consequences of offshore financial centres (OFCs). While OFCs are likely to encourage bad behaviour in source countries, they may also have unintended positive consequences, such as providing competition for the domestic banking sector. We derive and simulate a model of a home country monopoly bank facing a representative competitive OFC which offers tax advantages attained by moving assets offshore at a cost that is increasing in distance to the OFC. Our model predicts that proximity to an OFC is likely to be pro-competitive. We test and confirm the predictions empirically. OFC proximity is associated with a more competitive domestic banking system and greater overall financial depth. C1 Univ Calif Berkeley, Berkeley, CA 94720 USA. Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Rose, AK (reprint author), Univ Calif Berkeley, Berkeley, CA 94720 USA. RI Rose, Andrew/I-1578-2014 OI Rose, Andrew/0000-0003-1100-1212 NR 17 TC 26 Z9 27 U1 1 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 OCT PY 2007 VL 117 IS 523 BP 1310 EP 1335 DI 10.1111/j.1468-0297.2007.02084.x PG 26 WC Economics SC Business & Economics GA 213XN UT WOS:000249700700006 ER PT J AU McCracken, MW AF McCracken, Michael W. TI Asymptotics for out of sample tests of Granger causality SO JOURNAL OF ECONOMETRICS LA English DT Article DE granger causality; forecast evaluation; hypothesis testing; model selection ID OUT-OF-SAMPLE; TIME-SERIES MODELS; PREDICTIVE ABILITY; FORECAST EVALUATION; DIFFUSION INDEXES; EXCHANGE-RATES; INFERENCE; ACCURACY; FUNDAMENTALS; CONSUMPTION AB This paper presents analytical, Monte Carlo and empirical evidence concerning out-of-sample tests of Granger causality. The environment is one in which the relative predictive ability of two nested parametric regression models is of interest. Results are provided for three statistics: a regression-based statistic suggested by Granger and Newbold [1977. Forecasting Economic Time Series. Academic Press Inc., London], a t-type statistic comparable to those suggested by Diebold and Mariano [1995, Comparing Predictive Accuracy. Journal of Business and Economic Statistics, 13, 253-263] and West [1996. Asymptotic Inference About Predictive Ability, Econometrica, 64, 1067-1084], and an F-type statistic akin to Theil's U. Since the asymptotic distributions under the null are nonstandard, tables of asymptotically valid critical values are provided. Monte Carlo evidence supports the theoretical results. An empirical example evaluates the predictive content of the Chicago Fed National Activity Index for growth in Industrial Production and core PCE-based inflation. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP McCracken, MW (reprint author), Fed Reserve Syst, Board Governors, 20th & Constitut NW, Washington, DC 20551 USA. EM michael.w.mccracken@frb.gov RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 56 TC 146 Z9 148 U1 5 U2 17 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD OCT PY 2007 VL 140 IS 2 BP 719 EP 752 DI 10.1016/j.jeconom.2006.07.020 PG 34 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 209TF UT WOS:000249410200015 ER PT J AU Marazzi, M Sheets, N AF Marazzi, Mario Sheets, Nathan TI Declining exchange rate pass-through to US import prices: The potential role of global factors SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE exchange rate pass-through; import prices; inflation; external adjustment; US current account; China ID PRICING-TO-MARKET; UNITED-STATES; TRADE AB This paper documents a robust and sustained decline in exchange rate pass-through to U.S. import prices, from well above 0.5 during the 1970s and 1980s to around 0.2 over the last decade. We attribute this decline to the rising prominence of competition from China, a shift in import pricing behavior since the Asian financial crisis, and the reduced share of material-intensive goods in U.S. imports. We also find evidence that foreign exporters are increasingly setting their prices with an eye on U.S. prices. These results, in turn, suggest a new and more general hypothesis linking the decline in pass-through to the evolving nature of competition in global markets and structural changes in international production patterns. (c) 2007 Elsevier Ltd. All rights reserved. C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Sheets, N (reprint author), Fed Reserve Board, Div Int Finance, 20th & C St,NW, Washington, DC 20551 USA. EM nathan.sheets@frb.gov NR 33 TC 38 Z9 40 U1 1 U2 4 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 OCT PY 2007 VL 26 IS 6 BP 924 EP 947 DI 10.1016/j.jimonfin.2006.12.003 PG 24 WC Business, Finance SC Business & Economics GA 205BJ UT WOS:000249087600004 ER PT J AU Bekaert, G Wei, M Xing, YH AF Bekaert, Geert Wei, Min Xing, Yuhang TI Uncovered interest rate parity and the term structure SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE