FN Thomson Reuters Web of Science™ VR 1.0 PT J AU Craig, BR Haubrich, JG AF Craig, Ben R. Haubrich, Joseph G. TI Gross Loan Flows SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E32; E51; G21; lending; business cycles; gross flows ID LIQUIDITY; REALLOCATION AB Changes in net lending hide the much larger and more variable gross lending flows. We present a series of stylized facts about gross loan flows and how they vary over time, bank size, and the business cycle. We look at both the intensive (increases and decreases) and extensive (entry and exits) margins. In contrast to the standard result with net lending, gross lending quantities respond to monetary policy. C1 [Craig, Ben R.; Haubrich, Joseph G.] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. RP Craig, BR (reprint author), Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. EM benrcraig@clev.frb.org; jhaubrich@clev.frb.org NR 20 TC 4 Z9 4 U1 1 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 2013 VL 45 IS 2-3 BP 401 EP 421 DI 10.1111/jmcb.12007 PG 21 WC Business, Finance; Economics SC Business & Economics GA 117SA UT WOS:000316972200007 ER PT J AU Duca, JV AF Duca, John V. TI The Money Market Meltdown of the Great Depression SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E44; E50; N12; Great Depression; commercial paper; financial frictions; credit rationing ID IMPERFECT INFORMATION; MONETARY-POLICY; CREDIT AB Consistent with theories of financial frictions, this study finds that higher corporate risk premia and flight-to-quality events contributed to the increased use of a collateralized form of business lending (bankers acceptances) in real levels and relative to that of noncollateralized commercial paper (which plunged) during the Great Depression. These short-lived instruments are more timely measures of credit availability than are bank/business failures and bank loan outstandings. These shifts in the composition of external finance were large, supporting the view that financial frictions rose and credit availability fell during the Great Depression. C1 [Duca, John V.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Duca, John V.] So Methodist Univ, Dallas, TX 75275 USA. RP Duca, JV (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. EM john.v.duca@dal.frb.org NR 39 TC 2 Z9 2 U1 0 U2 10 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 2013 VL 45 IS 2-3 BP 493 EP 504 DI 10.1111/jmcb.12012 PG 12 WC Business, Finance; Economics SC Business & Economics GA 117SA UT WOS:000316972200012 ER PT J AU Crone, TM Khettry, NNK Mester, LJ Novak, JA AF Crone, Theodore M. Khettry, N. Neil K. Mester, Loretta J. Novak, Jason A. TI Core Measures of Inflation as Predictors of Total Inflation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E31; E37; inflation; core inflation; price level; forecasting ID FORECAST AB Policymakers tend to focus on core inflation measures because they are thought to be better predictors of total inflation over time horizons of import to policymakers. We find little support for this assumption. While some measures of core inflation are less volatile than total inflation, core inflation is not necessarily the best predictor of total inflation. The relative forecasting performance of models using core inflation and those using only total inflation depends on the inflation measure and time horizon of the forecast. Unlike previous studies, we provide a measure of the statistical significance of the difference in forecast errors. C1 [Khettry, N. Neil K.] Murray Devine & Co Inc, Philadelphia, PA USA. [Mester, Loretta J.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Mester, Loretta J.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. [Novak, Jason A.] PNC, Pittsburgh, PA USA. RP Crone, TM (reprint author), Swarthmore Coll, Swarthmore, PA 19081 USA. EM tcrone1@swarthmore.edu; nkhettry@murraydevine.com; Loretta.Mester@phil.frb.org; jason.novak@pnc.com NR 23 TC 5 Z9 5 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 MAR-APR PY 2013 VL 45 IS 2-3 BP 505 EP 519 DI 10.1111/jmcb.12013 PG 15 WC Business, Finance; Economics SC Business & Economics GA 117SA UT WOS:000316972200013 ER PT J AU Carlino, GA DeFina, R Sill, K AF Carlino, Gerald A. DeFina, Robert Sill, Keith TI The Long and Large Decline in State Employment Growth Volatility SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E30; E50; R11; state-level variation in employment growth volatility ID MONETARY-POLICY RULES; MACROECONOMIC STABILITY; OIL; INFLATION AB This study documents a general decline in the volatility of employment growth during the period 19562002 and examines its possible sources. We use a panel design that exploits the considerable state-level variation in volatility during the period. The roles of monetary policy, oil prices, industrial employment shifts, and a coincident index of business cycle variables are explored. Overall, these four variables taken together explain as much as 31% of the fluctuations in employment growth volatility. Individually, each of the four factors is found to have significantly contributed to fluctuations in employment growth volatility, although to differing degrees. C1 [Carlino, Gerald A.; Sill, Keith] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [DeFina, Robert] Villanova Univ, Dept Sociol, Villanova, PA 19085 USA. RP Carlino, GA (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. EM jerry.carlino@phil.frb.org; robert.defina@villanova.edu; keith.sill@phil.frb.org NR 22 TC 0 Z9 0 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 MAR-APR PY 2013 VL 45 IS 2-3 BP 521 EP 534 DI 10.1111/jmcb.12014 PG 14 WC Business, Finance; Economics SC Business & Economics GA 117SA UT WOS:000316972200014 ER PT J AU Benhabib, J Corvalan, A Spiegel, MM AF Benhabib, Jess Corvalan, Alejandro Spiegel, Mark M. TI Income and democracy: Evidence from nonlinear estimations SO ECONOMICS LETTERS LA English DT Article DE Income; Democracy; Modernization theory; Censoring; Dynamic panel ID MODERNIZATION AB We test the relation between income and democracy during the postwar period. We employ panel estimation methods that explicitly allow for the fact that the primary measures of democracy are censored with substantial mass at the boundaries. We find that the statistically significant positive income-democracy relationship is robust to the inclusion of country fixed effects. (C) 2012 Elsevier B.V. All rights reserved. C1 [Benhabib, Jess] NYU, New York, NY 10012 USA. [Corvalan, Alejandro] Univ Diego Portales, Santiago, Chile. [Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Corvalan, A (reprint author), Univ Diego Portales, Santiago, Chile. EM jess.benhabib@nyu.edu; alejandro.corvalan@udp.cl; mark.spiegel@sf.frb.org NR 24 TC 7 Z9 7 U1 0 U2 15 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD MAR PY 2013 VL 118 IS 3 BP 489 EP 492 DI 10.1016/j.econlet.2012.12.015 PG 4 WC Economics SC Business & Economics GA 115TA UT WOS:000316833600022 ER PT J AU Azariadis, C Kaas, L AF Azariadis, Costas Kaas, Leo TI Endogenous credit limits with small default costs SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Bankruptcy; Endogenous solvency constraints ID DEBT; MARKETS; CYCLES; RISK; FLUCTUATIONS; CONSTRAINTS; CONSUMPTION; COMMITMENT AB We analyze an exchange economy of unsecured credit where borrowers have the option to declare bankruptcy in which case they are temporarily excluded from financial markets Endogenous credit limits are imposed that are just tight enough to prevent default. Economies with temporary exclusion differ from their permanent exclusion counterparts in two important properties. If households are extremely patient, then the first-best allocation is an equilibrium in the latter economies but not necessarily in the former. In addition, temporary exclusion permits multiple stationary equilibria, with both complete and with incomplete consumption smoothing. (C) 2013 Elsevier Inc. All rights reserved. C1 [Azariadis, Costas] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Azariadis, Costas] Fed Reserve Bank St Louis, St Louis, MO USA. [Kaas, Leo] Univ Konstanz, Dept Econ, D-78457 Constance, Germany. RP Kaas, L (reprint author), Univ Konstanz, Dept Econ, D-78457 Constance, Germany. EM azariadi@artsci.wustl.edu; leo.kaas@uni-konstanz.de NR 20 TC 7 Z9 7 U1 2 U2 15 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 MAR PY 2013 VL 148 IS 2 BP 806 EP 824 DI 10.1016/j.jet.2012.08.004 PG 19 WC Economics SC Business & Economics GA 120HB UT WOS:000317160300016 ER PT J AU Berge, TJ Jorda, O AF Berge, Travis J. Jorda, Oscar TI A chronology of turning points in economic activity: Spain, 1850-2011 SO SERIES-JOURNAL OF THE SPANISH ECONOMIC ASSOCIATION LA English DT Article DE Business cycle; Correct classification frontier; Area under the curve ID BUSINESS CYCLES; STATISTICAL MECHANICS; INFORMATION THEORY; FINANCIAL CRISES; CREDIT BOOMS; CODES AB This paper codifies in a systematic and transparent way a historical chronology of business cycle turning points for Spain reaching back to 1850 at annual frequency, and 1939 at monthly frequency. Such an exercise would be incomplete without assessing the new chronology itself and against others-this we do with modern statistical tools of signal detection theory. We also use these tools to determine which of several existing economic activity indexes provide a better signal on the underlying state of the economy. We conclude by evaluating candidate leading indicators and hence construct recession probability forecasts up to 12 months in the future. C1 [Berge, Travis J.] Fed Reserve Bank Kansas City, Kansas City, KS USA. [Jorda, Oscar] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Jorda, Oscar] Univ Calif Davis, Davis, CA 95616 USA. RP Jorda, O (reprint author), Univ Calif Davis, Davis, CA 95616 USA. EM travis.j.berge@kc.frb.org; ojorda@ucdavis.edu NR 47 TC 3 Z9 3 U1 0 U2 15 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1869-4187 EI 1869-4195 J9 SERIES-J SPAN ECON JI Series-J. Span. Econ. Assoc. PD MAR PY 2013 VL 4 IS 1 BP 1 EP 34 DI 10.1007/s13209-012-0095-6 PG 34 WC Economics SC Business & Economics GA 109WK UT WOS:000316400500001 ER PT J AU Bai, J Ghysels, E Wright, JH AF Bai, Jennie Ghysels, Eric Wright, Jonathan H. TI State Space Models and MIDAS Regressions SO ECONOMETRIC REVIEWS LA English DT Article DE Kalman filter; Mixed frequency data; C22; C52 ID BUSINESS CONDITIONS; MONETARY-POLICY; OUTPUT GROWTH; GERMAN GDP; EURO AREA; FREQUENCIES; RETURN; VOLATILITY; INDICATOR; SERIES AB We examine the relationship between Mi(xed) Da(ta) S(ampling) (MIDAS) regressions and the Kalman filter when forecasting with mixed frequency data. In general, state space models involve a system of equations, whereas MIDAS regressions involve a single equation. As a consequence, MIDAS regressions might be less efficient, but could also be less prone to parameter estimation error and/or specification errors. We examine how MIDAS regressions and Kalman filters match up under ideal circumstances, that is in population, and in cases where all the stochastic processeslow and high frequencyare correctly specified. We characterize cases where the MIDAS regression exactly replicates the steady state Kalman filter weights. We compare MIDAS and Kalman filter forecasts in population where the state space model is misspecified. We also compare MIDAS and Kalman filter forecasts in small samples. The paper concludes with an empirical application. Overall we find that the MIDAS and Kalman filter methods give similar forecasts. In most cases, the Kalman filter is a bit more accurate, but it is also computationally much more demanding. C1 [Bai, Jennie] Fed Reserve Bank New York, New York, NY 10045 USA. [Ghysels, Eric] Univ N Carolina, Dept Finance, Kennan Flagler Sch Business, Chapel Hill, NC 27599 USA. [Ghysels, Eric] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. [Wright, Jonathan H.] Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA. RP Ghysels, E (reprint author), Univ N Carolina, Dept Finance, Kennan Flagler Sch Business, McColl Bldg, Chapel Hill, NC 27599 USA. EM eghysels@unc.edu FU Federal Reserve Bank of New York through the Resident Scholar Program FX We are grateful to Massimiliano Marcellino and two anonymous referees for their very helpful comments on earlier drafts of this manuscript. All errors remain our own. The second author benefited from funding by the Federal Reserve Bank of New York through the Resident Scholar Program. NR 41 TC 17 Z9 17 U1 2 U2 14 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. PD MAR 1 PY 2013 VL 32 IS 7 BP 779 EP 813 DI 10.1080/07474938.2012.690675 PG 35 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 105IV UT WOS:000316061900001 ER PT J AU Kauffman, NS Hayes, DJ AF Kauffman, Nathan S. Hayes, Dermot J. TI The trade-off between bioenergy and emissions with land constraints SO ENERGY POLICY LA English DT Article DE Biofuels; Land use; Life cycle analysis ID CORN-STOVER; MARGINAL LAND; BIOMASS YIELD; SWITCHGRASS; ETHANOL; AVAILABILITY; ENERGY; CROPS AB Agricultural biofuels require the use of scarce land, and this land has opportunity cost. We explore the objective function of a social planner who includes a land constraint in the optimization decision to minimize environmental cost. The inclusion of this land constraint in our optimization model motivates the measurement of emissions on a per-hectare basis. Switchgrass and corn are modeled as competing alternatives to show how the inclusion of a land constraint can influence life cycle rankings and alter policy conclusions. With land use unconstrained, ethanol produced from switchgrass is always an optimal feedstock relative to ethanol produced from corn. With land use constrained, however, our results show that it is unlikely that switchgrass would be optimal in the midwestern United States, but may be optimal in southern states if carbon is priced relatively high. Whether biofuel policy advocates for one feedstock over another should consider these contrasting results. (c) 2012 Elsevier Ltd. All rights reserved. C1 [Kauffman, Nathan S.] Fed Reserve Bank Kansas City, Omaha Branch, Omaha, NE 68102 USA. [Hayes, Dermot J.] Iowa State Univ, Dept Econ, Ames, IA 50010 USA. RP Kauffman, NS (reprint author), Fed Reserve Bank Kansas City, Omaha Branch, 2201 Farnam St, Omaha, NE 68102 USA. EM nathank@iastate.edu OI Hayes, Dermot/0000-0002-6278-7238 NR 26 TC 3 Z9 3 U1 2 U2 37 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 MAR PY 2013 VL 54 BP 300 EP 310 DI 10.1016/j.enpol.2012.11.036 PG 11 WC Energy & Fuels; Environmental Sciences; Environmental Studies SC Energy & Fuels; Environmental Sciences & Ecology GA 106ON UT WOS:000316154500030 ER PT J AU Acharya, VV Schnabl, P Suarez, G AF Acharya, Viral V. Schnabl, Philipp Suarez, Gustavo TI Securitization without risk transfer SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Asset-backed commercial paper (ABCP); Shadow banking; Regulatory arbitrage; Bank capital; Conduits; Structured investment vehicle (SIV) ID FINANCIAL CRISIS; COMMERCIAL PAPER; LIQUIDITY; BANKS AB We analyze asset-backed commercial paper conduits, which experienced a shadow-banking run and played a central role in the early phase of the financial crisis of 2007-2009. We document that commercial banks set up conduits to securitize assets worth $1.3 trillion while insuring the newly securitized assets using explicit guarantees. We show that regulatory arbitrage was an important motive behind setting up conduits. In particular, the guarantees were structured so as to reduce regulatory capital requirements, more so by banks with less capital, and while still providing recourse to bank balance sheets for outside investors. Consistent with such recourse, we find that conduits provided little risk transfer during the run, as losses from conduits remained with banks instead of outside investors and banks with more exposure to conduits had lower stock returns. (C) 2012 Elsevier B.V. All rights reserved. C1 [Acharya, Viral V.; Schnabl, Philipp] NYU, New York, NY 10003 USA. [Acharya, Viral V.; Schnabl, Philipp] NBER, Cambridge, MA 02138 USA. [Suarez, Gustavo] Fed Reserve Board, Washington, DC USA. RP Schnabl, P (reprint author), NYU, New York, NY 10003 USA. EM pschnabl@stern.nyu.edu NR 44 TC 66 Z9 66 U1 10 U2 80 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 2013 VL 107 IS 3 BP 515 EP 536 DI 10.1016/j.jfineco.2012.09.004 PG 22 WC Business, Finance; Economics SC Business & Economics GA 111LW UT WOS:000316523800001 ER PT J AU Polkovnichenko, V Zhao, F AF Polkovnichenko, Valery Zhao, Feng TI Probability weighting functions implied in options prices SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Pricing kernel; Nonparametric estimation; Probability weighting; Rank-dependent utility ID 1ST-ORDER RISK-AVERSION; ANTICIPATED UTILITY; PROSPECT-THEORY; ASSET RETURNS; BOOTSTRAP; CHOICE; PREFERENCES; VOLATILITY; VIOLATIONS; REGRESSION AB The empirical pricing kernels estimated from index options are non-monotone (Rosenberg and Engle, 2002; Bakshi, Madan, and Panayotov, 2010) and the corresponding risk-aversion functions can be negative (Nit-Sahalia and Lo, 2000; Jackwerth, 2000). We show theoretically that these and several other properties of empirical pricing kernels are consistent with rank-dependent utility model with probability weighting function, which overweights tail events. We also estimate the pricing kernels nonparametrically from the Standard & Poor's 500 index options and construct empirical probability weighting functions. The estimated probability weights typically have the inverse-S shape, which overweights tail events and is widely supported by the experimental decision theory. (C) 2012 Elsevier B.V. All rights reserved. C1 [Polkovnichenko, Valery] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. [Zhao, Feng] Univ Texas Dallas, Naveen Jindal Sch Management, Richardson, TX 75083 USA. RP Zhao, F (reprint author), Univ Texas Dallas, Naveen Jindal Sch Management, SM31,POB 830699, Richardson, TX 75083 USA. EM valery.y.polkovnichenko@frb.gov; feng.zhao@utdallas.edu NR 60 TC 9 Z9 10 U1 0 U2 15 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 2013 VL 107 IS 3 BP 580 EP 609 DI 10.1016/j.jfineco.2012.09.008 PG 30 WC Business, Finance; Economics SC Business & Economics GA 111LW UT WOS:000316523800004 ER PT J AU Modestino, AS Dennett, J AF Modestino, Alicia Sasser Dennett, Julia TI Are American homeowners locked into their houses? The impact of housing market conditions on state-to-state migration SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Negative equity; Geographic labor mobility ID RETURN MIGRATION; RESIDENTIAL-MOBILITY; UNITED-STATES; LOSS AVERSION; EQUITY; PRICES AB U.S. policymakers are concerned that negative home equity arising from the housing market crash may be constraining geographic mobility and consequently serving as a factor in the persistently high national unemployment rate. Indeed, the widespread drop in house prices since 2007 has increased the share of homeowners who are underwater on their mortgages. At the same time, migration across states and among homeowners has fallen sharply. Using a logistic regression framework to analyze data from the Internal Revenue Service on state-to-state migration between 2006 and 2009, we discover evidence that "house lock" decreases mobility but find that it has a negligible impact on the national unemployment rate. A one-standard deviation increase in the share of underwater nonprime households in the origin state reduces the outflow of migrants from the origin to the destination state by 2.7%. When aggregated across the United States, this decrease in mobility reduces the national state-to-state migration rate by 0.05 percentage points, resulting in roughly 103,000 to 140,000 fewer individuals migrating across state lines in any given year. A back-of-the-envelope calculation shows that the impact of reduced mobility due to negative housing equity on the national unemployment rate is likely to be small on the order of less than one-tenth of a percentage point each year. (C) 2012 Elsevier B.V. All rights reserved. C1 [Modestino, Alicia Sasser; Dennett, Julia] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Modestino, AS (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02210 USA. EM alicia.sasser@bos.frb.org; julia.dennett@bos.frb.org NR 38 TC 7 Z9 7 U1 1 U2 13 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 2013 VL 43 IS 2 BP 322 EP 337 DI 10.1016/j.regsciurbeco.2012.08.002 PG 16 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 111QZ UT WOS:000316537100011 ER PT J AU Owyang, MT Piger, J Wall, HJ AF Owyang, Michael T. Piger, Jeremy Wall, Howard J. TI Discordant city employment cycles SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE City employment cycles ID INTRANATIONAL HOME BIAS; BUSINESS-CYCLE; US STATES; CYCLICAL UNEMPLOYMENT; SECTORAL SHIFTS; MONETARY-POLICY; TIME-SERIES; FLUCTUATIONS; CITIES; REGION AB This paper estimates city-level employment cycles for 58 large U.S. cities and documents the substantial cross-city variation in the timing, lengths, and frequencies of their employment contractions. It also shows how the spread of city-level contractions associated with U.S. recessions has tended to follow recession-specific geographic patterns. In addition, cities within the same state or region have tended to have similar employment cycles. We find no evidence that similarities in employment cycles are related to similarities in industry mix, although cities with more-similar high school attainment, mean establishment size, and industrial diversity have tended to have more-similar employment cycles. (C) 2012 Elsevier B.V. All rights reserved. C1 [Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. [Piger, Jeremy] Univ Oregon, Eugene, OR 97403 USA. [Wall, Howard J.] Lindenwood Univ, St Charles, MO 63301 USA. RP Wall, HJ (reprint author), Lindenwood Univ, St Charles, MO 63301 USA. EM owyang@stls.frb.org; jpiger@uoregon.edu; hwall@lindenwood.edu RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 34 TC 3 Z9 3 U1 2 U2 5 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 2013 VL 43 IS 2 BP 367 EP 384 DI 10.1016/j.regsciurbeco.2012.09.004 PG 18 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 111QZ UT WOS:000316537100014 ER PT J AU Black, DA Kolesnikova, N Sanders, SG Taylor, LJ AF Black, Dan A. Kolesnikova, Natalia Sanders, Seth G. Taylor, Lowell J. TI ARE CHILDREN "NORMAL"? SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID BUSINESS CYCLES; BIRTH-RATES; COAL BOOM; FERTILITY; WAGES; LIFE; QUALITY; IMPACT; INCOME; RENTS AB We examine Becker's (1960) contention that children are "normal." For the cross-section of non-Hispanic white married couples in the United States, we show that when we restrict comparisons to similarly educated women living in similarly expensive locations, completed fertility is positively correlated with the husband's income. The empirical evidence is consistent with children being "normal." In an effort to show causal effects, we analyze the localized impact on fertility of the mid-1970s' increase in world energy prices, an exogenous shock that substantially increased men's incomes in the Appalachian coal-mining region. Empirical evidence for that population indicates that fertility increases with men's income. C1 [Black, Dan A.] Univ Chicago, Chicago, IL 60637 USA. [Black, Dan A.] IZA, Bonn, Germany. [Black, Dan A.; Taylor, Lowell J.] NORC, Chicago, IL USA. [Kolesnikova, Natalia] Fed Reserve Bank St Louis, St Louis, MO USA. [Kolesnikova, Natalia] Univ Mississippi, University, MS 38677 USA. [Sanders, Seth G.] Duke Univ, Durham, NC 27706 USA. [Taylor, Lowell J.] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. RP Black, DA (reprint author), Univ Chicago, Chicago, IL 60637 USA. FU NICHD NIH HHS [R21 HD069778, R24 HD065563, P2C HD065563] NR 28 TC 15 Z9 15 U1 1 U2 9 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAR PY 2013 VL 95 IS 1 BP 21 EP 33 PG 13 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 106OC UT WOS:000316153300002 PM 26203199 ER PT J AU Egger, PH AF Egger, Peter H. TI Trade and the Environment: Introduction to the Special Issue SO WORLD ECONOMY LA English DT Article C1 [Egger, Peter H.] Swiss Fed Inst Technol, WEH E6, Zurich, Switzerland. [Egger, Peter H.] Univ Nottingham, Leverhulme Ctr Globalizat & Econ Policy, Ctr Business Taxat, WIFO,CEPR,CESifo,AAU Prague,Ifo,Oxford Univ, Nottingham NG7 2RD, England. [Egger, Peter H.] Fed Reserve Bank Dallas, Dallas, TX USA. RP Egger, PH (reprint author), Swiss Fed Inst Technol, WEH E6, Zurich, Switzerland. NR 0 TC 0 Z9 0 U1 1 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0378-5920 J9 WORLD ECON JI World Econ. PD MAR PY 2013 VL 36 IS 3 SI SI BP 253 EP 253 DI 10.1111/twec.12050 PG 1 WC Business, Finance; Economics; International Relations SC Business & Economics; International Relations GA 107OY UT WOS:000316229000001 ER PT J AU Martinez-Garcia, E Sondergaard, J AF Martinez-Garcia, Enrique Sondergaard, Jens TI INVESTMENT AND REAL EXCHANGE RATES IN STICKY PRICE MODELS SO MACROECONOMIC DYNAMICS LA English DT Article DE Real Exchange Rates; Capital Accumulation; Sticky Prices; Local-Currency Pricing ID MONETARY-POLICY; BUSINESS-CYCLE; RATE PERSISTENCE; RATE DYNAMICS; NOMINAL RIGIDITIES; HABIT-PERSISTENCE; OPEN-ECONOMY; TO-MARKET; PRODUCTIVITY; VOLATILITY AB This paper investigates how the inclusion of capital in the workhorse new open economy macro model affects its ability to generate volatile and persistent real exchange rates. We show that capital accumulation facilitates intertemporal consumption smoothing and significantly reduces the volatility of the real exchange rate. Nonetheless, monetary and investment-specific technology (IST) shocks still induce more real exchange rate volatility and less consumption comovement than productivity shocks (with or without capital). We find that endogenous persistence is particularly sensitive to the inertia of the monetary policy rule even with persistent exogenous shocks. However, irrespective of whether capital is present, productivity and IST shocks trigger highly persistent real exchange rates, whereas monetary shocks do not. Moreover, we point out that IST shocks tend to generate countercyclical real exchange rates-unlike productivity or monetary shocks-but have the counterfactual effect of also producing excessive investment volatility and countercyclical consumption. C1 [Martinez-Garcia, Enrique] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Martinez-Garcia, E (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM enrique.martinez-garcia@dal.frb.org OI Martinez-Garcia, Enrique/0000-0001-5736-361X NR 47 TC 2 Z9 2 U1 2 U2 5 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 MAR PY 2013 VL 17 IS 2 BP 195 EP 234 DI 10.1017/S1365100511000095 PG 40 WC Economics SC Business & Economics GA 100HE UT WOS:000315688000001 ER PT J AU Rupasingha, A Goetz, SJ AF Rupasingha, Anil Goetz, Stephan J. TI Self-employment and local economic performance: Evidence from US counties SO PAPERS IN REGIONAL SCIENCE LA English DT Article DE J21; L26; O18; R11; Self-employment; non-farm proprietorship; income growth; employment growth; poverty; spatial effects ID REGIONAL-DEVELOPMENT; BUSINESS FORMATION; PANEL-DATA; FIRM FORMATION; UNITED-STATES; GROWTH; ENTREPRENEURSHIP; TIME; CONVERGENCE; MODEL AB This study explores the relationship between self-employment and income growth, employment growth, and change in poverty in metro and non-metro areas in the United States using county-level panel data. We investigate the impact of the relative size of the self-employment sector measured by the share of non-farm proprietorships (NFPs) in total full and part-time employment on three key economic performance indicators. We first estimate an income growth model to analyse the effects of self-employment on income growth. Then we investigate the independent effects of self-employment on employment growth and changes in family poverty rates. Our results indicate that higher self-employment rates are associated with statistically significant increases over time in income and employment growth, and reductions in poverty rates in non-metro counties. We find similar effects on metro county income and employment, but not on poverty dynamics. C1 [Rupasingha, Anil] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Goetz, Stephan J.] Penn State Univ, Northeast Reg Ctr Rural Dev, Dept Agr Econ & Rural Sociol, University Pk, PA 16802 USA. RP Rupasingha, A (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM anil.rupasingha@atl.frb.org; sgoetz@psu.edu NR 63 TC 12 Z9 12 U1 2 U2 27 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1056-8190 J9 PAP REG SCI JI Pap. Reg. Sci. PD MAR PY 2013 VL 92 IS 1 BP 141 EP + DI 10.1111/j.1435-5957.2011.00396.x PG 22 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 100JU UT WOS:000315696300010 ER PT J AU Arifovic, J Bullard, J Kostyshyna, O AF Arifovic, Jasmina Bullard, James Kostyshyna, Olena TI Social Learning and Monetary Policy Rules SO ECONOMIC JOURNAL LA English DT Article ID GENETIC ALGORITHMS; HETEROGENEOUS AGENTS; COBWEB MODEL; EXPECTATIONS; ECONOMIES; MARKET; DIFFERENCE; EQUILIBRIA; STABILITY; DYNAMICS AB We analyse the effects of social learning in a monetary policy context. Social learning might be viewed as more descriptive of actual learning behaviour in complex market economies. In our model, Taylor Principle governs uniqueness and expectational stability of rational expectations equilibrium (REE) under homogeneous recursive algorithms. We find that the Taylor Principle is not necessary for convergence to REE minimum state variable (MSV) equilibrium under social learning. Sunspot equilibria exist in the indeterminate region. Our agents cannot co-ordinate on a sunspot equilibrium in general form specification, however, they can co-ordinate on common factor specification. We contribute to the use of genetic algorithm learning in stochastic environments. C1 Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. Fed Reserve Bank St Louis, St Louis, MO USA. Portland State Univ, Portland, OR 97207 USA. RP Arifovic, J (reprint author), Simon Fraser Univ, Dept Econ, 8888 Univ Dr, Burnaby, BC V5A 1S6, Canada. EM arifovic@sfu.ca RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 45 TC 2 Z9 2 U1 2 U2 14 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 MAR PY 2013 VL 123 IS 567 BP 38 EP 76 DI 10.1111/j.1468-0297.2012.02525.x PG 39 WC Economics SC Business & Economics GA 097QC UT WOS:000315487600002 ER PT J AU Groen, JJJ Kapetanios, G Price, S AF Groen, Jan J. J. Kapetanios, George Price, Simon TI MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID MACROECONOMIC TIME-SERIES; PARAMETER INSTABILITY; TESTS; MODELS AB Detection of structural change is a critical empirical activity, but continuous monitoring' for changes in real time raises well-known econometric issues that have been explored in a single series context. If multiple series co-break then it is possible that simultaneous examination of a set of series helps identify changes with higher probability or more rapidly than when series are examined on a case-by-case basis. Some asymptotic theory is developed for maximum and average CUSUM detection tests. Monte Carlo experiments suggest that these both provide an improvement in detection relative to a univariate detector over a wide range of experimental parameters, given a sufficiently large number of co-breaking series. This is robust to a cross-sectional correlation in the errors (a factor structure) and heterogeneity in the break dates. We apply the test to a panel of UK price indices. Copyright (c) 2011 John Wiley & Sons, Ltd. C1 [Groen, Jan J. J.] Fed Reserve Bank New York, New York, NY USA. [Kapetanios, George] Univ London, Sch Econ & Finance, London E1 4NS, England. [Price, Simon] Bank England, London, England. [Price, Simon] City Univ London, London EC1V 0HB, England. RP Kapetanios, G (reprint author), Univ London, Sch Econ & Finance, Mile End Rd, London E1 4NS, England. EM g.kapetanios@qmul.ac.uk NR 27 TC 4 Z9 4 U1 2 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD MAR PY 2013 VL 28 IS 2 BP 250 EP 274 DI 10.1002/jae.1272 PG 25 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 092BU UT WOS:000315094600004 ER PT J AU Migueis, M AF Migueis, Marco TI The Effect of Political Alignment on Transfers to Portuguese Municipalities SO ECONOMICS & POLITICS LA English DT Article ID REDISTRIBUTION; PRESIDENT; BUDGET; GOALS AB I investigate if political alignment between central and local governments brings financial benefit to local governments, using financial data from Portuguese municipalities (19922005). I use regression discontinuity design to determine the effect of political alignment per se on transfers to municipalities. Municipalities aligned with the central government receive 19% more targetable transfers than unaligned municipalities. I test for electoral motivation of this transfer bias: extra transfers increase the vote share of incumbents in local elections for one of the two Portuguese major parties; however, municipal incumbency does not lead to better results in national elections. RP Migueis, M (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM mmigueis@gmail.com RI nipe, cef/A-4218-2010; Migueis, Marco/D-8275-2017 OI Migueis, Marco/0000-0002-9855-7944 NR 19 TC 6 Z9 6 U1 0 U2 5 PU WILEY PERIODICALS, INC PI SAN FRANCISCO PA ONE MONTGOMERY ST, SUITE 1200, SAN FRANCISCO, CA 94104 USA SN 0954-1985 J9 ECON POLIT-OXFORD JI Econ. Polit. PD MAR PY 2013 VL 25 IS 1 BP 110 EP 133 DI 10.1111/ecpo.12005 PG 24 WC Economics; Political Science SC Business & Economics; Government & Law GA 086DF UT WOS:000314662800007 ER PT J AU Chen, B Song, ZG AF Chen, Bin Song, Zhaogang TI Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach SO JOURNAL OF ECONOMETRICS LA English DT Article DE Diffusion; Infinitesimal operator; Martingale; Nonparametric ID MAXIMUM-LIKELIHOOD-ESTIMATION; TERM STRUCTURE DYNAMICS; INTEREST-RATE MODELS; VOLATILITY MODELS; INTEREST-RATES; STOCHASTIC VOLATILITY; MICROSTRUCTURE NOISE; ECONOMETRIC-ANALYSIS; REALIZED VOLATILITY; JUMP-DIFFUSIONS AB We develop a nonparametric test to check whether a process can be represented by a stochastic differential equation driven only by a Brownian motion. Our testing procedure utilizes the infinitesimal operator-based martingale characterization combined with a generalized spectral approach. Such a testing procedure is feasible and convenient because the infinitesimal operator of the diffusion process has a closed-form expression. The proposed test is applicable to both univariate and multivariate processes and has an N(0, 1) limit distribution under the diffusion hypothesis. Simulation and empirical studies show that the proposed test has reasonable performance in small samples. (C) 2012 Elsevier B.V. All rights reserved. C1 [Chen, Bin] Univ Rochester, Dept Econ, Rochester, NY 14627 USA. [Song, Zhaogang] Board Governors Fed Reserve Syst, Div Monetary Affairs, Monetary & Financial Market Anal Sect, Washington, DC 20551 USA. RP Chen, B (reprint author), Univ Rochester, Dept Econ, Rochester, NY 14627 USA. EM bchen8@mail.rochester.edu; Zhaogang.Song@frb.gov NR 88 TC 0 Z9 0 U1 0 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 MAR PY 2013 VL 173 IS 1 BP 83 EP 107 DI 10.1016/j.jeconom.2012.10.001 PG 25 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 085OE UT WOS:000314623300006 ER PT J AU Gospodinov, N Kan, R Robotti, C AF Gospodinov, Nikolay Kan, Raymond Robotti, Cesare TI Chi-squared tests for evaluation and comparison of asset pricing models SO JOURNAL OF ECONOMETRICS LA English DT Article DE Asset pricing models; Hansen-Jagannathan distance; Model selection; Model misspecification ID LINEAR-REGRESSION MODEL; MOMENT CONDITION MODELS; DISCOUNT FACTOR MODELS; GENERALIZED-METHOD; EXPECTED RETURNS; CROSS-SECTION; SELECTION; LIKELIHOOD; RISK; GMM AB This paper presents a general statistical framework for estimation, testing and comparison of asset pricing models using the unconstrained distance measure of Hansen and Jagannathan (1997). The limiting results cover both linear and nonlinear models that could be correctly specified or misspecified. We propose modified versions of the existing model selection tests and new pivotal specification and model comparison tests with improved finite-sample properties. In addition, we provide formal tests of multiple model comparison. The excellent size and power properties of the proposed tests are demonstrated using simulated data from linear and nonlinear asset pricing models. (C) 2012 Elsevier B.V. All rights reserved. C1 [Gospodinov, Nikolay] Concordia Univ, Dept Econ, Montreal, PQ H3G 1M8, Canada. [Kan, Raymond] Univ Toronto, Joseph L Rotman Sch Management, Toronto, ON M5S 3E6, Canada. [Robotti, Cesare] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Gospodinov, N (reprint author), Concordia Univ, Dept Econ, 1455 de Maisonneuve Blvd W, Montreal, PQ H3G 1M8, Canada. EM nikolay.gospodinov@concordia.ca; kan@chass.utoronto.ca; cesare.robotti@atl.frb.org FU FQRSC; IFM2; SSHRC; National Bank Financial of Canada; Center for Financial Innovation and Stability at the Federal Reserve Bank of Atlanta FX Gospodinov gratefully acknowledges financial support from FQRSC, IFM2, and SSHRC. Kan gratefully acknowledges financial support from the National Bank Financial of Canada, SSHRC, and the Center for Financial Innovation and Stability at the Federal Reserve Bank of Atlanta. We would like to thank the Editor (Ron Gallant), an Associate Editor, three anonymous referees, Esther Eiling, Wayne Ferson, Jonathan Fletcher, Eric Jondeau, Serena Ng, Denis Pelletier, B. Ravikumar, Sergei Sarkissian, Jonathan Wright, Chu Zhang, Guofu Zhou, seminar participants at Carleton University, EDHEC Business School, Emory University, HEC Lausanne, University of Montreal, and participants at the 2010 IFM2 Symposium on Mathematical Finance, the 2010 Meetings of the Society for Nonlinear Dynamics and Econometrics, the 2010 NBER-NSF Time Series Conference, and the 2011 Fifth CIREQ Time Series Conference for helpful discussions and comments. The views expressed here are the authors' and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. NR 48 TC 9 Z9 10 U1 1 U2 19 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAR PY 2013 VL 173 IS 1 BP 108 EP 125 DI 10.1016/j.jeconom.2012.11.002 PG 18 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 085OE UT WOS:000314623300007 ER PT J AU Mora, N Neaime, S Aintablian, S AF Mora, Nada Neaime, Simon Aintablian, Sebouh TI Foreign currency borrowing by small firms in emerging markets: When domestic banks intermediate dollars SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Dollarization; Foreign currency borrowing; Dollar debt; Currency mismatch ID DEBT; DOLLARIZATION; INVESTMENT; CYCLES; MEXICO; CRISES; MODEL AB This paper investigates what induces small firms in an emerging market economy to borrow dollar credit from domestic banks. Our data are from a unique survey of firms in Lebanon. The findings complement studies of large firms with foreign currency loans from foreign lenders. Exporters, naturally hedged against currency risk, are more likely to incur dollar debt. Firms also partly hedge themselves by passing currency risk to customers and suppliers. Less opaque firms with easily verifiable collateral and higher net worth are more likely to access dollar credit. Firms reliant on formal financing (banks and supplier credit) are more likely to contract dollar debt than firms reliant on informal financing (family, friends and moneylenders). Bank relationships, however, do not increase the dollar debt likelihood. And finally, profitable firms are less likely to have dollar debt. Information frictions and limited collateral, therefore, constrain dollar credit even when it is intermediated domestically. (C) 2012 Elsevier B.V. All rights reserved. C1 [Mora, Nada] Fed Reserve Bank, Kansas City, MO 64198 USA. [Neaime, Simon] Amer Univ Beirut, Beirut, Lebanon. [Aintablian, Sebouh] Lebanese Amer Univ, Beirut, Lebanon. RP Mora, N (reprint author), Fed Reserve Bank, 1 Mem Dr, Kansas City, MO 64198 USA. EM nada.mora@kc.frb.org; sn01@aub.edu.lb; sebouh.aintablian@lau.edu.lb NR 29 TC 2 Z9 2 U1 1 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2013 VL 37 IS 3 BP 1093 EP 1107 DI 10.1016/j.jbankfin.2012.11.012 PG 15 WC Business, Finance; Economics SC Business & Economics GA 082GJ UT WOS:000314380000033 ER PT J AU Berentsen, A Waller, CJ AF Berentsen, Aleksander Waller, Christopher J. TI Price-Level Targeting and Stabilization Policy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY; MONEY; LIQUIDITY AB The authors construct a dynamic stochastic general equilibrium model to study optimal monetary stabilization policy. Prices are fully flexible and money is essential for trade. The authors' main result is that if the central bank pursues a price-level target, it can control inflation expectations and improve welfare by stabilizing short-run shocks to the economy. The optimal policy involves smoothing nominal interest rates that effectively smooths consumption across states. C1 [Berentsen, Aleksander] Univ Basel, CH-4003 Basel, Switzerland. [Waller, Christopher J.] Fed Reserve Bank, St Louis, MO USA. RP Berentsen, A (reprint author), Univ Basel, CH-4003 Basel, Switzerland. RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 FU Federal Reserve Bank of Cleveland; Center for Economic Studies in Munich; Kellogg Institute at the University of Notre Dame FX Aleksander Berentsen is a professor of economic theory at the University of Basel, Switzerland. Christopher J. Waller is senior vice president and director of research at the Federal Reserve Bank of St. Louis. The authors have received many beneficial comments from many people. In particular, they thank two anonymous referees, Gaudi Eggertsson, and the participants at the Liquidity in Frictional Markets conference at the Federal Reserve Bank of Cleveland, November 14-15, 2008. Much of the paper was written while Aleksander Berentsen was visiting the University of Pennsylvania. The authors also thank the Federal Reserve Bank of Cleveland, the Center for Economic Studies in Munich, and the Kellogg Institute at the University of Notre Dame for research support. NR 17 TC 0 Z9 0 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2013 VL 95 IS 2 BP 145 EP 163 PG 19 WC Business, Finance; Economics SC Business & Economics GA AQ8GA UT WOS:000343061100002 ER PT J AU Conesa, JC Garriga, C AF Conesa, Juan Carlos Garriga, Carlos TI Intertemporal Discounting and Policy Selection SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID UNITED-STATES; FISCAL-POLICY AB The choice of the intertemporal discount rate affects the measurement of the tax burden of different age cohorts. Small changes in the discount rate affect not only the magnitude of the measured changes, but also the ranking of policies using that metric. The authors illustrate this problem in the context of neutral Social Security reforms. By construction, these policies do not change allocations; hence, they also do not change welfare. However, depending on the choice of the discount rate, one could reach different (and possibly opposite) conclusions regarding the desirability of such policies. C1 [Conesa, Juan Carlos] Univ Autonoma Barcelona, E-08193 Barcelona, Spain. [Garriga, Carlos] Fed Reserve Bank St Louis, St Louis, MO USA. RP Conesa, JC (reprint author), Univ Autonoma Barcelona, E-08193 Barcelona, Spain. RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 FU Institucio Catalana de Recerca i Estudis Avancats (ICREA) - Generalitat de Catalunya; Ministry of Economy and Competitiveness [ECO2012-32392] FX Juan Carlos Conesa is an associate professor at the Universitat Autonoma de Barcelona. Carlos Garriga is a research officer at the Federal Reserve Bank of St. Louis. The authors are thankful for comments from Bill Gavin, Fernando Martin, and YiLi Chien. Juan Carlos Conesa acknowledges support through the Academia Prize awarded by the Institucio Catalana de Recerca i Estudis Avancats (ICREA) for excellence in research funded by the Generalitat de Catalunya. He also received funding (grant No. ECO2012-32392) from the Ministry of Economy and Competitiveness. NR 14 TC 0 Z9 0 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2013 VL 95 IS 2 BP 165 EP 179 PG 15 WC Business, Finance; Economics SC Business & Economics GA AQ8GA UT WOS:000343061100003 ER PT J AU Chudik, A Pesaran, MH AF Chudik, Alexander Pesaran, M. Hashem TI Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit SO ECONOMETRIC REVIEWS LA English DT Article DE Dominant units; Factor models; IVAR models; Large panels; Star networks; Spatial models; Weak and strong cross-section dependence; C10; C33; C51 ID DYNAMIC-FACTOR MODEL; PANELS AB This paper extends the analysis of infinite dimensional vector autoregressive (IVAR) models proposed in Chudik and Pesaran (2011) to the case where one of the variables or the cross-section units in the IVAR model is dominant or pervasive. It is an important extension from empirical as well theoretical perspectives. In the theory of networks a dominant unit is the centre node of a star network and arises as an efficient outcome of a distance-based utility model. Empirically, the extension poses a number of technical challenges that goes well beyond the analysis of IVAR models provided in Chudik and Pesaran. This is because the dominant unit influences the rest of the variables in the IVAR model both directly and indirectly, and its effects do not vanish as the dimension of the model (N) tends to infinity. The dominant unit acts as a dynamic factor in the regressions of the non-dominant units and yields an infinite order distributed lag relationship between the two types of units. Despite this it is shown that the effects of the dominant unit as well as those of the neighborhood units can be consistently estimated by running augmented least squares regressions that include distributed lag functions of the dominant unit and its neighbors (if any). The asymptotic distribution of the estimators is derived and their small sample properties investigated by means of Monte Carlo experiments. C1 [Chudik, Alexander] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Chudik, Alexander] CIMF, Dallas, TX USA. [Pesaran, M. Hashem] Univ So Calif, Fac Econ, Los Angeles, CA USA. [Pesaran, M. Hashem] Univ Cambridge Trinity Coll, Cambridge CB2 1TQ, England. RP Chudik, A (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM alexander.chudik@dal.frb.org NR 25 TC 12 Z9 12 U1 1 U2 6 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. PD FEB 1 PY 2013 VL 32 IS 5-6 SI SI BP 592 EP 649 DI 10.1080/07474938.2012.740374 PG 58 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 101OI UT WOS:000315783900003 ER PT J AU Groen, JJJ Kapetanios, G AF Groen, Jan J. J. Kapetanios, George TI Model Selection Criteria for Factor-Augmented Regressions SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article ID APPROXIMATE FACTOR MODELS; PREDICTIVE ABILITY; DIFFUSION INDEXES; LARGE DIMENSIONS; TIME-SERIES; NUMBER; IDENTIFICATION; INFERENCE AB Existing dynamic factor selection criteria determine the appropriate number of factors in a large-dimensional panel of explanatory variables, but not all of these have to be relevant for modeling a specific dependent variable within a factor-augmented regression. We develop theoretical conditions that selection criteria have to meet in order to get consistent estimates of the relevant factor dimension for such a regression. These incorporate factor estimation error and do not depend on specific factor estimation methodologies. Using this framework, we modify standard model selection criteria, and simulation and empirical applications indicate that these are useful in determining appropriate factor-augmented regressions. C1 [Groen, Jan J. J.] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [Kapetanios, George] Queen Mary Univ London, Dept Econ, London E1 4NS, England. RP Groen, JJJ (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM jan.groen@ny.frb.org; g.kapetanios@qmul.ac.uk NR 28 TC 3 Z9 3 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0305-9049 J9 OXFORD B ECON STAT JI Oxf. Bull. Econ. Stat. PD FEB PY 2013 VL 75 IS 1 SI SI BP 37 EP 63 DI 10.1111/j.1468-0084.2012.00721.x PG 27 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 100JX UT WOS:000315696900004 ER PT J AU Denes, M Eggertsson, GB Gilbukh, S AF Denes, Matthew Eggertsson, Gauti B. Gilbukh, Sophia TI Deficits, Public Debt Dynamics and Tax and Spending Multipliers SO ECONOMIC JOURNAL LA English DT Article AB Cutting government spending can increase the budget deficit at zero interest rates according to a standard New Keynesian model, calibrated with Bayesian methods. Similarly, increasing sales taxes can increase the budget deficit rather than reducing it. Both results suggest limitations of austerity measures'. At zero interest rates, running budget deficits can be either expansionary or contractionary depending on how they interact with expectations about long-run taxes and spending. The effect of fiscal policy action is thus highly dependent on the policy regime. A successful stimulus, therefore, needs to specify how the budget is managed not only in the short but also medium and long run. C1 Univ Penn, Philadelphia, PA 19104 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Eggertsson, GB (reprint author), Fed Reserve Bank New York, Res Dept 33, Liberty St, New York, NY 10045 USA. EM gauti.eggertsson@ny.frb.org NR 22 TC 4 Z9 4 U1 0 U2 19 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 J9 ECON J JI Econ. J. PD FEB PY 2013 VL 123 IS 566 SI F BP 133 EP 163 DI 10.1111/ecoj.12014 PG 31 WC Economics SC Business & Economics GA 097OI UT WOS:000315483000006 ER PT J AU Brown, JD Hotchkiss, JL Quispe-Agnoli, M AF Brown, J. David Hotchkiss, Julie L. Quispe-Agnoli, Myriam TI DOES EMPLOYING UNDOCUMENTED WORKERS GIVE FIRMS A COMPETITIVE ADVANTAGE? SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID UNITED-STATES; ILLEGAL MIGRATION; SURVIVAL; EARNINGS; LEGAL; LABOR AB Using administrative data from the state of Georgia, this paper finds that, on average, across all firms, employing undocumented workers reduces a firm's hazard of exit by 19 percent. The advantage to firms from employing undocumented workers increases as more firms in the industry do so, decreases with the skill level of the firm's workers, increases with the breadth of a firm's market, and increases with the labor intensity of the firm's production process. C1 [Brown, J. David] Inst Study Labor IZA, D-53113 Bonn, Germany. [Hotchkiss, Julie L.; Quispe-Agnoli, Myriam] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Hotchkiss, Julie L.] Georgia State Univ, Res Dept, Atlanta, GA 30309 USA. RP Brown, JD (reprint author), Inst Study Labor IZA, Schaumburg Lippe Str 5-9, D-53113 Bonn, Germany. EM jdavidbrown68@gmail.com; Julie.L.Hotchkiss@atl.frb.org; Myriam.Quispe-Agnoli@atl.frb.org NR 33 TC 1 Z9 1 U1 1 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-4146 EI 1467-9787 J9 J REGIONAL SCI JI J. Reg. Sci. PD FEB PY 2013 VL 53 IS 1 BP 158 EP 170 DI 10.1111/jors.12009 PG 13 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 090MK UT WOS:000314983000008 ER PT J AU Brewer, E Jagtiani, J AF Brewer, Elijah, III Jagtiani, Julapa TI How Much Did Banks Pay to Become Too-Big-To-Fail and to Become Systemically Important? SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Bank merger; Too-big-to-fail; TBTF subsidy; Systemically important bank ID DEPOSIT INSURANCE; MARKET DISCIPLINE; MERGERS; ACQUISITIONS; MEGAMERGERS; GAINS AB This paper estimates the value of the too-big-to-fail (TBTF) subsidy. Using data from the merger boom of 1991-2004, we find that banking organizations were willing to pay an added premium for mergers that would put them over the asset sizes that are commonly viewed as the thresholds for being TBTF. We estimate at least $15 billion in added premiums for the eight merger deals that brought the organizations to over $100 billion in assets. In addition, we find that both the stock and bond markets reacted positively to these TBTF merger deals. Our estimated TBTF subsidy is large enough to create serious concern, particularly since the recently assisted mergers have effectively allowed for TBTF banking organizations to become even bigger and for nonbanks to become part of TBTF banking organizations, thus extending the TBTF subsidy beyond banking. C1 [Brewer, Elijah, III] Depaul Univ, Kellstadt Grad Sch Business, Chicago, IL 60604 USA. [Jagtiani, Julapa] Fed Reserve Bank Philadelphia, Supervis Regulat & Credit Dept, Philadelphia, PA 19106 USA. RP Jagtiani, J (reprint author), Fed Reserve Bank Philadelphia, Supervis Regulat & Credit Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM ebreweri@depaul.edu; Julapa.Jagtiani@phil.frb.org NR 45 TC 16 Z9 16 U1 1 U2 20 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 2013 VL 43 IS 1 BP 1 EP 35 DI 10.1007/s10693-011-0119-6 PG 35 WC Business, Finance SC Business & Economics GA 087PC UT WOS:000314773200001 ER PT J AU Feenstra, RC Mandel, BR Reinsdorf, MB Slaughter, MJ AF Feenstra, Robert C. Mandel, Benjamin R. Reinsdorf, Marshall B. Slaughter, Matthew J. TI Effects of Terms of Trade Gains and Tariff Changes on the Measurement of US Productivity Growth SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID INFORMATION-TECHNOLOGY; MONOPOLISTIC COMPETITION; NONPARAMETRIC APPROACH; UNITED-STATES; BIAS; ECONOMY; VARIETY; EXPLAIN AB The acceleration in US productivity growth since 1995 is often attributed to declining prices for information technology (IT) goods, and therefore enhanced productivity growth in that sector. We investigate an alternative explanation for these IT price movements: gains in the US terms of trade and tariff reductions, especially for IT products, which led to greater gains than shown by official indexes. We do not, however, investigate the indexes used to deflate the domestic absorption components of GDP, and if upward biases are present in those indexes that could offset some of the effects of mismeasured export and import indexes. (JEL C43, E23, F13, F14, J24) C1 [Feenstra, Robert C.] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. [Feenstra, Robert C.] NBER, Davis, CA 95616 USA. [Mandel, Benjamin R.] Fed Reserve Bank New York, New York, NY 10045 USA. [Reinsdorf, Marshall B.] US Bur Econ Anal, Natl Accounts Res Grp, Washington, DC 20230 USA. [Slaughter, Matthew J.] Dartmouth Coll, Tuck Sch Business, Hanover, NH 03755 USA. [Slaughter, Matthew J.] NBER, Hanover, NH 03755 USA. RP Feenstra, RC (reprint author), Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. EM rcfeenstra@ucdavis.edu; benjamin.mandel@ny.frb.org; marshall.reinsdorf@bea.gov; matthew.j.slaughter@dartmouth.edu NR 49 TC 10 Z9 10 U1 0 U2 18 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD FEB PY 2013 VL 5 IS 1 BP 59 EP 93 DI 10.1257/pol.5.1.59 PG 35 WC Economics SC Business & Economics GA 077YE UT WOS:000314064500003 ER PT J AU Bandyopadhyay, S Lahiri, S Younas, J AF Bandyopadhyay, Subhayu Lahiri, Sajal Younas, Javed TI On the substitutability between foreign aid and international credit SO ECONOMICS LETTERS LA English DT Article DE Foreign aid; Borrowing constraint; Fungibility; Public input AB We examine the effect of relaxing a binding borrowing constraint for a recipient country on the amount of foreign aid, in a two-country, two-period, trade-theoretic framework. The relaxation unambiguously reduces the flow of foreign aid. (C) 2012 Elsevier B.V. All rights reserved. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. [Bandyopadhyay, Subhayu] IZA, Bonn, Germany. [Lahiri, Sajal] So Illinois Univ, Dept Econ, Carbondale, IL 62901 USA. [Younas, Javed] Amer Univ Sharjah, Dept Econ, Sharjah, U Arab Emirates. RP Lahiri, S (reprint author), So Illinois Univ, MC 4515,1000 Faner Dr, Carbondale, IL 62901 USA. EM Subhayu.Bandyopadhyay@stls.frb.org; lahiri@siu.edu; jyounas@aus.edu RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 9 TC 1 Z9 1 U1 0 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD FEB PY 2013 VL 118 IS 2 BP 255 EP 257 DI 10.1016/j.econlet.2012.11.004 PG 3 WC Economics SC Business & Economics GA 086HK UT WOS:000314674500003 ER PT J AU Cohen, A Freeborn, B McManus, B AF Cohen, Andrew Freeborn, Beth McManus, Brian TI COMPETITION AND CROWDING OUT IN THE MARKET FOR OUTPATIENT SUBSTANCE ABUSE TREATMENT SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PRIVATE INSURANCE; MULTIPLE EQUILIBRIA; HOSPITAL OWNERSHIP; ENTRY; MODEL; CARE; MEDICAID; BEHAVIOR; INDUSTRY; GOODS AB U.S. markets for outpatient substance abuse treatment (OSAT) include for-profit, nonprofit, and public clinics. We study OSAT provision using new methods on equilibrium market structure in differentiated product markets. This allows us to describe clinics as heterogeneous in their objectives, their responses to exogenous market characteristics, and their responses to one another. Consistent with crowding out of private treatment, we find that markets with public clinics are less likely to have private clinics. In markets with low insurance coverage, low incomes, or high shares of nonwhite addicts, however, public clinics are relatively likely to be the sole willing providers of OSAT. C1 Fed Reserve Board Governors, Washington, DC USA. Fed Trade Commiss, Washington, DC USA. [McManus, Brian] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. RP McManus, B (reprint author), Univ N Carolina, Dept Econ, CB 3305,107 Gardner Hall, Chapel Hill, NC 27599 USA. EM mcmanusb@email.unc.edu NR 36 TC 6 Z9 6 U1 0 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD FEB PY 2013 VL 54 IS 1 BP 159 EP 184 DI 10.1111/j.1468-2354.2012.00729.x PG 26 WC Economics SC Business & Economics GA 076VM UT WOS:000313987000006 ER PT J AU Martin, FM AF Martin, Fernando M. TI GOVERNMENT POLICY IN MONETARY ECONOMIES SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID MARKOV-CHAIN APPROXIMATIONS; DEBT; MONEY; TAXATION; TAXES AB I study how the general and specific details of a micro-founded monetary framework affect the determination of policy when the government has limited commitment. In the general framework, policy is determined by the interaction between the incentives to smooth distortion intertemporally and a time-consistency problem. Resolving financial and trading frictions affects long-run policy significantly. Policy response to fluctuations in productivity is quantitatively different across model variants, mainly due to the idiosyncratic behavior of the money demand. Other types of shocks, both transitory and permanent, affect policy in a similar manner across a variety of specifications. C1 [Martin, Fernando M.] Fed Reserve Bank St Louis, Dept Res Div, St Louis, MO 63106 USA. [Martin, Fernando M.] Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. RP Martin, FM (reprint author), Fed Reserve Bank St Louis, Dept Res Div, 1421 Dr Martin Luther King Dr, St Louis, MO 63106 USA. EM fernando.m.martin@stls.frb.org RI Martin, Fernando/I-5747-2016 OI Martin, Fernando/0000-0001-5045-7998 NR 42 TC 3 Z9 3 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD FEB PY 2013 VL 54 IS 1 BP 185 EP 217 DI 10.1111/j.1468-2354.2012.00730.x PG 33 WC Economics SC Business & Economics GA 076VM UT WOS:000313987000007 ER PT J AU Kollmann, R Leeper, EM Otrok, C Roeger, W AF Kollmann, Robert Leeper, Eric M. Otrok, Christopher Roeger, Werner TI Fiscal policy in the aftermath of the financial crisis: Introduction SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Editorial Material C1 [Kollmann, Robert] Univ Libre Brussels, ECARES, Brussels, Belgium. [Kollmann, Robert] Univ Paris Est, Paris, France. [Leeper, Eric M.] Indiana Univ, Bloomington, IN 47405 USA. [Leeper, Eric M.] Monash Univ, Clayton, Vic 3800, Australia. [Otrok, Christopher] Univ Missouri, Columbia, MO 65211 USA. [Otrok, Christopher] Fed Reserve Bank St Louis, St Louis, MO USA. RP Kollmann, R (reprint author), Univ Libre Brussels, ECARES, Brussels, Belgium. EM robert_kollmann@yahoo.com; eleeper@indiana.edu; otrokc@missouri.edu; werner.roeger@ec.europa.eu NR 0 TC 0 Z9 0 U1 1 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 FEB PY 2013 VL 37 IS 2 SI SI BP 365 EP 366 DI 10.1016/j.jedc.2012.09.011 PG 2 WC Economics SC Business & Economics GA 074WS UT WOS:000313846400001 ER PT J AU Coenen, G Straub, R Trabandt, M AF Coenen, Guenter Straub, Roland Trabandt, Mathias TI Gauging the effects of fiscal stimulus packages in the euro area SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Fiscal policy; Fiscal multiplier; European Economic Recovery Plan; DSGE modelling; Bayesian inference; Euro area ID DSGE MODELS; WIDE-MODEL; POLICY; MULTIPLIER AB We seek to quantify the impact on euro area GDP of the European Economic Recovery Plan (EERP) enacted in response to the financial crisis of 2008-2009. To do so, we estimate an extended version of the ECB's New Area-Wide Model with a richly specified fiscal sector. The estimation results point to the existence of important complementarities between private and government consumption and, to a lesser extent, between private and public capital. We first examine the implied present-value multipliers for seven distinct fiscal instruments and show that the estimated complementarities result in fiscal multipliers larger than one for government consumption and investment. We highlight the importance of monetary accommodation for these findings. We then show that the EERP, if implemented as initially enacted, had a sizeable, although short-lived impact on euro area GDP. Since the EERP comprised both revenue and expenditure-based fiscal stimulus measures, the total multiplier is below unity. (C) 2012 Elsevier B.V. All rights reserved. C1 [Coenen, Guenter] European Cent Bank, Directorate Gen Res, D-60311 Frankfurt, Germany. [Straub, Roland] European Cent Bank, Directorate Gen Int & European Relat, D-60311 Frankfurt, Germany. [Trabandt, Mathias] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Coenen, G (reprint author), European Cent Bank, Directorate Gen Res, Kaiserstr 29, D-60311 Frankfurt, Germany. EM gunter.coenen@ecb.int; roland.straub@ecb.int; mathias.trabandt@gmail.com NR 33 TC 15 Z9 15 U1 0 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD FEB PY 2013 VL 37 IS 2 SI SI BP 367 EP 386 DI 10.1016/j.jedc.2012.09.006 PG 20 WC Economics SC Business & Economics GA 074WS UT WOS:000313846400002 ER PT J AU Erceg, CJ Linde, J AF Erceg, Christopher J. Linde, Jesper TI Fiscal consolidation in a currency union: Spending cuts vs. tax hikes SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Monetary policy; Fiscal policy; Liquidity trap; Zero bound constraint; Open economy macroeconomics; DSGE model ID MONETARY-POLICY; INFLATION DYNAMICS; BUSINESS CYCLES; COUNTRIES; MODELS; SHOCKS; DEBT; US AB This paper uses a two country DSGE model to examine the effects of tax-based vs. expenditure-based fiscal consolidation in a currency union. We find three key results. First, given limited scope for monetary accommodation, tax-based consolidation tends to have smaller adverse effects on output than expenditure-based consolidation in the near-term, though is more costly in the longer-run. Second, a large expenditure-based consolidation may be counterproductive in the near-term if the zero lower bound is binding, reflecting that output losses rise at the margin. Third, a "mixed strategy" that combines a sharp but temporary rise in taxes with gradual spending cuts may be desirable in minimizing the output costs of fiscal consolidation. Published by Elsevier B.V. C1 [Erceg, Christopher J.; Linde, Jesper] Fed Reserve Board, Washington, DC 20551 USA. RP Linde, J (reprint author), Fed Reserve Board, Mail Stop 20,20th & C St NW, Washington, DC 20551 USA. EM jesper.l.linde@frb.gov NR 46 TC 14 Z9 14 U1 0 U2 18 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 FEB PY 2013 VL 37 IS 2 SI SI BP 422 EP 445 DI 10.1016/j.jedc.2012.09.012 PG 24 WC Economics SC Business & Economics GA 074WS UT WOS:000313846400005 ER PT J AU De Paoli, B Zabczyk, P AF De Paoli, Bianca Zabczyk, Pawel TI Cyclical Risk Aversion, Precautionary Saving, and Monetary Policy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E32; G12; precautionary saving; monetary policy; cyclical risk aversion; macrofinance; nonlinearities; habits ID HABIT FORMATION; UNCERTAINTY; CONSUMPTION; SHOCKS; MODEL AB This paper analyzes the conduct of monetary policy in an environment in which cyclical swings in risk appetite affect households propensity to save. It uses a New Keynesian model featuring external habit formation to show that taking note of precautionary saving motives justifies an accommodative policy bias in the face of persistent, adverse disturbances. Equally, policy should be more restrictivethat is lean against the windfollowing positive shocks. Under sufficiently persistent habits it is, in fact, optimal to increase interest rates following a rise in productivity. C1 [De Paoli, Bianca] Fed Reserve Bank New York, New York, NY 10045 USA. [Zabczyk, Pawel] Bank England, Monetary Assessment & Strategy Div, London, England. RP De Paoli, B (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM bianca.depaoli@ny.frb.org; pawel.zabczyk@bankofengland.co.uk NR 37 TC 1 Z9 1 U1 1 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 2013 VL 45 IS 1 BP 1 EP 36 DI 10.1111/j.1538-4616.2012.00560.x PG 36 WC Business, Finance; Economics SC Business & Economics GA 075VJ UT WOS:000313914900001 ER PT J AU Martin, A Parigi, BM AF Martin, Antoine Parigi, Bruno M. TI Bank Capital Regulation and Structured Finance SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E58; G28; bank regulation; financial innovation; structured finance ID INNOVATION; SECURITIES AB We model the interaction between bank capital regulation and financial innovation. Innovation takes the form of structured finance, namely, pooling and tranching of assets and the creation of separate structures with different seniority, different risk, and different capital charges. Structured finance can improve welfare by manufacturing safer securities, saving on the capital that the structures with different seniority need to satisfy incentive constraints. The divergence between private and social interests in future profits motivates regulation. Regulation lowers profits and may induce banks to innovate to evade the regulation itself, even if this decreases welfare. C1 [Martin, Antoine] Fed Reserve Bank New York, New York, NY 10045 USA. [Parigi, Bruno M.] Univ Padua, I-35100 Padua, Italy. RP Martin, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM antoine.martin@ny.frb.org; brunomaria.parigi@unipd.it NR 23 TC 3 Z9 3 U1 2 U2 25 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2013 VL 45 IS 1 BP 87 EP 119 DI 10.1111/j.1538-4616.2012.00563.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 075VJ UT WOS:000313914900004 ER PT J AU Gomes, F Michaelides, A Polkovnichenko, V AF Gomes, Francisco Michaelides, Alexander Polkovnichenko, Valery TI Fiscal Policy and Asset Prices with Incomplete Markets SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID BUSINESS-CYCLE; HETEROGENEOUS AGENTS; GENERAL EQUILIBRIUM; LIFE-CYCLE; CONSUMPTION; RISK; MODEL; PARTICIPATION; INVESTMENT; INEQUALITY AB We study the simultaneous impact of fiscal policy decisions on macroeconomic activity, wealth distribution, and asset prices. We consider a general equilibrium, overlapping generations model with incomplete markets and heterogeneous agents, where government debt and capital are imperfect substitutes. Increases in public debt lead to significant increases in the riskless rate and to a reduction in the equity premium, while higher capital income tax rates lead to a higher equity premium. The crowding-out effects (on capital and output) are much higher than in models where government debt and capital are perfect substitutes, which thus ignore households' portfolio reallocation decisions. C1 [Gomes, Francisco] London Business Sch, London NW1 4SA, England. [Michaelides, Alexander] Univ Cyprus, Dept Publ & Business Adm, CEPR, CY-1678 Nicosia, Cyprus. [Polkovnichenko, Valery] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Gomes, F (reprint author), London Business Sch, Regents Pk, London NW1 4SA, England. EM fgomes@london.edu; Michaelides@ucy.ac.cy; valery.y.polkovnichenko@frb.gov NR 52 TC 3 Z9 3 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 FEB PY 2013 VL 26 IS 2 BP 531 EP 566 DI 10.1093/rfs/hhs110 PG 36 WC Business, Finance; Economics SC Business & Economics GA 074RE UT WOS:000313829800007 ER PT J AU DiTraglia, FJ Gerlach, JR AF DiTraglia, Francis J. Gerlach, Jeffrey R. TI Portfolio selection: An extreme value approach SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Portfolio selection; Extreme value theory; Tail dependence ID EQUITY MARKETS; ASSET RETURNS; RISK; EQUILIBRIUM; DIVERSIFICATION; PRICES; DEPENDENCE; SKEWNESS; CHOICE; MODEL AB We show theoretically that lower tail dependence (chi). a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate chi for a sample of DJIA stocks and show that it differs systematically from other risk measures including variance, semi-variance, skewness, kurtosis, beta, and coskewness. In out-of-sample tests, portfolios constructed to have low values of chi outperform the market index, the mean return of the stocks in our sample, and portfolios with high values of chi. Our results indicate that chi is conceptually important for risk-averse investors, differs substantially from other risk measures, and provides useful information for portfolio selection. Published by Elsevier B.V. C1 [Gerlach, Jeffrey R.] Fed Reserve Bank Richmond, Charlotte, NC 28202 USA. [DiTraglia, Francis J.] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. RP Gerlach, JR (reprint author), Fed Reserve Bank Richmond, 530 E Trade St, Charlotte, NC 28202 USA. EM fditra@sas.upenn.edu; jeffrey.gerlach@rich.frb.org NR 60 TC 4 Z9 4 U1 2 U2 31 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 FEB PY 2013 VL 37 IS 2 BP 305 EP 323 DI 10.1016/j.jbankfin.2012.08.022 PG 19 WC Business, Finance; Economics SC Business & Economics GA 063EN UT WOS:000312979100006 ER PT J AU Gavin, WT Keen, BD AF Gavin, William T. Keen, Benjamin D. TI U.S. Monetary Policy: A View from Macro Theory SO OPEN ECONOMIES REVIEW LA English DT Article DE DSGE; Monetary policy; Output stabilization; Zero lower bound ID NOMINAL INTEREST-RATES; RULES AB We use a dynamic stochastic general equilibrium model to address two questions about U.S. monetary policy: 1) Can monetary policy elevate output when it is below potential? and 2) Is the zero lower bound a trap? The model's answer to the first question is yes it can, but the effect is only temporary and probably not welfare enhancing. The answer to the second question is more complicated because it depends on policy. It also depends on whether it is the inflation rate or the real interest rate that will adjust over the longer run if the policy rate is held near zero for an extended period. We use the Fisher equation to analyze possible outcomes for situations where the central bank has promised to keep the interest rate near zero for an extended period. C1 [Gavin, William T.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Keen, Benjamin D.] Univ Oklahoma, Norman, OK 73019 USA. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM gavin@stls.frb.org NR 31 TC 0 Z9 0 U1 0 U2 6 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0923-7992 EI 1573-708X J9 OPEN ECON REV JI Open Econ. Rev. PD FEB PY 2013 VL 24 IS 1 SI SI BP 33 EP 49 DI 10.1007/s11079-012-9255-3 PG 17 WC Economics SC Business & Economics GA 070HP UT WOS:000313497500003 ER PT J AU Copeland, A AF Copeland, Adam TI Seasonality, consumer heterogeneity and price indexes: the case of prepackaged software SO JOURNAL OF PRODUCTIVITY ANALYSIS LA English DT Article DE Seasonal adjustment; Software prices; Heterogeneity; Price indexes ID GENERICS; GOODS AB This paper measures constant-quality price change for prepackaged software in the US using detailed and comprehensive scanner data. Because there is a large sales surge over the winter-holiday, it is important to account for seasonal variation. Using a novel approach to constructing a seasonally-adjusted cost-of-living price index that explicitly accounts for consumer heterogeneity, I find that from 1997 to 2003 constant-quality software prices declined at an average 15.9% at an annual rate. As a point of comparison, the Bureau of Labor Statistics reports average annual price declines of only 7.7% for prepackaged software. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Copeland, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM adam.copeland@gmail.com NR 17 TC 2 Z9 2 U1 3 U2 19 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-562X J9 J PROD ANAL JI J. Prod. Anal. PD FEB PY 2013 VL 39 IS 1 BP 47 EP 59 DI 10.1007/s11123-012-0266-2 PG 13 WC Business; Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 065BJ UT WOS:000313121700005 ER PT J AU Contessi, S De Pace, P Francis, JL AF Contessi, Silvio De Pace, Pierangelo Francis, Johanna L. TI The cyclical properties of disaggregated capital flows SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Capital flows; International business cycles; Second moments AB We analyze the second-moment properties of the components of international capital flows and their relationship to business cycle variables (output, investment, and the real interest rate) in 22 industrial and emerging countries. Total inward flows are procyclical with respect to all three macro variables. Net outward flows are countercyclical with respect to output and investment in most industrial and emerging countries. Disaggregated inward flows positively comove with output in industrial countries and with investment and the real interest rate in the G7 economies. Inward foreign direct investment is the only non-procyclical type of inward capital flows (with respect to output) in the developing economies. Formal statistical tests based on nonparametric bootstrap techniques detect significant variance increases in all G7 countries' disaggregated capital flows over exogenous and endogenously estimated breaks. (C) 2012 Elsevier Ltd. All rights reserved. C1 [Contessi, Silvio] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [De Pace, Pierangelo] Pomona Coll, Dept Econ, Claremont, CA 91711 USA. [Francis, Johanna L.] Fordham Univ, Dept Econ, Bronx, NY 10458 USA. RP Francis, JL (reprint author), Fordham Univ, Dept Econ, E-507 Dealy Hall,441 East Fordham Rd, Bronx, NY 10458 USA. EM silvio.contessi@stls.frb.org; pierangelo.depace@pomona.edu; ajofrancis@fordham.edu NR 44 TC 7 Z9 7 U1 1 U2 2 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD FEB PY 2013 VL 32 BP 528 EP 555 DI 10.1016/j.jimonfin.2012.05.023 PG 28 WC Business, Finance SC Business & Economics GA V38NL UT WOS:000209350000026 ER PT J AU Durdu, CB Mendoza, EG Terrones, ME AF Durdu, C. Bora Mendoza, Enrique G. Terrones, Marco E. TI On the solvency of nations: Cross-country evidence on the dynamics of external adjustment SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Global imbalances; External solvency; Debt sustainability; Pooled mean group estimation AB We test the hypothesis that net foreign asset positions are consistent with external solvency and examine the dynamics of external adjustment using data for 50 countries over the 19702006 period. Our analysis adapts Bohn's (2007) error-correction reaction function approach - which tests for a negative long-run relationship between net exports (NX) and net foreign assets (NFA) as a sufficiency condition for the intertemporal budget constraint to hold - to a dynamic panel framework. Pooled Mean Group (PMG) and Mean Group error-correction estimation yield evidence of a statistically significant, negative response of NX to NFA. Moreover, we cannot reject the hypothesis that the response is largely homogeneous across countries. Our sensitivity analysis shows that the countries with relatively weaker fundamentals need to respond more strongly to the changes in NFA to keep their NFAs on a sustainable path. Published by Elsevier Ltd. C1 [Durdu, C. Bora] Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. [Mendoza, Enrique G.] Univ Maryland, College Pk, MD USA. [Mendoza, Enrique G.] NBER, Cambridge, MA 02138 USA. [Terrones, Marco E.] Int Monetary Fund, Washington, DC 20431 USA. RP Durdu, CB (reprint author), Fed Reserve Board, Int Finance Div, 20 & C St NW, Washington, DC 20551 USA. EM bora.durdu@gmail.com NR 33 TC 6 Z9 6 U1 0 U2 1 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD FEB PY 2013 VL 32 BP 762 EP 780 DI 10.1016/j.jimonfin.2012.07.002 PG 19 WC Business, Finance SC Business & Economics GA V38NL UT WOS:000209350000037 ER PT J AU Bodenstein, M Guerrieri, L Gust, CJ AF Bodenstein, Martin Guerrieri, Luca Gust, Christopher J. TI Oil shocks and the zero bound on nominal interest rates SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Oil shocks; Zero lower bound; DSGE models AB Beginning in 2008, in many advanced economies, policy rates reached their zero lower bound (ZLB) and almost at the same time, oil prices started rising again. We analyze how the ZLB affects the propagation of oil shocks. As these shocks move inflation and output in opposite directions, their effects on economic activity are cushioned when monetary policy is constrained. The burst of inflation from an oil price increase lowers real interest rates at the ZLB and stimulates the interest-sensitive component of GDP, offsetting the usual contractionary effects. We show that the mitigation of the output decline from the zero lower bound depends on the source of the shock and on the persistence that alternative shocks induce in the price of oil. Published by Elsevier Ltd. C1 [Bodenstein, Martin; Guerrieri, Luca; Gust, Christopher J.] Fed Reserve Board, Off Financial Stabil Policy & Res, Washington, DC 20551 USA. RP Guerrieri, L (reprint author), Fed Reserve Board, Off Financial Stabil Policy & Res, 20th & C St NW, Washington, DC 20551 USA. EM Luca.Guerrieri@frb.gov NR 40 TC 6 Z9 6 U1 0 U2 1 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD FEB PY 2013 VL 32 BP 941 EP 967 DI 10.1016/j.jimonfin.2012.08.002 PG 27 WC Business, Finance SC Business & Economics GA V38NL UT WOS:000209350000045 ER PT J AU Beltran, DO Kretchmer, M Marquez, J Thomas, CP AF Beltran, Daniel O. Kretchmer, Maxwell Marquez, Jaime Thomas, Charles P. TI Foreign holdings of US Treasuries and US Treasury yields SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Foreign official inflows; Treasury yields; Foreign reserves; Capital flows AB Foreign official holdings of U.S. Treasuries increased from $400 billion in January 1994 to about $ 3 trillion in June 2010. Most of this growth is accounted for by a handful of emerging market economies that have been running large current account surpluses. These countries are channeling their savings through the official sector, which is then acquiring foreign exchange reserves. Any shift in policy to reduce their current account surpluses or dampen the rate of reserves accumulation would likely slow the pace of foreign official purchases of U.S. Treasuries. Would such a slowing of foreign official purchases of Treasury notes and bonds affect long-term Treasury yields? Most likely yes, and the effects appear to be large. By our estimates, if foreign official inflows into U.S. Treasuries were to decrease in a given month by $ 100 billion, 5-year Treasury rates would rise by about 40-60 basis points in the short run. But once we allow foreign private investors to react to the yield change induced by the shock to foreign official inflows, the long-run effect is about 20 basis points. Published by Elsevier Ltd. C1 [Beltran, Daniel O.; Kretchmer, Maxwell; Marquez, Jaime; Thomas, Charles P.] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Beltran, DO (reprint author), Fed Reserve Board, Div Int Finance, 20th & C St NW,Mail Stop 42, Washington, DC 20551 USA. EM daniel.o.beltran@frb.gov; max.kretchmer@gmail.com; jaime.marquez@frb.gov; charles.thomas@frb.gov NR 37 TC 3 Z9 3 U1 2 U2 2 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 EI 1873-0639 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD FEB PY 2013 VL 32 BP 1120 EP 1143 DI 10.1016/j.jimonfin.2012.09.005 PG 24 WC Business, Finance SC Business & Economics GA V38NL UT WOS:000209350000053 ER PT B AU Carlson, M AF Carlson, Mark BE Parker, RE Whaples, R TI THE PANIC OF 1893 SO ROUTLEDGE HANDBOOK OF MAJOR EVENTS IN ECONOMIC HISTORY LA English DT Article; Book Chapter ID SUSPENSIONS; BANKING C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Carlson, M (reprint author), Board Governors Fed Reserve Syst, Washington, DC 20551 USA. NR 18 TC 1 Z9 1 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-06787-1; 978-0-415-67703-5 PY 2013 BP 40 EP 49 PG 10 WC Economics SC Business & Economics GA BB3RH UT WOS:000342999700006 ER PT B AU Hetzel, RL AF Hetzel, Robert L. BE Parker, RE Whaples, R TI THE GREAT INFLATION OF THE 1970S SO ROUTLEDGE HANDBOOK OF MAJOR EVENTS IN ECONOMIC HISTORY LA English DT Article; Book Chapter ID MONEY C1 Fed Reserve Richmond, Res Dept, Richmond, VA 23261 USA. RP Hetzel, RL (reprint author), Fed Reserve Richmond, Res Dept, Richmond, VA 23261 USA. NR 21 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI ABINGDON PA 2 PARK SQ, MILTON PARK, ABINGDON OX14 4RN, OXFORD, ENGLAND BN 978-0-203-06787-1; 978-0-415-67703-5 PY 2013 BP 223 EP 238 PG 16 WC Economics SC Business & Economics GA BB3RH UT WOS:000342999700021 ER PT B AU Hamilton, JD AF Hamilton, James D. BE Parker, RE Whaples, R TI HISTORICAL OIL SHOCKS SO ROUTLEDGE HANDBOOK OF MAJOR EVENTS IN ECONOMIC HISTORY LA English DT Article; Book Chapter ID GASOLINE DEMAND; SUPPLY SHOCKS; PRICE SHOCKS; METAANALYSIS; ELASTICITY C1 [Hamilton, James D.] Univ Calif San Diego, Dept Econ, San Diego, CA 92103 USA. [Hamilton, James D.] Univ Virginia, Charlottesville, VA 22903 USA. [Hamilton, James D.] Econometr Soc, New York, NY USA. [Hamilton, James D.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Hamilton, JD (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 46 TC 29 Z9 29 U1 0 U2 2 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-06787-1; 978-0-415-67703-5 PY 2013 BP 239 EP 265 PG 27 WC Economics SC Business & Economics GA BB3RH UT WOS:000342999700022 ER PT B AU Kling, A AF Kling, Arnold BE Parker, RE Whaples, R TI THE 1970S The decade the Phillips Curve died SO ROUTLEDGE HANDBOOK OF MAJOR EVENTS IN ECONOMIC HISTORY LA English DT Article; Book Chapter ID POLICY C1 [Kling, Arnold] Fed Reserve Syst, Board Governors, Washington, DC USA. [Kling, Arnold] Freddie Mac, Mclean, VA USA. [Kling, Arnold] Cato Inst, Washington, DC 20003 USA. [Kling, Arnold] Berman Hebrew Acad, Rockville, MD USA. RP Kling, A (reprint author), Cato Inst, Washington, DC 20003 USA. NR 13 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-06787-1; 978-0-415-67703-5 PY 2013 BP 266 EP 274 PG 9 WC Economics SC Business & Economics GA BB3RH UT WOS:000342999700023 ER PT B AU Meltzer, AH AF Meltzer, Allan H. BE Parker, RE Whaples, R TI DISINFLATION, 1979-1982 SO ROUTLEDGE HANDBOOK OF MAJOR EVENTS IN ECONOMIC HISTORY LA English DT Article; Book Chapter C1 [Meltzer, Allan H.] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. [Meltzer, Allan H.] US Dept Treasury, Washington, DC USA. [Meltzer, Allan H.] Fed Reserve Syst, Board Governors, Washington, DC USA. [Meltzer, Allan H.] Int Financial Inst Advisory Commiss, Washington, DC USA. [Meltzer, Allan H.] Shadow Open Market Comm, Rochester, NY USA. RP Meltzer, AH (reprint author), Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. NR 3 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-06787-1; 978-0-415-67703-5 PY 2013 BP 283 EP 292 PG 10 WC Economics SC Business & Economics GA BB3RH UT WOS:000342999700025 ER PT B AU Gorton, G Metrick, A AF Gorton, Gary Metrick, Andrew BE Parker, RE Whaples, R TI THE FINANCIAL CRISIS OF 2007-2009 SO ROUTLEDGE HANDBOOK OF MAJOR EVENTS IN ECONOMIC HISTORY LA English DT Article; Book Chapter ID CYCLES C1 [Gorton, Gary] Yale Univ, Sch Management, New Haven, CT 06520 USA. [Gorton, Gary] Fed Deposit Insurance Corp, Res Program Banks & Econ, Washington, DC USA. [Gorton, Gary] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Gorton, Gary] Bank England, London, England. [Metrick, Andrew] Wharton, Dept Finance, Philadelphia, PA USA. [Metrick, Andrew] Harvard, Dept Econ, Cambridge, MA USA. RP Gorton, G (reprint author), Natl Bur Econ Res, Cambridge, MA 02138 USA. NR 17 TC 1 Z9 1 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-06787-1; 978-0-415-67703-5 PY 2013 BP 378 EP 388 PG 11 WC Economics SC Business & Economics GA BB3RH UT WOS:000342999700032 ER PT J AU Brunnermeier, MK Eisenbach, TM Sannikov, Y AF Brunnermeier, Markus K. Eisenbach, Thomas M. Sannikov, Yuliy BE Acemoglu, D Arellano, M Dekel, E TI Macroeconomics with Financial Frictions: A Survey SO ADVANCES IN ECONOMICS AND ECONOMETRICS, VOL II: APPLIED ECONOMICS SE Econometric Society Monographs LA English DT Proceedings Paper CT 10th World Congress of the Econometric-Society CY AUG 17-21, 2010 CL Shanghai Jiao Tong Univ, Shanghai, PEOPLES R CHINA SP Econometr Soc, Shanghai Univ Finance & Economics, Fudan Univ, China Europe Int Business Sch, Chinese Assoc Quantitative Economics HO Shanghai Jiao Tong Univ ID PERMANENT INCOME HYPOTHESIS; MONETARY-POLICY; IMPERFECT INFORMATION; INTEREST-RATES; STOCK-MARKET; BANK RUNS; ASYMMETRIC INFORMATION; BUSINESS FLUCTUATIONS; BORROWING CONSTRAINTS; LIQUIDITY CREATION C1 [Brunnermeier, Markus K.; Sannikov, Yuliy] Princeton Univ, Princeton, NJ 08544 USA. [Eisenbach, Thomas M.] Fed Reserve Bank New York, New York, NY USA. RP Brunnermeier, MK (reprint author), Princeton Univ, Princeton, NJ 08544 USA. NR 180 TC 4 Z9 4 U1 5 U2 8 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01605-7 J9 ECON SOC MONOGR PY 2013 IS 50 BP 3 EP 94 PG 92 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA BB1PB UT WOS:000341247900001 ER PT J AU Heathcote, J Storesletten, K Violante, GL AF Heathcote, Jonathan Storesletten, Kjetil Violante, Giovanni L. BE Acemoglu, D Arellano, M Dekel, E TI From Wages to Welfare: Decomposing Gains and Losses from Rising Inequality SO ADVANCES IN ECONOMICS AND ECONOMETRICS, VOL II: APPLIED ECONOMICS SE Econometric Society Monographs LA English DT Proceedings Paper CT 10th World Congress of the Econometric-Society CY AUG 17-21, 2010 CL Shanghai Jiao Tong Univ, Shanghai, PEOPLES R CHINA SP Econometr Soc, Shanghai Univ Finance & Economics, Fudan Univ, China Europe Int Business Sch, Chinese Assoc Quantitative Economics HO Shanghai Jiao Tong Univ ID LABOR-MARKET; CONSUMPTION INEQUALITY; UNITED-STATES; IDIOSYNCRATIC RISK; LIFE-CYCLE; INCOME; INSURANCE; GROWTH; SKILL; HETEROGENEITY C1 [Heathcote, Jonathan; Storesletten, Kjetil] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Heathcote, Jonathan; Violante, Giovanni L.] CEPR, London, England. [Violante, Giovanni L.] NYU, New York, NY USA. [Violante, Giovanni L.] NBER, Cambridge, MA USA. RP Heathcote, J (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. RI Violante, Giovanni/F-1872-2017 NR 75 TC 1 Z9 1 U1 1 U2 3 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01605-7 J9 ECON SOC MONOGR PY 2013 IS 50 BP 235 EP 280 PG 46 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA BB1PB UT WOS:000341247900006 ER PT B AU Fernandez-Villaverde, J Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. BE Acemoglu, D Arellano, M Dekel, E TI Macroeconomics and Volatility: Data, Models, and Estimation SO ADVANCES IN ECONOMICS AND ECONOMETRICS, VOL III: ECONOMETRICS SE Econometric Society Monographs LA English DT Proceedings Paper CT 10th World Congress of the Econometric-Society CY AUG 17-21, 2010 CL Shanghai Jiao Tong Univ, Shanghai, PEOPLES R CHINA SP Econometr Soc, Shanghai Univ Finance & Economics, Fudan Univ, China Europe Int Business Sch, Chinese Assoc Quantitative Economics HO Shanghai Jiao Tong Univ ID DYNAMIC EQUILIBRIUM ECONOMIES; US MONETARY-POLICY; CONDITIONAL HETEROSKEDASTICITY; OUTPUT GROWTH; UNITED-STATES; REAL; FLUCTUATIONS; UNCERTAINTY; INFLATION; SHOCKS C1 [Fernandez-Villaverde, Jesus] Univ Penn, NBER, CEPR, FEDEA, Philadelphia, PA 19104 USA. [Rubio-Ramirez, Juan F.] Duke Univ, FEDEA, Fed Reserve Bank Atlanta, Durham, NC 27708 USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, NBER, CEPR, FEDEA, Philadelphia, PA 19104 USA. NR 60 TC 0 Z9 0 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01606-4; 978-1-107-62731-4 J9 ECON SOC MONOGR PY 2013 IS 51 BP 137 EP 183 PG 47 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA BB1OZ UT WOS:000341247000004 ER PT S AU Del Negro, M Schorfheide, F AF Del Negro, Marco Schorfheide, Frank BE Elliott, G Timmermann, A TI DSGE Model-Based Forecasting SO HANDBOOK OF ECONOMIC FORECASTING, VOL 2A SE Handbooks in Economics LA English DT Article; Book Chapter DE Bayesian analysis; Conditional forecasts; DSGE models; External information; Financial frictions; Forecast accuracy; Great recession; Monetary policys shocks ID DYNAMIC MULTIVARIATE MODELS; BUSINESS CYCLES; MACROECONOMIC FLUCTUATIONS; NOMINAL RIGIDITIES; BAYESIAN-ANALYSIS; MONETARY-POLICY; LONG-RUN; US; PERFORMANCE; FRICTIONS AB Dynamic stochastic general equilibrium (DSGE) models use modern macroeconomic theory to explain and predict comovements of aggregate time series over the business cycle and to perform policy analysis. We explain how to use DSGE models for all three purposes - forecasting, story-telling, and policy experiments - and review their forecasting record. We also provide our own real-time assessment of the forecasting performance of the Smets and Wouters (2007) model data up to 2011, compare it with Blue Chip and Greenbook forecasts, and show how it changes as we augment the standard set of observables with external information from surveys (nowcasts, interest rates, and long-run inflation and output growth expectations). We explore methods of generating forecasts in the presence of a zero-lower-bound constraint on nominal interest rates and conditional on counterfactual interest rate paths. Finally, we perform a post-mortem of DSGE model forecasts of the Great Recession, and show that forecasts from a version of the Smets-Wouters model augmented by financial frictions and with interest rate spreads as an observable compare well with Blue Chip forecasts. 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. NR 100 TC 12 Z9 12 U1 1 U2 3 PU ELSEVIER NORTH HOLLAND PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-7218 BN 978-0-444-53684-6; 978-0-444-53683-9 J9 HBK ECON PY 2013 BP 57 EP 140 DI 10.1016/B978-0-444-53683-9.00002-5 PG 84 WC Economics SC Business & Economics GA BA5HK UT WOS:000336656600003 ER PT S AU Chauvet, M Potter, S AF Chauvet, Marcelle Potter, Simon BE Elliott, G Timmermann, A TI Forecasting Output SO HANDBOOK OF ECONOMIC FORECASTING, VOL 2A SE Handbooks in Economics LA English DT Article; Book Chapter DE Real time; Evaluating forecasts; Macroeconomic forecasting; Nonlinear; Recession; DSGE models; Markov switching; Dynamic factor model; Vector autoregressive model ID PREDICTING US RECESSIONS; KEYNESIAN DSGE MODEL; CYCLE TURNING-POINTS; BUSINESS-CYCLE; MONETARY-POLICY; EURO AREA; FINANCIAL VARIABLES; COINCIDENT INDEX; TERM STRUCTURE; UNITED-STATES AB This chapter surveys the recent literature on output forecasting, and examines the real-time forecasting ability of several models for U.S. output growth. In particular, it evaluates the accuracy of short-term forecasts of linear and nonlinear structural and reduced-form models, and judgmental forecasts of output growth. Our emphasis is on using solely the information that was available at the time the forecast was being made, in order to reproduce the forecasting problem facing forecasters in real-time. We find that there is a large difference in forecast performance across business cycle phases. In particular, it is much harder to forecast output growth during recessions than during expansions. Simple linear and nonlinear autoregressive models have the best accuracy in forecasting output growth during expansions, although the dynamic stochastic general equilibrium model and the vector autoregressive model with financial variables do relatively well. On the other hand, we find that most models do poorly in forecasting output growth during recessions. The autoregressive model based on the nonlinear dynamic factor model that takes into account asymmetries between expansions and recessions displays the best real time forecast accuracy during recessions. Even though the Blue Chip forecasts are comparable, the dynamic factor Markov switching model has better accuracy, particularly with respect to the timing and depth of output fall during recessions in real time. The results suggest that there are large gains in considering separate forecasting models for normal times and models especially designed for periods of abrupt changes, such as during recessions and financial crises. C1 [Chauvet, Marcelle] Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. [Potter, Simon] Fed Reserve Bank New York, New York, NY 10045 USA. RP Chauvet, M (reprint author), Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. NR 129 TC 3 Z9 3 U1 1 U2 2 PU ELSEVIER NORTH HOLLAND PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-7218 BN 978-0-444-53684-6; 978-0-444-53683-9 J9 HBK ECON PY 2013 BP 141 EP 194 DI 10.1016/B978-0-444-53683-9.00003-7 PG 54 WC Economics SC Business & Economics GA BA5HK UT WOS:000336656600004 ER PT S AU Alquist, R Kilian, L Vigfusson, RJ AF Alquist, Ron Kilian, Lutz Vigfusson, Robert J. BE Elliott, G Timmermann, A TI Forecasting the Price of Oil SO HANDBOOK OF ECONOMIC FORECASTING, VOL 2A SE Handbooks in Economics LA English DT Article; Book Chapter DE Oil; No-change forecast; Futures price; Economic fundamentals; Asymmetries; Structural change; Structural oil market models; Predictability; Forecast scenarios; Risk ID US ECONOMY; CRUDE-OIL; PREDICTIVE ACCURACY; MULTIVARIATE MODELS; GASOLINE PRICES; EXCHANGE-RATES; SUPPLY SHOCKS; NESTED MODELS; TIME-SERIES; RISK AB We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real and nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures prices in forecasting the spot price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future oil demand and oil supply conditions? How does one quantify risks associated with oil price forecasts? Can joint forecasts of the price of oil and of U. S. real GDP growth be improved upon by allowing for asymmetries? C1 [Alquist, Ron] Bank Canada, Ottawa, ON, Canada. [Kilian, Lutz] Univ Michigan, Ann Arbor, MI 48109 USA. [Vigfusson, Robert J.] Fed Reserve Board, Washington, DC USA. RP Alquist, R (reprint author), Bank Canada, Ottawa, ON, Canada. NR 108 TC 26 Z9 27 U1 0 U2 3 PU ELSEVIER NORTH HOLLAND PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-7218 BN 978-0-444-53684-6; 978-0-444-53683-9 J9 HBK ECON PY 2013 BP 427 EP 507 DI 10.1016/B978-0-444-53683-9.00008-6 PG 81 WC Economics SC Business & Economics GA BA5HK UT WOS:000336656600009 ER PT J AU Stern, G Feldman, RJ AF Stern, Gary Feldman, Ron J. BE Fouque, JP Langsam, JA TI Regulation: Introduction SO HANDBOOK ON SYSTEMIC RISK LA English DT Editorial Material; Book Chapter C1 [Stern, Gary] Stern Partners LLC, Minneapolis, MN 55403 USA. [Feldman, Ron J.