foreign exchange; term structure; uncovered interest rate parity; expectations hypotheses; unbiasedness hypothesis ID EXCHANGE-RATE DYNAMICS; FOREIGN-EXCHANGE; MONETARY-POLICY; STRUCTURE MODELS; EXPECTATIONS; RISK; LONG; PREDICTORS; PREMIUMS; BEHAVIOR AB This paper examines uncovered interest rate parity (UIRP) and the expectations hypotheses of the term structure (EHTS) at both short and long horizons. The statistical evidence against UIRP is mixed and is currency- not horizon-dependent. Economically, the deviations from UIRP are less pronounced than previously documented. The evidence against the EHTS is statistically more uniform, but, economically, actual spreads and theoretical spreads (spreads constructed under the null of the EHTS) do not behave very differently, especially at long horizons. Partly because of this, the deviations from the EHTS only play a minor role in explaining deviations from UIRP at long horizons. (c) 2007 Elsevier Ltd. All rights reserved. C1 Columbia Business Sch, New York, NY 10027 USA. Board Governors Fed Reserve, Div Monetary Affairs, Washington, DC 20551 USA. Rice Univ, Jones Grad Sch Management, Houston, TX 77251 USA. RP Bekaert, G (reprint author), Columbia Business Sch, 808 Uris Hall,3022 Broadway, New York, NY 10027 USA. EM gb241@columbia.edu; min.wei@frb.gov; yxing@rice.edu NR 40 TC 31 Z9 31 U1 1 U2 4 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 OCT PY 2007 VL 26 IS 6 BP 1038 EP 1069 DI 10.1016/j.jimonfin.2007.05.004 PG 32 WC Business, Finance SC Business & Economics GA 205BJ UT WOS:000249087600009 ER PT J AU Del Negro, M Otrok, C AF Del Negro, Marco Otrok, Christopher TI 99 Luftballons: Monetary policy and the house price boom across US states SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE housing; monetary policy; Bayesian analysis ID MODELS AB We use a dynamic factor model estimated on quarterly state-level data from 1986 to 2005 via Bayesian methods to disentangle the relative importance of the common component in OFHEO house price movements from local (state- or region-specific) shocks. We find that historically movements in house prices were mainly driven by the local component. The recent period (2001-2005) has been different: the increase in house prices is a national phenomenon. We use a VAR to investigate the extent to which expansionary monetary policy is responsible for this phenomenon. We find the impact of policy shocks on house prices to be small in comparison with the magnitude of recent fluctuations. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Virginia, Charlottesville, VA 22903 USA. Fed Res Bank, Atlanta, GA USA. RP Otrok, C (reprint author), Univ Virginia, Charlottesville, VA 22903 USA. EM marcodelnegro@frbatianta.org; cmo3h@virginia.edu RI Otrok, Christopher/B-6507-2008 NR 34 TC 49 Z9 49 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 OCT PY 2007 VL 54 IS 7 BP 1962 EP 1985 DI 10.1016/j.jmoneco.2006.11.003 PG 24 WC Business, Finance; Economics SC Business & Economics GA 228NB UT WOS:000250735500008 ER PT J AU Evans, CL Marshall, DA AF Evans, Charles L. Marshall, David A. TI Economic determinants of the nominal treasury yield curve SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE term structure; monetary policy; vector autoregression; identification ID MONETARY-POLICY; TERM STRUCTURE; BUSINESS-CYCLE; SHOCKS; RETURNS; MODELS AB Macroeconomic shocks account for most of the variability of nominal Treasury yields, inducing parallel shifts in the level of the yield curve. We develop a new approach to identifying macroeconomic shocks that exploits model-based empirical shock measures. Technology shocks shift yields through their effect on expected inflation and the term premium. Shocks to preferences for current consumption affect yields through their impact on real rates and expected inflation. For both shocks, the systematic reaction of monetary policy is an important transmission pathway. We find little evidence that fiscal policy shocks are an important source of interest rate variability. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Res Bank, Chicago, IL 60604 USA. RP Marshall, DA (reprint author), Fed Res Bank, Chicago, IL 60604 USA. EM david.marshall@chi.frb.org NR 25 TC 28 Z9 28 U1 1 U2 8 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 2007 VL 54 IS 7 BP 1986 EP 2003 DI 10.1016/j.jmoneco.2006.12.015 PG 18 WC Business, Finance; Economics SC Business & Economics GA 228NB UT WOS:000250735500009 ER PT J AU Wang, PF Wen, Y AF Wang, Pengfei Wen, Yi TI Inflation dynamics: A cross-country investigation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE sticky information; sticky prices; inflation dynamics; inflation comovement; money ID STICKY-PRICE MODELS; RATIONAL-EXPECTATIONS; MONETARY-POLICY; MONEY AB We document that "persistent and lagged" inflation (with respect to output) is a world-wide phenomenon in that these short-run inflation dynamics are highly synchronized across countries. In particular, the average cross-country correlation of inflation is significantly and systematically stronger than that of output, while the cross-country correlation of money growth is essentially zero. We investigate whether standard monetary models driven by monetary shocks are consistent with the empirical facts. We find that neither the new Keynesian sticky-price model nor the sticky-information model can fully explain the data. An independent contribution of the paper is to provide a simple solution technique for solving general equilibrium models with sticky information. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Res Bank St Louis, Res Dept, St Louis, MO 63144 USA. Cornell Univ, Dept Econ, Ithaca, NY 14853 USA. RP Wen, Y (reprint author), Fed Res Bank St Louis, Res Dept, St Louis, MO 63144 USA. EM yi.wen@stis.frb.org RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 36 TC 14 Z9 15 U1 3 U2 10 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 2007 VL 54 IS 7 BP 2004 EP 2031 DI 10.1016/j.jmoneco.2006.07.007 PG 28 WC Business, Finance; Economics SC Business & Economics GA 228NB UT WOS:000250735500010 ER PT J AU Eichenbaum, M Fisher, JDM AF Eichenbaum, Martin Fisher, Jonas D. M. TI Estimating the frequency of price re-optimization in Calvo-style models SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary transmission mechanism; nominal rigidities ID MONETARY-POLICY; INFLATION DYNAMICS; CONTRACTS; MONEY AB This paper assesses the empirical performance Calvo style models of price re-optimization. We first show that versions of these models in which firms update non-re-optimized prices to lagged inflation account well for the statistical behavior of post-war U.S. inflation rates. We then investigate whether these models imply plausible degrees of inertia in price setting behavior by firms. They do, but only if we depart from two standard auxiliary assumptions: monopolistically competitive firms face a constant elasticity of demand, and capital is homogeneous and can be instantaneously reallocated after a shock. We develop a version of the model in which these assumptions are relaxed and show that it is consistent with the view that firms re-optimize prices, on average, once every two quarters. (c) 2006 Published by Elsevier B.V. C1 Northwestern Univ, NBER, Evanston, IL 60208 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Eichenbaum, M (reprint author), Northwestern Univ, NBER, Evanston, IL 60208 USA. EM eich@northwestern.edu NR 28 TC 48 Z9 48 U1 0 U2 2 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 2007 VL 54 IS 7 BP 2032 EP 2047 DI 10.1016/j.jmoneco.2006.07.004 PG 16 WC Business, Finance; Economics SC Business & Economics GA 228NB UT WOS:000250735500011 ER PT J AU Ravenna, F AF Ravenna, Federico TI Vector autoregressions and reduced form representations of DSGE models SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE business cycle models; vector autoregressions; truncation bias ID BUSINESS-CYCLE; RESTRICTIONS; VARS AB The performance of dynamic stochastic general equilibrium models is often tested against estimated VARs. This requires that the data-generating process consistent with the DSGE theoretical model has a finite order VAR representation. This paper discusses the assumptions needed for a finite order VAR(p) representation of a DSGE model to exist. When a VAR(P) is only an approximation to the exact infinite order VAR, the truncated VAR(p) may return largely incorrect estimates of the impulse response function. The results do not hinge on small-sample bias or on incorrect identification assumptions. But the bias introduced by truncation can lead to bias in the identification of the structural shocks. Identification strategies that work in the exact VAR representation perform poorly in the truncated VAR. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. Fed Res Bank San Francisco, San Francisco, CA 94105 USA. RP Ravenna, F (reprint author), Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. EM fravenna@ucsc.edu NR 16 TC 41 Z9 41 U1 1 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 OCT PY 2007 VL 54 IS 7 BP 2048 EP 2064 DI 10.1016/j.jmoneco.2006.09.002 PG 17 WC Business, Finance; Economics SC Business & Economics GA 228NB UT WOS:000250735500012 ER PT J AU Tetlow, RJ Ironside, B AF Tetlow, Robert J. Ironside, Brian TI Real-time model uncertainty in the united states: The fed, 1996-2003 SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE monetary policy; uncertainty; real-time analysis ID MONETARY-POLICY RULES AB We study 30 vintages of FRB/US, the principal macro-model used by the Federal Reserve Board staff for forecasting and policy analysis. We document the surprisingly large and consequential changes in model properties that occurred during the period from July 1996 to November 2003 and compute optimal Taylor-type rules for each vintage. Model uncertainty is shown to be a substantial problem; the efficacy of purportedly optimal policy rules should not be taken on faith. We also find that previous findings that simple rules are robust to model uncertainty may be an overly sanguine conclusion. C1 Fed Reserve Board, Washington, DC 20551 USA. Safeco Insurance Co, Seattle, WA USA. RP Tetlow, RJ (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM rtetlow@frb.gov; briiro@safeco.com NR 42 TC 5 Z9 5 U1 0 U2 1 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 2007 VL 39 IS 7 BP 1533 EP 1561 DI 10.1111/j.1538-4616.2007.00078.x PG 29 WC Business, Finance; Economics SC Business & Economics GA 210JB UT WOS:000249451400001 ER PT J AU Haslag, JH Martin, A AF Haslag, Joseph H. Martin, Antoine TI Optimality of the friedman rule in an overlapping generations model with spatial separation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE Friedman rule; overlapping generations; spatial separation ID MONETARY-POLICY; BANKING CRISES; MONEY; INTERMEDIATION; EQUILIBRIUM; GROWTH AB Recent models with spatial separation and limited communication suggest that the Friedman rule may not be optimal. This is important in light of the disparity between theory and practice concerning optimal monetary policy. We take a close look at these models and show that intergenerational transfers are key to the suboptimality of the Friedman rule. The Friedman rule is a necessary condition for achieving the efficient allocation in equilibrium. We also show that the Friedman rule is chosen whenever agents can implement mutually beneficial arrangements. C1 Univ Missouri, Dept Econ, Columbia, MO 65211 USA. Fed Reserve Bank New York, Res Dept, New York, NY USA. RP Haslag, JH (reprint author), Univ Missouri, Dept Econ, Columbia, MO 65211 USA. EM haslagj@missouri.edu; antoine.martin@ny.frb.org NR 17 TC 7 Z9 7 U1 0 U2 6 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 2007 VL 39 IS 7 BP 1741 EP 1758 DI 10.1111/j.1538-4616.2007.00085.x PG 18 WC Business, Finance; Economics SC Business & Economics GA 210JB UT WOS:000249451400008 ER PT J AU Avery, RB Brevoort, KP Canner, GB AF Avery, Robert B. Brevoort, Kenneth P. Canner, Glenn B. TI Opportunities and issues in using HMDA data SO JOURNAL OF REAL ESTATE RESEARCH LA English DT Article AB Since 1975, the Home Mortgage Disclosure Act (HMDA) has required most mortgage lending institutions to disclose to the public information about the home loans they originate or purchase during a calendar year. In using these data, however, researchers need to be aware of a number of issues and potential problems that characterize HMDA. This article provides a comprehensive enumeration of these issues, focusing on practical problems that can potentially influence choices researchers make in using the data or in interpreting the findings. The article also includes an illustrative example of how the data that is reported in HMDA can be used to gain a better understanding of trends and practices in the home mortgage market. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Avery, RB (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM ravery@frb.gov; Glenn.B.Canner@frb.gov NR 5 TC 22 Z9 22 U1 1 U2 3 PU AMER REAL ESTATE SOC PI CLEMSON PA CLEMSON UNIV, SCH BUSINESS & BEHAVIORAL SCI, DEPT FINANCE, 314 SIRRINE HALL, CLEMSON, SC 29634 USA SN 0896-5803 J9 J REAL ESTATE RES JI J. Real Estate Res. PD OCT-DEC PY 2007 VL 29 IS 4 BP 351 EP 379 PG 29 WC Business, Finance; Economics SC Business & Economics GA 233TO UT WOS:000251113400002 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI Does immigration affect wages? A look at occupation-level evidence SO LABOUR ECONOMICS LA English DT Article DE immigrants; natives; wages ID LABOR-MARKET; INTERNAL MIGRATION; IMPACT; ASSIMILATION; EARNINGS; NATIVES; WORKERS; STATES AB Previous research has reached mixed conclusions about the effect of higher levels of immigration on the wages of natives. This paper reexamines this question using data from the Current Population Survey and the Immigration and Naturalization Service and focuses on differential effects by skill level. Using occupation as a proxy for skill, we find that an increase in the fraction of foreign-bom workers tends to lower the wages of natives in blue collar occupations-particularly after controlling for endogeneity-but does not have a statistically significant negative effect among natives in skilled occupations. The results also indicate that immigrants adjusting their immigration status within the U.S., but not newly arriving immigrants, have a significant negative impact on the wages of low-skilled natives. This suggests that immigrants become closer substitutes for natives as they spend more time in the U.S. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. Agnes Scott Coll, Dept Econ, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM pia.orrenius@dal.frb.org; mzavodny@agnesscott.edu NR 38 TC 27 Z9 27 U1 0 U2 7 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 2007 VL 14 IS 5 BP 757 EP 773 DI 10.1016/j.labeco.2006.09.006 PG 17 WC Economics SC Business & Economics GA 220AX UT WOS:000250130400001 ER PT J AU Leduc, S Sill, K AF Leduc, Sylvain Sill, Keith TI Monetary policy, oil shocks, and TFP: Accounting for the decline in US volatility SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE monetary policy; volatility decline; optimal policy ID MACROECONOMIC STABILITY; BUSINESS-CYCLE; INFLATION; ECONOMY; PRICES; RULES AB An equilibrium model is used to assess the quantitative importance of monetary policy for the post-1984 decline in US inflation and Output volatility. The principal finding is that monetary policy played a substantial role in reducing inflation volatility, but a small role in reducing real Output volatility. The model attributes much of the decline in real output volatility to smaller TFP shocks. We also investigate the pattern of output and inflation volatility under an optimal monetary policy counterfactual. We find that real output volatility would have been somewhat lower, and inflation volatility substantially lower, had monetary policy been set optimally. (c) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. RP Sill, K (reprint author), Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. EM keith.sill@phil.frb.org NR 39 TC 13 Z9 13 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 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2007 VL 10 IS 4 BP 595 EP 614 DI 10.1016/j.red.2007.01.005 PG 20 WC Economics SC Business & Economics GA 225EG UT WOS:000250499300004 ER PT J AU Martin, A Orlando, MJ AF Martin, Antoine Orlando, Michael J. TI Barriers to network-specific investment SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE network; hold-up; commitment; two-sided market; payments ID COMPATIBILITY; COMPETITION; INNOVATION AB We examine incentives for network-specific investment and consider the implications for network governance. We model a two-sided market in which participants making payments over a network platform can invest in a technology that reduces the marginal cost of using the platform. A network effect results in multiple equilibria-either all agents invest and use of the platform is high or no agents invest and use of the platform is low. The high-use equilibrium can be implemented if commitment is feasible. When the platform cannot commit to usage fees, investment in the platform-specific technology will be held up, thus implementing the low-investment equilibrium. As a result, governance structures necessary to achieve commitment will be preferred to those necessary merely to achieve coordination. For example, Mutual ownership by users of a network platform may emerge where users face risk of ex post renegotiation. Such a governance structure will also be sufficient to avoid low investment attributable to the network effect. (c) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, Dept Res, New York, NY 10045 USA. RP Martin, A (reprint author), Fed Reserve Bank New York, Dept Res, New York, NY 10045 USA. EM antoine.martin@ny.frb.org NR 24 TC 2 Z9 2 U1 2 U2 7 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 OCT PY 2007 VL 10 IS 4 BP 705 EP 728 DI 10.1016/j.red.2007.03.001 PG 24 WC Economics SC Business & Economics GA 225EG UT WOS:000250499300008 ER PT J AU Fernandez-Villaverde, J Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. TI Estimating macroeconomic models: A likelihood approach SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID DYNAMIC EQUILIBRIUM ECONOMIES; TECHNOLOGICAL-CHANGE; SIMULATION; MOMENTS; FILTERS AB This paper shows how particle filtering facilitates likelihood-based inference in dynamic macroeconomic models. The economies can be non-linear and/or non-normal. We describe how to use the output from the particle filter to estimate the structural parameters of the model, those characterizing preferences and technology, and to compare different economies. Both tasks can be implemented from either a classical or a Bayesian perspective. We illustrate the technique by estimating a business cycle model with investment-specific technological change, preference shocks, and stochastic volatility. C1 Univ Penn, NBER, Philadelphia, PA 19104 USA. Duke Univ, Durham, NC 27706 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, NBER, Philadelphia, PA 19104 USA. NR 45 TC 103 Z9 104 U1 1 U2 8 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD OCT PY 2007 VL 74 IS 4 BP 1059 EP 1087 DI 10.1111/j.1467-937X.2007.00437.x PG 29 WC Economics SC Business & Economics GA 210CW UT WOS:000249435300003 ER EF