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. RP Stern, G (reprint author), Stern Partners LLC, 1727 Humboldt Ave S, Minneapolis, MN 55403 USA. EM ghsstern@comcast.net; Ron.feldman@mpls.frb.org NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-02343-7 PY 2013 BP 745 EP 747 D2 10.1017/CBO9781139151184 PG 3 WC Mathematics, Applied SC Mathematics GA BA9PC UT WOS:000339666300035 ER PT J AU Oet, MV Eiben, R Bianco, T Gramlich, D Ong, SJ Wang, J AF Oet, Mikhail V. Eiben, Ryan Bianco, Timothy Gramlich, Dieter Ong, Stephen J. Wang, Jing BE Fouque, JP Langsam, JA TI Systemic Risk Early Warning System: A Micro-Macro Prudential Synthesis SO HANDBOOK ON SYSTEMIC RISK LA English DT Article; Book Chapter DE Systemic risk; early warning system; financial stress index; microprudential; macroprudential; structural characteristics; feedback; liquidity amplification; contagion ID BANKING CRISES; REGRESSION; INDICATORS; MODEL AB From the financial supervisor's point of view, an early warning system involves an ex ante approach to regulation, targeted to predict and prevent crises. An efficient EWS allows timely ex ante policy action and can reduce the need for ex post regulation. This chapter builds on existing microprudential and macroprudential early warning systems (EWSs) to propose a hybrid class of models for systemic risk, incorporating the structural characteristics of the financial system and a feedback amplification mechanism. The models explain financial stress using data from the five largest bank holding companies, regressing institutional imbalances using an optimal lag method. The z-scores of institutional data are justified as explanatory imbalances. The models utilize both public and proprietary supervisory data. The Systemic Assessment of Financial Environment (SAFE) EWS monitors microprudential information from systemically important institutions to anticipate the buildup of macroeconomic stresses in the financial markets at large. To the supervisor, SAFE offers a toolkit of possible institutional actions that can be used to diffuse the buildup of systemic stress in the financial markets. A hazard inherent in all ex ante models is that the model's uncertainty may lead to wrong policy choices. To mitigate this risk, SAFE develops two modeling perspectives: a set of medium-term (six-quarter) forecasting specifications that gives policymakers enough time to take ex ante policy action, and a set of short-term (two-quarter) forecasting specifications for verification and adjustment of supervisory actions. Individual financial institutions may utilize the public version of SAFE EWS to enhance systemic risk stress testing and scenario analysis. This chapter shows the econometric results and robustness support for the SAFE set of models. The discussion of results addresses the usability and usefulness tests of supervisory data. In addition, the chapter investigates and suggests which action thresholds are appropriate for this EWS. C1 [Oet, Mikhail V.; Bianco, Timothy; Ong, Stephen J.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. [Eiben, Ryan] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. [Gramlich, Dieter] Baden Wuerttemberg Cooperat State Univ, Dept Banking, D-89518 Heidenheim, Germany. [Gramlich, Dieter] Cleveland State Univ, Grad Sch Business, Cleveland, OH 44115 USA. [Wang, Jing] Cleveland State Univ, Monte Ahuja Coll, Dept Finance, Westlake, OH 44145 USA. RP Oet, MV (reprint author), Fed Reserve Bank Cleveland, POB 6387, Cleveland, OH 44101 USA. EM mikhail.oet@clev.frb.org; reiben@indiana.edu; timothy.bianco@clev.frb.org; gramlich@dhbw-heidenheim.de; stephen.ong@clev.frb.org; jing.wang@clev.frb.org NR 73 TC 1 Z9 1 U1 0 U2 4 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-02343-7 PY 2013 BP 791 EP 846 D2 10.1017/CBO9781139151184 PG 56 WC Mathematics, Applied SC Mathematics GA BA9PC UT WOS:000339666300038 ER PT J AU Erdemlioglu, D Laurent, S Neely, CJ AF Erdemlioglu, Deniz Laurent, Sebastien Neely, Christopher J. BE Bell, AR Brooks, C Prokopczuk, M TI Econometric modeling of exchange rate volatility and jumps SO HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL FINANCE SE Handbooks of Research Methods and Applications LA English DT Article; Book Chapter ID CENTRAL BANK INTERVENTION; HIGH-FREQUENCY DATA; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; TIME PRICE DISCOVERY; FOREIGN-EXCHANGE; MACROECONOMIC ANNOUNCEMENTS; ECONOMIC-NEWS; MICROSTRUCTURE NOISE; REALIZED VOLATILITY; RATE DYNAMICS C1 [Erdemlioglu, Deniz] Univ Namur FUNDP, Namur, Belgium. [Laurent, Sebastien] Maastricht Univ, Dept Quantitat Econ, Maastricht, Netherlands. [Neely, Christopher J.] Fed Reserve Bank, St Louis, MO USA. RP Erdemlioglu, D (reprint author), Univ Namur FUNDP, Namur, Belgium. EM deniz.erdemlioglu@fundp.ac.be; s.laurent@maastrichtuniversity.nl; neely@stls.frb.org NR 136 TC 0 Z9 0 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-0-85793-608-0 J9 HANDB RES METH APPL PY 2013 BP 373 EP 427 D2 10.4337/9780857936097 PG 55 WC Business, Finance; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA BA4WV UT WOS:000336379100017 ER PT S AU Clark, T McCracken, M AF Clark, Todd McCracken, Michael BE Elliott, G Timmermann, A TI Advances in Forecast Evaluation SO HANDBOOK OF ECONOMIC FORECASTING, VOL 2B SE Handbooks in Economics LA English DT Article; Book Chapter DE Prediction; Equal accuracy; Multi-step forecasts; Point forecasts ID REAL-TIME DATA; CONSISTENT COVARIANCE-MATRIX; PREDICTIVE ABILITY; STOCHASTIC INTEGRALS; PARAMETER-ESTIMATION; SAMPLE PROPERTIES; EXCHANGE-RATES; DATA REVISIONS; NESTED MODELS; TESTS AB This chapter surveys recent developments in the evaluation of point forecasts. Taking West's (2006) survey as a starting point, we briefly cover the state of the literature as of the time of West's writing. We then focus on recent developments, including advancements in the evaluation of forecasts at the population level (based on true, unknown model coefficients), the evaluation of forecasts in the infinite sample (based on estimated model coefficients), and the evaluation of conditional versus unconditional forecasts. We present original results in a few subject areas: the optimization of power in determining the split of a sample into in-sample and out-of-sample portions; whether the accuracy of inference in evaluation of multi-step forecasts can be improved with judicious choice of heteroskedasticity-and-autocorrelation estimator (it can); and the extension of West's (1996) theory results for population-level, unconditional forecast evaluation to the case of conditional forecast evaluation. C1 [Clark, Todd] Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH 44101 USA. [McCracken, Michael] Fed Reserve Bank, Div Res, St Louis, MO 63166 USA. RP Clark, T (reprint author), Fed Reserve Bank Cleveland, Econ Res Dept, POB 6387, Cleveland, OH 44101 USA. NR 93 TC 11 Z9 11 U1 0 U2 1 PU ELSEVIER NORTH HOLLAND PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-7218 BN 978-0-444-62740-7; 978-0-444-62731-5 J9 HBK ECON PY 2013 BP 1107 EP 1201 DI 10.1016/B978-0-444-62731-5.00020-8 PG 95 WC Economics SC Business & Economics GA BA5HM UT WOS:000336657300010 ER PT B AU Velde, FR AF Velde, F. R. BE Caprio, G Arner, DW BecK, T Calomiris, CW Neal, L Veron, N TI John Law and his Experiment with France, 1715-1726 SO HANDBOOK OF KEY GLOBAL FINANCIAL MARKETS, INSTITUTIONS AND INFRASTRUCTURE LA English DT Article; Book Chapter C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Velde, FR (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 8 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER ACADEMIC PRESS INC PI SAN DIEGO PA 525 B STREET, SUITE 1900, SAN DIEGO, CA 92101-4495 USA BN 978-0-12-405898-9; 978-0-12-397873-8 PY 2013 BP 169 EP 174 DI 10.1016/B978-0-12-397873-8.00017-7 PG 6 WC Business, Finance SC Business & Economics GA BA3CE UT WOS:000334103100018 ER PT J AU Balke, NS Zeng, Z AF Balke, Nathan S. Zeng, Zheng TI Credit demand, credit supply, and economic activity SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE aggregate uncertainty; credit demand; credit supply; financial conditions indices; financial intermediation ID AGENCY COSTS; INDEXES; SHOCKS; PRICES AB In this paper, we attempt to identify the separate contributions of credit demand, supply of financial intermediation, and supply of funds to fluctuations in indicators of credit conditions and to fluctuations in economic activity. We estimate a common factor model in which the six factors correspond to supply of funds, financial intermediation, credit demand, aggregate uncertainty, real economic activity, and inflation. We use a simple model of financial intermediation to motivate restrictions on the factor loadings designed to identify supply of funds, uncertainty, credit demand, and financial intermediation factors. We find that the supply of funds and financial intermediation factors explain most of the variation in interest rates spreads, while the financial intermediation and credit demand factors typically contribute to most of the fluctuations in credit quantity variables. For credit indicators, the 2008-2009 financial crisis appears to be largely due to a decline in the financial intermediation. However, this decline in financial intermediation seems to have originated from output and uncertainty shocks, rather than shocks to financial intermediation itself. C1 [Zeng, Zheng] Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. [Balke, Nathan S.] So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. [Balke, Nathan S.] Fed Reserve Bank Dallas, Dallas, TX USA. RP Zeng, Z (reprint author), Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. EM zzeng@bgsu.edu NR 36 TC 1 Z9 1 U1 0 U2 2 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 2013 VL 13 IS 1 BP 643 EP 680 DI 10.1515/bejm-2012-0116 PG 38 WC Economics SC Business & Economics GA AI0GR UT WOS:000336524700007 ER PT J AU Nakamura, AO Nakamura, LI Nakamura, M AF Nakamura, Alice O. Nakamura, Leonard I. Nakamura, Masao BE Carayannis, EG Korres, GM TI Building the innovation union: lessons from the 2008 financial crisis SO INNOVATION UNION IN EUROPE: A SOCIO-ECONOMIC PERSPECTIVE ON EU INTEGRATION SE Science Innovation Technology and Entrepreneurship LA English DT Article; Book Chapter C1 [Nakamura, Alice O.] Univ Alberta, Sch Business, Edmonton, AB, Canada. [Nakamura, Leonard I.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Nakamura, Masao] Univ British Columbia, Sauder Sch Business, Vancouver, BC V5Z 1M9, Canada. RP Nakamura, AO (reprint author), Univ Alberta, Sch Business, Edmonton, AB, Canada. NR 38 TC 0 Z9 0 U1 0 U2 2 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-0-85793-990-6 J9 SCI INNOV TECHNOL PY 2013 BP 58 EP 81 D2 10.4337/9780857939913 PG 24 WC Business; Economics; Social Sciences, Interdisciplinary SC Business & Economics; Social Sciences - Other Topics GA BA1XE UT WOS:000333147500004 ER PT B AU Ferris, AE McGartland, A AF Ferris, Ann E. McGartland, Al BE Coglianese, C Finkel, AM Carrigan, C TI A Research Agenda for Improving the Treatment of Employment Impacts in Regulatory Impact Analysis SO DOES REGULATION KILL JOBS? LA English DT Article; Book Chapter ID ENVIRONMENTAL-REGULATION; UNEMPLOYMENT; ECONOMICS; JOBS C1 [Ferris, Ann E.] US EPA, Washington, DC 20460 USA. [Ferris, Ann E.] White House Council Environm Qual, Washington, DC USA. [Ferris, Ann E.] Fed Reserve Bank Boston, Boston, MA USA. [McGartland, Al] US EPA, Natl Ctr Environm Econ, Washington, DC USA. RP Ferris, AE (reprint author), US EPA, Washington, DC 20460 USA. NR 32 TC 0 Z9 0 U1 0 U2 0 PU UNIV PENNSYLVANIA PRESS PI PHILADELPHIA PA 3905 SPRUCE STREET, PHILADELPHIA, PA 19104 USA BN 978-0-8122-4576-9 PY 2013 BP 170 EP 189 PG 20 WC Economics; Political Science SC Business & Economics; Government & Law GA BA0XY UT WOS:000332346100010 ER PT J AU McGregor, RR Young, W AF McGregor, Rob Roy Young, Warren TI Federal Reserve Bank Presidents as Public Intellectuals SO HISTORY OF POLITICAL ECONOMY LA English DT Article ID MONETARY POLICY C1 [McGregor, Rob Roy] UNC Charlotte, Dept Econ, Charlotte, NC 28223 USA. [Young, Warren] Bar Ilan Univ, IL-52100 Ramat Gan, Israel. [Young, Warren] Fed Reserve Bank Minneapolis, Arch Project, Minneapolis, MN USA. RP McGregor, RR (reprint author), UNC Charlotte, Dept Econ, 9201 Univ City Blvd, Charlotte, NC 28223 USA. EM rrmcgreg@uncc.edu NR 43 TC 0 Z9 0 U1 1 U2 2 PU DUKE UNIV PRESS PI DURHAM PA 905 W MAIN ST, STE 18-B, DURHAM, NC 27701 USA SN 0018-2702 EI 1527-1919 J9 HIST POLIT ECON JI Hist. Polit. Econ. PY 2013 VL 45 SU S BP 166 EP 190 DI 10.1215/00182702-2310989 PG 25 WC Economics; History Of Social Sciences SC Business & Economics; Social Sciences - Other Topics GA 293GP UT WOS:000329959700008 ER PT J AU Guerron-Quintana, PA Nason, JM AF Guerron-Quintana, Pablo A. Nason, James M. BE Hashimzade, N Thornton, MA TI Bayesian estimation of DSGE models SO HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL MACROECONOMICS SE Handbooks of Research Methods and Applications LA English DT Article; Book Chapter ID GENERAL EQUILIBRIUM-MODELS; MONETARY-POLICY; BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; MACROECONOMIC MODELS; NOMINAL RIGIDITIES; KEYNESIAN MODELS; LIKELIHOOD; SHOCKS; UNCERTAINTY C1 [Guerron-Quintana, Pablo A.; Nason, James M.] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. [Guerron-Quintana, Pablo A.] N Carolina State Univ, Raleigh, NC 27695 USA. RP Guerron-Quintana, PA (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. NR 73 TC 0 Z9 0 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-0-85793-101-6 J9 HANDB RES METH APPL PY 2013 BP 486 EP 512 D2 10.4337/9780857931023 PG 27 WC Economics SC Business & Economics GA BJJ48 UT WOS:000328493400021 ER PT J AU Gomme, P Lkhagvasuren, D AF Gomme, Paul Lkhagvasuren, Damba BE Hashimzade, N Thornton, MA TI Calibration and simulation of DSGE models SO HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL MACROECONOMICS SE Handbooks of Research Methods and Applications LA English DT Article; Book Chapter ID AGGREGATE FLUCTUATIONS; BUSINESS CYCLES; GROWTH; MACROECONOMICS; CONSUMPTION; TIME C1 [Gomme, Paul; Lkhagvasuren, Damba] Concordia Univ, Montreal, PQ, Canada. [Gomme, Paul; Lkhagvasuren, Damba] CIREQ, Montreal, PQ, Canada. [Gomme, Paul] Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. [Gomme, Paul] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Gomme, Paul] Univ Iowa, Iowa City, IA 52242 USA. [Lkhagvasuren, Damba] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. RP Gomme, P (reprint author), Concordia Univ, Montreal, PQ, Canada. NR 27 TC 1 Z9 1 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-0-85793-101-6 J9 HANDB RES METH APPL PY 2013 BP 575 EP 592 D2 10.4337/9780857931023 PG 18 WC Economics SC Business & Economics GA BJJ48 UT WOS:000328493400024 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline BE Constant, AF Zimmermann, KF TI Immigrants in risky occupations SO INTERNATIONAL HANDBOOK ON THE ECONOMICS OF MIGRATION SE Elgar Original Reference LA English DT Article; Book Chapter ID WORKERS-COMPENSATION BENEFITS; ENGLISH-LANGUAGE PROFICIENCY; UNITED-STATES; FOREIGN-BORN; US-BORN; INJURIES; HEALTH; ASSIMILATION; MINORITIES; EARNINGS C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Orrenius, Pia M.; Zavodny, Madeline] Inst Study Labor IZA, Bonn, Germany. [Zavodny, Madeline] Agnes Scott Coll, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, Dallas, TX 75201 USA. NR 44 TC 1 Z9 1 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84542-629-3 J9 ELGAR ORIG REF PY 2013 BP 214 EP 226 PG 13 WC Demography; Economics SC Demography; Business & Economics GA BJI23 UT WOS:000328290200012 ER PT J AU Chari, VV AF Chari, Varadarajan V. TI Discussion of "QE 1 vs. 2 vs. 3 ... : A Framework for Analyzing Large-Scale Asset Purchases as a Monetary Policy Tool" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article C1 [Chari, Varadarajan V.] Univ Minnesota, Minneapolis, MN 55455 USA. [Chari, Varadarajan V.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Chari, VV (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 7 TC 0 Z9 0 U1 1 U2 3 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JAN PY 2013 VL 9 SU 1 SI SI BP 61 EP 68 PG 8 WC Business, Finance SC Business & Economics GA 273NV UT WOS:000328543000004 ER PT J AU Goodhart, CAE Kashyap, AK Tsomocos, DP Vardoulakis, AP AF Goodhart, Charles A. E. Kashyap, Anil K. Tsomocos, Dimitrios P. Vardoulakis, Alexandros P. TI An Integrated Framework for Analyzing Multiple Financial Regulations SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article AB In this companion paper to Goodhart et al. (2012), we explore the interactions of various types of financial regulation. We find that regulations that control fire-sale risk are critical for delivering financial stability and improving the welfare of savers and borrowers. We describe the combinations of capital regulations, margin requirements, liquidity regulation, and dynamic provisioning that are most effective in this respect. A policy featuring margin requirements together with countercyclical capital requirements delivers equal or better outcomes for the economy than does an unregulated financial system. But it is easy to produce combinations of regulation that look sensible but, when combined, have adverse effects on the economy. C1 [Goodhart, Charles A. E.] London Sch Econ, Financial Markets Grp, London, England. [Kashyap, Anil K.] Univ Chicago, Booth Sch Business, Fed Reserve Bank Chicago, Chicago, IL 60637 USA. [Kashyap, Anil K.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Tsomocos, Dimitrios P.] Univ Oxford, Said Business Sch, Oxford OX1 2JD, England. [Tsomocos, Dimitrios P.] Univ Oxford, St Edmund Hall, Oxford OX1 2JD, England. RP Goodhart, CAE (reprint author), London Sch Econ, Financial Markets Grp, London, England. NR 17 TC 6 Z9 6 U1 1 U2 8 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 JAN PY 2013 VL 9 SU 1 SI SI BP 109 EP 143 PG 35 WC Business, Finance SC Business & Economics GA 273NV UT WOS:000328543000006 ER PT J AU Adrian, T AF Adrian, Tobias TI Discussion of "An Integrated Framework for Analyzing Multiple Financial Regulations" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article C1 Fed Reserve Bank New York, New York, NY USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY USA. OI Adrian, Tobias/0000-0001-9379-9592 NR 17 TC 0 Z9 0 U1 0 U2 3 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 JAN PY 2013 VL 9 SU 1 SI SI BP 153 EP 166 PG 14 WC Business, Finance SC Business & Economics GA 273NV UT WOS:000328543000008 ER PT J AU Rudebusch, GD AF Rudebusch, Glenn D. TI Discussion of "Complexity and Monetary Policy" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID TERM STRUCTURE; INTEREST-RATES; RULES C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 12 TC 1 Z9 1 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 JAN PY 2013 VL 9 SU 1 SI SI BP 219 EP 228 PG 10 WC Business, Finance SC Business & Economics GA 273NV UT WOS:000328543000011 ER PT B AU Du, JL Wang, Y AF Du, Julan Wang, Yong BE Zhang, J TI REFORMING SOEs UNDER CHINA'S STATE CAPITALISM SO UNFINISHED REFORMS IN THE CHINESE ECONOMY LA English DT Article; Book Chapter ID ENTERPRISES; GROWTH C1 [Wang, Yong] Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China. [Wang, Yong] Fed Reserve Bank Dallas, Dallas, TX USA. [Wang, Yong] World Bank, Washington, DC USA. RP Du, JL (reprint author), Chinese Univ Hong Kong, Dept Econ, Hong Kong, Hong Kong, Peoples R China. NR 37 TC 2 Z9 2 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE BN 978-981-4434-01-0; 978-981-4434-00-3 PY 2013 BP 1 EP 38 D2 10.1142/8610 PG 38 WC Economics SC Business & Economics GA BIA15 UT WOS:000327132400002 ER PT S AU Leduc, S Wilson, D AF Leduc, Sylvain Wilson, Daniel BE Acemoglu, D Parker, J Woodford, M TI Roads to Prosperity or Bridges to Nowhere? Theory and Evidence on the Impact of Public Infrastructure Investment SO NBER MACROECONOMICS ANNUAL 2012 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter ID GOVERNMENT SPENDING SHOCKS; FISCAL-POLICY; BUSINESS-CYCLE; FEDERAL-GRANTS; PRODUCTIVITY; PURCHASES; PROGRAM; GROWTH; TAXES; MODEL AB We examine the dynamic macroeconomic effects of public infrastructure investment both theoretically and empirically, using a novel data set we compiled on various highway spending measures. Relying on the institutional design of federal grant distributions among states, we construct a measure of government highway spending shocks that captures revisions in expectations about future government investment. We find that shocks to federal highway funding positively affect local GDP both on impact and after six to eight years. However, we find no permanent effect (as of ten years after the shock). Similar impulse responses are found in a number of other macroeconomic variables. Our results suggest that the transmission channel for these responses operates through initial funding leading to building, over several years, of public highway capital, which then temporarily boosts private sector productivity and local demand. To help interpret these findings, we develop an open economy new Keynesian model with productive public capital in which regions are part of a monetary and fiscal union. We show that our empirical responses are qualitatively consistent with an initial effect due to nominal rigidities and a subsequent medium-term productivity effect that arises once the public capital is put in place and available for production. C1 [Leduc, Sylvain; Wilson, Daniel] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Leduc, S (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 64 TC 2 Z9 2 U1 0 U2 3 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-05277-9 J9 NBER MACROECON ANNU PY 2013 VL 27 BP 89 EP + PG 70 WC Economics SC Business & Economics GA BHW52 UT WOS:000326845800003 ER PT S AU Adrian, T Colla, P Shin, HS AF Adrian, Tobias Colla, Paolo Shin, Hyun Song BE Acemoglu, D Parker, J Woodford, M TI Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007 to 2009 SO NBER MACROECONOMICS ANNUAL 2012 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter ID CAPITAL STRUCTURE; MONETARY-POLICY; CORPORATE-DEBT; PUBLIC DEBT; BANK DEBT; INFORMATION; FLUCTUATIONS; INVESTMENT; MECHANISM; PRIVATE AB The financial crisis of 2007 to 2009 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending to firms declines during the crisis, bond financing actually increases to make up much of the gap. This paper reviews both aggregate and micro-level data and highlights the shift in the composition of credit between loans and bonds. Motivated by the evidence, we formulate a model of direct and intermediated credit that captures the key stylized facts. In our model, the impact on real activity comes from the spike in risk premiums, rather than contraction in the total quantity of credit. C1 [Adrian, Tobias] Fed Reserve Bank New York, New York, NY USA. [Colla, Paolo] Bocconi Univ, Maniz, Germany. [Shin, Hyun Song] Princeton Univ, Princeton, NJ 08544 USA. [Shin, Hyun Song] NBER, Cambridge, MA 02138 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 60 TC 15 Z9 15 U1 0 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-05277-9 J9 NBER MACROECON ANNU PY 2013 VL 27 BP 159 EP + PG 78 WC Economics SC Business & Economics GA BHW52 UT WOS:000326845800004 ER PT S AU Gagnon, E Lopez-Salido, D Vincent, N AF Gagnon, Etienne Lopez-Salido, David Vincent, Nicolas BE Acemoglu, D Parker, J Woodford, M TI Individual Price Adjustment along the Extensive Margin SO NBER MACROECONOMICS ANNUAL 2012 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter ID STICKY PRICES; MENU COSTS; MONETARY-POLICY; AUTOMOBILE PURCHASES; STAGGERED CONTRACTS; AGGREGATE DYNAMICS; NOMINAL RIGIDITIES; INFLATION; FREQUENCY; SHOCKS AB Firms employ a rich variety of pricing strategies whose implications for aggregate price dynamics often diverge. This situation poses a challenge for macroeconomists interested in bridging micro and macro price stickiness. In responding to this challenge, we note that differences in macro price stickiness across pricing mechanisms can often be traced back to price changes that are either triggered or canceled by shocks. We exploit observed micro price behavior to quantify the importance of this margin of adjustment for the response of inflation to shocks. Across a range of empirical exercises, we find strong evidence that changes in the timing of price adjustments contribute significantly to the flexibility of the aggregate price level. C1 [Gagnon, Etienne; Lopez-Salido, David] Fed Reserve Board, Washington, DC USA. [Vincent, Nicolas] HEC Montreal, Montreal, PQ, Canada. RP Gagnon, E (reprint author), Fed Reserve Board, Washington, DC USA. NR 75 TC 3 Z9 3 U1 0 U2 3 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-05277-9 J9 NBER MACROECON ANNU PY 2013 VL 27 BP 235 EP + PG 77 WC Economics SC Business & Economics GA BHW52 UT WOS:000326845800005 ER PT S AU Bils, M Klenow, PJ Malin, BA AF Bils, Mark Klenow, Peter J. Malin, Benjamin A. BE Acemoglu, D Parker, J Woodford, M TI Testing for Keynesian Labor Demand SO NBER MACROECONOMICS ANNUAL 2012 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter ID MONETARY-POLICY; PRICES; REAL; INDETERMINACY; MOVEMENTS; FRICTIONS; RETURNS; MODELS; SHOCKS; WAGES AB According to the textbook Keynesian model, short-run demand for labor is sensitive to the demand for goods. In this view, sellers deviate from setting the marginal product of labor proportional to the real wage, instead enduring or choosing lower price markups when demand for goods is high. We test this prediction across US industries in the two decades up through the Great Recession. To identify movements in goods demand, we exploit how durability varies across seventy categories of consumption and investment. We also take into account the flexibility of prices and capital-intensity of production across goods. We find evidence in support of Keynesian labor demand. C1 [Bils, Mark] Univ Rochester, Rochester, NY 14627 USA. [Bils, Mark; Klenow, Peter J.] NBER, Cambridge, MA 02138 USA. [Klenow, Peter J.] Stanford Univ, Stanford, CA 94305 USA. [Malin, Benjamin A.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Bils, M (reprint author), Univ Rochester, Rochester, NY 14627 USA. NR 45 TC 3 Z9 3 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-05277-9 J9 NBER MACROECON ANNU PY 2013 VL 27 BP 311 EP + PG 64 WC Economics SC Business & Economics GA BHW52 UT WOS:000326845800006 ER PT B AU Kydland, FE Mundell, R Schelling, T Smith, V Stokey, N AF Kydland, Finn E. Mundell, Robert Schelling, Thomas Smith, Vernon Stokey, Nancy BE Lomborg, B TI Expert Panel Ranking SO GLOBAL PROBLEMS, SMART SOLUTIONS: COSTS AND BENEFITS LA English DT Article; Book Chapter C1 [Kydland, Finn E.] Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. [Kydland, Finn E.] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. [Kydland, Finn E.] Univ Texas Austin, Austin, TX 78712 USA. [Kydland, Finn E.] Norwegian Sch Econ & Business Adm, Bergen, Norway. [Kydland, Finn E.] Fed Reserve Bank Dallas, Dallas, TX USA. [Kydland, Finn E.] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Kydland, Finn E.] Fed Reserve Bank St Louis, St Louis, France. [Kydland, Finn E.] Univ Texas Austin, Inst IC2, Austin, TX 78712 USA. [Kydland, Finn E.] Hoover Inst War Revolut & Peace, Stanford, CA 94305 USA. [Kydland, Finn E.] Univ Torcuato Tella, Buenos Aires, DF, Argentina. [Kydland, Finn E.; Mundell, Robert; Schelling, Thomas; Smith, Vernon; Stokey, Nancy] Copenhagen Consensus, Expert Panel, Copenhagen, Denmark. [Kydland, Finn E.] Copenhagen Consensus Climate, Expert Panel, Copenhagen, Denmark. [Mundell, Robert] Columbia Univ, New York, NY USA. [Schelling, Thomas] Univ Maryland, College Pk, MD 20742 USA. [Schelling, Thomas] Natl Acad Sci, Baku, Azerbaijan. [Schelling, Thomas] Yale Univ, Execut Off President, New Haven, CT 06520 USA. [Schelling, Thomas] RAND Corp, Santa Monica, CA 90406 USA. [Schelling, Thomas] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. [Schelling, Thomas] Harvard Univ, Ctr Int Affairs, Cambridge, MA 02138 USA. [Smith, Vernon] Chapman Univ, Sch Law, Orange, CA 92866 USA. [Smith, Vernon; Stokey, Nancy] Copenhagen Consensus, Copenhagen, Denmark. [Stokey, Nancy] Univ Chicago, Chicago, IL 60637 USA. RP Kydland, FE (reprint author), Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. NR 0 TC 4 Z9 4 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-61221-1; 978-1-107-03959-9 PY 2013 BP 701 EP 716 PG 16 WC Economics; Social Issues SC Business & Economics; Social Issues GA BHQ99 UT WOS:000326440700034 ER PT J AU Hale, G Long, C AF Hale, Galina Long, Cheryl BE Cheung, YW DeHaan, J TI If You Try, You'll Get By: Chinese Private Firms' Efficiency Gains from Overcoming Financial Constraints SO EVOLVING ROLE OF CHINA IN THE GLOBAL ECONOMY SE CESifo Seminar Series LA English DT Proceedings Paper CT CESifo-Summer-Institute Conference on the Evolving Role of China in the World Economy CY JUL, 2010 CL CESifo, Venice, ITALY SP CESifo Summer Inst, Ludwig Maximilians Univ, Ctr Econ Studies, Ifo Inst Econ Res HO CESifo ID TRADE CREDIT; BANK DISCRIMINATION; GROWTH; INDUSTRY C1 [Hale, Galina] Fed Reserve Bank, San Francisco, CA USA. [Long, Cheryl] Colgate Univ, Hamilton, NY USA. RP Hale, G (reprint author), Fed Reserve Bank, San Francisco, CA USA. NR 20 TC 1 Z9 1 U1 1 U2 4 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-01823-4 J9 CESIFO SEMINAR SER PY 2013 BP 231 EP 262 PG 32 WC Economics SC Business & Economics GA BHK61 UT WOS:000325728200008 ER PT B AU He, D McCauley, R AF He, Dong McCauley, Robert BE Wong, MCS Chan, WFC TI Eurodollar Banking and Currency Internationalization SO INVESTING IN ASIAN OFFSHORE CURRENCY MARKETS: THE SHIFT FROM DOLLARS TO RENMINBI SE Global Financial Markets LA English DT Article; Book Chapter C1 [He, Dong] HKMA, Hong Kong, Hong Kong, Peoples R China. [He, Dong] Hong Kong Inst Monetary Res, Hong Kong, Hong Kong, Peoples R China. [McCauley, Robert] BIS, Monetary & Econ Dept, Basel, Switzerland. [McCauley, Robert] BIS, Basel, Switzerland. [McCauley, Robert] Fed Reserve Bank New York, New York, NY USA. [McCauley, Robert] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. RP He, D (reprint author), HKMA, Hong Kong, Hong Kong, Peoples R China. NR 29 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-137-03464-9; 978-1-137-03463-2 J9 GLOB FINANC MARKET PY 2013 BP 199 EP 214 D2 10.1057/9781137034649 PG 16 WC Business, Finance; Economics SC Business & Economics GA BHH26 UT WOS:000325405000014 ER PT J AU Brunetti, C Buyuksahin, B Robe, MA Soneson, KR AF Brunetti, Celso Bueyueksahin, Bahattin Robe, Michel A. Soneson, Kirsten R. TI OPEC "Fair Price" Pronouncements and the Market Price of Crude Oil SO ENERGY JOURNAL LA English DT Article DE Crude oil; OPEC; Fair price; Market price; Event study; Autoregressive Distributed Lag (ADL) ID FOREIGN-EXCHANGE; CARTEL HYPOTHESIS; FUTURES PRICES; BEHAVIOR; INTERVENTION; ADJUSTMENT; EVENT; ANNOUNCEMENTS; DETERMINANTS; VOLATILITY AB OPEC producers, individually or collectively, often make statements regarding the "fair price" of crude oil. In some cases, the officials commenting are merely affirming the market price prevailing at the time. In many cases, however, we document that they explicitly disagree with contemporaneous oil futures prices. A natural question is whether these "fair price" pronouncements contain information not already reflected in the market price of crude oil. To find the answer, we collect "fair price" statements made from 2000 through 2010 by officials from OPEC or OPEC member countries. Visually, the "fair price" series looks like a sampling discretely drawn (with a lag) from the daily futures market price series. Formally, we use two primary methodologies to establish that "fair price" pronouncements have little influence on the market price of crude oil and provide little or no new news to oil futures market participants. C1 [Brunetti, Celso] Board Governors Fed Reserve Syst, Div Res & Stat, Washington, DC 20551 USA. [Bueyueksahin, Bahattin] Bank Canada, Ottawa, ON K1A 0G9, Canada. [Robe, Michel A.] American Univ, Kogod Sch Business, Washington, DC 20016 USA. [Soneson, Kirsten R.] Georgetown Univ, McDonough Sch Business, Washington, DC 20057 USA. RP Robe, MA (reprint author), American Univ, Kogod Sch Business, 4400 Massachusetts Ave NW, Washington, DC 20016 USA. EM mrobe@american.edu NR 48 TC 2 Z9 2 U1 1 U2 11 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 2013 VL 34 IS 4 BP 79 EP 108 DI 10.5547/01956574.34.4.5 PG 30 WC Economics; Energy & Fuels; Environmental Studies SC Business & Economics; Energy & Fuels; Environmental Sciences & Ecology GA 218QI UT WOS:000324447100005 ER PT S AU Almond, D Mazumder, B AF Almond, Douglas Mazumder, Bhashkar BE Arrow, KJ Bresnahan, TF TI Fetal Origins and Parental Responses SO ANNUAL REVIEW OF ECONOMICS, VOL 5 SE Annual Review of Economics LA English DT Article; Book Chapter DE birth endowments; birth weight; parental investments ID BIRTH-WEIGHT; HEALTH; EXPOSURE; INVESTMENTS; TECHNOLOGY; ENDOWMENTS; MALARIA; IMPACT; SIZE; AGE AB How do parental investments respond to health endowments at birth? Recent studies have combined insights from an earlier theoretical literature on household resource allocation with improved identification strategies to capture causal effects of early life health shocks. We describe empirical challenges in identifying behavioral responses and how recent studies have sought to address these. We then discuss the emerging literature on dynamic complementarities in parental investments arising from the staged, developmental nature of capability production and how capabilities may have multiple dimensions. The bulk of the empirical evidence to date suggests that parental investments reinforce initial endowment differences. C1 [Almond, Douglas] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Almond, Douglas] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Mazumder, Bhashkar] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Almond, D (reprint author), Columbia Univ, Dept Econ, New York, NY 10027 USA. EM almond@columbia.edu NR 41 TC 12 Z9 12 U1 2 U2 12 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4605-8 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2013 VL 5 BP 37 EP 56 DI 10.1146/annurev-economics-082912-110145 PG 20 WC Economics SC Business & Economics GA BGR46 UT WOS:000323894500002 ER PT S AU Tomz, M Wright, MLJ AF Tomz, Michael Wright, Mark L. J. BE Arrow, KJ Bresnahan, TF TI Empirical Research on Sovereign Debt and Default SO ANNUAL REVIEW OF ECONOMICS, VOL 5 SE Annual Review of Economics LA English DT Article; Book Chapter DE capital flows; international macroeconomics; international relations; political economy ID DEMOCRATIC ADVANTAGE; DEVELOPING-COUNTRIES; POLITICAL-INSTITUTIONS; EMERGING ECONOMIES; GOLD STANDARD; CRISES; RISK; COSTS; MATURITY; RELIEF AB In this article, we review the empirical literature about sovereign debt and default. As we survey the work of economists, historians, and political scientists, we also emphasize parallel developments by theorists and recommend steps to improve the correspondence between theory and data. C1 [Tomz, Michael] Stanford Univ, Stanford Ctr Int Dev, Dept Polit Sci, Stanford, CA 94305 USA. [Tomz, Michael] Stanford Univ, Stanford Inst Econ Policy Res, Stanford, CA 94305 USA. [Wright, Mark L. J.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Wright, Mark L. J.] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. [Wright, Mark L. J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Tomz, M (reprint author), Stanford Univ, Stanford Ctr Int Dev, Dept Polit Sci, Stanford, CA 94305 USA. EM mlwright@econ.ucla.edu NR 131 TC 11 Z9 11 U1 0 U2 16 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4605-8 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2013 VL 5 BP 247 EP 272 DI 10.1146/annurev-economics-061109-080443 PG 26 WC Economics SC Business & Economics GA BGR46 UT WOS:000323894500010 ER PT S AU Armantier, O de Bruin, WB Potter, S Topa, G van der Klaauw, W Zafar, B AF Armantier, Olivier de Bruin, Waendi Bruine Potter, Simon Topa, Giorgio van der Klaauw, Wilbert Zafar, Basit BE Arrow, KJ Bresnahan, TF TI Measuring Inflation Expectations SO ANNUAL REVIEW OF ECONOMICS, VOL 5 SE Annual Review of Economics LA English DT Article; Book Chapter DE surveys; information; updating; behavior; monetary policy; experiments ID PROFESSIONAL FORECASTERS; MACROECONOMIC FORECASTS; STICKY INFORMATION; EXPECTED INFLATION; PHILLIPS-CURVE; UNCERTAINTY; PERCEPTIONS; PREDICTIONS; CONSUMPTION; ECONOMICS AB To conduct monetary policy, central banks around the world increasingly rely on measures of public inflation expectations. In this article, we review findings from an ongoing initiative at the Federal Reserve Bank of New York aimed at improving the measurement and our understanding of household inflation expectations through surveys. We discuss the importance of question wording and the usefulness of new questions to elicit an individual's distribution of inflation beliefs. We present evidence suggesting that consumers update their inflation expectations in response to new information and that information dissemination may lead to more informed and reliable reporting of inflation expectations. Finally, we report on a financially incentivized experiment suggesting that expectations surveys are informative and that respondents generally act on their stated beliefs in a way consistent with expected utility theory. C1 [Armantier, Olivier; Potter, Simon; Topa, Giorgio; van der Klaauw, Wilbert; Zafar, Basit] Fed Reserve Bank New York, New York, NY 10045 USA. [de Bruin, Waendi Bruine] Univ Leeds, Sch Business, Ctr Decis Res, Leeds LS2 9JT, W Yorkshire, England. [de Bruin, Waendi Bruine] Carnegie Mellon Univ, Dept Engn & Publ Policy, Pittsburgh, PA 15213 USA. RP Armantier, O (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM wilbert.vanderklaauw@ny.frb.org NR 70 TC 5 Z9 5 U1 2 U2 17 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4605-8 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2013 VL 5 BP 273 EP 301 DI 10.1146/annurev-economics-081512-141510 PG 29 WC Economics SC Business & Economics GA BGR46 UT WOS:000323894500011 ER PT S AU Bems, R Johnson, RC Yi, KM AF Bems, Rudolfs Johnson, Robert C. Yi, Kei-Mu BE Arrow, KJ Bresnahan, TF TI The Great Trade Collapse SO ANNUAL REVIEW OF ECONOMICS, VOL 5 SE Annual Review of Economics LA English DT Article; Book Chapter DE Great Recession; trade finance; trade policy; import demand; world trade ID GLOBAL FINANCIAL CRISIS; INTERNATIONAL-TRADE; EXPORTS; CREDIT AB We survey recent literature on the causes of the collapse in international trade during the 2008-2009 global recession. We argue that the evidence points to the collapse in aggregate expenditure, concentrated on trade-intensive durable goods, as the main driver of the trade collapse. Inventory adjustment likely amplified the impact of these expenditure changes on trade. In addition, shocks to credit supply constrained export supply, further exacerbating the decline in trade. Most evidence suggests that changes in trade policy did not play a large role. We conclude that one benefit of the trade collapse is that it has stimulated research in neglected areas at the intersection of trade and macroeconomics. C1 [Bems, Rudolfs] Int Monetary Fund, Washington, DC 20431 USA. [Johnson, Robert C.] Dartmouth Coll, Dept Econ, Hanover, NH 03755 USA. [Johnson, Robert C.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Yi, Kei-Mu] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. RP Bems, R (reprint author), Int Monetary Fund, Washington, DC 20431 USA. EM kei-mu.yi@mpls.frb.org NR 52 TC 6 Z9 7 U1 3 U2 17 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4605-8 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2013 VL 5 BP 375 EP 400 DI 10.1146/annurev-economics-082912-110201 PG 26 WC Economics SC Business & Economics GA BGR46 UT WOS:000323894500014 ER PT J AU Bussiere, M Chudik, A Mehl, A AF Bussiere, Matthieu Chudik, Alexander Mehl, Arnaud TI How have global shocks impacted the real effective exchange rates of individual euro area countries since the euro's creation? SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE euro; high-dimensional VAR; identification of shocks; real effective exchange rates; weak and strong cross sectional dependence ID TESTS; CONVERGENCE; PANELS; G-7 AB This paper uncovers the response pattern to global shocks of euro area countries' real effective exchange rates before and after the start of Economic and Monetary Union (EMU), a largely open ended question when the euro was created. We apply to that end a newly developed methodology based on high dimensional VAR theory. This approach features a dominant unit to a large set of over 60 countries' real effective exchange rates and is based on the comparison of two estimated systems: one before and one after EMU. We find strong evidence that the pattern of responses depends crucially on the nature of global shocks. In particular, post-EMU responses to global US dollar shocks have become similar to Germany's response before EMU, i.e., to that of the economy that used to issue Europe's most credible legacy currency. By contrast, post-EMU responses of euro area countries to global risk aversion shocks have become similar to those of Italy, Portugal or Spain before EMU, i.e., of economies of the euro area's periphery. Our findings also suggest that the divergence in external competitiveness among euro area countries over the last decade, which is at the core of today's debate on the future of the euro area, is more likely due to country-specific shocks than to global shocks. C1 [Bussiere, Matthieu] Banque France, Int Macroecon Div, F-75049 Paris, France. [Bussiere, Matthieu] Banque France, F-75001 Paris, France. [Chudik, Alexander] Fed Reserve Bank Dallas, CAFE, Dallas, TX 75201 USA. [Chudik, Alexander] CIMF, Dallas, TX 75201 USA. [Mehl, Arnaud] European Cent Bank, D-60311 Frankfurt, Germany. RP Bussiere, M (reprint author), Banque France, Int Macroecon Div, 49-1374 DERIE SEMSI, F-75049 Paris, France. EM Matthieu.BUSSIERE@banque-france.fr NR 47 TC 0 Z9 0 U1 2 U2 10 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 2013 VL 13 IS 1 DI 10.1515/bejm-2012-0068 PG 48 WC Economics SC Business & Economics GA 213IF UT WOS:000324048700002 ER PT J AU Cumming, CM AF Cumming, Christine M. BE LaBrosse, JR OlivaresCaminal, R Singh, D TI Managing crises without government guarantees: How do we get there? SO FINANCIAL CRISIS CONTAINMENT AND GOVERNMENT GUARANTEES LA English DT Article; Book Chapter C1 Fed Reserve Bank New York, New York, NY USA. RP Cumming, CM (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 3 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 978-1-78100-499-9 PY 2013 BP 3 EP 12 D2 10.4337/9781781005002 PG 10 WC Business, Finance; Law SC Business & Economics; Government & Law GA BGP93 UT WOS:000323745800004 ER PT J AU Blanchflower, DG AF Blanchflower, David G. BE Sugden, R Valania, M Wilson, JR TI Where were you? SO LEADERSHIP AND COOPERATION IN ACADEMIA: REFLECTING ON THE ROLES AND RESPONSIBILITIES OF UNIVERSITY FACULTY AND MANAGEMENT LA English DT Article; Book Chapter ID MACROECONOMICS; UNEMPLOYMENT; FEAR C1 [Blanchflower, David G.] Dartmouth Coll, Dept Econ, Hanover, NH 03755 USA. [Blanchflower, David G.] Univ Stirling, Stirling Management Sch, Stirling FK9 4LA, Scotland. [Blanchflower, David G.] NBER, Cambridge, MA 02138 USA. [Blanchflower, David G.] Fed Reserve Bank Boston, Boston, MA USA. RP Blanchflower, DG (reprint author), Dartmouth Coll, Dept Econ, Hanover, NH 03755 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 978-1-78100-182-0 PY 2013 BP 234 EP 268 D2 10.4337/9781781001820 PG 35 WC Education & Educational Research; Management SC Education & Educational Research; Business & Economics GA BGG66 UT WOS:000322870500016 ER PT J AU Weber, W AF Weber, Warren BE Bordo, MD Roberds, W TI Comments to "To Establish a More Effective Supervision of Banking": How the Birth of the Fed Altered Bank SO ORIGINS, HISTORY, AND FUTURE OF THE FEDERAL RESERVE: A RETURN TO JEKYLL ISLAND SE Studies in Macroeconomic History LA English DT Proceedings Paper CT Conference on Origins, History, and Future of the Federal Reserve - A Return to Jekyll Island CY NOV 05-06, 2010 CL GA SP Fed Reserve Bank Atlanta, Rutgers Univ C1 [Weber, Warren] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01372-8 J9 STUD MACROECON HIST PY 2013 BP 55 EP 58 PG 4 WC Business, Finance; Economics SC Business & Economics GA BGP96 UT WOS:000323748600003 ER PT J AU Kocherlakota, NR AF Kocherlakota, Narayana R. BE Bordo, MD Roberds, W TI Two Models of Land Overvaluation and Their Implications SO ORIGINS, HISTORY, AND FUTURE OF THE FEDERAL RESERVE: A RETURN TO JEKYLL ISLAND SE Studies in Macroeconomic History LA English DT Proceedings Paper CT Conference on Origins, History, and Future of the Federal Reserve - A Return to Jekyll Island CY NOV 05-06, 2010 CL GA SP Fed Reserve Bank Atlanta, Rutgers Univ ID BUBBLES; DEBT; CONSTRAINTS; QUANTITY C1 [Kocherlakota, Narayana R.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. NR 18 TC 0 Z9 0 U1 0 U2 2 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01372-8 J9 STUD MACROECON HIST PY 2013 BP 374 EP 398 PG 25 WC Business, Finance; Economics SC Business & Economics GA BGP96 UT WOS:000323748600012 ER PT J AU Chakrabarti, R AF Chakrabarti, Rajashri TI Impact of Voucher Design on Public School Performance: Evidence from Florida and Milwaukee Voucher Programs SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article DE vouchers; incentives; public school performance; mean reversion ID ACCOUNTABILITY; PRIVATE; COMPETITION; INCENTIVES; THREATS AB This article compares two alternative voucher designs implemented in the U.S. The Milwaukee program was a "voucher shock" program that made low-income students eligible for vouchers. The Florida program was an accountability-tied voucher program that faced failing schools with "threat of vouchers" and stigma. In the context of a formal theoretical model, the study argues that the threatened schools will improve under the Florida-type program and this improvement will exceed that of the corresponding treated schools under the Milwaukee-type program. Using school-level scores from Florida and Wisconsin, and a difference-in-differences estimation strategy in trends, it then finds strong support in favor of these predictions. C1 Fed Reserve Bank New York, Dept Res & Stat, New York, NY 10045 USA. RP Chakrabarti, R (reprint author), Fed Reserve Bank New York, Dept Res & Stat, 33 Liberty St, New York, NY 10045 USA. EM Rajashri.Chakrabarti@ny.frb.org NR 26 TC 2 Z9 2 U1 3 U2 9 PU WALTER DE GRUYTER GMBH PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1682 J9 BE J ECON ANAL POLI JI B E J. Econ. Anal. Policy PY 2013 VL 13 IS 1 BP 349 EP 394 DI 10.1515/bejeap-2012-0037 PG 46 WC Economics SC Business & Economics GA 204AP UT WOS:000323337100011 ER PT J AU Brunetti, C Buyuksahin, B Harris, JH AF Brunetti, Celso Bueyueksahin, Bahattin Harris, Jeffrey H. TI Herding and Speculation in the Crude Oil Market SO ENERGY JOURNAL LA English DT Article DE Speculation; Hedge funds; Swap dealers; Realized volatility; Price ID STOCK-PRICES; VOLATILITY; IMPACT AB We examine whether herding among speculators in U.S. crude oil futures markets affects market prices and volatility. Using detailed data on the positions of hedge funds and swap dealers from 2005-2009, we find little evidence that herding destabilizes the crude oil futures market. To the contrary, herding among speculative traders is negatively correlated with contemporaneous volatility and does not lead next-day volatility. Our impulse-response analysis shows that market regulators should monitor herding since a shock to herding among all groups may lead to price changes, and, in the case of hedge funds, may lead to increased volatility. Interestingly, however, increased swap dealer herding actually dampens crude oil price volatility. C1 [Brunetti, Celso] Fed Reserve Board Governors, Div Res & Stat, Risk Anal Sect, Washington, DC 20551 USA. [Bueyueksahin, Bahattin] Int Energy Agcy, F-75739 Paris, France. [Harris, Jeffrey H.] Syracuse Univ, Syracuse, NY 13244 USA. RP Brunetti, C (reprint author), Fed Reserve Board Governors, Div Res & Stat, Risk Anal Sect, Washington, DC 20551 USA. EM celso.brunetti@frb.gov; bahattin.buyuksahin@iea.org; jhharr03@syn.edu RI Harris, Jeffrey/F-2395-2010 NR 23 TC 3 Z9 4 U1 1 U2 19 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 2013 VL 34 IS 3 SI SI BP 83 EP 104 DI 10.5547/01956574.34.3.5 PG 22 WC Economics; Energy & Fuels; Environmental Studies SC Business & Economics; Energy & Fuels; Environmental Sciences & Ecology GA 173NB UT WOS:000321085100005 ER PT J AU Carbo-Valverde, S Sanchez, LP AF Carbo-Valverde, Santiago Pedauga Sanchez, Luis BE Radoselovics, JFD Monsalvez, JMP TI Financial Stability and Economic Growth SO CRISIS, RISK AND STABILITY IN FINANCIAL MARKETS SE Palgrave Macmillan Studies in Banking and Financial Institutions LA English DT Article; Book Chapter ID STOCK MARKETS; MODELS; BANKS; INCOME C1 [Carbo-Valverde, Santiago] Univ Granada, E-18071 Granada, Spain. [Carbo-Valverde, Santiago] Fed Reserve Bank Chicago, Chicago, IL USA. [Pedauga Sanchez, Luis] Univ Granada, Empir Econ Programme, E-18071 Granada, Spain. [Pedauga Sanchez, Luis] Catholic Univ Andres Bello, Caracas, Venezuela. NR 47 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-137-00183-2 J9 PALGR MAC STUD BANK PY 2013 BP 8 EP 23 PG 16 WC Business, Finance SC Business & Economics GA BFE71 UT WOS:000319510000002 ER PT J AU Hevia, C Nicolini, JP AF Hevia, Constantino Nicolini, Juan Pablo TI Optimal Devaluations SO IMF ECONOMIC REVIEW LA English DT Article ID EXCHANGE-RATE FLEXIBILITY; OPTIMAL MONETARY-POLICY; SMALL OPEN-ECONOMY; BUSINESS CYCLES; RATE DYNAMICS; MODEL AB The paper analyzes optimal policy in a simple small open economy model with price setting frictions. In particular, the paper studies the optimal response of the nominal exchange rate following a terms-of-trade shock. The paper departs from the New Keynesian (NK) literature in that it explicitly models internationally traded commodities as intermediate inputs in the production of local final goods and assume that the small open economy takes this price as given. This modification is not only in line with the long standing tradition of small open economy models, but also changes the optimal movements in the exchange rate. In contrast with the recent Small Open Economy NK literature, the model in this paper is able to reproduce the comovement between the nominal exchange rate and the price of exports, as it has been documented in the commodity currencies literature. Although the paper shows that there are preferences for which price stability is optimal even without flexible fiscal instruments, the model suggests that more attention should be given to the coordination between monetary and fiscal policy (taxes) in small open economies that are heavily dependent on exports of commodities. The model the paper proposes is a useful framework to study fear of floating. [JEL E52, F41, H21] IMF Economic Review (2013) 61, 22-51. doi:10.1057/imfer.2013.2; C1 [Hevia, Constantino] Univ Torcuato Tella, Dept Econ, Buenos Aires, DF, Argentina. [Hevia, Constantino] World Bank, Washington, DC USA. [Nicolini, Juan Pablo] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Hevia, C (reprint author), Univ Torcuato Tella, Dept Econ, Buenos Aires, DF, Argentina. NR 28 TC 2 Z9 2 U1 0 U2 3 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 J9 IMF ECON REV JI IMF Econ. Rev. PY 2013 VL 61 IS 1 BP 22 EP 51 DI 10.1057/imfer.2013.2 PG 30 WC Business, Finance; Economics SC Business & Economics GA 136QR UT WOS:000318379000003 ER PT J AU Arseneau, DM Leduc, S AF Arseneau, David M. Leduc, Sylvain TI Commodity Price Movements in a General Equilibrium Model of Storage SO IMF ECONOMIC REVIEW LA English DT Article ID BUSINESS-CYCLE MODELS; COMPETITIVE STORAGE; PUTTY-CLAY; INVESTMENT; DYNAMICS; ENERGY AB The paper embeds the canonical rational expectations competitive storage model into a general equilibrium framework thereby allowing the nonlinear commodity price dynamics implied by the competitive storage model to interact with the broader macroeconomy. The paper's main result is that the endogenous movement in interest rates implied under general equilibrium enhances the effects of competitive storage on commodity prices. Compared with a model in which the real interest rate is fixed, the paper finds that storage in general equilibrium leads to more persistence in commodity prices and to a lower frequency of stockouts. A key mechanism driving this result is a link between the ability of the household to smooth consumption over time and the level of storage in the stochastic equilibrium. Finally, the model is used to examine the macroeconomic effects of biofuel subsidies for ethanol producers. [JEL E20, E31, Q11] IMF Economic Review (2013) 61, 199-224. doi:10.1057/imfer.2013.9 C1 [Leduc, Sylvain] Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 21 TC 1 Z9 1 U1 0 U2 10 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 J9 IMF ECON REV JI IMF Econ. Rev. PY 2013 VL 61 IS 1 BP 199 EP 224 DI 10.1057/imfer.2013.9 PG 26 WC Business, Finance; Economics SC Business & Economics GA 136QR UT WOS:000318379000008 ER PT J AU Alessandria, G Kaboski, J Midrigan, V AF Alessandria, George Kaboski, Joseph Midrigan, Virgiliu TI Trade wedges, inventories, and international business cycles SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID DYNAMICS; COLLAPSE; MODELS AB The large, persistent fluctuations in international trade that cannot be explained in standard models by changes in expenditures and relative prices are often attributed to trade wedges. We show that these trade wedges can reflect the decisions of importers to change their inventory holdings. We find that a two-country model of international business cycles with an inventory management decision can generate trade flows and wedges consistent with the data. Moreover, matching trade flows alters the international transmission of business cycles. Specifically, real net exports become countercyclical and consumption is less correlated across countries than in standard models. We also show that ignoring inventories as a source of trade wedges substantially overstates the role of trade wedges in business cycle fluctuations. Published by Elsevier B.V. C1 [Alessandria, George] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Kaboski, Joseph] Univ Notre Dame, Notre Dame, IN 46556 USA. [Kaboski, Joseph; Midrigan, Virgiliu] NBER, Cambridge, MA 02138 USA. [Midrigan, Virgiliu] NYU, New York, NY 10003 USA. [Midrigan, Virgiliu] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Alessandria, G (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM George.Alessandria@gmail.com NR 18 TC 7 Z9 7 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 JAN PY 2013 VL 60 IS 1 BP 1 EP 20 DI 10.1016/j.jmoneco.2012.10.014 PG 20 WC Business, Finance; Economics SC Business & Economics GA 127NV UT WOS:000317706600001 ER PT J AU Arellano, C AF Arellano, Cristina TI Comment on "Capital flows under moral hazard" by Viktor Tsyrennikov SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID BUSINESS CYCLES; EMERGING ECONOMIES; FLUCTUATIONS; DEFAULT; RISK C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Arellano, C (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. EM arellano.cristina@gmail.com NR 17 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 2013 VL 60 IS 1 BP 109 EP 112 DI 10.1016/j.jmoneco.2012.11.005 PG 4 WC Business, Finance; Economics SC Business & Economics GA 127NV UT WOS:000317706600010 ER PT J AU Donaldson, JB Gershun, N Giannoni, MP AF Donaldson, John B. Gershun, Natalia Giannoni, Marc P. TI Some unpleasant general equilibrium implications of executive incentive compensation contracts SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Delegation; Executive compensation; Indeterminacy and instability ID BUSINESS-CYCLE; SUNSPOT EQUILIBRIA; MONETARY-POLICY; INDETERMINACY; RETURNS; MODELS; FLUCTUATIONS; ECONOMIES; SCALE; LABOR AB We consider a simple real business cycle model in which shareholders hire self-interested executives to manage their firm. A generic family of compensation contracts similar to those employed in practice is studied. When compensation is convex in the firm's dividend, an increase in the firm's output results in a more than proportional increase in the managers' income. Incentive contracts of sufficient yet modest convexity are shown to result in an indeterminate general equilibrium, one in which business cycles are driven by self-fulfilling fluctuations in managers' expectations. The proposed family of contracts may yield first-best outcomes for specific parameter choices. (C) 2012 Elsevier Inc. All rights reserved. C1 [Donaldson, John B.] Columbia Univ, New York, NY 10027 USA. [Gershun, Natalia] Pace Univ, New York, NY USA. [Giannoni, Marc P.] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Giannoni, MP (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM jd34@columbia.edu; ngershun@pace.edu; marc.giannoni@nyirb.org NR 31 TC 1 Z9 1 U1 2 U2 15 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD JAN PY 2013 VL 148 IS 1 BP 31 EP 63 DI 10.1016/j.jet.2012.09.007 PG 33 WC Economics SC Business & Economics GA 106NQ UT WOS:000316152100002 ER PT J AU Goldberg, PK Hellerstein, R AF Goldberg, Pinelopi Koujianou Hellerstein, Rebecca TI A Structural Approach to Identifying the Sources of Local Currency Price Stability SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Exchange rate pass-through; Pricing to market; Local currency price stability; Demand estimation ID PASS-THROUGH; MENU COSTS; CONSUMER INVENTORY; EXCHANGE-RATE; SALES; MARKET; MODEL; BEHAVIOR; DEMAND; TRADE AB The inertia of the local currency prices of traded goods in the face of exchange rate changes is a well-documented phenomenon in International Economics. This paper develops a structural model to identify the sources of this local currency price stability and applies it to micro-data from the beer market. The empirical procedure exploits manufacturers' and retailers' first-order conditions in conjunction with detailed information on the frequency of price adjustments following exchange rate changes to quantify the relative importance of local non-traded cost components, markup adjustment by manufacturers and retailers, and nominal price rigidities in the incomplete transmission of such changes to prices. We find that, on average, approximately 60% of the incomplete exchange rate pass-through is due to local non-traded costs; 8% to markup adjustment; 30% to the existence of own brand price adjustment costs; and 1% to the indirect/strategic effect of such costs, though these results vary considerably across individual brands according to their market shares. C1 [Goldberg, Pinelopi Koujianou] Yale Univ, New Haven, CT 06520 USA. [Goldberg, Pinelopi Koujianou] NBER, Cambridge, MA 02138 USA. [Goldberg, Pinelopi Koujianou] BREAD, Cambridge, MA USA. [Hellerstein, Rebecca] Fed Reserve Bank New York, New York, NY USA. RP Goldberg, PK (reprint author), Yale Univ, New Haven, CT 06520 USA. NR 43 TC 27 Z9 27 U1 1 U2 15 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JAN PY 2013 VL 80 IS 1 BP 175 EP 210 DI 10.1093/restud/rds015 PG 36 WC Economics SC Business & Economics GA 089BT UT WOS:000314884500006 ER PT J AU Kryvtsov, O Midrigan, V AF Kryvtsov, Oleksiy Midrigan, Virgiliu TI Inventories, Markups, and Real Rigidities in Menu Cost Models SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Inventories; markups; costs ID BUSINESS CYCLES; NOMINAL RIGIDITIES; US; DYNAMICS; PRICES; SHOCKS; PERSISTENCE; OUTPUT AB A growing consensus in New Keynesian macroeconomics is that nominal cost rigidities, rather than countercyclical markups, account for the bulk of the real effects of monetary policy shocks. We revisit these conclusions using theory and data on inventories. We study an economy with nominal rigidities in which goods are storable. Our theory predicts that if costs of production are sticky and markups do not vary much in response to, say, expansionary monetary policy, firms react by excessively accumulating inventories in anticipation of future cost increases. In contrast, if the data inventories are fairly constant over the cycle and in response to changes in monetary policy. We show that costs must increase and markups must decline sufficiently in times of a monetary expansion in order to reduce firm's incentive to hold inventories and thus bring the model's inventory predictions in line with the data. Versions of the model consistent with the dynamics of inventories in the data imply that countercyclical markups account for a sizable fraction of the response of real variables to monetary shocks. C1 [Kryvtsov, Oleksiy] Bank Canada, Ottawa, ON, Canada. [Midrigan, Virgiliu] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Midrigan, Virgiliu] NYU, New York, NY 10003 USA. RP Kryvtsov, O (reprint author), Bank Canada, Ottawa, ON, Canada. NR 40 TC 3 Z9 3 U1 3 U2 9 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD JAN PY 2013 VL 80 IS 1 BP 249 EP 276 DI 10.1093/restud/rds028 PG 28 WC Economics SC Business & Economics GA 089BT UT WOS:000314884500008 ER PT J AU Boehlje, MD Gloy, BA Henderson, JR AF Boehlje, Michael D. Gloy, Brent A. Henderson, Jason R. TI U.S. Farm Prosperity: The New Normal or Reversion to the Mean SO AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS LA English DT Article C1 [Boehlje, Michael D.; Gloy, Brent A.] Purdue Univ, Dept Agr Econ, W Lafayette, IN 47907 USA. [Henderson, Jason R.] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Boehlje, MD (reprint author), Purdue Univ, Dept Agr Econ, W Lafayette, IN 47907 USA. EM boehljem@purdue.edu; bgloy@purdue.edu; jason.henderson@kc.frb.org NR 11 TC 1 Z9 1 U1 0 U2 5 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0002-9092 J9 AM J AGR ECON JI Am. J. Agr. Econ. PD JAN PY 2013 VL 95 IS 2 BP 310 EP 317 DI 10.1093/ajae/aas051 PG 8 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 073EI UT WOS:000313725900014 ER PT J AU Emmons, WR Noeth, BJ AF Emmons, William R. Noeth, Bryan J. TI Why Did Young Families Lose So Much Wealth During the Crisis? The Role of Homeownership SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The authors use the Federal Reserve's Survey of Consumer Finances to document a boom in home ownership and mortgage borrowing among young families in the years leading up to the recent financial crisis. Many young families lost more of their wealth during the downturn than middle-aged and older families. The authors find that about three-quarters of the decline in the average young family's wealth between 2007 and 2010 was due to its exposure to residential real estate. For middle-aged and older families, housing losses contributed about 53 percent and 40 percent of the total decline in wealth, respectively. Regression evidence suggests that young families' wealth, on average, was unusually highly concentrated in housing and these families' debt burdens were extremely high at the peak of the boom. (JEL D14, D31) Federal Reserve Bank of St. Louis Review, January/February 2013, 95(1), pp. 1-26. C1 [Emmons, William R.; Noeth, Bryan J.] Fed Reserve Bank, St Louis, MO USA. RP Emmons, WR (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 9 TC 9 Z9 9 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 2013 VL 95 IS 1 BP 1 EP 26 PG 26 WC Business, Finance; Economics SC Business & Economics GA 087AH UT WOS:000314732800001 ER PT J AU Kliesen, KL Tatom, JA AF Kliesen, Kevin L. Tatom, John A. TI U.S. Manufacturing and the Importance of International Trade: It's Not What You Think SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The public often gauges the strength of the U.S. economy by the performance of the manufacturing sector, especially by changes in manufacturing employment. When such employment declines, as has been the trend for many years, it is often assumed to be evidence of the slow death of U.S. manufacturing and an associated rise in imports. This article outlines key trends in U.S. manufacturing, especially the strong performance of manufacturing output and productivity, and their connection to both exports and imports. The authors use ordinary regression, causality, and cointegration analyses to provide empirical evidence for the positive role of imports in boosting manufacturing output. Policies to bolster exports at the expense of imports would significantly harm U.S. manufacturing. (JEL O4, F4, E3) Federal Reserve Bank of St. Louis Review, January/February 2013, 95(1), pp. 27-49. C1 [Kliesen, Kevin L.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Kliesen, KL (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 11 TC 2 Z9 2 U1 0 U2 10 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 2013 VL 95 IS 1 BP 27 EP 49 PG 23 WC Business, Finance; Economics SC Business & Economics GA 087AH UT WOS:000314732800002 ER PT J AU Fawley, BW Neely, CJ AF Fawley, Brett W. Neely, Christopher J. TI Four Stories of Quantitative Easing SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY AB This article describes the circumstances of and motivations for the quantitative easing programs of the Federal Reserve, Bank of England, European Central Bank, and Bank of Japan during the recent financial crisis and recovery. The programs initially attempted to alleviate financial market distress, but this purpose soon broadened to include achieving inflation targets, stimulating the real economy, and containing the European sovereign debt crisis. The European Central Bank and Bank of Japan focused their programs on direct lending to banks-reflecting the bank-centric structure of their financial systems-while the Federal Reserve and the Bank of England expanded their respective monetary bases by purchasing bonds. (JEL E51, E58, E61, G12) Federal Reserve Bank of St. Louis Review, January/February 2013, 95(1), pp. 51-88. C1 [Fawley, Brett W.; Neely, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Fawley, BW (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 33 TC 30 Z9 30 U1 2 U2 48 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 2013 VL 95 IS 1 BP 51 EP 88 PG 38 WC Business, Finance; Economics SC Business & Economics GA 087AH UT WOS:000314732800003 ER PT J AU Contessi, S de Nicola, F Li, L AF Contessi, Silvio de Nicola, Francesca Li, Li TI International Trade, Female Labor, and Entrepreneurship in MENA Countries SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID EXTERNAL FINANCE; GENDER; GLOBALIZATION; GROWTH; GAP AB Middle Eastern and North African (MENA) countries stand out in international comparisons of de jure obstacles to female employment and entrepreneurship. These obstacles manifest themselves in low rates of female labor participation, entrepreneurship, and ownership. Recent research suggests a connection between international trade and female labor participation. In this article, the authors focus on the relationship between international trade and gender in the MENA countries. They first analyze female labor as a production factor and then focus on female entrepreneurship and firm ownership. The authors use country- and industry-level data to identify countries and industries characterized by a comparative advantage in female labor. They find evidence suggesting a strong link between a country's specialization and its measures of female labor participation consistent with theories of brain-based technological bias and factor endowments trade theories. Using firm-level data, the authors then study whether trade empowers female entrepreneurs in country/industry pairs that exhibit comparative advantage. They conclude that the evidence supports the view that exposure to trade disproportionately affects firms in country/industry pairs with a comparative advantage in female labor-both in terms of female employment and female entrepreneurship and ownership-for the MENA countries and the period they study. (JEL F11, F14, F16, J82) Federal Reserve Bank of St. Louis Review, January/February 2013, 95(1), pp. 89-114. C1 [Contessi, Silvio; Li, Li] Fed Reserve Bank St Louis, St Louis, MO USA. [de Nicola, Francesca] Int Food Policy Res Inst, Washington, DC USA. RP Contessi, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 21 TC 0 Z9 0 U1 1 U2 14 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 2013 VL 95 IS 1 BP 89 EP 114 PG 26 WC Business, Finance; Economics SC Business & Economics GA 087AH UT WOS:000314732800004 ER PT J AU Groen, JJJ Paap, R Ravazzolo, F AF Groen, Jan J. J. Paap, Richard Ravazzolo, Francesco TI Real-Time Inflation Forecasting in a Changing World SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Bayesian model averaging; Density forecasting; Model uncertainty; Real-time data; Structural breaks ID MONETARY-POLICY; US INFLATION; YIELD CURVE; DISTRIBUTIONS; PERSISTENCE; PREDICTION; MODELS; OUTPUT; SERIES; BREAKS AB This article revisits the accuracy of inflation forecasting using activity and expectations variables. We apply Bayesian model averaging across different regression specifications selected from a set of potential predictors that includes lagged values of inflation, a host of real activity data, term structure data, (relative) price data, and surveys. In this model average, we can entertain different channels of structural instability, by either incorporating stochastic breaks in the regression parameters of each individual specification within this average, or allowing for breaks in the error variance of the overall model average, or both. Thus, our framework simultaneously addresses structural change and model uncertainty that would unavoidably affect any inflation forecast model. The different versions of our framework are used to model U.S. personal consumption expenditures (PCE) deflator and gross domestic product (GDP) deflator inflation rates for the 1960-2011 period. A real-time inflation forecast evaluation shows that averaging over many predictors in a model that at least allows for structural breaks in the error variance results in very accurate point and density forecasts, especially for the post-1984 period. Our framework is especially useful when forecasting, in real-time, the likelihood of lower-than-usual inflation rates over the medium term. This article has online supplementary materials. C1 [Groen, Jan J. J.] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [Paap, Richard] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands. [Ravazzolo, Francesco] Norges Bank, Res Dept, Oslo, Norway. RP Groen, JJJ (reprint author), Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. EM jan.groen@ny.frb.org; paap@ese.eur.nl; francesco.ravazzolo@norges-bank.no RI Ravazzolo, Francesco/G-1118-2016 OI Ravazzolo, Francesco/0000-0003-0645-1788 NR 46 TC 19 Z9 19 U1 5 U2 23 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 JAN PY 2013 VL 31 IS 1 BP 29 EP 44 DI 10.1080/07350015.2012.727718 PG 16 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 084TG UT WOS:000314561400003 ER PT J AU Kilian, L Vigfusson, RJ AF Kilian, Lutz Vigfusson, Robert J. TI Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Asymmetry; Nonlinearity; Out-of-sample forecast ID SHOCKS; MACROECONOMY; ECONOMY; TESTS AB There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter-ahead U.S. real GDP is nonlinear in that (a) oil price increases matter only to the extent that they exceed the maximum oil price in recent years, and that (b) oil price decreases do not matter at all. We examine, first, whether the evidence of in-sample predictability in support of this view extends to out-of-sample forecasts. Second, we discuss how to extend this forecasting approach to higher horizons. Third, we compare the resulting class of nonlinear models to alternative economically plausible nonlinear specifications and examine which aspect of the model is most useful for forecasting. We show that the asymmetry embodied in commonly used nonlinear transformations of the price of oil is not helpful for out-of-sample forecasting; more robust and often more accurate real GDP forecasts are obtained from symmetric nonlinear models based on the 3-year net oil price change. Finally, we quantify the extent to which the 2008 recession could have been forecast using the latter class of time-varying threshold models. C1 [Kilian, Lutz] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Vigfusson, Robert J.] Fed Reserve Board, Board Governors, Fed Reserve Syst, Washington, DC 20551 USA. RP Kilian, L (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. EM lkilian@umich.edu; robert.j.vigfusson@frb.gov NR 27 TC 16 Z9 16 U1 0 U2 8 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2013 VL 31 IS 1 BP 78 EP 93 DI 10.1080/07350015.2012.740436 PG 16 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 084TG UT WOS:000314561400007 ER PT J AU Chan, JCC Koop, G Potter, SM AF Chan, Joshua C. C. Koop, Gary Potter, Simon M. TI A New Model of Trend Inflation SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Bayesian; Constrained inflation; Inflation forecasting; Inflation targeting; Nonlinear state space model; Underlying inflation ID PERSISTENCE; US AB This article introduces a new model of trend inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this interval can either be fixed or estimated from the data. Our model also allows for a time-varying degree of persistence in the transitory component of inflation. In an empirical exercise with CPI inflation, we find the model to work well, yielding more sensible measures of trend inflation and forecasting better than popular alternatives such as the unobserved components stochastic volatility model. This article has supplementary materials online. C1 [Chan, Joshua C. C.] Australian Natl Univ, Res Sch Econ, Canberra, ACT 0200, Australia. [Koop, Gary] Univ Strathclyde, Dept Econ, Glasgow G1 1XQ, Lanark, Scotland. [Potter, Simon M.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Chan, JCC (reprint author), Australian Natl Univ, Res Sch Econ, GPO Box 4, Canberra, ACT 0200, Australia. EM joshua.chan@anu.edu.au; gary.koop@strath.ac.uk; simon.potter@ny.frb.org RI Chan, Joshua/C-3713-2011; OI Chan, Joshua/0000-0003-3632-128X; Koop, Gary/0000-0002-6091-378X FU Economic and Social Research Council (ESRC) [RES-062-23-2646] FX The views expressed in this article are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of New York or the Federal Reserve System. This research was supported by the Economic and Social Research Council (ESRC) under grant RES-062-23-2646. NR 20 TC 13 Z9 14 U1 0 U2 5 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2013 VL 31 IS 1 BP 94 EP 106 DI 10.1080/07350015.2012.741549 PG 13 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 084TG UT WOS:000314561400008 ER PT J AU Durham, G Park, YH AF Durham, Garland Park, Yang-Ho TI Beyond Stochastic Volatility and Jumps in Returns and Volatility SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Jump intensity; Leverage effect; Option pricing; Regime switching; Return distributions; Skewness; Stock price dynamics ID FINANCIAL RISK-MANAGEMENT; REALIZED VOLATILITY; OPTION PRICES; CURRENCY OPTIONS; FOREIGN-EXCHANGE; TERM STRUCTURE; SKEWNESS; MODELS; PREMIA; SPECIFICATION AB While a great deal of attention has been focused on stochastic volatility in stock returns, there is strong evidence suggesting that return distributions have time-varying skewness and kurtosis as well. Under the risk-neutral measure, for example, this can be observed from variation across time in the shape of Black Scholes implied volatility smiles. This article investigates model characteristics that are consistent with variation in the shape of return distributions using a stochastic volatility model with a regime-switching feature to allow for random changes in the parameters governing volatility of volatility, leverage effect, and jump intensity. The analysis consists of two steps. First, the models are estimated using only information from observed returns and option-implied volatility. Standard model assessment tools indicate a strong preference in favor of the proposed models. Since the information from option-implied skewness and kurtosis is not used in fitting the models, it is available for diagnostic purposes. In the second step of the analysis, regressions of option-implied skewness and kurtosis on the filtered state variables (and some controls) suggest that the models have strong explanatory power for these characteristics. C1 [Durham, Garland] Univ Colorado, Leeds Sch Business, Boulder, CO 80309 USA. [Park, Yang-Ho] Fed Reserve Board, Risk Anal Sect, Washington, DC 20551 USA. RP Durham, G (reprint author), Univ Colorado, Leeds Sch Business, Boulder, CO 80309 USA. EM garland.durham@colorado.edu; yang-ho.park@frb.gov NR 35 TC 3 Z9 3 U1 1 U2 14 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 JAN PY 2013 VL 31 IS 1 BP 107 EP 121 DI 10.1080/07350015.2013.747800 PG 15 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 084TG UT WOS:000314561400009 ER PT J AU Berger, B Martin, RF AF Berger, Brett Martin, Robert F. TI The Chinese Export Boom: An Examination of the Detailed Trade Data SO CHINA & WORLD ECONOMY LA English DT Article DE China; export; manufacturing; trade; E65; F12; F40 AB From 2000 to 2007, Chinese exports grew at a phenomenal pace. Our paper uses finely detailed Chinese export data (8-digit Harmonized Commodity Description and Coding System codes) combined with US trade data to explore how this was achieved. Although general explanations such as China's exchange rate policy no doubt played a role, we find that sector-specific stories, effective Chinese industrial policy and fortuitous timing were more critical. The detailed trade data reveal that new technology goods, such as cell phones, LCD screens and laptops, played a key role. Finally, we use the data to examine the relationship between Chinese exports and global manufacturing, in particular US manufacturing employment. We find that competition from China in both domestic and foreign markets likely contributed to a significant decline in USA manufacturing employment, but that relatively low US investment and slow GDP growth in the US following the 2001 recession played an equally important role. C1 [Berger, Brett; Martin, Robert F.] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Berger, B (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. EM brett.d.berger@frb.gov; robert.f.martin@frb.gov NR 12 TC 4 Z9 4 U1 2 U2 19 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1671-2234 J9 CHINA WORLD ECON JI China World Econ. PD JAN-FEB PY 2013 VL 21 IS 1 BP 64 EP 90 DI 10.1111/j.1749-124X.2013.12009.x PG 27 WC Economics SC Business & Economics GA 073MO UT WOS:000313747300004 ER PT J AU Jagannathan, R Kapoor, M Schaumburg, E AF Jagannathan, Ravi Kapoor, Mudit Schaumburg, Ernst TI Causes of the great recession of 2007-2009: The financial crisis was the symptom not the disease! SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Globalization; Financial crisis; Global imbalance; Labor supply shock AB Globalization has increasingly made it possible for labor in developing countries to augment labor in the developed world, without having to relocate, in ways not thought possible only a few decades ago. We argue that this large increase in the developed world's effective labor supply, triggered by geo-political events and technological innovations, coupled with the inability of existing institutions in the US and developing nations themselves to cope with this shock, set the stage for the great recession. The financial crisis in the US was but the first acute symptom. (C) 2012 Elsevier Inc. All rights reserved. C1 [Jagannathan, Ravi] Northwestern Univ, Evanston, IL 60208 USA. [Jagannathan, Ravi] NBER, Evanston, IL 60208 USA. [Kapoor, Mudit] Indian Sch Business, Hyderabad 500032, Andhra Pradesh, India. [Schaumburg, Ernst] Fed Reserve Bank New York, New York, NY 10045 USA. RP Jagannathan, R (reprint author), Northwestern Univ, 2001 Sheridan Rd, Evanston, IL 60208 USA. EM rjaganna@kellogg.northwestern.edu; mudit_kapoor@isb.edu; ernst.schaum-burg@gmail.com RI Kapoor, Mudit/F-7055-2015 OI Kapoor, Mudit/0000-0001-8108-7600 NR 18 TC 2 Z9 2 U1 1 U2 30 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 2013 VL 22 IS 1 BP 4 EP 29 DI 10.1016/j.jfi.2012.06.002 PG 26 WC Business, Finance SC Business & Economics GA 076YN UT WOS:000313995200002 ER PT J AU Flannery, MJ Kwan, SH Nimalendran, M AF Flannery, Mark J. Kwan, Simon H. Nimalendran, Mahendrarajah TI The 2007-2009 financial crisis and bank opaqueness SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Banks; Opaque; Microstructure; Crisis ID BID-ASK SPREAD; MARKET; COMPONENTS; STOCK; RISK; UNCERTAINTY; INFORMATION; LIQUIDITY; QUALITY; OPINION AB Doubts about the accuracy with which outside investors can assess a banking firm's value motivate many government interventions in the banking market. Although the available empirical evidence is somewhat mixed, the recent financial crisis has reinforced a common assessment that banks are unusually opaque. This paper examines bank equity's trading characteristics during "normal" periods and two "crisis" periods between 1993 and 2009. We find only limited (mixed) evidence that banks are unusually opaque during normal periods. However, consistent with theory, crises raise the adverse selection costs of trading bank shares relative to those of nonbank control firms. A bank's balance sheet composition significantly affects its equity opacity, but we cannot detect specific balance sheet categories that have robust effects. Published by Elsevier Inc. C1 [Flannery, Mark J.; Nimalendran, Mahendrarajah] Univ Florida, Grad Sch Business Adm, Gainesville, FL 32611 USA. [Kwan, Simon H.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Flannery, MJ (reprint author), Univ Florida, Grad Sch Business Adm, Box 117168, Gainesville, FL 32611 USA. EM flannery@ufl.edu; simon.kwan@sf.frb.org; mahen.nimalendran@warrington.ufl.edu NR 43 TC 27 Z9 27 U1 12 U2 33 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 2013 VL 22 IS 1 BP 55 EP 84 DI 10.1016/j.jfi.2012.08.001 PG 30 WC Business, Finance SC Business & Economics GA 076YN UT WOS:000313995200004 ER PT J AU Pritsker, M AF Pritsker, Matthew TI Knightian uncertainty and interbank lending SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Banking; Risk; Interbank market; Knightian uncertainty ID FEDERAL-FUNDS MARKET; EXPECTED UTILITY; CREDIT SPREADS; MONEY MARKET; AMBIGUITY; MODEL; RISK; BEHAVIOR; AVERSION AB This paper theoretically studies the effects of Knightian Uncertainty in interbank markets when the source of the Knightian Uncertainty is incomplete information on banks' risk exposures. The main findings in the paper are: (1) When interbank loans are arranged in anonymous brokered, instead of bilateral markets, it attenuates the effects of Knightian Uncertainty on their interbank spreads and (2) Knightian uncertainty severely constrains small banks' ability to borrow in anonymous brokered interbank markets. The findings help explain why there was an increase in the relative use of interbank brokered markets in Euro-currency countries that occurred between the second quarter of 2007 and the second quarter of 2008. The findings are also consistent with constraints on small banks' ability to borrow in brokered interbank markets in the US. Published by Elsevier Inc. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Pritsker, M (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02210 USA. EM Matthew.Pritsker@bos.frb.org NR 40 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 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JAN PY 2013 VL 22 IS 1 BP 85 EP 105 DI 10.1016/j.jfi.2012.09.001 PG 21 WC Business, Finance SC Business & Economics GA 076YN UT WOS:000313995200005 ER PT J AU Oberfield, E AF Oberfield, Ezra TI Productivity and misallocation during a crisis: Evidence from the Chilean crisis of 1982 SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Productivity; Financial crisis; Misallocation; Aggregation ID AGGREGATE PRODUCTIVITY; IMPROVEMENTS; TECHNOLOGY; REFORMS; POLICY; EXIT AB Measured total factor productivity often declines sharply during financial crises. In 1982, the Chilean manufacturing sector suffered a severe contraction in output, most of which can be accounted for by a falling Solow residual: This paper uses establishment data from the Chilean manufacturing census to examine the decline in measured TFP. To quantify the contribution of resource misallocation, I develop a measure of allocational efficiency along the lines of Hsieh and Klenow (2009) and derive the appropriate measure of aggregate productivity to which it should be compared. Across Specifications, within-industry allocational efficiency either remained constant or improved in 1982, while a decline in between-industry allocational efficiency accounts for about one-third of the reduction in TFP. Industries more sensitive to domestic demand - durables and industries with low exports - experienced larger declines in measured TFP. This finding is consistent with large adjustment costs and underutilization of inputs. Reduced,capital utilization played a substantial role, accounting for 25-50 percent of the decline in measured TFP. (C) 2012 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Oberfield, E (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL USA. EM ezraoberfield@gmail.com NR 39 TC 6 Z9 6 U1 3 U2 14 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2013 VL 16 IS 1 BP 100 EP 119 DI 10.1016/j.red.2012.10.005 PG 20 WC Economics SC Business & Economics GA 068RB UT WOS:000313382800007 ER PT J AU Greenwood, J Sanchez, JM Wang, C AF Greenwood, Jeremy Sanchez, Juan M. Wang, Cheng TI Quantifying the impact of financial development on economic development SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Costly state verification; Economic development; Financial intermediation; Firm-size distributions; Interest-rate spreads; Cross-country output differences; Cross-country differences in financial sector productivity; Cross-country TFP differences ID LEGAL INSTITUTIONS; GROWTH; SIZE; INTERMEDIATION; PRODUCTIVITY; INDUSTRY AB How important is financial development for economic development? A costly state verification model of financial intermediation is presented to address this question. The model is calibrated to match facts about the U.S. economy, such as the intermediation spreads and the firm-size distributions for 1974 and 2004. It is then used to study the international data using cross-country interest-rate spreads and per-capita GDPs. The analysis suggests a country like Uganda could increase its output by 116 percent if it could adopt the world's best practice in the financial sector. Still, this amounts to only 29 percent of the gap between Uganda's potential and actual output. (C) 2012 Elsevier Inc. All rights reserved. C1 [Greenwood, Jeremy] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Sanchez, Juan M.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Wang, Cheng] Fudan Univ, Sch Econ, Shanghai 200433, Peoples R China. [Wang, Cheng] Iowa State Univ, Dept Econ, Ames, IA 50011 USA. RP Sanchez, JM (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM juan.m.sanchez78@gmail.com RI Sanchez, Juan/I-5752-2016 OI Sanchez, Juan/0000-0003-0048-9128 NR 34 TC 14 Z9 14 U1 3 U2 24 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 2013 VL 16 IS 1 BP 194 EP 215 DI 10.1016/j.red.2012.07.003 PG 22 WC Economics SC Business & Economics GA 068RB UT WOS:000313382800012 ER PT J AU Buera, FJ Moll, B Shin, Y AF Buera, Francisco J. Moll, Benjamin Shin, Yongseok TI Well-intended policies SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Industrial policy; Idiosyncratic distortions; Financial frictions ID GROWTH; PRODUCTIVITY; DISTORTIONS AB Market failures provide. a rationale for policy intervention. But policies are often hard to alter once in place. We argue that this inertia can result in well-intended policies having sizable negative long-run effects on aggregate output and productivity. In our theory, financial frictions provide a rationale for providing subsidized credit to productive entrepreneurs to alleviate the credit constraints they face. In the short run, such targeted subsidies have the intended effect and raise aggregate output and productivity. In the long run, however, individual productivities mean-revert while individual-specific subsidies remain fixed. As a result, entry into entrepreneurship is distorted: The subsidies prop up entrepreneurs that were formerly productive but are now unproductive, while impeding the entry of newly productive individuals. Therefore aggregate Output and productivity are depressed. Our theory provides an explanation for two empirical observations on developing countries: idiosyncratic distortions that disproportionately affect productive establishments, and temporary growth miracles followed by growth failures. (C) 2012 Elsevier Inc. All rights reserved. C1 [Buera, Francisco J.] Univ Calif Los Angeles, Los Angeles, CA USA. [Buera, Francisco J.; Shin, Yongseok] NBER, Cambridge, MA 02138 USA. [Moll, Benjamin] Princeton Univ, Princeton, NJ 08544 USA. [Shin, Yongseok] Washington Univ, St Louis, MO 63130 USA. [Shin, Yongseok] Fed Reserve Bank St Louis, St Louis, MO USA. RP Shin, Y (reprint author), Washington Univ, St Louis, MO 63130 USA. EM fjbuera@econ.ucla.edu; moll@princeton.edu; yshin@wustl.edu NR 32 TC 4 Z9 4 U1 4 U2 12 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2013 VL 16 IS 1 BP 216 EP 230 DI 10.1016/j.red.2012.10.008 PG 15 WC Economics SC Business & Economics GA 068RB UT WOS:000313382800013 ER PT J AU Karantounias, AG AF Karantounias, Anastasios G. TI Managing pessimistic expectations and fiscal policy SO THEORETICAL ECONOMICS LA English DT Article DE Fiscal policy; misspecification; robustness; taxes; debt; martingale ID MONETARY-POLICY; ROBUST ESTIMATION; OPTIMAL TAXATION; OPTIMAL MATURITY; DEBT; MODEL; PREFERENCES; COMMITMENT; AVERSION; RETURNS AB This paper studies the design of optimal fiscal policy when a government that fully trusts the probability model of government expenditures faces a fearful public that forms pessimistic expectations. We identify two forces that shape our results. On the one hand, the government has an incentive to concentrate tax distortions on events that it considers unlikely relative to the pessimistic public. On the other hand, the endogeneity of the public's expectations gives rise to a novel motive for expectation management that aims toward the manipulation of equilibrium prices of government debt in a favorable way. These motives typically act in opposite directions and induce persistence to the optimal allocation and the tax rate. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Karantounias, AG (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. EM anastasios.karantounias@atl.frb.org NR 37 TC 9 Z9 9 U1 1 U2 3 PU ECONOMETRIC SOCIETY PI NEW YORK PA NEW YORK UNIV, DEPT ECONOMICS, 19 W 4 ST, NEW YORK, NY 10012 USA SN 1933-6837 J9 THEOR ECON JI Theor. Econ. PD JAN PY 2013 VL 8 IS 1 BP 193 EP 231 DI 10.3982/TE899 PG 39 WC Economics SC Business & Economics GA 073LU UT WOS:000313745300007 ER PT J AU Corsetti, G Martin, P Pesenti, P AF Corsetti, Giancarlo Martin, Philippe Pesenti, Paolo TI Varieties and the transfer problem SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Transfer problem; Current account imbalances; Extensive margin ID CURRENT ACCOUNT IMBALANCES; INTERNATIONAL-TRADE; PRODUCT VARIETIES; INDIVISIBLE LABOR; EXCHANGE-RATES; MR. KEYNES; PRICES; COSTS; CYCLE; ELASTICITIES AB We revisit the classic transfer problem, accounting for two channels of adjustment: increased trade in existing goods and services (the intensive margin) and net creation and destruction of product varieties (the extensive margin). Over the medium term, the latter reduces the scope for real exchange rate and terms of trade variability in response to cross-border flows. We embed our transfer analysis in popular models of current account adjustment, where initial imbalances are driven by domestic demand for - or foreign supply of - net saving, possibly associated with over-optimistic expectations. Simulation exercises based on 2006 data suggest that a transfer of the size of the pre-crisis U.S. current account deficit may require only moderate trend depreciation in real terms, and that the aggregate welfare impact of the transfer is disconnected from the size of the relative price correction. (C) 2012 Elsevier B.V. All rights reserved. C1 [Corsetti, Giancarlo] Univ Cambridge, Dept Econ, Cambridge, England. [Corsetti, Giancarlo] Univ Rome III, Rome, Italy. [Corsetti, Giancarlo; Martin, Philippe; Pesenti, Paolo] CEPR, London EC1V 7RR, England. [Martin, Philippe] Sci Po, Paris, France. [Pesenti, Paolo] Fed Reserve Bank New York, New York, NY 10045 USA. [Pesenti, Paolo] NBER, Cambridge, MA 02138 USA. RP Pesenti, P (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM paolo.pesenti@ny.frb.org OI Corsetti, Giancarlo/0000-0001-8965-9853 NR 54 TC 14 Z9 14 U1 2 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD JAN PY 2013 VL 89 IS 1 BP 1 EP 12 DI 10.1016/j.jinteco.2012.05.011 PG 12 WC Economics SC Business & Economics GA 068UZ UT WOS:000313393000001 ER PT J AU Jeske, C Liu, Z AF Jeske, Carsten Liu, Zheng TI SHOULD THE CENTRAL BANK BE CONCERNED ABOUT HOUSING PRICES? SO MACROECONOMIC DYNAMICS LA English DT Article DE Optimal Monetary Policy; Housing Prices; Inflation Targeting; Taylor Rule; Factor Intensity ID OPTIMAL MONETARY-POLICY; BUSINESS-CYCLE; NOMINAL RIGIDITIES; STAGGERED WAGE; CURRENCY AREA; MODELS; PERSISTENCE; RULES; GOODS AB Housing is an important component of the consumption basket. Because both rental prices and goods prices are sticky, the literature suggests that optimal monetary policy should stabilize both types of prices, with the optimal weight on rental inflation proportional to the housing expenditure share. In a two-sector DSGE model with sticky rental prices and. goods prices, however, we find that the optimal weight on rental inflation in the Taylor rule is small-much smaller than that implied by the housing expenditure share. We show that the asymmetry in policy responses to rent inflation versus goods inflation stems from the asymmetry in factor intensity between the two sectors. C1 [Liu, Zheng] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Liu, Z (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM Zheng.Liu@sf.frb.org NR 30 TC 2 Z9 2 U1 0 U2 15 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 JAN PY 2013 VL 17 IS 1 BP 29 EP 53 DI 10.1017/S1365100510001021 PG 25 WC Economics SC Business & Economics GA 069XB UT WOS:000313469300002 ER PT J AU Cole, S Gine, X Tobacman, J Topalova, P Townsend, R Vickery, J AF Cole, Shawn Gine, Xavier Tobacman, Jeremy Topalova, Petia Townsend, Robert Vickery, James TI Barriers to Household Risk Management: Evidence from India SO AMERICAN ECONOMIC JOURNAL-APPLIED ECONOMICS LA English DT Article ID RURAL INDIA; INSURANCE; INCOME; RAINFALL; DEMAND; CREDIT; MARKET; MICROFINANCE; INFORMATION; DECISIONS AB Why do many households remain exposed to large exogenous sources of nonsystematic income risk? We use a series of randomized field experiments in rural India to test the importance of price and nonprice factors in the adoption of an innovative rainfall insurance product. Demand is significantly price sensitive, but widespread take-up would not be achieved even if the product offered a payout ratio comparable to US insurance contracts. We present evidence suggesting that lack of trust, liquidity constraints, and limited salience are significant nonprice frictions that constrain demand. We suggest possible contract design improvements to mitigate these frictions. C1 [Cole, Shawn] Harvard Univ, Sch Business, Baker Lib 271, Soldiers Field, Boston, MA 02163 USA. [Gine, Xavier] World Bank, Washington, DC 20433 USA. [Tobacman, Jeremy] Univ Penn, Wharton Sch, Business Econ & Publ Policy Dept, Philadelphia, PA 19104 USA. [Topalova, Petia] Int Monetary Fund, Washington, DC 20431 USA. [Townsend, Robert] MIT, Dept Econ, Cambridge, MA 02142 USA. [Vickery, James] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Cole, S (reprint author), Harvard Univ, Sch Business, Baker Lib 271, Soldiers Field, Boston, MA 02163 USA. EM scole@hbs.edu; xgine@worldbank.org; tobacman@wharton.upenn.edu; ptopalova@imf.org; rtownsen@mit.edu; james.vickery@ny.frb.org FU NICHD NIH HHS [R01 HD027638] NR 49 TC 60 Z9 60 U1 2 U2 56 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7782 J9 AM ECON J-APPL ECON JI Am. Econ. J.-Appl. Econ. PD JAN PY 2013 VL 5 IS 1 BP 104 EP 135 DI 10.1257/app.5.1.104 PG 32 WC Economics SC Business & Economics GA 064AZ UT WOS:000313044600004 PM 24765234 ER PT J AU Agarwal, S Mazumder, B AF Agarwal, Sumit Mazumder, Bhashkar TI Cognitive Abilities and Household Financial Decision Making SO AMERICAN ECONOMIC JOURNAL-APPLIED ECONOMICS LA English DT Article AB We analyze the effects of cognitive abilities on two examples of consumer financial decisions where suboptimal behavior is well defined. The first example features the optimal use of credit cards for convenience transactions after a balance transfer and the second involves a financial mistake on a home equity loan application. We find that consumers with higher overall test scores, and specifically those with higher math scores, are substantially less likely to make a financial mistake. These mistakes are generally not associated with nonmath test scores. C1 [Agarwal, Sumit] Natl Univ Singapore, Sch Business, Singapore 119245, Singapore. [Mazumder, Bhashkar] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Agarwal, S (reprint author), Natl Univ Singapore, Sch Business, Mochtar Raidy Bldg,15 Kent Ridge Dr, Singapore 119245, Singapore. EM ushakri@yahoo.com; bmazumder@frbchi.org RI Agarwal, Sumit/F-4836-2012 NR 24 TC 39 Z9 40 U1 1 U2 33 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7782 J9 AM ECON J-APPL ECON JI Am. Econ. J.-Appl. Econ. PD JAN PY 2013 VL 5 IS 1 BP 193 EP 207 DI 10.1257/app.5.1.193 PG 15 WC Economics SC Business & Economics GA 064AZ UT WOS:000313044600007 ER PT J AU Inklaar, R Wang, JC AF Inklaar, Robert Wang, J. Christina TI Real Output of Bank Services: What Counts is What Banks Do, Not What They Own SO ECONOMICA LA English DT Article ID FINANCIAL INTERMEDIATION; COST; INSTITUTIONS AB We argue that models ofbanks as processors of information and transactions imply a quantity measure ofbank output based ontransactioncountsinstead ofbalancesof loans anddeposits. Compiling new and comparable real output measures for the USA and arange of European countries, we show that counts-based output seriesexhibit substantially different growth patterns than balances-basedoutputseries. Since the US official statistics rely on counts while Europeanstatistics rely on balances, this implies that comparisons of bank outputgrowth betweenEurope and the USA are biased. C1 [Inklaar, Robert] Univ Groningen, NL-9700 AB Groningen, Netherlands. [Wang, J. Christina] Fed Reserve Bank Boston, Boston, MA USA. RP Inklaar, R (reprint author), Univ Groningen, NL-9700 AB Groningen, Netherlands. RI Inklaar, Robert/G-8253-2011 OI Inklaar, Robert/0000-0003-3852-067X NR 27 TC 2 Z9 2 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0427 J9 ECONOMICA JI Economica PD JAN PY 2013 VL 80 IS 317 BP 96 EP 117 DI 10.1111/j.1468-0335.2012.00942.x PG 22 WC Economics SC Business & Economics GA 057FA UT WOS:000312546800005 ER PT J AU Burke, MA Sass, TR AF Burke, Mary A. Sass, Tim R. TI Classroom Peer Effects and Student Achievement SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID PUBLIC-SCHOOLS; CHARTER SCHOOLS; PARENTAL EFFORT; PANEL-DATA; TRACKING; IMPACT; DETERMINANTS; COMPETITION; EDUCATION; TEACHERS AB We analyze the impact of classroom peers' ability (measured by their individual fixed effects) on student achievement for all Florida public school students in grades 3-10 over a 6-year period. We control for both student and teacher fixed effects, thereby alleviating biases due to endogenous assignment of both peers and teachers. Under linear-in-means specifications, estimated peer effects are small to nonexistent, but we find some sizable and significant peer effects within nonlinear models. We also find that classroom peers, as compared with the broader group of grade-level peers at the same school, exert a greater influence on individual achievement gains. C1 [Sass, Tim R.] Georgia State Univ, Atlanta, GA 30303 USA. [Burke, Mary A.] Fed Reserve Bank Boston, Boston, MA USA. RP Sass, TR (reprint author), Georgia State Univ, Atlanta, GA 30303 USA. EM tsass@gsu.edu NR 65 TC 25 Z9 25 U1 2 U2 27 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 2013 VL 31 IS 1 BP 51 EP 82 DI 10.1086/666653 PG 32 WC Economics; Industrial Relations & Labor SC Business & Economics GA 055WV UT WOS:000312449500002 ER PT J AU Copeland, A Kahn, J AF Copeland, Adam Kahn, James TI THE PRODUCTION IMPACT OF "CASH-FOR-CLUNKERS": IMPLICATIONS FOR STABILIZATION POLICY SO ECONOMIC INQUIRY LA English DT Article ID INVENTORY BEHAVIOR; SALES; OUTPUT AB Stabilization policies frequently aim to boost spending as a means to increase gross domestic product. Spending does not necessarily translate into production, however, especially when inventories are involved. We look at the cash-for-clunkers program that helped finance the purchase of nearly 700,000 vehicles in 2009. An analysis of auto sales and production movements reveals that the program did prompt a large spike in sales. But the program had only a modest and fleeting impact on production, as inventories buffered the movements in sales. These findings suggest caution in judging the efficacy of such policies by their impact on spending alone. (JEL E23, E65, L62) C1 [Copeland, Adam] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [Kahn, James] Yeshiva Univ, Dept Econ, New York, NY 10033 USA. RP Copeland, A (reprint author), Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. EM adam.copeland@ny.frb.org; james.kahn@yu.edu NR 13 TC 8 Z9 8 U1 0 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2013 VL 51 IS 1 BP 288 EP 303 DI 10.1111/j.1465-7295.2011.00443.x PG 16 WC Economics SC Business & Economics GA 045LO UT WOS:000311697500019 ER PT J AU Greenwood, J Kopecky, KA AF Greenwood, Jeremy Kopecky, Karen A. TI MEASURING THE WELFARE GAIN FROM PERSONAL COMPUTERS SO ECONOMIC INQUIRY LA English DT Article ID PRODUCTS; PRICE AB The welfare gain to consumers from the introduction of personal computers (PCs) is estimated. A simple model of consumer demand is formulated that uses a slightly modified version of standard preferences. The modification permits marginal utility, and hence total utility, to be finite when the consumption of computers is zero. This implies that the good will not be consumed at a high enough price. It also bounds the consumer surplus derived from the product. The model is calibrated/estimated using standard national income and product account data. The welfare gain from the introduction of PCs is 2%3% of consumption expenditure. (JEL E01, E21, O33, O47) C1 [Greenwood, Jeremy] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Kopecky, Karen A.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Greenwood, J (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM karen.kopecky@atl.frb.org NR 15 TC 2 Z9 2 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2013 VL 51 IS 1 BP 336 EP 347 DI 10.1111/j.1465-7295.2011.00447.x PG 12 WC Economics SC Business & Economics GA 045LO UT WOS:000311697500021 ER PT J AU Contessi, S Francis, JL AF Contessi, Silvio Francis, Johanna L. TI U.S. COMMERCIAL BANK LENDING THROUGH 2008:Q4: NEW EVIDENCE FROM GROSS CREDIT FLOWS SO ECONOMIC INQUIRY LA English DT Article AB What was hiding behind the aggregate commercial bank loans through the end of 2008? We use balance sheet data for every insured U.S. commercial bank from 1999:Q1 to 2008:Q4 to construct credit expansion and credit contraction series and provide new evidence on changes in lending. Until 2008:Q3 net credit growth was not dissimilar to the 1980 and 2001 recessions. However, between the third and fourth quarter credit contraction grew larger than credit expansion across all types of loans and for the largest banks. With the inclusion of 2008:Q4 data our series most resemble the intensification of the Savings and Loan crisis. (JEL E44, E51, G21) C1 [Contessi, Silvio] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Francis, Johanna L.] Fordham Univ, Dept Econ, Bronx, NY 10458 USA. RP Contessi, S (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM silvio.contessi@frb.org; ajofrancis@fordham.edu NR 15 TC 3 Z9 3 U1 2 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2013 VL 51 IS 1 BP 428 EP 444 DI 10.1111/j.1465-7295.2010.00356.x PG 17 WC Economics SC Business & Economics GA 045LO UT WOS:000311697500026 ER PT J AU Chakrabarti, R AF Chakrabarti, Rajashri TI VOUCHERS, PUBLIC SCHOOL RESPONSE, AND THE ROLE OF INCENTIVES: EVIDENCE FROM FLORIDA SO ECONOMIC INQUIRY LA English DT Article ID REGRESSION-DISCONTINUITY DESIGN; ACCOUNTABILITY; THREATS AB This paper analyzes the incentives and responses of public schools in the context of an educational reform. Much of the literature studying the effect of voucher programs on public schools has looked at the effect on student and mean school scores. This paper tries to go inside the black box to investigate some of the ways in which schools facing the Florida accountability-tied voucher program behaved. Schools getting an F grade for the first time were exposed to the threat of vouchers, but did not face vouchers unless and until they got a second F within the next 3 years. In addition, F, being the lowest grade, exposed the threatened schools to stigma. Exploiting the institutional details of this program, I analyze the incentives built into the system and investigate the behavior of the threatened public schools facing these incentives. There is strong evidence that they did respond to incentives. Using highly disaggregated school-level data, a difference-in-differences estimation strategy as well as a regression discontinuity (RD) analysis, I find that the threatened schools tended to focus more on students below the minimum criteria cutoffs rather than equally on all. Second, consistent with incentives, the threatened school improvements were, by far, the largest in writing. These results are robust to controlling for differential preprogram trends, changes in demographic compositions, mean reversion, and sorting. These findings have important policy implications. (JEL H4, I21, I28) 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 Chakrabarti@ny.frb.org NR 29 TC 9 Z9 9 U1 2 U2 17 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2013 VL 51 IS 1 BP 500 EP 526 DI 10.1111/j.1465-7295.2012.00455.x PG 27 WC Economics SC Business & Economics GA 045LO UT WOS:000311697500031 ER PT J AU Blau, DM van der Klaauw, W AF Blau, David M. van der Klaauw, Wilbert TI WHAT DETERMINES FAMILY STRUCTURE? SO ECONOMIC INQUIRY LA English DT Article ID RAISE DIVORCE RATES; INCOME-TAX CREDIT; WELFARE-REFORM; LIVING ARRANGEMENTS; UNILATERAL DIVORCE; UNITED-STATES; SINGLE MOTHERHOOD; PARENTAL DIVORCE; FORWARD-LOOKING; YOUNG-WOMEN AB We use data from the 1979 cohort of the National Longitudinal Survey of Youth to estimate the effects of policy and labor market variables on the demographic behaviors that determine children's family structure experiences: union formation and dissolution, and fertility. Male and female wages have substantial effects on family structure for children of black and Hispanic mothers. The tax treatment of children also affects family structure. Welfare reform, welfare benefits, and unilateral divorce had much smaller effects on family structure for the children of this cohort of women. Trends in wages and tax rates explain only a small share of the observed changes in family structure in recent decades. (JEL J12) C1 [Blau, David M.] Ohio State Univ, Dept Econ, 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, Columbus, OH 43210 USA. EM blau.12@osu.edu; wilbert.vanderklaauw@ny.frb.org NR 64 TC 4 Z9 4 U1 1 U2 31 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2013 VL 51 IS 1 BP 579 EP 604 DI 10.1111/j.1465-7295.2010.00334.x PG 26 WC Economics SC Business & Economics GA 045LO UT WOS:000311697500034 ER PT J AU Hobijn, B Sahin, A AF Hobijn, Bart Sahin, Ayseguel TI FIRMS AND FLEXIBILITY SO ECONOMIC INQUIRY LA English DT Article ID FIRING COSTS; EUROPEAN UNEMPLOYMENT; LABOR; PRODUCTIVITY; ENTRY AB The United States and France have very similar labor productivity levels while there are considerable differences between the firm-size distributions and firm dynamics in the two countries. To reconcile these observations we introduce a joint model of endogenous entrepreneurship and firm-size dynamics with firing costs, unemployment benefits, entry costs, and a tax wedge between wages and labor costs. We use our model to analyze the role of these rigitidies in explaining firm dynamics and productivity patterns in the United States and France. We find that our model with all rigidities goes a long way in accounting for firm-size differentials between the United States and France while generating similar labor productivity outcomes. (JEL C78, D21, E24, J6) C1 [Hobijn, Bart] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. [Sahin, Ayseguel] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Hobijn, B (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. EM bart.hobijn@sf.frb.org; aysegul.sahin@ny.frb.org NR 41 TC 1 Z9 1 U1 0 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2013 VL 51 IS 1 BP 922 EP 940 DI 10.1111/j.1465-7295.2011.00375.x PG 19 WC Economics SC Business & Economics GA 045LO UT WOS:000311697500054 ER PT J AU Gazzale, R Jamison, J Karlan, A Karlan, D AF Gazzale, Robert Jamison, Julian Karlan, Alexander Karlan, Dean TI AMBIGUOUS SOLICITATION: AMBIGUOUS PRESCRIPTION SO ECONOMIC INQUIRY LA English DT Article ID SELF-SELECTION; ENTRY; BIAS; RISK AB We conduct a two-phase laboratory experiment, separated by several weeks. In the first phase, we conduct urn games intended to measure ambiguity aversion on a representative population of undergraduate students. In the second phase, we invite the students back with four different solicitation treatments, varying in the ambiguity of information regarding the task and the payout of the laboratory experiment. We find that those who return do not differ from the overall pool with respect to their ambiguity aversion. However, no solicitation treatment generates a representative sample. The ambiguous task treatment drives away the ambiguity averse disproportionally and the detailed task treatment draws in the ambiguity averse disproportionally. Finally, the standard laboratory recruitment e-mail disproportionately draws in those who are not ambiguity averse. (JEL A12, C81, C90) C1 [Gazzale, Robert; Karlan, Alexander] Williams Coll, Williamstown, MA 01267 USA. [Jamison, Julian] Fed Reserve Bank Boston, Res Ctr Behav Econ, Boston, MA 02210 USA. [Karlan, Dean] Yale Univ, New Haven, CT 06520 USA. RP Gazzale, R (reprint author), Williams Coll, 24 Hopkins Hall Dr, Williamstown, MA 01267 USA. EM rgazzale@williams.edu; Julian.Jamison@bos.frb.org; alexander.s.karlan@gmail.com; dean.karlan@yale.edu NR 20 TC 1 Z9 1 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2013 VL 51 IS 1 BP 1002 EP 1011 DI 10.1111/j.1465-7295.2011.00383.x PG 10 WC Economics SC Business & Economics GA 045LO UT WOS:000311697500059 ER PT J AU Stierholz, K AF Stierholz, Katrina TI Federal Reserve Archival System for Economic Research (FRASER (R)) SO GOVERNMENT INFORMATION QUARTERLY LA English DT Book Review C1 Fed Reserve Bank, Lib & Res Informat Serv, St Louis, MO 63106 USA. RP Stierholz, K (reprint author), Fed Reserve Bank, Lib & Res Informat Serv, 1421 Dr Martin Luther King Dr, St Louis, MO 63106 USA. EM Katrina.l.Stierholz@stls.ftb.org RI Stierholz, Katrina/F-9108-2016 OI Stierholz, Katrina/0000-0002-7273-9379 NR 3 TC 0 Z9 0 U1 0 U2 2 PU ELSEVIER INC PI SAN DIEGO PA 525 B STREET, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0740-624X J9 GOV INFORM Q JI Gov. Inf. Q. PD JAN PY 2013 VL 30 IS 1 BP 121 EP 122 DI 10.1016/j.giq.2012.10.003 PG 2 WC Information Science & Library Science SC Information Science & Library Science GA 054OG UT WOS:000312352500014 ER PT J AU Nosal, E Rocheteau, G AF Nosal, Ed Rocheteau, Guillaume TI Pairwise trade, asset prices, and monetary policy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Search; Money; Bilateral trades; Inflation; Asset prices ID MONEY; LIQUIDITY; EXCHANGE; MARKETS; MODEL AB We construct a search-theoretic model where fiat money coexists with real assets, and all assets can be used as a media of exchange. The terms of trade in bilateral matches are determined by a pairwise Pareto-efficient pricing mechanism. We do not have to appeal to exogenous liquidity constraints to generate asset prices that are consistent with the following facts: (i) fiat money can be valued despite being dominated in its rate of return; (ii) real assets with identical dividend flows can have different rates of return; and (iii) an increase in inflation raises asset prices, lowers their returns, and widens the rate-of-return differences between assets. On the normative side we show that there is a range of inflation rates that implement the first-best allocation. (C) 2012 Elsevier B.V. All rights reserved. C1 [Nosal, Ed] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Rocheteau, Guillaume] Univ Calif Irvine, Irvine, CA USA. [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Nosal, E (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM ed.nosal@chi.frb.org NR 23 TC 6 Z9 6 U1 1 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 JAN PY 2013 VL 37 IS 1 BP 1 EP 17 DI 10.1016/j.jedc.2012.07.005 PG 17 WC Economics SC Business & Economics GA 053NW UT WOS:000312280700001 ER PT J AU Peterman, WB AF Peterman, William B. TI Determining the motives for a positive optimal tax on capital SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Optimal taxation; Capital taxation ID OPTIMAL TAXATION; BORROWING CONSTRAINTS; INCOMPLETE MARKETS; INCOME TAXATION; LABOR; MODEL; SUBSTITUTION; ACCUMULATION; ELASTICITY; BEHAVIOR AB Previous literature demonstrates that in a standard life cycle model the optimal tax on capital is large. This paper highlights that after changing two assumptions in the standard model the optimal tax drops by almost half. First, the utility function is altered such that it implies that an agent's Frisch labor supply elasticity is constant over his lifetime. Second, the government is allowed to tax accidental bequests and ordinary capital income at separate rates. Quantifying the effect of these assumptions is important because the first has limited empirical evidence and the second confounds a motive for taxing capital and accidental bequests. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Peterman, WB (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM william.peterman@gmail.com NR 35 TC 4 Z9 4 U1 0 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 JAN PY 2013 VL 37 IS 1 BP 265 EP 295 DI 10.1016/j.jedc.2012.08.004 PG 31 WC Economics SC Business & Economics GA 053NW UT WOS:000312280700016 ER PT J AU Gerardi, K Lambie-Hanson, L Willen, PS AF Gerardi, Kristopher Lambie-Hanson, Lauren Willen, Paul S. TI Do borrower rights improve borrower outcomes? Evidence from the foreclosure process SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Foreclosure; Mortgage; Judicial; Power of sale; Right to cure ID MORTGAGE; CREDIT; LAWS AB We evaluate the effects of laws designed to protect borrowers from foreclosure. We find that these laws delay but do not prevent foreclosures. We first compare states that require lenders to seek judicial permission to foreclose with states that do not. Borrowers in judicial states are no more likely to cure and no more likely to renegotiate their loans, but the delays lead to a build-up in these states of persistently delinquent borrowers, the vast majority of whom eventually lose their homes. We next analyze a "right-to-cure" law instituted in Massachusetts on may 1, 2008. Using a difference-in-differences approach to evaluate the effect of the policy, we compare Massachusetts with neighboring states that did not adopt similar laws. We find that the right-to-cure law lengthens the foreclosure timeline but does not lead to better outcomes for borrowers. (C) 2012 Elsevier Inc. All rights reserved. C1 [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Lambie-Hanson, Lauren] MIT, Cambridge, MA 02139 USA. [Lambie-Hanson, Lauren; Willen, Paul S.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Willen, Paul S.] NBER, Cambridge, MA 02138 USA. RP Gerardi, K (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Kristopher.Gerardi@atl.frb.org; lslh@mit.edu; Paul.Willen@bos.frb.org NR 19 TC 20 Z9 20 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 JAN PY 2013 VL 73 IS 1 BP 1 EP 17 DI 10.1016/j.jue.2012.06.003 PG 17 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 050FU UT WOS:000312039400001 ER PT J AU Nichols, JB Oliner, SD Mulhall, MR AF Nichols, Joseph B. Oliner, Stephen D. Mulhall, Michael R. TI Swings in commercial and residential land prices in the United States SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Land; Prices; Commercial; Residential; United States; Volatility ID SAMPLE-SELECTION BIAS; URBAN AREA; SPECULATIVE BUBBLES; UNDEVELOPED LAND; PROPERTY-VALUES; HOUSING MARKETS; REAL-ESTATE; LOS-ANGELES; EMPLOYMENT; SUBCENTERS AB We use a large dataset of land sales dating back to the mid-1990s to construct land price indexes for 23 MSAs in the United States and for the aggregate of those MSAs. The price indexes show a dramatic increase in both commercial and residential land prices over several years prior to their peak in 2006-2007 and a steep descent since then. These fluctuations have exceeded those in well-known indexes of home prices and commercial real estate prices. Because those indexes price a bundle of land and structures, this comparison implies that land prices have been more volatile than structures prices over this period. This result is a key element of the land leverage hypothesis, which holds that home prices and commercial property prices will be more volatile, all else equal, in areas where land represents a larger share of real estate value. (C) 2012 Elsevier Inc. All rights reserved. C1 [Nichols, Joseph B.] Fed Reserve Board, Washington, DC 20551 USA. [Oliner, Stephen D.] Amer Enterprise Inst Publ Policy Res, Washington, DC 20036 USA. [Oliner, Stephen D.] Univ Calif Los Angeles, Ziman Ctr Real Estate, Los Angeles, CA 90095 USA. [Mulhall, Michael R.] JPMorgan Chase, New York, NY 10179 USA. RP Oliner, SD (reprint author), 3603 Farragut Ave, Kensington, MD 20895 USA. EM stephen.oliner@gmail.com NR 73 TC 9 Z9 9 U1 2 U2 28 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 2013 VL 73 IS 1 BP 57 EP 76 DI 10.1016/j.jue.2012.06.004 PG 20 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 050FU UT WOS:000312039400005 ER PT B AU Thomas, C Marquez, J Fahle, S Coonan, J AF Thomas, Charles Marquez, Jaime Fahle, Sean Coonan, James GP World Bank TI International Relative Price Levels: An Empirical Analysis SO MEASURING THE REAL SIZE OF THE WORLD ECONOMY: THE FRAMEWORK, METHODOLOGY, AND RESULTS OF THE INTERNATIONAL COMPARISON PROGRAM-ICP LA English DT Article; Book Chapter C1 [Thomas, Charles; Marquez, Jaime; Coonan, James] US Fed Reserve Board, Washington, DC 20001 USA. [Fahle, Sean] Univ Calif Los Angeles, Los Angeles, CA USA. RP Thomas, C (reprint author), US Fed Reserve Board, Washington, DC 20001 USA. NR 16 TC 0 Z9 0 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-9731-2; 978-0-8213-9728-2 PY 2013 BP 589 EP 602 D2 10.1596/978-0-8213-9728-2 PG 14 WC Economics SC Business & Economics GA BG1WA UT WOS:000387112000025 ER PT B AU Liu, LL Llanto, G Petersen, J AF Liu, Lili Llanto, Gilberto Petersen, John BE Canuto, O Liu, L TI The Philippines: Recent Developments in the Subnational Government Debt Markets SO UNTIL DEBT DO US PART: SUBNATIONAL DEBT, INSOLVENCY, AND MARKETS LA English DT Article; Book Chapter C1 [Liu, Lili] World Bank, Publ Sect & Inst Reform Europe & Cent Asia, Washington, DC 20433 USA. [Liu, Lili] World Bank, Econ Policy & Debt Dept, Washington, DC 20433 USA. [Liu, Lili] World Bank, Urban Board, Washington, DC 20433 USA. [Liu, Lili] World Bank, Transport Sect Board, Washington, DC 20433 USA. [Llanto, Gilberto] Philippine Inst Dev Studies, Legaspi Village, Philippines. [Llanto, Gilberto] Natl Econ & Dev Author, Calabarzon, Philippines. [Llanto, Gilberto] Agr Credit Policy Council, Pasig, Philippines. [Petersen, John] George Mason Sch Publ Policy, Fairfax, VA USA. [Petersen, John] Fed Reserve Board, Washington, DC USA. RP Liu, LL (reprint author), World Bank, Publ Sect & Inst Reform Europe & Cent Asia, Washington, DC 20433 USA. NR 30 TC 0 Z9 0 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-9766-4; 978-0-8213-9767-1 PY 2013 BP 417 EP 454 D2 10.1596/978-0-8213-9766-4 PG 38 WC Business, Finance SC Business & Economics GA BC6RP UT WOS:000354441700012 ER PT S AU Fomby, TB Kilian, L Murphy, A AF Fomby, Thomas B. Kilian, Lutz Murphy, Anthony BE Fomby, TB Kilian, L Murphy, A TI VAR MODELS IN MACROECONOMICS - NEW DEVELOPMENTS AND APPLICATIONS: ESSAYS IN HONOR OF CHRISTOPHER A. SIMS INTRODUCTION SO VAR MODELS IN MACROECONOMICS - NEW DEVELOPMENTS AND APPLICATIONS: ESSAYS IN HONOR OF CHRISTOPHER A. SIMS SE Advances in Econometrics LA English DT Editorial Material; Book Chapter ID UNIT ROOTS; INFERENCE C1 [Fomby, Thomas B.] So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. [Kilian, Lutz] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Murphy, Anthony] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. RP Fomby, TB (reprint author), So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. NR 7 TC 0 Z9 0 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 0731-9053 BN 978-1-78190-753-5; 978-1-78190-752-8 J9 ADV ECONOMETRICS PY 2013 VL 32 BP XV EP XXI D2 10.1108/S0731-9053(2013)32 PG 7 WC Economics SC Business & Economics GA BD3ZL UT WOS:000360370100001 ER PT S AU Gospodinov, N Herrera, AM Pesavento, E AF Gospodinov, Nikolay Herrera, Ana Maria Pesavento, Elena BE Fomby, TB Kilian, L Murphy, A TI UNIT ROOTS, COINTEGRATION, AND PRETESTING IN VAR MODELS SO VAR MODELS IN MACROECONOMICS - NEW DEVELOPMENTS AND APPLICATIONS: ESSAYS IN HONOR OF CHRISTOPHER A. SIMS SE Advances in Econometrics LA English DT Article; Book Chapter DE Impulse response functions; structural VAR; short/long-run identification; pretesting; unit roots; cointegration ID MACROECONOMIC TIME-SERIES; SAMPLE CONFIDENCE-INTERVALS; IMPULSE-RESPONSE FUNCTIONS; MONETARY-POLICY; BUSINESS-CYCLE; TECHNOLOGY SHOCKS; STRUCTURAL VARS; DISTURBANCES; INFERENCE; TESTS AB This article investigates the robustness of impulse response estimators to near unit roots and near cointegration in vector autoregressive (VAR) models. We compare estimators based on VAR specifications determined by pretests for unit roots and cointegration as well as unrestricted VAR specifications in levels. Our main finding is that the impulse response estimators obtained from the levels specification tend to be most robust when the magnitude of the roots is not known. The pretest specification works well only when the restrictions imposed by the model are satisfied. Its performance deteriorates even for small deviations from the exact unit root for one or more model variables. We illustrate the practical relevance of our results through simulation examples and an empirical application. C1 [Gospodinov, Nikolay] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30322 USA. [Herrera, Ana Maria] Univ Kentucky, Dept Econ, Lexington, KY USA. [Pesavento, Elena] Emory Univ, Dept Econ, Atlanta, GA 30322 USA. RP Gospodinov, N (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30322 USA. NR 34 TC 2 Z9 3 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 0731-9053 BN 978-1-78190-753-5; 978-1-78190-752-8 J9 ADV ECONOMETRICS PY 2013 VL 32 BP 81 EP 115 DI 10.1108/S0731-9053(2013)0000031003 D2 10.1108/S0731-9053(2013)32 PG 35 WC Economics SC Business & Economics GA BD3ZL UT WOS:000360370100004 ER PT S AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. BE Fomby, TB Kilian, L Murphy, A TI EVALUATING THE ACCURACY OF FORECASTS FROM VECTOR AUTOREGRESSIONS SO VAR MODELS IN MACROECONOMICS - NEW DEVELOPMENTS AND APPLICATIONS: ESSAYS IN HONOR OF CHRISTOPHER A. SIMS SE Advances in Econometrics LA English DT Article; Book Chapter DE Prediction; forecasting; out-of-sample ID PREDICTIVE ABILITY; DENSITY FORECASTS; NESTED MODELS; TESTS; INFERENCE; HETEROSKEDASTICITY; COMBINATION; REALITY; ERRORS AB This article surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by vector autoregressions. Specific emphasis is placed on highlighting those parts of the existing literature that are applicable to direct multistep forecasts and those parts that are applicable to iterated multistep forecasts. This literature includes advancements in the evaluation of forecasts in population (based on true, unknown model coefficients) and the evaluation of forecasts in the finite sample (based on estimated model coefficients). The article then examines in Monte Carlo experiments the finite-sample properties of some tests of equal forecast accuracy, focusing on the comparison of VAR forecasts to AR forecasts. These experiments show the tests to behave as should be expected given the theory. For example, using critical values obtained by bootstrap methods, tests of equal accuracy in population have empirical size about equal to nominal size. C1 [Clark, Todd E.] Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH 44114 USA. [McCracken, Michael W.] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. RP Clark, TE (reprint author), Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH 44114 USA. NR 57 TC 0 Z9 0 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 0731-9053 BN 978-1-78190-753-5; 978-1-78190-752-8 J9 ADV ECONOMETRICS PY 2013 VL 32 BP 117 EP 168 DI 10.1108/S0731-9053(2013)0000031004 D2 10.1108/S0731-9053(2013)32 PG 52 WC Economics SC Business & Economics GA BD3ZL UT WOS:000360370100005 ER PT J AU Wheelock, DC Wilson, PW AF Wheelock, David C. Wilson, Paul W. TI The evolution of cost-productivity and efficiency among US credit unions SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Efficiency; Productivity; Quantile estimation; Credit unions ID NONPARAMETRIC FRONTIER MODELS; QUANTILE ESTIMATION; DISTANCE FUNCTIONS; BANKING; PERFORMANCE; ESTIMATORS; INDUSTRY; PROGRESS; GROWTH; SCALE AB Advances in information-processing technology have eroded the advantages of small scale and proximity to customers that traditionally enabled small lenders to thrive. Nonetheless, the membership and market share of US credit unions have increased, though their average size has also risen. We investigate changes in the efficiency and productivity of US credit unions during 1989-2006 by benchmarking the performance of individual firms against an estimated order-alpha quantile lying "near" the efficient frontier. We construct a cost analog of the Malmquist productivity index, which we decompose to estimate changes in cost and scale efficiency, and changes in technology. We find that cost-productivity fell on average across all credit unions but especially among smaller credit unions. Smaller credit unions confronted a shift in technology that increased the minimum cost required to produce given amounts of output. All but the largest credit unions also became less scale efficient over time. (C) 2012 Elsevier B.V. All rights reserved. C1 [Wheelock, David C.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Wilson, Paul W.] Clemson Univ, Sch Comp, Clemson, SC 29634 USA. [Wilson, Paul W.] Clemson Univ, Dept Econ, Clemson, SC 29634 USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM david.c.wheelock@stls.frb.org; pww@clemso-n.edu RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 51 TC 8 Z9 8 U1 2 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 JAN PY 2013 VL 37 IS 1 BP 75 EP 88 DI 10.1016/j.jbankfin.2012.08.003 PG 14 WC Business, Finance; Economics SC Business & Economics GA 039RH UT WOS:000311263700007 ER PT J AU Chatterjee, S Gordon, G AF Chatterjee, Satyajit Gordon, Grey TI Dealing with consumer default: Bankruptcy vs garnishment SO JOURNAL OF MONETARY ECONOMICS LA English DT Article AB What are the positive and normative implications of eliminating bankruptcy protection for indebted individuals? Without bankruptcy protection, creditors can collect on defaulted debt to the extent permitted by wage garnishment laws. The elimination lowers the default premium on unsecured debt and permits low-net-worth individuals suffering bad earnings shocks to smooth consumption by borrowing. There is a large increase in consumer debt financed essentially by super-wealthy individuals, a modest drop in capital per worker, and a higher frequency of consumer default. Average welfare rises by 1% of consumption in perpetuity, with about 90% of households favoring the change. (C) 2012 Elsevier B.V. All rights reserved. C1 [Chatterjee, Satyajit] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Gordon, Grey] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. RP Chatterjee, S (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM chatterjee.satyajit@gmail.com NR 30 TC 5 Z9 5 U1 1 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 DEC 15 PY 2012 VL 59 SU S BP S1 EP S16 DI 10.1016/j.jmoneco.2012.10.021 PG 16 WC Business, Finance; Economics SC Business & Economics GA V38VI UT WOS:000209370500001 ER PT J AU Gertler, M Kiyotaki, N Queralto, A AF Gertler, Mark Kiyotaki, Nobuhiro Queralto, Albert TI Financial crises, bank risk exposure and government financial policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article AB A macroeconomic model with financial intermediation is developed in which the intermediaries (banks) can issue outside equity as well as short term debt. This makes bank risk exposure an endogenous choice. The goal is to have a model that can not only capture a crisis when banks are highly vulnerable to risk, but can also account for why banks adopt such a risky balance sheet in the first place. We use the model to assess quantitatively how perceptions of fundamental risk and of government credit policy in a crisis affect the vulnerability of the financial system ex ante. We also study the effects of macro-prudential policies designed to offset the incentives for risk-taking. (C) 2012 Published by Elsevier B.V. C1 [Gertler, Mark] NYU, Dept Econ, New York, NY 10003 USA. [Kiyotaki, Nobuhiro] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. [Queralto, Albert] Fed Reserve Board, Int Finance Div, Washington, DC USA. RP Gertler, M (reprint author), NYU, Dept Econ, New York, NY 10003 USA. EM mark.gertler@nyu.edu FU NSF FX We thank Philippe Bacchetta and Elu Von Thadden for helpful comments. Gertler and Kiyotaki also wish to acknowledge the support of the NSF. The views expressed in this paper are those of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of any other person associated with the Federal Reserve System. NR 31 TC 34 Z9 34 U1 3 U2 11 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 DEC 15 PY 2012 VL 59 SU S BP S17 EP S34 DI 10.1016/j.jmoneco.2012.11.007 PG 18 WC Business, Finance; Economics SC Business & Economics GA V38VI UT WOS:000209370500002 ER PT J AU Christensen, JHE Lopez, JA Rudebusch, GD AF Christensen, Jens H. E. Lopez, Jose A. Rudebusch, Glenn D. TI Extracting Deflation Probability Forecasts from Treasury Yields SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID INFLATION-EXPECTATIONS; CURVE; RISK; PREMIA; POLICY; SWAPS AB We construct probability forecasts for episodes of price deflation (i.e., a falling price level) using yields on nominal and real U.S. Treasury bonds. The deflation probability forecasts identify two "deflation scares" during the past decade: a mild one following the 2001 recession and a more serious one starting in late 2008 with the deepening of the financial crisis. The estimated deflation probabilities are generally consistent with those from macroeconomic models and surveys of professional forecasters, but they also provide high-frequency insight into the views of financial market participants. The probabilities can also be used to price the deflation protection option embedded in real Treasury bonds. C1 [Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Christensen, JHE (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 33 TC 4 Z9 4 U1 2 U2 7 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 2012 VL 8 IS 4 BP 21 EP 60 PG 40 WC Business, Finance SC Business & Economics GA 077YV UT WOS:000314066200002 ER PT J AU Glick, R Leduc, S AF Glick, Reuven Leduc, Sylvain TI Central bank announcements of asset purchases and the impact on global financial and commodity markets SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Large scale asset purchase; Unconventional monetary policy; Announcement; Commodity prices; Event study AB We present evidence on the effects of large-scale asset purchases by the Federal Reserve and the Bank of England since 2008. We show that announcements about these purchases led to lower long-term interest rates and depreciations of the U.S. dollar and the British pound on announcement days, while commodity prices generally declined despite this more stimulative financial environment. We suggest that LSAP announcements likely involved signaling effects about future growth that led investors to downgrade their U.S. growth forecasts lowering long-term US yields, depreciating the value of the U.S. dollar, and triggering a decline in commodity prices. Moreover, our analysis illustrates the importance of controlling for market expectations when assessing these effects. We find that positive U.S. monetary surprises led to declines in commodity prices, even as long-term interest rates fell and the U.S. dollar depreciated. In contrast, on days of negative U.S. monetary surprises, i.e. when markets evidently believed that monetary policy was less stimulatory than expected, long-term yields, the value of the dollar, and commodity prices all tended to increase. (C) 2012 Elsevier Ltd. All rights reserved. C1 [Glick, Reuven; Leduc, Sylvain] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Glick, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA 94105 USA. EM Reuven.Glick@sf.frb.org; Sylvain.Leduc@sf.frb.org NR 13 TC 23 Z9 24 U1 1 U2 15 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 2012 VL 31 IS 8 SI SI BP 2078 EP 2101 DI 10.1016/j.jimonfin.2012.05.009 PG 24 WC Business, Finance SC Business & Economics GA 064MR UT WOS:000313080200007 ER PT J AU Mazumder, B AF Mazumder, Bhash TI Heredity, Family, and Inequality: A Critique of Social Sciences SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review ID INTERGENERATIONAL MOBILITY C1 [Mazumder, Bhash] Fed Reserve Bank Chicago, Chicago, IL USA. RP Mazumder, B (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 13 TC 0 Z9 0 U1 0 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 EI 2328-8175 J9 J ECON LIT JI J. Econ. Lit. PD DEC PY 2012 VL 50 IS 4 BP 1146 EP 1149 PG 4 WC Economics SC Business & Economics GA 059XJ UT WOS:000312738600023 ER PT J AU Bidder, RM Smith, ME AF Bidder, R. M. Smith, M. E. TI Robust animal spirits SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID BUSINESS CYCLES; RISK-AVERSION; MODELS AB In a real business cycle model, an agent's fear of model misspecification interacts with stochastic volatility to induce time varying worst case scenarios. These time varying worst case scenarios capture a notion of animal spirits where the probability distributions used to evaluate decision rules and price assets do not necessarily reflect the fundamental characteristics of the economy. Households entertain a pessimistic view of the world and their pessimism varies with the overall level of volatility in the economy, implying an amplification of the effects of volatility shocks. By using perturbation methods and Monte Carlo techniques we extend the class of models analyzed with robust control methods to include the sort of nonlinear production-based DSGE models that are popular in academic research and policymaking practice. (C) 2012 Elsevier B.V. All rights reserved. C1 [Bidder, R. M.] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. [Smith, M. E.] Fed Reserve Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Bidder, RM (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA 94105 USA. EM rhys.bidder@sf.frb.org; matthew.e.smith@frb.gov NR 20 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 J9 J MONETARY ECON JI J. Monetary Econ. PD DEC PY 2012 VL 59 IS 8 BP 738 EP 750 DI 10.1016/j.jmoneco.2012.10.017 PG 13 WC Business, Finance; Economics SC Business & Economics GA 062LD UT WOS:000312920400003 ER PT J AU Marimon, R Nicolini, JP Teles, P AF Marimon, Ramon Pablo Nicolini, Juan Teles, Pedro TI Money is an experience good: Competition and trust in the private provision of money SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID MONOPOLISTIC COMPETITION AB The interplay between competition and trust as efficiency-enhancing mechanisms in the private provision of money is studied. With commitment, trust is automatically achieved and competition ensures efficiency. Without commitment, competition plays no role. Trust does play a role but requires a bound on efficiency. Stationary inflation must be non-negative and, therefore, the Friedman rule cannot be achieved. The quality of money can be observed only after its purchasing capacity is realized. In this sense, money is an experience good. (C) 2012 Elsevier B.V. All rights reserved. C1 [Marimon, Ramon] European Univ Inst, Florence, Italy. [Marimon, Ramon] UPF Barcelona GSE, Barcelona, Spain. [Marimon, Ramon] NBER, Cambridge, MA 02138 USA. [Pablo Nicolini, Juan] Univ Tella Argentina, Buenos Aires, DF, Argentina. [Pablo Nicolini, Juan] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Teles, Pedro] Banco Portugal, P-1150165 Lisbon, Portugal. [Teles, Pedro] Univ Catolica Portuguesa, Oporto, Portugal. RP Teles, P (reprint author), Banco Portugal, R Francisco Ribeiro 2, P-1150165 Lisbon, Portugal. EM pteles@ucp.pt OI Teles, Pedro/0000-0002-1352-4917 NR 23 TC 1 Z9 1 U1 0 U2 12 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 DEC PY 2012 VL 59 IS 8 BP 815 EP 825 DI 10.1016/j.jmoneco.2012.10.006 PG 11 WC Business, Finance; Economics SC Business & Economics GA 062LD UT WOS:000312920400008 ER PT J AU Rios-Rull, JV Schorfheide, F Fuentes-Albero, C Kryshko, M Santaeulalia-Llopis, R AF Rios-Rull, Jose-Victor Schorfheide, Frank Fuentes-Albero, Cristina Kryshko, Maxym Santaeulalia-Llopis, Raul TI Methods versus substance: Measuring the effects of technology shocks SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID GENERAL EQUILIBRIUM-MODELS; REAL BUSINESS-CYCLE; DSGE MODELS; LIFE-CYCLE; AGGREGATE FLUCTUATIONS; NOMINAL RIGIDITIES; INDIRECT INFERENCE; INDIVISIBLE LABOR; INVESTMENT; TIME AB Calibration and modern (Bayesian) estimation methods for a neoclassical stochastic growth model are applied to make the case that the identification of key parameters, rather than quantitative methodologies per se, is responsible for empirical findings. For concreteness, the model is used to measure the contributions of technology shocks to the business cycle fluctuations of hours worked and output. Along the way, new insights are provided in the parameter identification associated with likelihood-based estimation, the sensitivity of likelihood-based estimation to the choice of structural shocks is assessed, and Bayesian model averaging is used to aggregate findings obtained from different DSGE model specifications. (C) 2012 Elsevier B.V. All rights reserved. C1 [Rios-Rull, Jose-Victor] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Rios-Rull, Jose-Victor] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Rios-Rull, Jose-Victor; Schorfheide, Frank] NBER, Cambridge, MA 02138 USA. [Schorfheide, Frank] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Fuentes-Albero, Cristina] Rutgers State Univ, Dept Econ, New Brunswick, NJ 08901 USA. [Kryshko, Maxym] Int Monetary Fund, Washington, DC 20431 USA. [Santaeulalia-Llopis, Raul] Washington Univ, Dept Econ, St Louis, MO 63130 USA. RP Rios-Rull, JV (reprint author), Univ Minnesota, Dept Econ, 271 19th Ave S, Minneapolis, MN 55455 USA. EM vr0j@umn.edu; schorf@ssc.upenn.edu; cfuentes@econ.rutgers.edu; MKryshko@imf.org; rauls@wustl.edu NR 60 TC 6 Z9 6 U1 0 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD DEC PY 2012 VL 59 IS 8 BP 826 EP 846 DI 10.1016/j.jmoneco.2012.10.008 PG 21 WC Business, Finance; Economics SC Business & Economics GA 062LD UT WOS:000312920400009 ER PT J AU Avery, RB Brevoort, KP Canner, G AF Avery, Robert B. Brevoort, Kenneth P. Canner, Glenn TI Does Credit Scoring Produce a Disparate Impact? SO REAL ESTATE ECONOMICS LA English DT Article ID LOAN PERFORMANCE; MORTGAGE; DISCRIMINATION AB The widespread use of credit scoring in the underwriting and pricing of mortgage and consumer credit has raised concerns that the use of these scores may unfairly disadvantage minority populations. A specific concern has been that the independent variables that comprise these models may have a disparate impact on these demographic groups. By disparate impact we mean that a variable's predictive power might arise not from its ability to predict future performance within any demographic group, but rather from acting as a surrogate for group membership. Using a unique source of data that combines a nationally representative sample of credit bureau records with demographic information from the Social Security Administration and a demographic information company, we examine the extent to which credit history scores may have such a disparate impact. Our examination yields no evidence of disparate impact by race (or ethnicity) or gender. However, we do find evidence of some limited disparate impact by age, in which the use of variables related to an individual's length of credit history appear to lower the credit scores of older individuals and increase them for the young. C1 [Avery, Robert B.; Brevoort, Kenneth P.; Canner, Glenn] 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; kenneth.p.brevoort@frb.gov; gcanner@frb.gov NR 17 TC 2 Z9 2 U1 0 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD DEC PY 2012 VL 40 SU 1 BP S65 EP S114 DI 10.1111/j.1540-6229.2012.00348.x PG 50 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 062UO UT WOS:000312948500004 ER PT J AU Moore, KB AF Moore, Kevin B. TI EFFECTIVE TAX RATES AND MEASURES OF BUSINESS SIZE SO NATIONAL TAX JOURNAL LA English DT Article DE businesses; tax rates; tax policy AB This paper uses data from the Survey of Consumer Finances (SCF) and the NBER TAXSIM model to estimate marginal and average tax rates for households that own businesses that are pass-thru entities. We examine how marginal and average tax rates vary by the size of business using four different measures of the size: net income, gross receipts, business value, and number of employees. The analysis also uses the long-time series of SCF cross-sections to examine how tax rates for business owners have evolved over the various changes in tax policy of the last two decades. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Moore, KB (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM kevin.b.moore@frb.gov NR 12 TC 0 Z9 0 U1 2 U2 9 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 2012 VL 65 IS 4 BP 841 EP 862 PG 22 WC Business, Finance; Economics SC Business & Economics GA 052AO UT WOS:000312170300006 ER PT J AU Thompson, JP Rohlin, SM AF Thompson, Jeffrey P. Rohlin, Shawn M. TI THE EFFECT OF SALES TAXES ON EMPLOYMENT: NEW EVIDENCE FROM CROSS-BORDER PANEL DATA ANALYSIS SO NATIONAL TAX JOURNAL LA English DT Article DE sales tax; border models; cross-border shopping ID RATE DIFFERENTIALS; STATE BORDERS; LOCATION AB This paper estimates the effect of sales taxes on employment using county-level quarterly data and a "border approach," comparing employment changes for counties in states that raised sales tax rates with their cross-border neighbors. We augment standard distance-related border measures with an economically-oriented border measure based on the share of county residents who work in a neighboring state. We find that the employment effects are larger in the retail trade industry and for female workers, and that they are concentrated in counties with relatively large shares of residents working in another state. C1 [Thompson, Jeffrey P.] Fed Reserve Board Washington, Microecon Surveys Sect, Washington, DC USA. [Rohlin, Shawn M.] Kent State Univ, Dept Econ, Kent, OH 44242 USA. RP Thompson, JP (reprint author), Fed Reserve Board Washington, Microecon Surveys Sect, Washington, DC USA. EM jeffrey.p.thompson@frb.gov; srohlin@kent.edu NR 14 TC 4 Z9 4 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 2012 VL 65 IS 4 BP 1023 EP 1041 PG 19 WC Business, Finance; Economics SC Business & Economics GA 052AO UT WOS:000312170300015 ER PT J AU Aaronson, D Agarwal, S French, E AF Aaronson, Daniel Agarwal, Sumit French, Eric TI The Spending and Debt Response to Minimum Wage Hikes SO AMERICAN ECONOMIC REVIEW LA English DT Article ID ANTICIPATED INCOME CHANGES; CONSUMER DURABLES; HOUSEHOLD CONSUMPTION; AUTOMOBILE PURCHASES; LIFE-CYCLE; EXPENDITURES; ADJUSTMENT; HYPOTHESIS; WORKERS; PRICES AB Immediately following a minimum wage hike, household income rises on average by about $250 per quarter and spending by roughly $700 per quarter for households with minimum wage workers. Most of the spending response is caused by a small number of households who purchase vehicles. Furthermore, we find that the high spending levels are financed through increases in collateralized debt. Our results are consistent with a model where households can borrow against durables and face costs of adjusting their durables stock. C1 [Aaronson, Daniel; French, Eric] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Agarwal, Sumit] Natl Univ Singapore, Singapore 119245, Singapore. RP Aaronson, D (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60604 USA. EM daaronson@frbchi.org; ushakri@yahoo.com; efrench@frbchi.org RI Agarwal, Sumit/F-4836-2012 NR 44 TC 9 Z9 9 U1 7 U2 53 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 2012 VL 102 IS 7 BP 3111 EP 3139 DI 10.1257/aer.102.7.3111 PG 29 WC Economics SC Business & Economics GA 050ZG UT WOS:000312093000001 ER PT J AU Herbst, E Schorfheide, F AF Herbst, Edward Schorfheide, Frank TI Evaluating DSGE model forecasts of comovements SO JOURNAL OF ECONOMETRICS LA English DT Article DE Bayesian methods; DSGE models; Forecast evaluation; Macroeconomic forecasting ID FINANCIAL RISK-MANAGEMENT; CALIBRATION AB This paper develops and applies tools to assess multivariate aspects of Bayesian Dynamic Stochastic General Equilibrium (DSGE) model forecasts and their ability to predict comovements among key macroeconomic variables. We construct posterior predictive checks to evaluate conditional and unconditional density forecasts, in addition to checks for root-mean-squared errors and event probabilities associated with these forecasts. The checks are implemented on a three-equation DSGE model as well as the Smets and Wouters (2007) model using real-time data. We find that the additional features incorporated into the Smets-Wouters model do not lead to a uniform improvement in the quality of density forecasts and prediction of comovements of output, inflation, and interest rates. (C) 2012 Elsevier B.V. All rights reserved. C1 [Schorfheide, Frank] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Herbst, Edward] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Schorfheide, F (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM edward.p.herbst@frb.gov; schorf@ssc.upenn.edu FU National Science Foundation [SES 0617803] FX We are very grateful to Rochelle Edge and Refet Gurkaynak for providing us with their real-time data set for the estimation of the Smets-Wouters model. We thank Gary Koop (Co-editor), three anonymous referees, Marco Del Negro, Frank Diebold, Jose Dorich, Roberto Pancrazi, John Roberts, Minchul Shin, as well as seminar participants at the 2010 FRB Philadelphia Real-Time Data Research Center Conference, the Sveriges Riksbank, the 2010 ESOBE in Rotterdam, the 2011 CEA Meetings, the 2011 AMES, and the 2011 Bank of Canada Workshop on Forecasting/Nowcasting for helpful comments and suggestions. Schorfheide gratefully acknowledges financial support from the National Science Foundation under Grant SES 0617803. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Federal Reserve Board of Governors or the Federal Reserve System. NR 31 TC 9 Z9 9 U1 0 U2 15 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 DEC PY 2012 VL 171 IS 2 BP 152 EP 166 DI 10.1016/j.jeconom.2012.06.008 PG 15 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 042KQ UT WOS:000311470500005 ER PT J AU Waggoner, DF Zha, T AF Waggoner, Daniel F. Zha, Tao TI Confronting model misspecification in macroeconomics SO JOURNAL OF ECONOMETRICS LA English DT Article DE Markov-switching mixture; Heterogenous models; Regime-dependent weights; Model uncertainty; Parameter uncertainty; Impulse responses; Policy analysis ID MONETARY-POLICY; BUSINESS-CYCLE; TIME-SERIES; DSGE APPROACH; INFERENCE; PRIORS AB We estimate a Markov-switching mixture of two familiar macroeconomic models: A richly parameterized DSGE model and a corresponding BVAR model. We show that the Markov-switching mixture model dominates both individual models and improves the fit considerably. Our estimation indicates that the DSGE model plays an important role only in the late 1970s and the early 1980s. We show how to use the mixture model as a data filter for estimation of the DSGE model when the BVAR model is not identified. Moreover, we show how to compute the impulse responses to the same type of shock shared by the DSGE and BVAR models when the shock is identified in the BVAR model. Our exercises demonstrate the importance of integrating model uncertainty and parameter uncertainty to address potential model misspecification in macroeconomics. (C) 2012 Elsevier B.V. All rights reserved. C1 [Waggoner, Daniel F.] Fed Reserve Bank Atlanta, Atlanta, GA USA. Emory Univ, Atlanta, GA 30322 USA. Shanghai Univ Finance & Econ, Shanghai, Peoples R China. NBER, Cambridge, MA 02138 USA. RP Waggoner, DF (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM Daniel.F.Waggoner@atl.frb.org FU National Science Foundation [SES-1127665] FX We are grateful to three referees and John Geweke (the editor) for many thoughtful comments, which have led to a significant improvement of earlier drafts of this paper. For helpful discussions, we thank Dean Corbae, Frank Diebold, Lars Hansen, Bob King, Robert Kohn, Jianjun Miao, Frank Schorfheide, Chris Sims, Harald Uhlig, and seminar participants at the first European conference on "Bayesian Econometrics", Boston University, and the conference on "Macroeconomics and Policy Analysis after the Crisis in honor of Christopher Sims". This research is supported in part by the National Science Foundation grant SES-1127665. The views expressed herein are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Atlanta or the Federal Reserve System or the National Bureau of Economic Research. NR 46 TC 8 Z9 8 U1 2 U2 18 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 DEC PY 2012 VL 171 IS 2 BP 167 EP 184 DI 10.1016/j.jeconom.2012.06.013 PG 18 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 042KQ UT WOS:000311470500006 ER PT J AU De Veirman, E Levin, AT AF De Veirman, Emmanuel Levin, Andrew T. TI When did firms become more different? Time-varying firm-specific volatility in Japan SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article DE Firm volatility; Firm health; Zombie lending; Cleansing recessions AB De Veirman, Emmanuel, and Levin, Andrew T. When did firms become more different? Time-varying firm-specific volatility in Japan We document how firm-specific volatility in sales, earnings and employment growth evolved year by year in Japan. Our volatility measure also indicates the evolution of firm turnover. We find that patterns in firm-specific volatility have changed when macroeconomic circumstances have. Firm turnover declined during the economic stagnation of 1991-1997. The deep downturn of fiscal years 1998-2002 coincided with a substantial increase in turnover in market, profit and employment shares. Firm volatility tended to decline during the recovery after 2002. We assess whether the rise in firm turnover and deep downturn in 1998-2002 indicate that after a period of stagnation, weak firms were finally allowed to shrink or fail. Our evidence suggests that the widening in the firm growth distribution at that time did not reflect weak firms shrinking relative to healthy firms, indicating that the two recessions in 1998-2002 were not "cleansing". J. Japanese Int. Economies 26 (4) (2012) 578-601. De Nederlandsche Bank, P.O. Box 98, 1000 AB Amsterdam, The Netherlands; Board of Governors of the Federal Reserve System, 20th Street and Constitution Avenue NW, Washington DC 20551, United States; International Monetary Fund, 700 19th Street NW, Washington DC 20431, United States. (C) 2012 Elsevier Inc. All rights reserved. C1 [De Veirman, Emmanuel] De Nederlandsche Bank, NL-1000 AB Amsterdam, Netherlands. [Levin, Andrew T.] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. [Levin, Andrew T.] Int Monetary Fund, Washington, DC 20431 USA. RP De Veirman, E (reprint author), De Nederlandsche Bank, POB 98, NL-1000 AB Amsterdam, Netherlands. EM Manu.Veirman@dnb.nl; Andrew.Levin@frb.gov NR 20 TC 4 Z9 4 U1 1 U2 15 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD DEC PY 2012 VL 26 IS 4 BP 578 EP 601 DI 10.1016/j.jjie.2012.09.001 PG 24 WC Economics; International Relations SC Business & Economics; International Relations GA 045QB UT WOS:000311710800006 ER PT J AU Edgerton, J AF Edgerton, Jesse TI Agency Problems in Public Firms: Evidence from Corporate Jets in Leveraged Buyouts SO JOURNAL OF FINANCE LA English DT Article ID GOING PRIVATE TRANSACTIONS; FREE CASH FLOW; MANAGEMENT BUYOUTS; PERFORMANCE; EQUITY; MARKET AB This paper uses novel data to examine the fleets of corporate jets operated by both publicly traded and privately held firms. In the cross-section, firms owned by private equity funds average 40% smaller fleets than observably similar public firms. Similar fleet reductions are observed within firms that undergo leveraged buyouts. Quantile regressions indicate that these results are driven by firms in the upper 30% of the conditional jet distribution. The results thus suggest that executives in a substantial minority of public firms enjoy excessive perquisite and compensation packages. C1 Fed Reserve Board, Washington, DC USA. RP Edgerton, J (reprint author), Fed Reserve Board, Washington, DC USA. NR 38 TC 9 Z9 9 U1 4 U2 47 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 J9 J FINANC JI J. Financ. PD DEC PY 2012 VL 67 IS 6 BP 2187 EP 2213 DI 10.1111/j.1540-6261.2012.01784.x PG 27 WC Business, Finance; Economics SC Business & Economics GA 041CW UT WOS:000311374800006 ER PT J AU Gruber, JW Kamin, SB AF Gruber, Joseph W. Kamin, Steven B. TI Fiscal Positions and Government Bond Yields in OECD Countries SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E43; E62; fiscal policy; fiscal balances; government debt; interest rates ID INTEREST-RATES; DEBT AB We examine the effect of fiscal positions, both the level of debt and the fiscal balance, on long-term government bond yields in the Organisation for Economic Co-operation and Development (OECD). To control for the endogenity of fiscal positions to the business cycle we utilize forward projections of fiscal positions from the OECD's Economic Outlook. In a panel regression over the period from 1988 to 2007, we find a robust and significant effect of fiscal positions on long-term bond yields. Our estimates imply that the marginal effect of the projected deterioration of fiscal positions adds about 60 basis points to U.S. bond yields by 2015, with effects on other G-7 bond yields generally being smaller. C1 [Gruber, Joseph W.] Board Governors Fed Reserve Syst, Trade & Quantitat Studies Sect, Washington, DC USA. [Kamin, Steven B.] Board Governors Fed Reserve Syst, Int Finance Div, Washington, DC USA. RP Gruber, JW (reprint author), Board Governors Fed Reserve Syst, Trade & Quantitat Studies Sect, Washington, DC USA. EM joseph.w.gruber@frb.gov; steven.kamin@frb.gov NR 11 TC 8 Z9 8 U1 0 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD DEC PY 2012 VL 44 IS 8 BP 1563 EP 1587 DI 10.1111/j.1538-4616.2012.00544.x PG 25 WC Business, Finance; Economics SC Business & Economics GA 044JG UT WOS:000311614900004 ER PT J AU Braun, RA Nakajima, T AF Braun, R. Anton Nakajima, Tomoyuki TI UNINSURED COUNTERCYCLICAL RISK: AN AGGREGATION RESULT AND APPLICATION TO OPTIMAL MONETARY POLICY SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article DE D52; E32; E52 ID BUSINESS-CYCLE MODEL; LABOR-MARKET RISK; WELFARE COST; HETEROGENEITY; FLUCTUATIONS; DYNAMICS AB We consider an incomplete markets economy with capital accumulation and endogenous labor supply. Individuals face countercyclical idiosyncratic labor and asset risk. We derive conditions under which the aggregate allocations and price system can be found by solving a representative agent problem. This result is applied to analyze the properties of an optimal monetary policy in a New Keynesian economy with uninsured countercyclical individual risk. The optimal monetary policy that emerges from our incomplete markets economy is the same as the optimal monetary policy in a representative agent model with preference shocks. When price rigidity is the only friction the optimal monetary policy calls for stabilizing the inflation rate at zero. C1 [Braun, R. Anton] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Nakajima, Tomoyuki] Kyoto Univ, Inst Econ Res, Kyoto 6068501, Japan. RP Braun, RA (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM r.anton.braun@gmail.com; nakajima@kier.kyoto-u.ac.jp NR 28 TC 1 Z9 1 U1 3 U2 8 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 2012 VL 10 IS 6 BP 1450 EP 1474 DI 10.1111/j.1542-4774.2012.01091.x PG 25 WC Economics SC Business & Economics GA 032OM UT WOS:000310728600009 ER PT J AU Mertens, E AF Mertens, Elmar TI Are spectral estimators useful for long-run restrictions in SVARs? SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Structural VAR; Long-run identification; Non-parametric estimation; Spectral factorization ID CONSISTENT COVARIANCE-MATRIX; BUSINESS-CYCLE ANALYSIS; TECHNOLOGY SHOCKS; VECTOR AUTOREGRESSIONS; STRUCTURAL VARS; HETEROSKEDASTICITY; FACTORIZATION; MODELS; REPRESENTATIONS; SELECTION AB No, not really. In response to concerns about the reliability of SVARs, one proposal has been to combine OLS estimates of a VAR with non-parametric estimates of the spectral density. But as shown here, spectral estimators are no panacea for implementing long-run restrictions. They can suffer from small sample and misspecification biases just as VARs do. As a novelty, this paper uses a spectral factorization to ensure a correct representation of the data's variance. But this cannot overcome the basic small sample issues, which arise when trying to estimate long-run properties from relatively short samples of time-series data. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Mertens, E (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM elmar.mertens@frb.gov NR 36 TC 2 Z9 2 U1 4 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2012 VL 36 IS 12 BP 1831 EP 1844 DI 10.1016/j.jedc.2012.06.007 PG 14 WC Economics SC Business & Economics GA 014MY UT WOS:000309381200001 ER PT J AU Chatterjee, S Ionescu, F AF Chatterjee, Satyajit Ionescu, Felicia TI Insuring student loans against the financial risk of failing to complete college SO QUANTITATIVE ECONOMICS LA English DT Article DE College risk; government student loans; optimal insurance ID HIGHER-EDUCATION; LIFE-CYCLE; EARNINGS; HETEROGENEITY; CONSTRAINTS; ENROLLMENT; SUBSIDIES; RETURNS; DEFAULT; ABILITY AB Participants in student loan programs must repay loans in full regardless of whether they complete college. But many students who take out a loan do not earn a degree (the dropout rate among college students is between 33 and 50 percent). We examine whether insurance, in the form of loan forgiveness in the event of failure to complete college, can be offered, taking into account moral hazard and adverse selection. To do so, we develop a model that accounts for college enrollment and graduation rates among recent U. S. high school graduates. In our model, students may fail to earn a degree because they either fail college or choose to leave voluntarily. We find that if loan forgiveness is offered only when a student fails college, average welfare increases by 2.40 percent (in consumption equivalent units) without much effect on either enrollment or graduation rates. If loan forgiveness is offered against both failure and voluntary departure, welfare increases by 2.15 percent, and both enrollment and graduation are higher. C1 [Chatterjee, Satyajit] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Ionescu, Felicia] Colgate Univ, Hamilton, NY 13346 USA. RP Chatterjee, S (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM satyajit.chatterjee@phil.frb.org; fionescu@colgate.edu NR 32 TC 8 Z9 8 U1 1 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 J9 QUANT ECON JI Quant. Econ. PD NOV PY 2012 VL 3 IS 3 BP 393 EP 420 DI 10.3982/QE100 PG 28 WC Economics SC Business & Economics GA 116AJ UT WOS:000316853900002 ER PT J AU Ghysels, E Owyang, MT AF Ghysels, Eric Owyang, Michael T. TI Discussion of "An approach for identifying and predicting economic recessions in real-time using time-frequency functional models" by Holan, Yang, Matteson, and Wikle SO APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY LA English DT Editorial Material C1 [Ghysels, Eric] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. [Ghysels, Eric] Univ N Carolina, Kenan Flager Business Sch, Chapel Hill, NC USA. [Owyang, Michael T.] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. RP Ghysels, E (reprint author), Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. EM eghysels@gmail.com NR 5 TC 0 Z9 0 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1524-1904 J9 APPL STOCH MODEL BUS JI Appl. Stoch. Models. Bus. Ind. PD NOV-DEC PY 2012 VL 28 IS 6 BP 500 EP 501 DI 10.1002/asmb.1957 PG 2 WC Operations Research & Management Science; Mathematics, Interdisciplinary Applications; Statistics & Probability SC Operations Research & Management Science; Mathematics GA 090JB UT WOS:000314974200002 ER PT J AU Oberfield, E Trachter, N AF Oberfield, Ezra Trachter, Nicholas TI Commodity money with frequent search SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Commodity money; Search; Multiple equilibria; Sunspots ID EXCHANGE; MODELS AB A prominent feature of the Kiyotaki Wright model of commodity money is multiplicity of dynamic equilibria. We show that the extent of multiplicity hinges on the frequency of search. Holding fixed the average number of meetings over time, we vary search frequency by altering the interval between search opportunities. To isolate the role of search frequency, we focus on symmetric equilibria in a symmetric environment. For each frequency we characterize the entire set of payoffs, strategies, and dynamic paths consistent with equilibrium. Indexed by these features, as search frequency increases the set of equilibria converges uniformly to a unique limiting equilibrium. (C) 2012 Elsevier Inc. All rights reserved. C1 [Oberfield, Ezra] Fed Reserve Bank Chicago, Chicago, IL USA. [Trachter, Nicholas] EIEF, I-00187 Rome, RM, Italy. RP Trachter, N (reprint author), EIEF, Via Sallustiana 62, I-00187 Rome, RM, Italy. EM ezraoberfield@gmail.com; nicholas.trachter@eief.it NR 12 TC 1 Z9 1 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 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2012 VL 147 IS 6 BP 2332 EP 2356 DI 10.1016/j.jet.2012.09.013 PG 25 WC Economics SC Business & Economics GA 066PL UT WOS:000313232600008 ER PT J AU Bertaut, C DeMarco, LP Kamin, S Tryon, R AF Bertaut, Carol DeMarco, Laurie Pounder Kamin, Steven Tryon, Ralph TI ABS inflows to the United States and the global financial crisis SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Capital flows; Global saving glut; Financial crisis; Asset-backed securities; Interest rates ID CURRENT ACCOUNT IMBALANCES; INTEREST-RATES; PATTERN AB Relative to the "global savings glut" (GSG) hypothesis, we present a more complete picture of how capital flows contributed to the financial crisis, drawing attention to the sizable inflows from European investors into U.S. private-label asset-backed securities (ABS), including mortgage-backed securities and other structured investment products. The GSG hypothesis argues that the surge in capital inflows from emerging market economies to the United States led to significant declines in long-term interest rates in the United States and other industrial economies. In turn, these lower interest rates, when combined with both innovations and deficiencies of the U.S. credit market, are believed to have contributed to the U.S. housing bubble and to the buildup in financial vulnerabilities that led to the financial crisis. Because the GSG countries for the most part restricted their U.S. purchases to Treasuries and Agency debt, their provision of savings to ultimately risky subprime mortgage borrowers was necessarily indirect, pushing down yields on safe assets and increasing the appetite for alternative investments on the part of other investors. Foreign acquisitions of private-label ABS, primarily by Europeans, provided credit more directly and, by adding to domestic demand for these securities, contributed to the decline in their spreads over Treasury yields. Through a combination of empirical estimation and model simulation, we verify that both GSG inflows into Treasuries and Agencies, as well as European acquisitions of ABS, played a role in contributing to downward pressures on U.S. interest rates. Published by Elsevier B.V. C1 [Bertaut, Carol; DeMarco, Laurie Pounder; Kamin, Steven; Tryon, Ralph] Fed Reserve Board Governors, Div Int Finance, Washington, DC USA. RP Bertaut, C (reprint author), Fed Reserve Board Governors, Div Int Finance, Washington, DC USA. EM carol.bertaut@frb.gov; laurie.p.demarco@frb.gov; steven.kamin@frb.gov; ralph.tryon@frb.gov NR 52 TC 4 Z9 4 U1 1 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2012 VL 88 IS 2 SI SI BP 219 EP 234 DI 10.1016/j.jinteco.2012.04.001 PG 16 WC Economics SC Business & Economics GA 058HX UT WOS:000312625800002 ER PT J AU Cetorelli, N Goldberg, LS AF Cetorelli, Nicola Goldberg, Linda S. TI Liquidity management of US global banks: Internal capital markets in the great recession SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Bank; Global bank; Liquidity; Transmission; Internal capital market; Crisis ID SHOCK TRANSMISSION; CRISIS; ABROAD; FLOWS AB The recent crisis highlighted the importance of globally active banks in linking markets. One channel for this linkage is through how these banks manage liquidity across their entire banking organization. We document that funds regularly flow between parent banks and their affiliates in diverse foreign markets. We show that parent banks, when hit by a funding shock, reallocate liquidity in the organization according to a locational pecking order. Affiliate locations that are important for the parent bank revenue streams are relatively protected from liquidity reallocations in the organization, while traditional funding locations are more extensively used to buffer shocks to the parent bank balance sheets. (C) 2012 Elsevier B.V. All rights reserved. C1 [Goldberg, Linda S.] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. [Goldberg, Linda S.] NBER, Cambridge, MA 02138 USA. RP Goldberg, LS (reprint author), Fed Reserve Bank New York, Res Dept, 33 Liberty St, New York, NY 10045 USA. EM Nicola.Cetorelli@ny.frb.org; Linda.Goldberg@ny.frb.org NR 40 TC 50 Z9 50 U1 1 U2 17 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2012 VL 88 IS 2 SI SI BP 299 EP 311 DI 10.1016/j.jinteco.2012.05.001 PG 13 WC Economics SC Business & Economics GA 058HX UT WOS:000312625800007 ER PT J AU Hale, G AF Hale, Galina TI Bank relationships, business cycles, and financial crises SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Networks; International banking; Crises; Bank relationships; Business cycles ID HOME BIAS; LENDING RELATIONSHIPS; SYSTEMIC RISK; ASSET PRICES; INFORMATION; FLOWS; DETERMINANTS; INVESTMENT; NETWORK AB The importance of information asymmetries in the capital markets is commonly accepted as one of the main reasons for home bias in investment. The effects of such asymmetries may potentially be reduced through relationships between banks established through bank-to-bank lending. To analyze the dynamics of formation of such relationships during 1980-2009, I construct a global banking network of 7938 banking institutions from 141 countries. I find that recessions and banking crises tend to have negative effects on the formation of new connections and that these effects are not the same for all countries or all banks. I also find that the global financial crisis of 2008-09 had a large negative impact on the formation of new relationships in the global banking network, especially by large banks, which were previously immune to effects of banking crises and recessions. Published by Elsevier B.V. C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Hale, G (reprint author), 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM Galina.b.hale@sf.frb.org OI Hale, Galina/0000-0002-5604-9730 NR 50 TC 18 Z9 18 U1 1 U2 29 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD NOV PY 2012 VL 88 IS 2 SI SI BP 312 EP 325 DI 10.1016/j.jinteco.2012.01.011 PG 14 WC Economics SC Business & Economics GA 058HX UT WOS:000312625800008 ER PT J AU Rose, AK Spiegel, MM AF Rose, Andrew K. Spiegel, Mark M. TI Dollar illiquidity and central bank swap arrangements during the global financial crisis SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Illiquidity; Dollar; Exchange rate; Financial crisis; Federal Reserve; Swaps ID SEARCH; LIQUIDITY; MONEY AB While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical studies of the success of these efforts have yielded mixed results, in part because their timing is likely to be endogenous. In this paper, we examine the cross-sectional impact of these interventions. Theory consistent with dollar appreciation in the crisis suggests that their impact should be greater for countries that have greater exposure to the United States through trade and financial channels, less transparent holdings of dollar assets, and greater illiquidity difficulties. We examine these predictions for observed cross-sectional changes in CDS spreads, using a new proxy for innovations in perceived changes in sovereign risk based upon Google-search data. We find robust evidence that auctions of dollar assets by foreign central banks disproportionately benefited countries that were more exposed to the United States through either trade linkages or asset exposure. We obtain weaker results for differences in asset transparency or illiquidity. However, several of the important announcements concerning the international swap programs disproportionately benefited countries exhibiting greater asset opaqueness. Published by Elsevier B.V. C1 [Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Rose, Andrew K.] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA USA. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM arose@haas.berkeley.edu; mark.spiegel@sf.frb.org RI Rose, Andrew/I-1578-2014 OI Rose, Andrew/0000-0003-1100-1212 NR 42 TC 5 Z9 5 U1 0 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 NOV PY 2012 VL 88 IS 2 SI SI BP 326 EP 340 DI 10.1016/j.jinteco.2012.02.014 PG 15 WC Economics SC Business & Economics GA 058HX UT WOS:000312625800009 ER PT J AU van Binsbergen, JH Fernandez-Villaverde, J Koijen, RSJ Rubio-Ramirez, J AF van Binsbergen, Jules H. Fernandez-Villaverde, Jesus Koijen, Ralph S. J. Rubio-Ramirez, Juan TI The term structure of interest rates in a DSGE model with recursive preferences SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID RISK-AVERSION; INTERTEMPORAL SUBSTITUTION; LONG-RUN; CONSUMPTION; WEALTH; RESOLUTION; BEHAVIOR; RETURNS; PREMIUM; HABIT AB A dynamic stochastic general equilibrium (DSGE) model in which households have Epstein and Zin recursive preferences is solved with perturbation. The parameters governing preferences and technology are estimated by maximum likelihood using macroeconomic data and the term structure of interest rates. The estimates imply a large risk aversion, an elasticity of intertemporal substitution higher than one, and substantial adjustment costs. Furthermore, the paper identifies the tensions within the model by estimating it on subsets of these data. The analysis concludes by pointing out potential extensions that may improve the model's fit. (C) 2012 Elsevier B.V. All rights reserved. C1 [van Binsbergen, Jules H.] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA. [van Binsbergen, Jules H.; Fernandez-Villaverde, Jesus; Koijen, Ralph S. J.] NBER, Cambridge, MA 02138 USA. [Fernandez-Villaverde, Jesus] Univ Penn, Philadelphia, PA 19104 USA. [Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan] CEPR, London, England. [Koijen, Ralph S. J.] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Rubio-Ramirez, Juan] Duke Univ, Durham, NC 27706 USA. [Rubio-Ramirez, Juan] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Rubio-Ramirez, Juan] BBVA Res, Madrid, Spain. RP van Binsbergen, JH (reprint author), 655 Knight Way, Stanford, CA 94305 USA. EM jvb2@gsb.stanford.edu NR 36 TC 6 Z9 6 U1 1 U2 17 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 2012 VL 59 IS 7 BP 634 EP 648 DI 10.1016/j.jmoneco.2012.09.002 PG 15 WC Business, Finance; Economics SC Business & Economics GA 054OU UT WOS:000312353900004 ER PT J AU Nakajima, M AF Nakajima, Makoto TI A quantitative analysis of unemployment benefit extensions SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; JOB SEARCH; INSURANCE; SPELLS; VACANCIES; DURATION; MODEL AB Extensions of unemployment insurance (UI) benefits have been implemented in response to the Great Recession. This paper measures the effect of these extensions on the unemployment rate using a calibrated structural model featuring job search and consumption-saving decisions, skill depreciation, and Ul eligibility. The ongoing Ul benefit extensions are found to have raised the unemployment rate by 1.4 percentage points, which is about 30% of the observed increase since 2007. Moreover, the contribution of the Ul benefit extensions to the elevated unemployment rate increased during 2009-2011; while the number of vacancies recovered, the successive extensions kept search intensity down. (C) 2012 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Nakajima, M (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM makoto.nakajima@phil.frb.org NR 32 TC 11 Z9 11 U1 0 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2012 VL 59 IS 7 BP 686 EP 702 DI 10.1016/j.jmoneco.2012.09.005 PG 17 WC Business, Finance; Economics SC Business & Economics GA 054OU UT WOS:000312353900007 ER PT J AU Goetz, CF Shapiro, AH AF Goetz, Christopher F. Shapiro, Adam Hale TI Strategic alliance as a response to the threat of entry: Evidence from airline codesharing SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article DE Strategic alliances; Entry deterrence; Airlines; Codesharing ID EMPIRICAL-ANALYSIS; INDUSTRY; COMPETITION; INVESTMENT; DETERRENCE; AIRFARES; NETWORKS; FIRMS AB Strategic alliances are arrangements in which firms combine efforts and resources to jointly pursue a business objective while remaining separate entities. An example of such a practice is airline codesharing, in which allied carriers engage in the cooperative marketing of certain flights. We empirically test for the presence of competitive motives behind such alliances by identifying an incumbent airline's use of codesharing in response to the threat of future entry by a competitor. Using within-flight segment, fixed-effects regressions on panel data from 1998 to 2010, we estimate the impact of exogenous threats of entry on an airline's decision whether to codeshare with a partner on a specific segment. Estimates show that when an incumbent carrier's segment is threatened by a low-cost competitor it is approximately 25% more likely than average to be codeshared with its partner. Further tests show that this effect depends strongly upon the level of market share that the airline has on the segment in question. We interpret this as evidence of a strategic alliance being used to preemptively act in anticipation of future competition. (C) 2012 Elsevier B.V. All rights reserved. C1 [Shapiro, Adam Hale] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Goetz, Christopher F.] Univ Maryland, US Bur Census, College Pk, MD 20742 USA. RP Shapiro, AH (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM goetz@econ.umd.edu; adam.shapiro@sf.frb.org NR 32 TC 7 Z9 7 U1 1 U2 43 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 NOV PY 2012 VL 30 IS 6 BP 735 EP 747 DI 10.1016/j.ijindorg.2012.08.003 PG 13 WC Economics SC Business & Economics GA 049LS UT WOS:000311985100022 ER PT J AU Davila, J Hong, JH Krusell, P Rios-Rull, JV AF Davila, Julio Hong, Jay H. Krusell, Per Rios-Rull, Jose-Victor TI Constrained Efficiency in the Neoclassical Growth Model With Uninsurable Idiosyncratic Shocks SO ECONOMETRICA LA English DT Article DE Constrained efficiency; uninsurable shocks ID STOCK-MARKET EQUILIBRIUM; PRECAUTIONARY SAVINGS; BORROWING CONSTRAINTS; GENERAL EQUILIBRIUM; INCOMPLETE MARKETS; OPTIMAL TAXATION; CAPITAL INCOME; EXTERNALITIES; INEFFICIENCY; ECONOMIES AB We investigate the welfare properties of the one-sector neoclassical growth model with uninsurable idiosyncratic shocks. We focus on the notion of constrained efficiency used in the general equilibrium literature. Our characterization of constrained efficiency uses the first-order condition of a constrained planner's problem. This condition highlights the margins of relevance for whether capital is too high or too low: the factor composition of income of the (consumption-)poor. Using three calibrations commonly considered in the literature, we illustrate that there can be either over- or underaccumulation of capital in steady state and that the constrained optimum may or may not be consistent with a nondegenerate long-run distribution of wealth. For the calibration that roughly matches the income and wealth distribution, the constrained inefficiency of the market outcome is rather striking: it has much too low a steady-state capital stock. C1 [Davila, Julio] Univ C Louvain, Ctr Operat Res & Econometr, Louvain, Belgium. [Davila, Julio] CNRS, Ctr Econ Sorbonne, Paris Sch Econ, F-75647 Paris 13, France. [Hong, Jay H.] Univ Rochester, Dept Econ, Rochester, NY 14627 USA. [Krusell, Per] Stockholm Univ, Inst Int Econ Studies, SE-10691 Stockholm, Sweden. [Krusell, Per] Univ Gothenburg, CAERP, CEPR, NBER, SE-10691 Stockholm, Sweden. [Rios-Rull, Jose-Victor] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Rios-Rull, Jose-Victor] Fed Reserve Bank Minneapolis, CAERP, CEPR, NBER, Minneapolis, MN 55455 USA. RP Davila, J (reprint author), Univ C Louvain, Ctr Operat Res & Econometr, Louvain, Belgium. EM julio.davila@univ-paris1.fr; jay.hong@rochester.edu; per.krusell@iies.su.se; vr0j@umn.edu FU National Science Foundation; University of Pennsylvania Research Foundation FX We thank Tim Kehoe, Michael Magill, Ivan Werning, and Martine Quinzii, as well as the editor and three anonymous referees, for very helpful comments. Krusell thanks the National Science Foundation. Rios-Rull thanks the National Science Foundation and the University of Pennsylvania Research Foundation for support. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the Federal Reserve System. NR 36 TC 10 Z9 10 U1 1 U2 19 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD NOV PY 2012 VL 80 IS 6 BP 2431 EP 2467 DI 10.3982/ECTA5989 PG 37 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 044IL UT WOS:000311612700002 ER PT J AU Bullard, J Garriga, C Waller, CJ AF Bullard, James Garriga, Carlos Waller, Christopher J. TI Demographics, Redistribution, and Optimal Inflation SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TAXATION AB The authors study the interaction among population demographics, the desire for intergenerational redistribution of resources in the economy, and the optimal inflation rate in a deterministic life cycle economy with capital. Young cohorts initially have no assets and wages are the main source of income; these cohorts prefer relatively low real interest rates, relatively high wages, and relatively high rates of inflation. Older cohorts work less and prefer higher rates of return from their savings, relatively low wages, and relatively low inflation. In the absence of intergenerational redistribution through lump-sum taxes and transfers, the constrained efficient competitive equilibrium requires optimal distortions on relative prices. The authors' model allows the social planner to use inflation/deflation to try to achieve the optimal distortions. In the model economy, changes in the population structure are interpreted as the ability of a particular cohort to influence the redistributive policy. When older cohorts have more influence on the redistributive policy, the economy has a relatively low steady-state level of capital and a relatively low steady-state rate of inflation. The opposite happens when young cohorts have more control of policy. These results suggest that aging population structures, such as those in Japan, may contribute to observed low rates of inflation or even deflation. (JEL E4, E5, D7) C1 [Bullard, James; Garriga, Carlos; Waller, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Waller, Christopher/I-5755-2016; Garriga, Carlos/I-5744-2016; Bullard, James/L-8120-2016 OI Waller, Christopher/0000-0003-2406-9910; Garriga, Carlos/0000-0003-0961-1986; Bullard, James/0000-0002-1142-6803 NR 7 TC 1 Z9 1 U1 0 U2 8 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 2012 VL 94 IS 6 BP 419 EP 439 PG 21 WC Business, Finance; Economics SC Business & Economics GA 047TO UT WOS:000311864600001 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI The U.S. Deficit/Debt Problem: A Longer-Run Perspective SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The U.S. national debt now exceeds 100 percent of gross domestic product. Given that a significant amount of this debt is the result of governmental efforts to mitigate the effects of the financial crisis, the recession, and the anemic recovery it is tempting to think that the debt problem is a recent phenomenon. This article shows that the United States was on a collision course with a major debt problem for nearly four decades before the financial crisis. In particular, the debt problem began around 1970 when the government decided to significantly increase spending without a corresponding increase in revenue. The analysis suggests that the debt problem cannot be permanently resolved without creating a mechanism to prevent the government from running persistent deficits in the future. (JEL E62, H62, H63) 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 7 TC 2 Z9 2 U1 0 U2 7 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 2012 VL 94 IS 6 BP 441 EP 455 PG 15 WC Business, Finance; Economics SC Business & Economics GA 047TO UT WOS:000311864600002 ER PT J AU Noeth, B Sengupta, R AF Noeth, Bryan Sengupta, Rajdeep TI Global European Banks and the Financial Crisis SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID DEBT AB This paper reviews some of the recent studies on international capital flows with a focus on the role of European global banks. It presents a revision to the commonly held "global saving glut" view that East Asian economies (along with oil-rich nations) were the dominant suppliers of capital that fueled the asset price boom in many parts of the world in the early 2000s. It argues that the role of funding costs and a "liberal" regulatory regime that allowed for an unprecedented expansion of the balance sheets of European banks was no less important. Finally, we describe the aftermath of the crisis in terms of some of the challenges faced by Europe as a whole and European banks in particular. (JEL F32, G15, G21, E44) C1 [Noeth, Bryan; Sengupta, Rajdeep] Fed Reserve Bank St Louis, St Louis, MO USA. RP Noeth, B (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 44 TC 2 Z9 2 U1 0 U2 12 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 2012 VL 94 IS 6 BP 457 EP 479 PG 23 WC Business, Finance; Economics SC Business & Economics GA 047TO UT WOS:000311864600003 ER PT J AU Bandyopadhyay, S Lahiri, S Younas, J AF Bandyopadhyay, Subhayu Lahiri, Sajal Younas, Javed TI Do Countries with Greater Credit Constraints Receive More Foreign Aid? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PANEL-DATA MODELS; ALLOCATION; GROWTH; TRADE; FINANCE AB Donor nations may recognize that some developing nations face credit constraints in the world capital market. This knowledge may prompt donors to increase aid flows to alleviate the constraint. In such a situation, flows of foreign aid and foreign loans to developing nations may be substitutes for each other. The authors use data from 114 aid-recipient countries over the 1997-2008 period to investigate the relationship between foreign aid and foreign loans. The central finding is that this relationship is negative, lending support to the substitution hypothesis. (JEL F35, O16) C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, St Louis, MO USA. [Lahiri, Sajal] So Illinois Univ, Carbondale, IL 62901 USA. [Younas, Javed] Amer Univ Sharjah, Sharjah, U Arab Emirates. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 30 TC 1 Z9 1 U1 0 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2012 VL 94 IS 6 BP 481 EP 493 PG 13 WC Business, Finance; Economics SC Business & Economics GA 047TO UT WOS:000311864600004 ER PT J AU Hamilton, JD Owyang, MT AF Hamilton, James D. Owyang, Michael T. TI THE PROPAGATION OF REGIONAL RECESSIONS SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID BUSINESS-CYCLE; POSTERIOR DISTRIBUTIONS; CROSS-VALIDATION; US STATES; MODELS; REGRESSION AB This paper develops a framework for inferring common Markov-switching components in panel data sets with large cross-section and time series dimensions. We study similarities and differences across U. S. states in the timing of business cycles. We hypothesize that there exists a small number of cluster designations, with individual states in a given cluster sharing certain business cycle characteristics. We find that although oil-producing and agricultural states can sometimes experience a separate recession from the rest of the United States, for the most part, differences across states appear to be a matter of timing, with some states entering recession or recovering before others. C1 [Hamilton, James D.] Univ Calif San Diego, San Diego, CA 92103 USA. [Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Hamilton, JD (reprint author), Univ Calif San Diego, San Diego, CA 92103 USA. RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 33 TC 10 Z9 10 U1 1 U2 9 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD NOV PY 2012 VL 94 IS 4 BP 935 EP 947 PG 13 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 037FO UT WOS:000311087800007 ER PT J AU Komunjer, I Owyang, MT AF Komunjer, Ivana Owyang, Michael T. TI MULTIVARIATE FORECAST EVALUATION AND RATIONALITY TESTING SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID ASYMMETRIC LOSS; MACROECONOMIC FORECASTS; PREDICTIVE ABILITY; NESTED MODELS; EXPECTATIONS; INFERENCE; QUANTILES; ACCURACY; BIASES AB In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family proposed by Elliott, Komunjer, and Timmerman (2008). Following their methodology, we derive a GMM test for multivariate forecast rationality that allows the forecaster's loss to be nonseparable across variables and takes into account forecast estimation uncertainty. We use our test to study the joint rationality of macroeconomic forecasts in the growth rate of nominal output, CPI inflation rate, and short-term interest rate. C1 [Komunjer, Ivana] Univ Calif San Diego, San Diego, CA 92103 USA. [Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Komunjer, I (reprint author), Univ Calif San Diego, San Diego, CA 92103 USA. RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 42 TC 13 Z9 13 U1 4 U2 11 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD NOV PY 2012 VL 94 IS 4 BP 1066 EP 1080 DI 10.1162/REST_a_00215 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 037FO UT WOS:000311087800016 ER PT J AU Chen, H Curdia, V Ferrero, A AF Chen, Han Curdia, Vasco Ferrero, Andrea TI THE MACROECONOMIC EFFECTS OF LARGE-SCALE ASSET PURCHASE PROGRAMMES SO ECONOMIC JOURNAL LA English DT Article ID MONETARY-POLICY; NOMINAL RIGIDITIES; DSGE MODELS; STABILITY AB We simulate the Federal Reserve second Large-Scale Asset Purchase programme in a DSGE model with bond market segmentation estimated on US data. GDP growth increases by less than a third of a percentage point and inflation barely changes relative to the absence of intervention. The key reasons behind our findings are small estimates for both the elasticity of the risk premium to the quantity of long-term debt and the degree of financial market segmentation. Without the commitment to keep the nominal interest rate at its lower bound for an extended period, the effects of asset purchase programmes would be even smaller. C1 [Curdia, Vasco] Fed Reserve Bank New York, New York, NY 10045 USA. Univ Penn, Philadelphia, PA 19104 USA. RP Curdia, V (reprint author), Fed Reserve Bank New York, 33 Liberty St,3rd Floor, New York, NY 10045 USA. EM vasco.curdia@ny.frb.org NR 40 TC 34 Z9 35 U1 1 U2 26 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 J9 ECON J JI Econ. J. PD NOV PY 2012 VL 122 IS 564 BP F289 EP F315 DI 10.1111/j.1468-0297.2012.02549.x PG 27 WC Economics SC Business & Economics GA 030BM UT WOS:000310542600002 ER PT J AU Christensen, JHE Rudebusch, GD AF Christensen, Jens H. E. Rudebusch, Glenn D. TI THE RESPONSE OF INTEREST RATES TO US AND UK QUANTITATIVE EASING SO ECONOMIC JOURNAL LA English DT Article ID INTEREST-RATE FORECASTS; TERM STRUCTURE MODELS; BOND YIELDS; POLICY; RISK AB We analyse declines in government bond yields following announcements by the Federal Reserve and the Bank of England of plans to buy longer term debt. Using dynamic term structure models, we decompose US and UK yields into expectations about future short-term interest rates and term premiums. We find that declines in US yields mainly reflected lower expectations of future short-term interest rates, while declines in UK yields appeared to reflect reduced term premiums. Thus, the relative importance of the signalling and portfolio balance channels of quantitative easing may depend on market institutional structures and central bank communication policies. C1 [Christensen, Jens H. E.; Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Christensen, JHE (reprint author), Fed Reserve Bank San Francisco, 101 Market St,Mailstop 1130, San Francisco, CA 94105 USA. EM jens.christensen@sf.frb.org NR 27 TC 26 Z9 27 U1 3 U2 26 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 J9 ECON J JI Econ. J. PD NOV PY 2012 VL 122 IS 564 BP F385 EP F414 DI 10.1111/j.1468-0297.2012.02554.x PG 30 WC Economics SC Business & Economics GA 030BM UT WOS:000310542600005 ER PT J AU D'Amico, S English, W Lopez-Salido, D Nelson, E AF D'Amico, Stefania English, William Lopez-Salido, David Nelson, Edward TI THE FEDERAL RESERVE'S LARGE-SCALE ASSET PURCHASE PROGRAMMES: RATIONALE AND EFFECTS SO ECONOMIC JOURNAL LA English DT Article ID INTEREST-RATES; TERM STRUCTURE; MONETARY-POLICY; DEBT; DECISIONS; MATURITY AB We provide empirical estimates of the effect of large-scale asset purchases (LSAPs) on longer term US Treasury yields within a framework that allows for several transmission channels including the scarcity channel associated with the preferred-habitat literature and the duration channel associated with interest-rate risk. We also clarify LSAPs role in the broader context of historical monetary policy strategy. Results indicate that LSAP-style operations mainly impact longer term rates via the nominal term premium; within that premium, the response is predominantly embodied in the real term premium. The scarcity and duration channels both seem to be of considerable importance. C1 [D'Amico, Stefania] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP D'Amico, S (reprint author), Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. EM stefania.d'amico@frb.gov NR 70 TC 29 Z9 29 U1 2 U2 17 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 J9 ECON J JI Econ. J. PD NOV PY 2012 VL 122 IS 564 BP F415 EP F446 DI 10.1111/j.1468-0297.2012.02550.x PG 32 WC Economics SC Business & Economics GA 030BM UT WOS:000310542600006 ER PT J AU Bandyopadhyay, S Lahiri, S Wall, HJ AF Bandyopadhyay, Subhayu Lahiri, Sajal Wall, Howard J. TI Cross-border Lobbying in Preferential Trading Agreements: Implications for External Tariffs and Welfare SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article ID CUSTOMS UNIONS; PROTECTION; AREAS; MODEL AB This paper examines the effect of cross-border lobbying on domestic lobbying and on external tariffs in both Customs Union (CU) and Free Trade Area (FTA). We do so by developing a two-stage game which endogenizes the tariff formation function in a political economic model of the directly unproductive rent-seeking activities type. We find that cross-border lobbying un-ambiguously increases both domestic lobbying and the equilibrium common external tariffs in a CU. The same result also holds for FTA provided tariffs for the member governments are strategic complements. We also develop a specific oligopolistic model of FTA and show that tariffs are indeed strategic complements in such a model. C1 [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Lahiri, Sajal] So Illinois Univ, Carbondale, IL 62901 USA. [Wall, Howard J.] Lindenwood Univ, Sch Business & Entrepreneurship, Inst Study Econ & Environm, St Charles, MO 63301 USA. RP Bandyopadhyay, S (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM Subhayu.Bandyopadhyay@stls.frb.org; lahiri@siu.edu; HWall@lindenwood.edu RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 30 TC 2 Z9 2 U1 0 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0965-7576 EI 1467-9396 J9 REV INT ECON JI Rev. Int. Econ. PD NOV PY 2012 VL 20 IS 5 BP 1034 EP 1045 DI 10.1111/roie.12011 PG 12 WC Economics SC Business & Economics GA 023IT UT WOS:000310026800012 ER PT J AU Gefang, D Koop, G Potter, SM AF Gefang, Deborah Koop, Gary Potter, Simon M. TI The dynamics of UK and US inflation expectations SO COMPUTATIONAL STATISTICS & DATA ANALYSIS LA English DT Article DE Bayesian; Smoothly mixing regressions model; Inflation pass through ID FORECAST AB The relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering of the relationship between inflation pass through and various explanatory variables. Empirical results are related to theoretical models of anchored, contained and unmoored inflation expectations. For neither country are anchored or unmoored inflation expectations found. For the US, contained inflation expectations are found. For the UK, empirical findings are not consistent with the specific model of contained inflation expectations presented here, but are consistent with a broader view of expectations being constrained by the existence of an inflation target. (C) 2011 Elsevier B.V. All rights reserved. C1 [Koop, Gary] Univ Strathclyde, Dept Econ, Glasgow G4 0GE, Lanark, Scotland. [Gefang, Deborah] Univ Lancaster, Dept Econ, Lancaster LA1 4YW, England. [Potter, Simon M.] Fed Reserve Bank New York, New York, NY USA. RP Koop, G (reprint author), Univ Strathclyde, Dept Econ, Sir William Duncan Bldg,130 Rottenrow, Glasgow G4 0GE, Lanark, Scotland. EM d.gefang@lancaster.ac.uk; Gary.Koop@strath.ac.uk; simon.potter@ny.frb.org OI Koop, Gary/0000-0002-6091-378X NR 13 TC 2 Z9 2 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-9473 J9 COMPUT STAT DATA AN JI Comput. Stat. Data Anal. PD NOV PY 2012 VL 56 IS 11 SI SI BP 3120 EP 3133 DI 10.1016/j.csda.2011.07.008 PG 14 WC Computer Science, Interdisciplinary Applications; Statistics & Probability SC Computer Science; Mathematics GA 020CE UT WOS:000309785500011 ER PT J AU Shy, O AF Shy, Oz TI Real Estate Brokers and Commission: Theory and Calibrations SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE Real estate brokers; Selling a house; Conflict of interest; Middleman; Commission; Price fixing; Loss aversion ID LOSS AVERSION; MIDDLEMEN; INFORMATION; AGENTS; MARKET AB This paper has two goals: (a) To model an inherent conflict of interest between a seller of a house and the real estate broker hired by the seller. In this environment, the pressure brokers exert on sellers to reduce prices generates faster sales and hence reduces sellers' expected profit. (b) To calibrate the brokers' commission rates that would maximize sellers' expected gain. The calibration results may hint whether the ongoing uniform commission rate reflects collusion among real estate agencies, or should be viewed as competitive. C1 Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Shy, O (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM oz.shy@bos.frb.org NR 23 TC 0 Z9 0 U1 5 U2 22 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 NOV PY 2012 VL 45 IS 4 BP 982 EP 1004 DI 10.1007/s11146-010-9296-6 PG 23 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 018SO UT WOS:000309683500008 ER PT J AU Arseneau, DM Chugh, SK AF Arseneau, David M. Chugh, Sanjay K. TI Tax Smoothing in Frictional Labor Markets SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID OPTIMAL MONETARY-POLICY; CYCLICAL BEHAVIOR; EQUILIBRIUM UNEMPLOYMENT; GENERAL EQUILIBRIUM; OPTIMAL TAXATION; WAGE STICKINESS; KEYNESIAN MODEL; BUSINESS-CYCLE; CAPITAL INCOME; STICKY PRICES AB The optimality of tax smoothing is reexamined using frictional labor markets. In a calibrated matching model that generates empirically relevant labor market fluctuations conditional on exogenous fiscal policy, the Ramsey-optimal policy calls for extreme labor tax rate volatility. Purposeful tax volatility induces dramatically smaller, but efficient, fluctuations of labor markets by keeping distortions constant over the business cycle. We relate the results to standard Ramsey theory by developing welfare-relevant concepts of efficiency and distortions based on primitive matching frictions. Although the basic Ramsey principles of "wedge smoothing" and zero intertemporal distortions hold, tax smoothing depends on whether wages are set efficiently. C1 [Arseneau, David M.] Fed Reserve Board, Washington, DC USA. [Chugh, Sanjay K.] Boston Coll, Chestnut Hill, MA 02167 USA. [Chugh, Sanjay K.] Kiel Inst World Econ, Kiel, Germany. RP Arseneau, DM (reprint author), Fed Reserve Board, Washington, DC USA. NR 50 TC 17 Z9 17 U1 2 U2 12 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD OCT PY 2012 VL 120 IS 5 BP 926 EP 985 PG 60 WC Economics SC Business & Economics GA 063MJ UT WOS:000313002900004 ER PT J AU Arellano, C Bai, Y Zhang, J AF Arellano, Cristina Bai, Yan Zhang, Jing TI Firm dynamics and financial development SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID CAPITAL STRUCTURE; SIZE DISTRIBUTION; RISK; INVESTMENT; ECONOMIES; CONTRACTS; FRICTIONS; SELECTION; DEFAULT; GROWTH AB Using comprehensive firm-level datasets, this paper studies the impact of cross-country variation in financial market development on firms' financing choices and growth. In less financially developed economies, small firms grow faster and have lower leverage than large firms. As financial development improves, the growth difference between small and large firms shrinks, while the leverage difference rises. The paper then develops a quantitative model where financial frictions drive firm growth and debt financing through the availability of credit and default risk. The model explains the observed cross-country variations in firm size, leverage and growth in response to changes in financial frictions. (C) 2012 Elsevier B.V. All rights reserved. C1 [Bai, Yan] Univ Rochester, Dept Econ, Rochester, NY 14627 USA. [Zhang, Jing] Univ Michigan, Ann Arbor, MI 48109 USA. [Arellano, Cristina] NBER, Cambridge, MA 02138 USA. [Arellano, Cristina] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Bai, Y (reprint author), Univ Rochester, Dept Econ, Rochester, NY 14627 USA. EM yanbai06@gmail.com NR 36 TC 10 Z9 10 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 OCT PY 2012 VL 59 IS 6 BP 533 EP 549 DI 10.1016/j.jmoneco.2012.06.006 PG 17 WC Business, Finance; Economics SC Business & Economics GA 046KM UT WOS:000311763900001 ER PT J AU Anderson, RG Binner, JM Schmidt, VA AF Anderson, Richard G. Binner, Jane M. Schmidt, Vincent A. TI Connectionist-based rules describing the pass-through of individual goods prices into trend inflation in the United States SO ECONOMICS LETTERS LA English DT Article DE Consumer prices; Inflation; Neural network; Data mining; Rule generation ID ARTIFICIAL NEURAL-NETWORKS; MODEL-SELECTION AB This paper examines the inflation "pass-through" problem in American monetary policy, defined as the relationship between changes in the growth rates of individual goods and the subsequent economy-wide rate of growth of consumer prices. Initial relationships are established with Granger causality tests robust to structural breaks. A feedforward artificial neural network (ANN) is used to approximate the functional relationship between selected component subindexes and the headline CPI. Moving beyond the ANN "black box", we illustrate how decision rules can be extracted from the network. (C) 2012 Elsevier B.V. All rights reserved. C1 [Anderson, Richard G.] Fed Reserve Bank St Louis, St Louis, MO 63106 USA. [Anderson, Richard G.; Binner, Jane M.] Univ Sheffield, Sch Management, Sheffield S1 4DT, S Yorkshire, England. [Schmidt, Vincent A.] USAF, Res Lab, Wright Patterson AFB, OH 45433 USA. RP Anderson, RG (reprint author), Fed Reserve Bank St Louis, 1421 Dr Martin Luther King Dr, St Louis, MO 63106 USA. EM anderson@stls.frb.org; j.m.binner@sheffield.ac.uk; vince@vincentive.org NR 25 TC 2 Z9 2 U1 0 U2 6 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 EI 1873-7374 J9 ECON LETT JI Econ. Lett. PD OCT PY 2012 VL 117 IS 1 BP 174 EP 177 DI 10.1016/j.econlet.2012.04.094 PG 4 WC Economics SC Business & Economics GA 015GO UT WOS:000309434600047 ER PT J AU Chudik, A AF Chudik, Alexander TI A simple model of price dispersion SO ECONOMICS LETTERS LA English DT Article DE Price dispersion; Stock-flow matching; Ex-ante price setting; Full information ID MARKET EQUILIBRIUM; CONSUMER SEARCH; DISTRIBUTIONS; SALES AB This article considers a simple stock-flow matching model with fully informed market participants. Unlike the standard matching literature, prices are assumed to be set ex-ante. When sellers pre-commit themselves to sell their products at an advertised price, the unique equilibrium is characterized by price dispersion due to the idiosyncratic match payoffs (in a marketplace with full information). This provides new insights into the price dispersion literature, which instead commonly assumes that buyers are not perfectly informed and engage in a costly search. (C) 2012 Elsevier B.V. All rights reserved. C1 [Chudik, Alexander] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Chudik, Alexander] CIMF, Dallas, TX 75201 USA. RP Chudik, A (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM alexander.chudik@dal.frb.org NR 23 TC 1 Z9 1 U1 1 U2 9 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD OCT PY 2012 VL 117 IS 1 BP 344 EP 347 DI 10.1016/j.econlet.2012.06.003 PG 4 WC Economics SC Business & Economics GA 015GO UT WOS:000309434600093 ER PT J AU Gospodinov, N Kan, R Robotti, C AF Gospodinov, Nikolay Kan, Raymond Robotti, Cesare TI Further Results on the Limiting Distribution of GMM Sample Moment Conditions SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Asymptotic approximation; Generalized method of moments; Rank test; T-consistent estimator; Weighted chi-square distribution ID GENERALIZED-METHOD; SPECIFICATION ERRORS; TIME-SERIES; MATRIX; MODELS; HETEROSKEDASTICITY; IDENTIFICATION; CONSISTENT; ESTIMATORS; INFERENCE AB In this article, we examine the limiting behavior of generalized method of moments (GMM) sample moment conditions and point out an important discontinuity that arises in their asymptotic distribution. We show that the part of the scaled sample moment conditions that gives rise to degeneracy in the asymptotic normal distribution is T-consistent and has a nonstandard limiting distribution. We derive the appropriate asymptotic (weighted chi-squared) distribution when this degeneracy occurs and show how to conduct asymptotically valid statistical inference. We also propose a new rank test that provides guidance on which (standard or nonstandard) asymptotic framework should be used for inference. The finite-sample properties of the proposed asymptotic approximation are demonstrated using simulated data from some popular asset pricing models. C1 [Gospodinov, Nikolay] Concordia Univ, Dept Econ, Montreal, PQ H3G 1M8, Canada. [Kan, Raymond] Univ Toronto, Joseph L Rotman Sch Management, Toronto, ON M5S 3E6, Canada. [Robotti, Cesare] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Gospodinov, N (reprint author), Concordia Univ, Dept Econ, Montreal, PQ H3G 1M8, Canada. EM nikolay.gospodinov@concordia.ca; kan@chass.utoronto.ca; cesare.robotti@atl.frb.org FU Fonds de recherche sur la societe et la culture (FQRSC); Institut de finance mathematique de Montreal (IFM2); Social Sciences and Humanities Research Council of Canada; National Bank Financial of Canada FX We thank the Editor (Jonathan Wright), an Associate Editor, two anonymous referees, Marine Carrasco, Francisco Penaranda, Peter Phillips, Enrique Sentana, Chu Zhang and the seminar participants at Columbia University and the University of British Columbia for helpful comments and suggestions. Gospodinov gratefully acknowledges financial support from Fonds de recherche sur la societe et la culture (FQRSC), Institut de finance mathematique de Montreal (IFM2), and the Social Sciences and Humanities Research Council of Canada. Kan gratefully acknowledges financial support from the National Bank Financial of Canada and the Social Sciences and Humanities Research Council of Canada. The views expressed here are those of the authors' and not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System. NR 29 TC 5 Z9 5 U1 2 U2 10 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT PY 2012 VL 30 IS 4 BP 494 EP 504 DI 10.1080/07350015.2012.694743 PG 11 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 024UT UT WOS:000310135400002 ER PT J AU Chatterjee, S Eyigungor, B AF Chatterjee, Satyajit Eyigungor, Burcu TI Maturity, Indebtedness, and Default Risk SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INTEREST-RATES; EMERGING ECONOMIES; SOVEREIGN DEFAULT; BUSINESS CYCLES; DEBT AB We advance quantitative-theoretic models of sovereign debt by proving the existence of a downward sloping equilibrium price function for long-term debt and implementing a novel method to accurately compute it. We show that incorporating long-term debt allows the model to match Argentina's average external debt-to-output ratio, average spread on external debt, the standard deviation of spreads, and simultaneously improve upon the model's ability to account for Argentina's other cyclical facts. We also investigated the welfare properties of maturity length and showed that if the possibility of self-fulfilling rollover crises is taken into account, long-term debt is superior to short-term debt. (JEL E23, E32, F34, O11, O19) C1 [Chatterjee, Satyajit; Eyigungor, Burcu] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Chatterjee, S (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM satyajit.chatterjee@phil.frb.org; burcu.eyigungor@phil.frb.org NR 26 TC 23 Z9 23 U1 0 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD OCT PY 2012 VL 102 IS 6 BP 2674 EP 2699 DI 10.1257/aer.102.6.2674 PG 26 WC Economics SC Business & Economics GA 020ON UT WOS:000309822200010 ER PT J AU Bils, M Klenow, PJ Malin, BA AF Bils, Mark Klenow, Peter J. Malin, Benjamin A. TI Reset Price Inflation and the Impact of Monetary Policy Shocks SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GENERAL EQUILIBRIUM; PHILLIPS-CURVE; PASS-THROUGH; US INFLATION; MENU COSTS; PERSISTENCE; RIGIDITIES; MODEL; NONNEUTRALITY; MONEY AB Many business cycle models use a flat short-run Phillips curve, due to time-dependent pricing and strategic complementarities, to explain fluctuations in real output. But, in doing so, these models predict unrealistically high persistence and stability of US inflation in recent decades. We calculate "reset price inflation" based on new prices chosen by the subsample of price changers-to dissect this discrepancy. We find that the models generate too much persistence and stability both in reset price inflation and in the way reset price inflation is converted into actual inflation. Our findings present a challenge to existing explanations for business cycles. (JEL E31, E52) C1 [Bils, Mark] Univ Rochester, Dept Econ, Rochester, NY 14627 USA. [Klenow, Peter J.] Stanford Univ, Dept Econ, Stanford, CA 94305 USA. [Malin, Benjamin A.] Fed Reserve Board Governors, Washington, DC 20551 USA. RP Bils, M (reprint author), Univ Rochester, Dept Econ, Harkness Hall, Rochester, NY 14627 USA. EM bils@troi.cc.rochester.edu; klenow@stanford.edu; benjamin.a.malin@frb.gov NR 46 TC 8 Z9 8 U1 3 U2 15 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD OCT PY 2012 VL 102 IS 6 BP 2798 EP 2825 DI 10.1257/aer.102.6.2798 PG 28 WC Economics SC Business & Economics GA 020ON UT WOS:000309822200014 ER PT J AU Chien, YL Cole, H Lustig, H AF Chien, YiLi Cole, Harold Lustig, Hanno TI Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID EQUILIBRIUM ASSET PRICES; EQUITY-PREMIUM PUZZLE; TIME-VARYING RISK; GENERAL EQUILIBRIUM; DURABLE CONSUMPTION; EXCHANGE-RATES; LONG-RUN; HABIT; FLUCTUATIONS; CONSTRAINTS AB Our paper examines whether the failure of unsophisticated investors to rebalance their portfolios can help to explain the countercyclical volatility of aggregate risk compensation in financial markets. To answer this question, we set up a model in which a large mass of investors do not rebalance their portfolio shares in response to aggregate shocks, while a smaller mass of active investors do. We find that intermittent rebalancers more than double the effect of aggregate shocks on the time variation in risk premia by forcing active traders to sell more shares in good times and buy more shares in bad times. (JEL D14, E32, G11, G12) C1 [Chien, YiLi] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Cole, Harold] Univ Penn, Philadelphia, PA 19104 USA. [Lustig, Hanno] Univ Calif Los Angeles, Anderson Sch Management, Los Angeles, CA 90095 USA. RP Chien, YL (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM yili.chien@stls.frb.org; colehl@sas.upenn.edu; hlustig@anderson.ucla.edu RI Chien, Yili/I-5741-2016 OI Chien, Yili/0000-0002-6820-1197 NR 54 TC 8 Z9 8 U1 3 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 OCT PY 2012 VL 102 IS 6 BP 2859 EP 2896 DI 10.1257/aer.102.6.2859 PG 38 WC Economics SC Business & Economics GA 020ON UT WOS:000309822200016 ER PT J AU Albanesi, S Armenter, R AF Albanesi, Stefania Armenter, Roc TI Intertemporal Distortions in the Second Best SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Intertemporal distortions; Second best; Ramsey policies; Limited commitment; Private information; Self-enforcement constraints; E6; H21; H3 ID REPEATED MORAL HAZARD; OPTIMAL TAXATION; CAPITAL INCOME; PRIVATE INFORMATION; INCOMPLETE MARKETS; FIRM DYNAMICS; GROWTH-MODEL; INSURANCE; DEBT; CONSTRAINTS AB This paper studies the long-run properties of intertemporal distortions in a broad class of second-best economies. Our unified framework encompasses and extends many well-known models, such as variants of the Ramsey taxation model with aggregate or idiosyncratic risk, and economies with incentive compatibility constraints due to limited commitment, political economy, self-enforcement or private information, or combinations of these. We identify a sufficient condition that rules out permanent intertemporal distortions: if there exists an allocation that satisfies all constraints and eventually converges to the limiting first-best allocation, then intertemporal distortions are temporary in the second best. This result uncovers a common optimality principle linking the intertemporal allocation of resources with the ability to front-load distortions for this broad class of environments. A series of applications illustrates the significance of these findings. C1 [Albanesi, Stefania] NBER, Fed Reserve Bank New York, Cambridge, MA 02138 USA. [Armenter, Roc] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Albanesi, S (reprint author), NBER, Fed Reserve Bank New York, Cambridge, MA 02138 USA. NR 62 TC 4 Z9 4 U1 1 U2 17 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD OCT PY 2012 VL 79 IS 4 BP 1271 EP 1307 DI 10.1093/restud/rds014 PG 37 WC Economics SC Business & Economics GA 025CB UT WOS:000310160600001 ER PT J AU Phelan, C Skrzypacz, A AF Phelan, Christopher Skrzypacz, Andrzej TI Beliefs and Private Monitoring SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Repeated games; Private monitoring; C72; C73; D82 ID REPEATED PRISONERS-DILEMMA; REPEATED GAMES; EQUILIBRIA; EFFICIENCY AB This paper develops new recursive, set based methods for studying repeated games with private monitoring. For any finite-state strategy profile, we find necessary and sufficient conditions for whether there exists a distribution over initial states such that the strategy, together with this distribution, form a correlated sequential equilibrium (CSE). Also, for any given correlation device for determining initial states (including degenerate cases where players' initial states are common knowledge), we provide necessary and sufficient conditions for the correlation device and strategy to be a CSE, or in the case of a degenerate correlation device, for the strategy to be a sequential equilibrium. We also consider several applications. In these, we show that the methods are computationally feasible, and how to construct and verify equilibria in a secret price-setting game. C1 [Phelan, Christopher] Univ Minnesota, Minneapolis, MN 55455 USA. [Phelan, Christopher] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Skrzypacz, Andrzej] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA. RP Phelan, C (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 14 TC 1 Z9 1 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 OCT PY 2012 VL 79 IS 4 BP 1637 EP 1660 DI 10.1093/restud/rds009 PG 24 WC Economics SC Business & Economics GA 025CB UT WOS:000310160600012 ER PT J AU Fujita, S Ramey, G AF Fujita, Shigeru Ramey, Garey TI Exogenous versus Endogenous Separation SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID LABOR-MARKET SEARCH; THE-JOB SEARCH; CYCLICAL BEHAVIOR; BUSINESS-CYCLE; EQUILIBRIUM UNEMPLOYMENT; WAGE STICKINESS; MATCHING MODELS; WORKER FLOWS; VACANCIES; FLUCTUATIONS AB This paper assesses how various approaches to modeling the separation margin affect the quantitative ability of the Mortensen-Pissarides labor matching model. The model with a constant separation rate fails to produce realistic volatility and productivity responsiveness of the separation rate and worker flows. The specification with endogenous separation succeeds along these dimensions. Allowing for on-the-job search enables the model to replicate the Beveridge curve. All specifications, however, fail to generate sufficient volatility of the job finding rate. While adopting the Hagedorn-Manovskii calibration remedies this problem, the volume of job-to-job transitions in the on-the-job search specification becomes essentially zero. (JEL E24, J41, J64) C1 [Fujita, Shigeru] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Ramey, Garey] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. RP Fujita, S (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM shigeru.fujita@phil.frb.org; gramey@ucsd.edu NR 37 TC 7 Z9 7 U1 0 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD OCT PY 2012 VL 4 IS 4 BP 68 EP 93 DI 10.1257/mac.4.4.68 PG 26 WC Economics SC Business & Economics GA 016LT UT WOS:000309520600004 ER PT J AU Barnhart, C Dwyer, GP AF Barnhart, Cora Dwyer, Gerald P. TI RETURNS TO INVESTORS IN STOCKS IN NEW INDUSTRIES SO ECONOMIC INQUIRY LA English DT Article ID TECHNOLOGY; PERFORMANCE; REVOLUTION; BUBBLES; PRICES AB We examine investors' returns from publicly traded stock in new industries associated with major changes in transportation and communication in the United States. Return distributions during the development of own-brand personal computers, airlines, airplane and automobile manufacturers, railroads, and telegraphs reveal three general characteristics. A few companies generate outstanding returns, many firms fail, and returns are volatile. Firms' expected returns are higher than market returns for three of the five industries. Sharpe ratios and Jensen's alphas for portfolios of each new industry indicate that portfolios of stocks in firms in new industries are not an obvious bad deal. (JEL G1, G12, N2, N21, N22) C1 [Barnhart, Cora] Palm Beach Atlantic Univ, Sch Business, W Palm Beach, FL 33401 USA. [Dwyer, Gerald P.] Fed Reserve Bank Atlanta, Ctr Financial Innovat & Stabil, Atlanta, GA 30309 USA. RP Barnhart, C (reprint author), Palm Beach Atlantic Univ, Sch Business, W Palm Beach, FL 33401 USA. EM cora_barnhart@pba.edu; Gerald.p.dwyer@atl.frb.org NR 33 TC 0 Z9 0 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD OCT PY 2012 VL 50 IS 4 BP 1031 EP 1049 DI 10.1111/j.1465-7295.2011.00395.x PG 19 WC Economics SC Business & Economics GA 017QU UT WOS:000309606400012 ER PT J AU Hall, AR Inoue, A Nason, JM Rossi, B AF Hall, Alastair R. Inoue, Atsushi Nason, James M. Rossi, Barbara TI Information criteria for impulse response function matching estimation of DSGE models SO JOURNAL OF ECONOMETRICS LA English DT Article ID VECTOR AUTOREGRESSIVE MODELS; MONETARY-POLICY; NOMINAL RIGIDITIES; INDIRECT INFERENCE; MOMENTS ESTIMATION; GENERALIZED-METHOD; BUSINESS-CYCLE; SELECTION AB We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse responses. First, we propose an information criterion to select only the responses that produce consistent estimates of the true but unknown structural parameters: the Valid Impulse Response Selection Criterion (VIRSC). The criterion is especially useful for mis-specified models. Second, we propose a criterion to select the impulse responses that are most informative about DSGE model parameters: the Relevant Impulse Response Selection Criterion (RIRSC). These criteria can be used in combination to select the subset of valid impulse response functions with minimal dimension that yields asymptotically efficient estimators. The criteria are general enough to apply to impulse responses estimated by VARs, local projections, and simulation methods. We show that the use of our criteria significantly affects estimates and inference about key parameters of two well-known new Keynesian DSGE models. Monte Carlo evidence indicates that the criteria yield gains in terms of finite sample bias as well as offering tests statistics whose behavior is better approximated by the first order asymptotic theory. Thus, our criteria improve existing methods used to implement IRFMEs. (C) 2012 Elsevier B.V. All rights reserved. C1 [Inoue, Atsushi] NCSU, Dept Agr & Resource Econ, Raleigh, NC 27695 USA. [Hall, Alastair R.] Univ Manchester, Manchester M13 9PL, Lancs, England. [Nason, James M.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Rossi, Barbara] Univ Pompeu Fabra, CREI, ICREA, Barcelona, Spain. [Rossi, Barbara] Barcelona GSE, Barcelona, Spain. RP Inoue, A (reprint author), NCSU, Dept Agr & Resource Econ, Campus Box 8109, Raleigh, NC 27695 USA. EM atsushi@ncsu.edu RI Rossi, Barbara/D-6756-2013 OI Rossi, Barbara/0000-0002-0410-0493 FU SSHRC [410-2007-1975] FX The authors thank the editors, two anonymous referees, J. Boivin, C. Burnside, Jeff Campbell, P. Hansen, O. Jorda, J. Linde, S. Mavroedis, F. Schorfheide and seminar participants at the 2006 EC2, 2007 SED, EMSG at Duke U., the UBC Macro Lunch, the 2007 Conference in Waterloo, the 2007 ESEM, Kyoto U., Osaka U., Brown U., Tilburg U., U. of Amsterdam and U. of Cincinnati for comments and C. Burnside and L. Christiano for sharing their codes. A. Inoue acknowledges financial support by the SSHRC under project 410-2007-1975. The views in this paper represent those of the authors and are not those of either the Federal Reserve Bank of Philadelphia, the Federal Reserve System, or any of its staff. NR 26 TC 7 Z9 7 U1 1 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 OCT PY 2012 VL 170 IS 2 BP 499 EP 518 DI 10.1016/j.jeconom.2012.05.019 PG 20 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 013RY UT WOS:000309324700016 ER PT J AU Cetorelli, N Goldberg, LS AF Cetorelli, Nicola Goldberg, Linda S. TI Banking Globalization and Monetary Transmission SO JOURNAL OF FINANCE LA English DT Article ID INTERNAL CAPITAL-MARKETS; INEFFICIENT INVESTMENT; POLICY TRANSMISSION; BUSINESS CYCLES; INTEREST-RATES; CHANNEL; CREDIT; SHOCKS; CRISIS; IMPACT AB Globalization of banking raises questions about banks liquidity management, their response to liquidity shocks, and the potential for international shock propagation. We conjecture that global banks manage liquidity on a global scale, actively using cross-border internal funding in response to local shocks. Having global operations insulates banks from changes in monetary policy, while banks without global operations are more affected by monetary policy than previously found. We provide direct evidence that internal capital markets are active in global banks and contribute to the international propagation of shocks. This feature was at play during the financial crisis of 20072009. C1 [Cetorelli, Nicola; Goldberg, Linda S.] Fed Reserve Bank New York, New York, NY USA. RP Cetorelli, N (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 39 TC 84 Z9 84 U1 3 U2 53 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 J9 J FINANC JI J. Financ. PD OCT PY 2012 VL 67 IS 5 BP 1811 EP 1843 DI 10.1111/j.1540-6261.2012.01773.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 003ZZ UT WOS:000308651200007 ER PT J AU Abel, JR Dey, I Gabe, TM AF Abel, Jaison R. Dey, Ishita Gabe, Todd M. TI PRODUCTIVITY AND THE DENSITY OF HUMAN CAPITAL* SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID ECONOMIC-ACTIVITY; URBAN DENSITY; CITY SIZE; CITIES; AGGLOMERATION; EDUCATION; EMPIRICS; GROWTH; SKILLS; GAINS AB We estimate a model of urban productivity in which the agglomeration effect of density is enhanced by a metropolitan area's stock of human capital. Estimation accounts for potential biases due to the endogeneity of density and industrial composition effects. Using new information on output per worker for U.S. metropolitan areas along with a measure of density that accounts for the spatial distribution of population, we find that a doubling of density increases productivity by 24 percent. Consistent with theories of learning and knowledge spillovers in cities, we demonstrate that the elasticity of average labor productivity with respect to density increases with human capital. Metropolitan areas with a human capital stock one standard deviation below the mean realize no productivity gain, while doubling density in metropolitan areas with a human capital stock one standard deviation above the mean yields productivity benefits that are about twice the average. These patterns are particularly pronounced in industries where the exchange of information and sharing of ideas are important parts of the production process. C1 [Abel, Jaison R.] Fed Reserve Bank New York, Res & Stat Grp, Buffalo, NY 14203 USA. [Dey, Ishita] Univ Georgia, Dept Housing & Consumer Econ, Athens, GA 30602 USA. [Gabe, Todd M.] Univ Maine, Sch Econ, Orono, ME 04469 USA. RP Abel, JR (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 237 Main St,Suite 1200, Buffalo, NY 14203 USA. EM jaison.abel@ny.frb.org; idey@uga.edu; todd.gabe@umit.maine.edu NR 47 TC 14 Z9 14 U1 2 U2 35 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD OCT PY 2012 VL 52 IS 4 BP 562 EP 586 DI 10.1111/j.1467-9787.2011.00742.x PG 25 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 010BG UT WOS:000309068800002 ER PT J AU McGrattan, ER AF McGrattan, Ellen R. TI Transition to FDI openness: Reconciling theory and evidence SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Foreign direct investment; Technology capital; Development ID INTERNATIONAL FINANCIAL INTEGRATION; FOREIGN DIRECT-INVESTMENT; GLOBAL IMBALANCES; DOMESTIC FIRMS; ACCOUNT; SIZE; US AB Empirical studies quantifying the economic effects of increased foreign direct investment (FDI) have not provided conclusive evidence that they are positive, as theory predicts. This paper shows that the lack of empirical evidence is consistent with theory if countries are in transition to FDI openness. Anticipated welfare gains lead to temporary declines in domestic investment and employment. Also, growth measures miss some intangible FDI, which is expensed from company profits. The reconciliation of theory and evidence is accomplished with a multicountry dynamic general equilibrium model parameterized with data from a sample of 104 countries during 1980-2005. Although no systematic benefits of FDI openness are found, the model demonstrates that the eventual gains in growth and welfare can be huge, especially for small countries. (C) 2012 Elsevier Inc. All rights reserved. C1 [McGrattan, Ellen R.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [McGrattan, Ellen R.] Univ Minnesota, Minneapolis, MN 55455 USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM erm@ellen.mpls.frb.fed.us NR 33 TC 4 Z9 4 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2012 VL 15 IS 4 BP 437 EP 458 DI 10.1016/j.red.2012.07.004 PG 22 WC Economics SC Business & Economics GA 011FA UT WOS:000309149100001 ER PT J AU Gorry, A Oberfield, E AF Gorry, Aspen Oberfield, Ezra TI Optimal taxation over the life cycle SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Optimal taxation; Life cycle; Extensive margin; Ramsey problem; Non-linear taxation; Primal approach ID OPTIMAL INCOME TAXATION; RETIREMENT BEHAVIOR; INSURANCE; WEALTH; HEALTH; TAXES AB We derive the optimal labor income tax schedule for a life cycle model with a deterministic productivity variation and complete asset markets. An individual chooses whether and how much to work at each data. The government must finance a given expenditure and does not have access to lump sum taxation. We develop a solution method that uses that primal approach to solve for the optimal non-linear tax function. The average tax rate determines when an individual will work while the marginal tax rate determines how much she will work. Even in the absence of redistributive concerns, the optimal tax schedule has an increasing average tax rate at low levels of income to encourage labor market participation. The marginal tax rate at the top is strictly positive. Finally, the model is used to assess the effects of changing the current tax schedule to the optimal one. Under the preferred parameters, this delivers a welfare gain equivalent to 0.67 percent of lifetime consumption. (C) 2012 Elsevier Inc. All rights reserved. C1 [Oberfield, Ezra] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Gorry, Aspen] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. RP Oberfield, E (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM aspen.gorry@gmail.com; ezraoberfield@gmail.com NR 31 TC 2 Z9 2 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 OCT PY 2012 VL 15 IS 4 BP 551 EP 572 DI 10.1016/j.red.2012.05.002 PG 22 WC Economics SC Business & Economics GA 011FA UT WOS:000309149100006 ER PT J AU Leitner, Y AF Leitner, Yaron TI Inducing Agents to Report Hidden Trades: A Theory of an Intermediary SO REVIEW OF FINANCE LA English DT Article DE JEL Classification; D02; D82; D86; G20; G28 ID IMPERFECT COMMITMENT; FINANCIAL INTERMEDIATION; NONEXCLUSIVE CONTRACTS; REVELATION PRINCIPLE; FUTURES MARKETS; COUNTER MARKETS; LIQUIDITY; COMMUNICATION; COMPETITION; INCENTIVES AB When contracts are unobserved (and nonexclusive), agents can promise the same asset to multiple counterparties and subsequently default. I show that a central mechanism can extract all relevant information about contracts that agents enter by inducing them to report one another. The mechanism sets position limits and reveals the names of agents who hit the limits according to (voluntary) reports from their counterparties. This holds even if sending reports is costly and even if agents can collude. In some cases, an agent's position limit must be nonbinding in equilibrium. The mechanism has some features of a clearinghouse. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Leitner, Y (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 30 TC 4 Z9 4 U1 1 U2 14 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1572-3097 EI 1573-692X J9 REV FINANC JI Rev. Financ. PD OCT PY 2012 VL 16 IS 4 BP 1013 EP 1042 DI 10.1093/rof/rfr017 PG 30 WC Business, Finance; Economics SC Business & Economics GA 010YJ UT WOS:000309130100005 ER PT J AU Thornton, DL Valente, G AF Thornton, Daniel L. Valente, Giorgio TI Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID TERM STRUCTURE; EXPECTATIONS HYPOTHESIS; ECONOMIC VALUE; AFFINE MODELS; RISK PREMIA; VOLATILITY; INFORMATION; PERFORMANCE; TESTS; STOCK AB This article investigates the out-of-sample predictability of bond excess returns. We assess the economic value of the forecasting ability of empirical models based on long-term forward interest rates in a dynamic asset allocation strategy. The results show that the information content of forward rates does not generate systematic economic value to investors. Indeed, these models do not outperform the no-predictability benchmark. Furthermore, their relative performance deteriorates over time. C1 [Valente, Giorgio] Univ Essex, Essex Business Sch, Colchester CO4 3SQ, Essex, England. [Thornton, Daniel L.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Valente, G (reprint author), Univ Essex, Essex Business Sch, Wivenhoe Pk, Colchester CO4 3SQ, Essex, England. EM gvalente@essex.ac.uk OI VALENTE, Giorgio/0000-0001-6737-3627 NR 69 TC 18 Z9 18 U1 0 U2 12 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 OCT PY 2012 VL 25 IS 10 BP 3141 EP 3168 DI 10.1093/rfs/hhs069 PG 28 WC Business, Finance; Economics SC Business & Economics GA 010YF UT WOS:000309129700007 ER PT J AU Head, A Liu, LQ Menzio, G Wright, R AF Head, Allen Liu, Lucy Qian Menzio, Guido Wright, Randall TI STICKY PRICES: A NEW MONETARIST APPROACH SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article DE E52; E31; E42 ID MENU COSTS; RATIONAL INATTENTION; STAGGERED CONTRACTS; MONEY; INFLATION; SEARCH; INFORMATION; MODEL; DISPERSION; UNEMPLOYMENT AB Why do some sellers set nominal prices that apparently do not respond to changes in the aggregate price level? In many models, prices are sticky by assumption; here it is a result. We use search theory, with two consequences: prices are set in dollars, since money is the medium of exchange; and equilibrium implies a nondegenerate price distribution. When the money supply increases, some sellers may keep prices constant, earning less per unit but making it up on volume so profit stays constant. The calibrated model matches price-change data well. But, in contrast to typical sticky-price models, money is neutral. C1 [Head, Allen] Queens Univ, Kingston, ON K7L 3N6, Canada. [Liu, Lucy Qian] Int Monetary Fund, Washington, DC 20431 USA. [Menzio, Guido] Univ Penn, Philadelphia, PA 19104 USA. [Wright, Randall] Univ Wisconsin, Madison, WI 53706 USA. [Wright, Randall] Fed Reserve Bank Chicago, Chicago, IL USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Head, A (reprint author), Queens Univ, Kingston, ON K7L 3N6, Canada. EM heada@qed.econ.queensu.ca; QLiu3@imf.org; gmenzio@sas.upenn.edu; rwright@bus.wisc.edu NR 54 TC 11 Z9 11 U1 2 U2 14 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 OCT PY 2012 VL 10 IS 5 BP 939 EP 973 DI 10.1111/j.1542-4774.2012.01081.x PG 35 WC Economics SC Business & Economics GA 000YM UT WOS:000308427000001 ER PT J AU Benmelech, E Dlugosz, J Ivashina, V AF Benmelech, Efraim Dlugosz, Jennifer Ivashina, Victoria TI Securitization without adverse selection: The case of CLOs SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Structured finance; Collateralized loan obligations (CLOs); CDOs; Syndicated loans ID SYNDICATED LOANS; DEBT AB In this paper, we investigate whether securitization was associated with risky lending in the corporate loan market by examining the performance of individual loans held by collateralized loan obligations. We employ two different data sets that identify loan holdings for a large set of CLOs and find that adverse selection problems in corporate loan securitizations are less severe than commonly believed. Using a battery of performance tests, we find that loans securitized before 2005 performed no worse than comparable unsecuritized loans originated by the same bank. Even loans originated by the bank that acts as the CLO underwriter do not show under-performance relative to the rest of the CLO portfolio. While some evidence exists of under-performance for securitized loans originated between 2005 and 2007, it is not consistent across samples, performance measures, and horizons. Overall, we argue that the securitization of corporate loans is fundamentally different from securitization of other assets classes because securitized loans are fractions of syndicated loans. Therefore, mechanisms used to align incentives in a lending syndicate are likely to reduce adverse selection in the choice of CLO collateral. Published by Elsevier B.V. C1 [Dlugosz, Jennifer] Fed Reserve Board, Washington, DC 20551 USA. [Benmelech, Efraim] Harvard Univ, Cambridge, MA 02138 USA. [Benmelech, Efraim] NBER, Littauer Ctr, Cambridge, MA 02138 USA. [Ivashina, Victoria] Harvard Univ, Sch Business, Boston, MA 02163 USA. RP Dlugosz, J (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM jennifer.l.dlugosz@frb.gov NR 30 TC 16 Z9 16 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 OCT PY 2012 VL 106 IS 1 BP 91 EP 113 DI 10.1016/j.jfineco.2012.05.006 PG 23 WC Business, Finance; Economics SC Business & Economics GA 998XU UT WOS:000308274500005 ER PT J AU Vazquez, J Maria-Dolores, R Londono, JM AF Vazquez, Jesus Maria-Dolores, Ramon Londono, Juan M. TI The Effect of Data Revisions on the Basic New Keynesian Model SO INTERNATIONAL REVIEW OF ECONOMICS & FINANCE LA English DT Article DE NKM model; monetary policy rule; indirect inference; real-time data; (non-)rational forecast error ID MONETARY-POLICY RULES; REAL-TIME DATA; TERM STRUCTURE; SERIES MODELS; PRICES AB This paper proposes an extended version of the basic New Keynesian monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the importance of data revisions on the estimated monetary policy rule parameters and the transmission of policy shocks. Our empirical evidence based on a structural econometric approach suggests that although the initial announcements of output and inflation are not rational forecasts of revised output and inflation data, ignoring the presence of non well-behaved revision processes may not be a serious drawback in the analysis of monetary policy in this framework. However, the transmission of inflation-push shocks is largely affected by considering data revisions. The latter being especially true when the nominal stickiness parameter is estimated taking into account data revision processes. (C) 2012 Elsevier Inc. All rights reserved. C1 [Vazquez, Jesus] Univ Pais Vasco UPV EHU, Fac Ciencias Econ & Empresariales, Dept Fundamentos Ana Lisis Econ 2, Bilbao 48015, Spain. [Maria-Dolores, Ramon] Univ Murcia, Fac Econ & Empresa, Dept Fundamentos Anal Econ, E-30100 Murcia, Spain. [Londono, Juan M.] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Vazquez, J (reprint author), Univ Pais Vasco UPV EHU, Fac Ciencias Econ & Empresariales, Dept Fundamentos Ana Lisis Econ 2, Av Lehendakari Aguirre 83, Bilbao 48015, Spain. EM jesus.vazquez@ehu.es; ramonmar@um.es; Juan-miguel.londono-yarce@frb.gov NR 32 TC 2 Z9 2 U1 0 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1059-0560 J9 INT REV ECON FINANC JI Int. Rev. Econ. Financ. PD OCT PY 2012 VL 24 BP 235 EP 249 DI 10.1016/j.iref.2012.03.005 PG 15 WC Business, Finance; Economics SC Business & Economics GA 980BZ UT WOS:000306869900019 ER PT J AU Huang, X Zhou, H Zhu, HB AF Huang, Xin Zhou, Hao Zhu, Haibin TI Systemic Risk Contributions SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Distress insurance premium; Systemic risk; Macroprudential regulation; Large complex financial institution; Too-big-to-fail; Too-connected-to-fail ID PORTFOLIO CREDIT RISK; EXPECTED SHORTFALL; MODEL AB We adopt a systemic risk indicator measured by the price of insurance against systemic financial distress and assess individual banks' marginal contributions to the systemic risk. The methodology is applied using publicly available data to the 19 bank holding companies covered by the U.S. Supervisory Capital Assessment Program (SCAP), with the systemic risk indicator peaking around $1.1 trillion in March 2009. Our systemic risk contribution measure shows interesting similarity to and divergence from the SCAP loss estimates under stress test scenarios. In general, we find that a bank's contribution to the systemic risk is roughly linear in its default probability but highly nonlinear with respect to institution size and asset correlation. C1 [Huang, Xin] Univ Oklahoma, Dept Econ, Norman, OK 73019 USA. [Zhou, Hao] Fed Reserve Board, Risk Anal Sect, Washington, DC USA. [Zhu, Haibin] JP Morgan Chase Bank NA, Hong Kong, Hong Kong, Peoples R China. RP Huang, X (reprint author), Univ Oklahoma, Dept Econ, Norman, OK 73019 USA. EM xhuang@ou.edu; hao.zhou@frb.gov; haibin.zhu@jpmorgan.com NR 56 TC 29 Z9 30 U1 5 U2 49 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD OCT PY 2012 VL 42 IS 1-2 SI SI BP 55 EP 83 DI 10.1007/s10693-011-0117-8 PG 29 WC Business, Finance SC Business & Economics GA 975XV UT WOS:000306546000005 ER PT J AU Black, LK Chu, CS Cohen, A Nichols, JB AF Black, Lamont K. Chu, Chenghuan Sean Cohen, Andrew Nichols, Joseph B. TI Differences Across Originators in CMBS Loan Underwriting SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Commercial mortgage backed securities; Securitization; Organizational structure ID COMMERCIAL MORTGAGES; DEFAULT; SECURITIES; MODELS; BANKS; RISK AB There is considerable heterogeneity in the organizational structures of CMBS loan originators that may influence originators' underwriting incentives. We examine data on over 30,000 commercial mortgages securitized into CMBS since 1999, and find significant differences in the propensity to become delinquent depending upon whether a loan was originated by a commercial bank, investment bank, insurance company, finance company, conduit lender, or foreign-owned entity. These differences hold both before and after controlling for key loan characteristics. We then explore possible explanations for these results. Reliance on external financing during a loan's warehousing period-the period between origination and securitization-could explain the relatively poor performance of loans originated by conduit lenders. Also, despite the potential for engaging in adverse selection, balance-sheet lenders-commercial banks, insurance companies and finance companies-actually underwrote higher-quality loans. C1 [Black, Lamont K.; Chu, Chenghuan Sean; Cohen, Andrew; Nichols, Joseph B.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Black, LK (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM lamont.black@frb.gov; sean.chu@frb.gov; andrew.cohen@frb.gov; joseph.b.nichols@frb.gov NR 24 TC 4 Z9 4 U1 1 U2 12 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD OCT PY 2012 VL 42 IS 1-2 SI SI BP 115 EP 134 DI 10.1007/s10693-011-0120-0 PG 20 WC Business, Finance SC Business & Economics GA 975XV UT WOS:000306546000008 ER PT J AU Zorzi, MC Chudik, A Dieppe, A AF Zorzi, Michele Ca' Chudik, Alexander Dieppe, Alistair TI Thousands of models, one story: Current account imbalances in the global economy SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Current account; Global imbalances; Panel data; Model uncertainty; Model combination ID DYNAMIC PANEL-DATA; TERM DETERMINANTS; CONSUMPTION; ASSETS; GROWTH; TESTS AB The global financial crisis has led to a revival of the empirical literature on current account imbalances. This paper contributes to that literature by investigating the importance of evaluating model and parameter uncertainty prior to reaching any firm conclusion. We explore three alternative econometric strategies: examining all models, selecting a few, and combining them all. Out of thousands (or indeed millions) of models a story emerges. The chance that current accounts were aligned with fundamentals prior to the financial crisis appears to be minimal. (C) 2012 Elsevier Ltd. All rights reserved. C1 [Zorzi, Michele Ca'; Dieppe, Alistair] European Cent Bank, D-60311 Frankfurt, Germany. [Chudik, Alexander] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Dieppe, A (reprint author), European Cent Bank, Kaiserstr 29, D-60311 Frankfurt, Germany. EM michele.cazorzi@ecb.europa.eu; Alexander.Chudik@dal.frb.org; alistair.dieppe@ecb.europa.eu NR 59 TC 1 Z9 1 U1 1 U2 15 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 2012 VL 31 IS 6 BP 1319 EP 1338 DI 10.1016/j.jimonfin.2012.02.003 PG 20 WC Business, Finance SC Business & Economics GA 971ZP UT WOS:000306246600001 ER PT J AU Hockett, R AF Hockett, Robert TI WERE "IT" TO HAPPEN: CONTRACT CONTINUITY UNDER EURO REGIME CHANGE SO UNIVERSITY OF PENNSYLVANIA JOURNAL OF INTERNATIONAL LAW LA English DT Article AB One way or another, the European Monetary Union ("EMU") is apt to endure. The prospect of continuation under the precise contours of the regime as we presently find it, however, is anything but certain. Hence many investors and other actual or prospective contract parties are likely to remain skittish until matters grow clearer. This skittishness, importantly, can itself hamper the prospect of expeditious European recovery. Addressing particular sources of ongoing uncertainty about EMU prospects can itself therefore aid in the project of recovery. This Essay accordingly aims to impose structure upon one particular, and indeed particularly complex, source of uncertainty now damaging EMU prospects. That is the matter of how best to defend, legally speaking, continuity of contract in the event of some basic change in the current Euro regime. The hope is that sizing up and breaking down this question into its constituent parts might accomplish at least three related aims. One is to render the hypothetical problems raised by the question more tractable than they would otherwise be. Another is to facilitate the development of provisional plans of approach to such problems in the event they should present themselves. Finally, yet another is to afford confidence to the markets by enabling contingency planning of the sort just suggested, thereby lessening the likelihood of self-fulfilling 'run'-like activity on European debt instruments. C1 [Hockett, Robert] Cornell Law Sch, Ithaca, NY 14853 USA. [Hockett, Robert] Fed Reserve Bank New York, New York, NY USA. RP Hockett, R (reprint author), Cornell Law Sch, Ithaca, NY 14853 USA. NR 7 TC 0 Z9 0 U1 0 U2 0 PU UNIV PENN LAW SCH PI PHILADELPHIA PA 3400 CHESTNUT ST, PHILADELPHIA, PA 19104-6204 USA SN 1938-0283 J9 U PA J INT LAW JI Univ. Pa. J. Int. Law PD FAL PY 2012 VL 34 IS 1 BP 277 EP 303 PG 27 WC Law SC Government & Law GA 132JL UT WOS:000318063600004 ER PT J AU Barnichon, R Nekarda, CJ AF Barnichon, Regis Nekarda, Christopher J. TI The Ins and Outs of Forecasting Unemployment: Using Labor Force Flows to Forecast the Labor Market SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID BUSINESS-CYCLE; FEDERAL-RESERVE; RATES; INFORMATION; SEPARATION; ACCURACY; BEHAVIOR; MODELS AB This paper presents a forecasting model of unemployment based on labor force flows data that, in real time, dramatically outperforms the Survey of Professional Forecasters, historical forecasts from the Federal Reserve Board's Greenbook, and basic time-series models. Our model's forecast has a root-mean-squared error about 30 percent below that of the next-best forecast in the near term and performs especially well surrounding large recessions and cyclical turning points. Further, because our model uses information on labor force flows that is likely not incorporated by other forecasts, a combined forecast including our model's forecast and the SPF forecast yields an improvement over the latter alone of about 35 percent for current-quarter forecasts, and 15 percent for next-quarter forecasts, as well as improvements at longer horizons. C1 [Barnichon, Regis] Ctr Recerca Econ Int, Barcelona, Spain. [Nekarda, Christopher J.] Board Governors Fed Reserve Syst, Washington, DC USA. RP Barnichon, R (reprint author), Ctr Recerca Econ Int, Barcelona, Spain. RI Barnichon, Regis/B-4650-2013 OI Barnichon, Regis/0000-0003-3967-1453 NR 45 TC 6 Z9 6 U1 0 U2 7 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 2012 BP 83 EP 131 PG 49 WC Economics SC Business & Economics GA 120HA UT WOS:000317160200003 ER PT J AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. TI In-sample tests of predictive ability: A new approach SO JOURNAL OF ECONOMETRICS LA English DT Article DE Predictability; Forecast accuracy; In-sample ID CONSISTENT COVARIANCE-MATRIX; STOCK RETURNS; HETEROSKEDASTICITY; PREDICTABILITY; INFERENCE; VARIABLES AB This paper presents evidence linking in-sample tests of predictive content and out-of-sample forecast accuracy. Our approach focuses on the negative effect that finite-sample estimation error has on forecast accuracy despite the presence of significant population-level predictive content. We derive in-sample tests that assess whether a variable has predictive content and whether this content is estimated precisely enough to improve forecast accuracy. Our tests are asymptotically non-central chi-square or non-central normal. We provide a convenient bootstrap for computing critical values. In Monte Carlo and empirical analysis, we examine the effectiveness of our testing procedure. (c) 2012 Elsevier B.V. All rights reserved. C1 [Clark, Todd E.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. [McCracken, Michael W.] Fed Reserve Bank St Louis, Econ Res Dept, St Louis, MO 63166 USA. RP McCracken, MW (reprint author), Fed Reserve Bank St Louis, Econ Res Dept, POB 442, St Louis, MO 63166 USA. EM todd.e.clark@clev.frb.org; michael.w.mccracken@stls.frb.org RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 28 TC 11 Z9 11 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 SEP PY 2012 VL 170 IS 1 BP 1 EP 14 DI 10.1016/j.jeconom.2010.09.012 PG 14 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 085NJ UT WOS:000314621200001 ER PT J AU Graves, EM Vale, LJ AF Graves, Erin M. Vale, Lawrence J. TI The Chicago Housing Authority's Plan for Transformation: Assessing the First Ten Years SO JOURNAL OF THE AMERICAN PLANNING ASSOCIATION LA English DT Editorial Material C1 [Graves, Erin M.] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Vale, Lawrence J.] MIT, Cambridge, MA 02139 USA. RP Graves, EM (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 3 TC 1 Z9 1 U1 1 U2 5 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0194-4363 J9 J AM PLANN ASSOC JI J. Am. Plan. Assoc. PD SEP 1 PY 2012 VL 78 IS 4 SI SI BP 464 EP 465 DI 10.1080/01944363.2012.737974 PG 2 WC Planning & Development; Urban Studies SC Public Administration; Urban Studies GA 049BX UT WOS:000311958100012 ER PT J AU Berger, D Faust, J Rogers, JH Steverson, K AF Berger, David Faust, Jon Rogers, John H. Steverson, Kai TI Border prices and retail prices SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Prices; Distribution; Exchange rates ID RATE PASS-THROUGH; REAL EXCHANGE-RATE AB We analyze retail prices and at-the-dock (import) prices of specific items in the Bureau of Labor Statistics' (BLS) CPI and IPP databases, using both databases simultaneously to identify items that are identical in description at the dock and when sold at retail. This identification allows us to measure the distribution wedge associated with bringing traded goods from the point of entry into the United States to their retail outlet. We find that overall U.S. distribution wedges are 50-70%, around 10 to 20 percentage points higher than that reported in the literature. We discuss the implications of this for measuring the size of the "pure" tradeables sector, exchange rate pass-through, and real exchange rate determination. We find that distribution wedges are very stable over time but there is considerable variation across items. There is some variation across the country of origin for the imported item, for our major trading partners, but not as much as the cross-item variation. We also investigate the determinants of distribution wedges, finding that wedges do not vary systematically with exchange rates, but are related to other features of the micro data. Published by Elsevier B.V. C1 [Rogers, John H.] Fed Reserve Board, Washington, DC USA. [Berger, David] Yale Univ, New Have, CT USA. [Faust, Jon] Johns Hopkins Univ, Baltimore, MD USA. [Steverson, Kai] Princeton Univ, Princeton, NJ 08544 USA. RP Rogers, JH (reprint author), Fed Reserve Board, Washington, DC USA. EM rogersj3@frb.gov NR 22 TC 5 Z9 5 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD SEP PY 2012 VL 88 IS 1 BP 62 EP 73 DI 10.1016/j.jinteco.2012.02.011 PG 12 WC Economics SC Business & Economics GA 022GC UT WOS:000309944600005 ER PT J AU Jorda, O Taylor, AM AF Jorda, Oscar Taylor, Alan M. TI The carry trade and fundamentals: Nothing to fear but FEER itself SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Uncovered interest parity; Efficient markets; Exchange rates; Receiver operating characteristic curve; Correct classification frontier ID REAL EXCHANGE-RATES; COVERED INTEREST ARBITRAGE; FOREIGN-EXCHANGE; TRANSACTIONS COSTS; PREDICTIVE ABILITY; RATE MODELS; MARKET; TESTS; RISK; DIVERSIFICATION AB Risky arbitraging based on interest rate differentials between two countries is typically referred to as a carry trade. Up until the recent global financial crisis, these trades generated years of persistent positive returns, which were hard to reconcile with standard pricing kernels. In 2008 these trades blew up, which seemed to weaken the case for a puzzle relating to predictable currency returns. But the rise and fall of this puzzle in the academic literature has only been concerned with naive carry trades based on yield signals alone. We show, however, that some simple and more realistic fundamentals-augmented trading strategies would have generated strong and sustained positive profits that endured through the turmoil. (C) 2012 Elsevier B.V. All rights reserved. C1 [Taylor, Alan M.] Univ Virginia, Dept Econ, Charlottesville, VA 22903 USA. [Jorda, Oscar] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Jorda, Oscar] Univ Calif Davis, Davis, CA 95616 USA. [Taylor, Alan M.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Taylor, AM (reprint author), Univ Virginia, Dept Econ, Monroe Hall, Charlottesville, VA 22903 USA. EM oscar.jorda@sf.frb.org; alan.m.taylor@virginia.edu NR 76 TC 24 Z9 24 U1 3 U2 16 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 SEP PY 2012 VL 88 IS 1 BP 74 EP 90 DI 10.1016/j.jinteco.2012.03.001 PG 17 WC Economics SC Business & Economics GA 022GC UT WOS:000309944600006 ER PT J AU Holmes, TJ Stevens, JJ AF Holmes, Thomas J. Stevens, John J. TI Exports, borders, distance, and plant size SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Border effect; Plant size; International trade; Commodity Flow Survey ID INTERNATIONAL-TRADE; PRODUCTIVITY; MATTER; COSTS AB The fact that large manufacturing plants export relatively more than small plants has been at the foundation of much work in the international trade literature. We examine this fact using Census microdata on plant shipments from the Commodity Flow Survey. We show that the fact is not entirely an international trade phenomenon: part of it can be accounted for by the effect of distance, distinct from any border effect. Export destinations tend to be farther than domestic destinations, and large plants tend to ship farther distances even to domestic locations compared with small plants. We develop an extension of the Melitz (2003) model and use it to set up an analysis with model interpretations of ratios between large plant and small plant shipments that can be calculated with the data. We obtain a decomposition of the overall ratio into a term that varies with distance, holding fixed the border, and a term that varies with the border, holding fixed the distance. The distance term accounts for more than half of the overall difference. (C) 2012 Elsevier B.V. All rights reserved. C1 [Holmes, Thomas J.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Holmes, Thomas J.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Holmes, Thomas J.] NBER, Cambridge, MA 02138 USA. [Stevens, John J.] Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Dept Econ, 4-101 Hanson Hall,1925 4th St S, Minneapolis, MN 55455 USA. EM holmes@econ.umn.edu; john.j.stevens@frb.gov NR 19 TC 10 Z9 10 U1 2 U2 14 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 2012 VL 88 IS 1 BP 91 EP 103 DI 10.1016/j.jinteco.2012.02.012 PG 13 WC Economics SC Business & Economics GA 022GC UT WOS:000309944600007 ER PT J AU Luo, YL Nie, J Young, ER AF Luo, Yulei Nie, Jun Young, Eric R. TI Robustness, information-processing constraints, and the current account in small open economies SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Robustness; Rational inattention; Consumption smoothing; Current account; Detection error probabilities ID PERMANENT-INCOME HYPOTHESIS; REAL BUSINESS CYCLES; RATIONAL INATTENTION; INTEREST-RATES; CONSUMPTION; DYNAMICS; SAVINGS; SHOCKS; MODEL AB In this paper we examine the effects of two types of "induced uncertainty", model uncertainty due to robustness (RB) and state uncertainty due to finite information-processing capacity (called rational inattention or RI), on consumption and the current account. We show that the combination of RB and RI improves the model's predictions for (i) the contemporaneous correlation between the current account and income and (ii) the volatility and persistence of the current account in small open emerging and developed economies. In addition, we show that the two informational frictions improve the model's ability to match the impulse response of consumption to income and the relative volatility of consumption to income growth. (C) 2012 Elsevier B.V. All rights reserved. C1 [Luo, Yulei] Univ Hong Kong, Sch Econ & Finance, Hong Kong, Hong Kong, Peoples R China. [Nie, Jun] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO USA. [Young, Eric R.] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. RP Luo, YL (reprint author), Univ Hong Kong, Sch Econ & Finance, Hong Kong, Hong Kong, Peoples R China. EM yluo@econ.hku.hk; jun.nie@kc.frb.org; ey2d@virginia.edu NR 42 TC 8 Z9 8 U1 2 U2 12 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 2012 VL 88 IS 1 BP 104 EP 120 DI 10.1016/j.jinteco.2012.02.004 PG 17 WC Economics SC Business & Economics GA 022GC UT WOS:000309944600008 ER PT J AU Hale, GB Spiegel, MM AF Hale, Galina B. Spiegel, Mark M. TI Currency composition of international bonds: The EMU effect SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Bond markets; Monetary union; Currency risk; Original sin; Liquidity ID MARKET INTEGRATION; EXCHANGE; TRADE AB We analyze the impact that the launch of the EMU had on the currency denomination of private international bond issues in 1990-2006 using micro-level data. Our stylized model predicts that the introduction of the euro would lead to an increase in the share of euro-denominated debt and a decline in the share of dollar-denominated debt issued by firms located in countries outside both the United States and the euro area. Moreover, our model predicts that the euro effect would be particularly pronounced for nonfinancial firms. Our empirical results are consistent with these predictions. In addition, we find that among nonfinancial firms, the impact on new issuers is larger than on seasoned issuers. Extending the model to allow for differences in issuance volumes across future monetary union countries prior to integration, we also predict larger increases in euro-denominated issuance among firms from smaller monetary union countries. We confirm this prediction for international bond issues by euro-area firms. Published by Elsevier B.V. C1 [Hale, Galina B.; Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Hale, GB (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM Galina.b.hale@sf.frb.org; Mark.Spiegel@sf.frb.org OI Hale, Galina/0000-0002-5604-9730 NR 18 TC 2 Z9 2 U1 0 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 SEP PY 2012 VL 88 IS 1 BP 134 EP 149 DI 10.1016/j.jinteco.2012.01.014 PG 16 WC Economics SC Business & Economics GA 022GC UT WOS:000309944600010 ER PT J AU Cornia, M Gerardi, KS Shapiro, AH AF Cornia, Marco Gerardi, Kristopher S. Shapiro, Adam Hale TI Price Dispersion Over the Business Cycle: Evidence from the Airline Industry SO JOURNAL OF INDUSTRIAL ECONOMICS LA English DT Article ID MARKET-STRUCTURE; CAPITAL-MARKET; DISCRIMINATION; COMPETITION; DEMAND; MONOPOLY; IMPERFECTIONS; INFORMATION; COSTS; MODEL AB This study provides empirical evidence documenting how price dispersion moves with the business cycle in the airline industry. Performing a fixed-effects panel analysis on seventeen years of data covering two business cycles, we find that price dispersion is highly pro-cyclical. This effect is especially pronounced for legacy carriers relative to low-cost carriers. We show that our empirical result is consistent with firms' implementing second-degree price-discrimination tactics. C1 [Cornia, Marco] Johns Hopkins Univ, Baltimore, MD 21218 USA. [Gerardi, Kristopher S.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Shapiro, Adam Hale] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Cornia, M (reprint author), Johns Hopkins Univ, Baltimore, MD 21218 USA. EM mcornia1@jhu.edu; kristopher.gerardi@atl.frb.org; adam.shapiro@sf.frb.org NR 39 TC 3 Z9 3 U1 0 U2 13 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1821 J9 J IND ECON JI J. Indust. Econ. PD SEP PY 2012 VL 60 IS 3 BP 347 EP 373 DI 10.1111/j.1467-6451.2012.00488.x PG 27 WC Business, Finance; Economics SC Business & Economics GA 026IL UT WOS:000310268500001 ER PT J AU Hetzel, RL AF Hetzel, Robert L. TI Central bank accountability and independence: Are they inconsistent? SO JOURNAL OF MACROECONOMICS LA English DT Article DE Central bank; Monetary policy; Political economy of money; Federal Reserve System AB The language of discretion offers little information about monetary policy beyond the assurance that policymakers always "do the right thing at the right time". This language renders problematic the reconciliation of central bank independence with accountability. Monetary policymakers should articulate an analytical framework using the language of economics that allows them to respond to the question, "What variables does the central bank control and how does it exercise that control". (C) 2012 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Richmond, Richmond, VA 23261 USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, POB 27622, Richmond, VA 23261 USA. EM robert.hetzel@rich.frb.org NR 14 TC 1 Z9 1 U1 3 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0164-0704 EI 1873-152X J9 J MACROECON JI J. Macroecon. PD SEP PY 2012 VL 34 IS 3 BP 616 EP 625 DI 10.1016/j.jmacro.2012.02.010 PG 10 WC Economics SC Business & Economics GA 013HL UT WOS:000309296400005 ER PT J AU Kandrac, J AF Kandrac, John TI Monetary policy and bank lending to small firms SO JOURNAL OF MACROECONOMICS LA English DT Article DE Credit channel; Balance sheet channel; Banking industry; Monetary policy ID PANEL-DATA MODELS; CREDIT CONDITIONS; TRANSMISSION; BEHAVIOR; QUALITY; CHANNEL; FLIGHT; SIZE AB This paper presents an empirical test of the balance sheet channel of monetary policy. I take advantage of a panel data set containing nearly all domestic banks to search for an adjustment in lending patterns induced by changes in the stance of monetary policy. I find that in response to monetary policy tightening, banks decrease the proportion of credit extended to high-agency-cost "small" borrowers. Additionally, I provide evidence that this result is in fact driven by a balance sheet effect working on small borrowers rather than on small lenders. (C) 2012 Elsevier Inc. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Kandrac, J (reprint author), Fed Reserve Syst, Board Governors, 20th St,Constitut Ave NW, Washington, DC 20551 USA. EM john.p.kandrac@frb.gov NR 47 TC 4 Z9 4 U1 0 U2 17 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 2012 VL 34 IS 3 BP 741 EP 748 DI 10.1016/j.jmacro.2012.06.002 PG 8 WC Economics SC Business & Economics GA 013HL UT WOS:000309296400014 ER PT J AU Shy, O Stenbacka, R AF Shy, Oz Stenbacka, Rune TI Efficient organization of production: Nested versus horizontal outsourcing SO ECONOMICS LETTERS LA English DT Article DE Outsourcing; Subcontracting; Nested outsourcing; Horizontal outsourcing; Efficient organization of outsourcing AB We characterize equilibrium and efficient modes of production by comparing nested (vertical) outsourcing with horizontal outsourcing. Nested outsourcing is found to be inefficient unless the cost of monitoring outsourced production lines increases sharply with the number of subcontractors and not only with the number of outsourced components. We characterize a market failure in which nested outsourcing is the market outcome even though horizontal outsourcing is the efficient outsourcing mode. This failure occurs at an intermediate range of the costs of monitoring outsourcing to several subcontractors. (c) 2012 Elsevier B.V. All rights reserved. C1 [Shy, Oz] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Stenbacka, Rune] Hanken Sch Econ, Helsinki 00101, Finland. RP Shy, O (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM ozshy@ozshy.com; Rune.Stenbacka@hanken.fi NR 11 TC 1 Z9 1 U1 1 U2 6 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD SEP PY 2012 VL 116 IS 3 BP 593 EP 596 DI 10.1016/j.econlet.2012.06.009 PG 4 WC Economics SC Business & Economics GA 001GW UT WOS:000308449600089 ER PT J AU Martin, FM Waller, CJ AF Martin, Fernando M. Waller, Christopher J. TI Sovereign Debt: A Modern Greek Tragedy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The authors of this article provide a general introduction to the concept of sovereign debt-including the seductive nature of borrowing and the strategies associated with default-before analyzing the current debt crises in Europe. They focus on Greece's current woes but also discuss Portugal, Ireland, Italy, and Spain. The authors also discuss the environment in the United States, which has a high debt burden of its own, and present fiscal choices for policymakers and taxpayers. C1 [Martin, Fernando M.; Waller, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Martin, FM (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Martin, Fernando/I-5747-2016; Waller, Christopher/I-5755-2016 OI Martin, Fernando/0000-0001-5045-7998; Waller, Christopher/0000-0003-2406-9910 NR 3 TC 2 Z9 2 U1 0 U2 16 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 2012 VL 94 IS 5 BP 321 EP 339 PG 19 WC Business, Finance; Economics SC Business & Economics GA 009OA UT WOS:000309033900001 ER PT J AU Cohen, JP Coughlin, CC Lopez, DA AF Cohen, Jeffrey P. Coughlin, Cletus C. Lopez, David A. TI The Boom and Bust of US Housing Prices from Various Geographic Perspectives SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RESIDENTIAL LAND; FORECLOSURES; BUBBLES; VALUES; SALES AB This paper summarizes changes in housing prices during the recent U.S. boom and bust from various geographic perspectives. Nationally, the Standard & Poor's/Case-Shiller house price index more than doubled in nominal terms during the boom and has fallen by roughly a third subsequently. During the boom, housing prices tended to rise much faster in metropolitan areas in the East and West Coast regions than in the country's interior. After adjusting for inflation, 7 of 19 metropolitan areas have experienced real declines in housing prices from the start of the boom to the present. Although lower-priced houses showed a larger percentage increase during the boom, higher-priced houses fared relatively better over the boom and bust. Changes in land prices, which are not easily measured, appear to have driven housing prices to a greater extent than changes in the prices of housing structures. Internationally, seven countries experienced housing booms and busts; however, these countries tended to have larger booms and smaller absolute busts than the United States. C1 [Cohen, Jeffrey P.] Univ Hartford, Hartford, CT 06117 USA. [Coughlin, Cletus C.; Lopez, David A.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Cohen, JP (reprint author), Univ Hartford, Hartford, CT 06117 USA. RI Coughlin, Cletus/K-6860-2016; OI Coughlin, Cletus/0000-0002-8304-2796; Cohen, Jeffrey/0000-0001-5467-7584 NR 32 TC 8 Z9 8 U1 4 U2 15 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 2012 VL 94 IS 5 BP 341 EP 367 PG 27 WC Business, Finance; Economics SC Business & Economics GA 009OA UT WOS:000309033900002 ER PT J AU Kliesen, KL Owyang, MT Vermann, EK AF Kliesen, Kevin L. Owyang, Michael T. Vermann, E. Katarina TI Disentangling Diverse Measures: A Survey of Financial Stress Indexes SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The recent financial crisis helped emphasize the need for measures of financial conditions. In the wake of the crisis, several researchers and institutions-both private sector and central bank-developed measures of financial stress. These measures are intended to capture, among other things, the liquidity in financial markets and potentially forecast changes in real economic conditions. Unfortunately, there is no agreement about which variables should be included in a measure of stress. The authors survey a number of financial stress indexes, comparing the datasets from which they are constructed. In principle, each of the indexes measures the same thing; thus, they should be highly correlated. The authors find that in practice, however, the correlations are high but not as high as might be expected. They also evaluate the ability of the indexes to predict future economic activity in a simple vector autoregressive forecasting model. C1 [Kliesen, Kevin L.; Owyang, Michael T.; Vermann, E. Katarina] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Kliesen, KL (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Owyang, Michael/I-5750-2016; Kliesen, Kevin/I-5746-2016 OI Owyang, Michael/0000-0002-2109-3432; Kliesen, Kevin/0000-0002-7166-6016 NR 27 TC 14 Z9 14 U1 1 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2012 VL 94 IS 5 BP 369 EP 397 PG 29 WC Business, Finance; Economics SC Business & Economics GA 009OA UT WOS:000309033900003 ER PT J AU Owyang, MT Sekhposyan, T AF Owyang, Michael T. Sekhposyan, Tatevik TI Okun's Law over the Business Cycle: Was the Great Recession All That Different? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB In 1962, Arthur Okun posited an empirical relationship between the change in the unemployment rate and real output growth. Since then, the media, policymakers, pundits, and intermediate macro students have used the so-called Okun's law as a rule of thumb to relate changes in unemployment to changes in output growth. However, some studies have suggested that the relationship has not been stable over time. Furthermore, the slow recovery of U.S. unemployment relative to output after the Great Recession has led some to question whether Okun's law has changed permanently. In this light, the authors reconsider the evidence on instability in Okun's law and, in particular, examine whether the Great Recession has contributed to the breakdown of the empirical relationship. C1 [Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. [Sekhposyan, Tatevik] Bank Canada, Ottawa, ON, Canada. RP Owyang, MT (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 15 TC 15 Z9 15 U1 2 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 SEP-OCT PY 2012 VL 94 IS 5 BP 399 EP 418 PG 20 WC Business, Finance; Economics SC Business & Economics GA 009OA UT WOS:000309033900004 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI THE ECONOMICS OF US IMMIGRATION POLICY SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Editorial Material ID LOW-SKILLED IMMIGRATION; LABOR-MARKET IMPACT; WAGES; DEMAND C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Zavodny, Madeline] Agnes Scott Coll, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. NR 37 TC 1 Z9 1 U1 1 U2 15 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0276-8739 EI 1520-6688 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD FAL PY 2012 VL 31 IS 4 BP 948 EP 956 DI 10.1002/pam.21653 PG 9 WC Economics; Public Administration SC Business & Economics; Public Administration GA 003UZ UT WOS:000308638200008 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI CREDIBLE IMMIGRATION POLICY REFORM: A RESPONSE TO BRIGGS SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Editorial Material ID WAGE INEQUALITY C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Zavodny, Madeline] Agnes Scott Coll, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. NR 5 TC 1 Z9 1 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0276-8739 EI 1520-6688 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD FAL PY 2012 VL 31 IS 4 BP 963 EP 966 DI 10.1002/pam.21654 PG 4 WC Economics; Public Administration SC Business & Economics; Public Administration GA 003UZ UT WOS:000308638200010 ER PT J AU Bleakley, H Lin, J AF Bleakley, Hoyt Lin, Jeffrey TI Thick-market effects and churning in the labor market: Evidence from US cities SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Agglomeration; Churning; Sector-specific skill ID YOUNG WORKERS; EXTENT; SPECIALIZATION; AGGLOMERATION; DIVISION; GROWTH; MEN AB Workers change occupation and industry less often in more densely populated areas, a relationship that had not been previously reported. This reduced-form result is robust to standard demographic controls, as well as to including aggregate measures of human capital and sectoral mix. Analysis of displaced worker Surveys shows that this relationship is present in cases of involuntary separation as well. In contrast, we actually find the opposite result (higher rates of occupational and industrial switching) for the subsample of younger workers. These results provide evidence consistent with increasing-returns-to-scale matching in labor markets. Results from a back-of-the-envelope calibration suggest that this mechanism has an important role in raising both wages and returns to experience in denser areas. (C) 2012 Elsevier Inc. All rights reserved. C1 [Lin, Jeffrey] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Bleakley, Hoyt] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. RP Lin, J (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM bleakley@chicagobooth.edu; jeff.lin@phil.frb.org FU NIA NIH HHS [P01 AG010120] NR 41 TC 6 Z9 6 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD SEP-NOV PY 2012 VL 72 IS 2-3 BP 87 EP 103 DI 10.1016/j.jue.2012.04.003 PG 17 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 993LQ UT WOS:000307861600002 PM 24039316 ER PT J AU Cipriani, M Costantini, R Guarino, A AF Cipriani, Marco Costantini, Riccardo Guarino, Antonio TI A Bayesian approach to experimental analysis: trading in a laboratory financial market SO REVIEW OF ECONOMIC DESIGN LA English DT Article DE Experimental economics; Herd behavior; Contrarian behavior; Bayesian methods ID HERD BEHAVIOR AB We employ a Bayesian approach to analyze financial markets experimental data. We estimate a structural model of sequential trading in which trading decisions are classified in five types: private-information based, noise, herd, contrarian and irresolute. Through Monte Carlo simulation, we estimate the posterior distributions of the structural parameters. This technique allows us to compare several non-nested models of trade arrival. We find that the model best fitting the data is that in which a proportion of trades stems from subjects who do not rely only on their private information once the difference between the number of previous buy and sell decisions is at least two. In this model, the majority of trades stem from subjects following their private information. There is also a large proportion of noise trading activity, which is biased towards buying the asset. We observe little herding and contrarianism, as theory suggests. Finally, we observe a significant proportion of (irresolute) subjects who follow their own private information when it agrees with public information, but abstain from trading when it does not. C1 [Cipriani, Marco] Fed Reserve Bank New York, New York, NY 10045 USA. [Costantini, Riccardo; Guarino, Antonio] UCL, London, England. RP Cipriani, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM marco.cipriani@ny.frb.org; riccardo.costantini.10@ucl.ac.uk; a.guarino@ucl.ac.uk NR 8 TC 2 Z9 3 U1 2 U2 12 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1434-4742 EI 1434-4750 J9 REV ECON DES JI Rev. Econ. Des. PD SEP PY 2012 VL 16 IS 2-3 SI SI BP 175 EP 191 DI 10.1007/s10058-012-0124-8 PG 17 WC Economics SC Business & Economics GA 006JB UT WOS:000308814300006 ER PT J AU Alvarez, F Veracierto, M AF Alvarez, Fernando Veracierto, Marcelo TI Fixed-term employment contracts in an equilibrium search model SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Temporary contracts; Fixed-term contracts; Firing costs; Search; Unemployment ID LABOR; UNEMPLOYMENT; TURNOVER; SPAIN; WORK AB We develop a theoretical model of firm dynamics and unemployment and characterize equilibria with tenure dependent separation taxes. The model is a version of the Lucas and Prescott island model with undirected search. Two equivalent decentralizations are considered: one with spot labor markets and one with long-term employment relations. We model "temporary contracts" as the special case of a separation tax that only applies to workers with tenure higher than J. While in principle these contracts require a J-dimensional state space, equilibrium allocations solve a simple dynamic programming problem characterized by two-dimensional inaction set(s). (C) 2012 Published by Elsevier Inc. C1 [Alvarez, Fernando] Univ Chicago, Chicago, IL 60637 USA. [Alvarez, Fernando] NBER, Chicago, IL 60637 USA. [Veracierto, Marcelo] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Alvarez, F (reprint author), Univ Chicago, 1126 E 59th St, Chicago, IL 60637 USA. EM f-alvarez1@uchicago.edu; mveracie@frbchi.org NR 29 TC 1 Z9 1 U1 0 U2 16 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2012 VL 147 IS 5 BP 1725 EP 1753 DI 10.1016/j.jet.2012.05.015 PG 29 WC Economics SC Business & Economics GA 002ZB UT WOS:000308576500003 ER PT J AU Fomby, TB Gunther, JW Hu, J AF Fomby, Thomas B. Gunther, Jeffery W. Hu, Jian TI Return Dependence and the Limits of Product Diversification in Financial Firms SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G01; G21; G28; financial crises; return dependence; copula ID BANK-HOLDING COMPANIES; TIME-SERIES; RISK; MODEL; HETEROSKEDASTICITY; INTERDEPENDENCE; CONTAGION; GARCH AB Copula-GARCH models indicate dependence between bank returns and those to insurance underwriting, securities brokerage, and mortgage finance increased during the recent crisis. In contrast, dependence between banks and the broader market was little changed. The crisis-related jump in return dependence within the financial services sector was greatest for banks that had previously appeared the most independent. Larger banks were also especially prone to increased dependence. These findings raise doubts about the ability of financial conglomerates to diversify effectively and highlight the need for policy progress in methods for resolving such institutions should they become illiquid or insolvent. C1 [Fomby, Thomas B.] So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. [Gunther, Jeffery W.] Fed Reserve Bank Dallas, Financial Ind Studies Dept, Dallas, TX USA. [Hu, Jian] Renmin Univ China, Sch Finance, China Financial Policy Res Ctr, Beijing, Peoples R China. RP Fomby, TB (reprint author), So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. EM tfomby@smu.edu; jeffery.w.gunther@dal.frb.org; jian.hu2@moodys.com NR 35 TC 1 Z9 1 U1 2 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 SEP PY 2012 VL 44 IS 6 BP 1151 EP 1183 DI 10.1111/j.1538-4616.2012.00526.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 994XM UT WOS:000307968000007 ER PT J AU Aron, J Duca, JV Muellbauer, J Murata, K Murphy, A AF Aron, Janine Duca, John V. Muellbauer, John Murata, Keiko Murphy, Anthony TI CREDIT, HOUSING COLLATERAL, AND CONSUMPTION: EVIDENCE FROM JAPAN, THE UK, AND THE U.S. SO REVIEW OF INCOME AND WEALTH LA English DT Article DE E21; E32; E44; E51; consumption; credit conditions; housing collateral; housing wealth ID PERMANENT INCOME HYPOTHESIS; LIQUIDITY CONSTRAINTS; FINANCIAL WEALTH; INTEREST-RATES; CYCLE; MARKET AB The consumption behavior of U.K., U.S., and Japanese households is examined and compared using a modern Ando-Modigliani style consumption function. The models incorporate income growth expectations, income uncertainty, housing collateral, and other credit effects. These models therefore capture important parts of the financial accelerator. The evidence is that credit availability for U.K. and U.S., but not Japanese, households has undergone large shifts since 1980. The average consumption-to-income ratio rose in the U.K. and U.S. as mortgage down-payment constraints eased and as the collateral role of housing wealth was enhanced by financial innovations, such as home equity loans. The estimated housing collateral effect is similar in the U.S. and U.K. In Japan, land prices (which proxy house prices) continue to negatively impact consumer spending. There are negative real interest rate effects on consumption in the U.K. and U.S. and positive effects in Japan. Overall, this implies important differences in the transmission of monetary and credit shocks in Japan versus the U.S., U.K., and other credit-liberalized economies. C1 [Muellbauer, John] Univ Oxford Nuffield Coll, Oxford OX1 1NF, England. [Aron, Janine] Univ Oxford, Dept Econ, Oxford Martin Sch, Oxford OX1 2JD, England. [Aron, Janine; Muellbauer, John] Univ Oxford, Inst New Econ Thinking, Oxford Martin Sch, Oxford OX1 2JD, England. [Duca, John V.; Murphy, Anthony] Fed Reserve Bank Dallas, Dallas, TX USA. [Duca, John V.] So Methodist Univ, Dallas, TX 75275 USA. [Murata, Keiko] Tokyo Metropolitan Univ, Tokyo, Japan. RP Muellbauer, J (reprint author), Univ Oxford Nuffield Coll, New Rd, Oxford OX1 1NF, England. EM john.muellbauer@nuffield.ox.ac.uk NR 71 TC 31 Z9 31 U1 1 U2 24 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0034-6586 J9 REV INCOME WEALTH JI Rev. Income Wealth PD SEP PY 2012 VL 58 IS 3 BP 397 EP 423 DI 10.1111/j.1475-4991.2011.00466.x PG 27 WC Economics SC Business & Economics GA 982MX UT WOS:000307050300001 ER PT J AU Hong, H Yogo, M AF Hong, Harrison Yogo, Motohiro TI What does futures market interest tell us about the macroeconomy and asset prices? SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Bonds; Business cycle; Commodities; Currencies; Futures market; Inflation ID NORMAL BACKWARDATION; COMMODITY FUTURES; RETURNS; INFLATION; STOCK; RISK; PREMIUMS; CURVE AB Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find that movements in open interest are highly pro-cyclical, correlated with both macroeconomic activity and movements in asset prices. Movements in commodity market interest predict commodity returns, bond returns, and movements in the short rate even after controlling for other known predictors. To a lesser degree, movements in open interest predict returns in currency, bond, and stock markets. (C) 2012 Elsevier B.V. All rights reserved. C1 [Yogo, Motohiro] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. [Hong, Harrison] Princeton Univ, Dept Econ, Princeton, NJ 08540 USA. [Hong, Harrison] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Hong, Harrison] China Acad Financial Res, Shanghai, Peoples R China. RP Yogo, M (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM yogo@minneapolisfed.org RI Yogo, Motohiro/C-4820-2009 OI Yogo, Motohiro/0000-0001-8778-778X NR 29 TC 57 Z9 59 U1 7 U2 33 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD SEP PY 2012 VL 105 IS 3 BP 473 EP 490 DI 10.1016/j.jfineco.2012.04.005 PG 18 WC Business, Finance; Economics SC Business & Economics GA 970WZ UT WOS:000306164300002 ER PT J AU Dwyer, GP Tabak, BM Vilmunen, J AF Dwyer, Gerald P. Tabak, Benjamin M. Vilmunen, Jouko TI The financial crisis of 2008, credit markets and effects on developed and emerging economies SO JOURNAL OF FINANCIAL STABILITY LA English DT Editorial Material C1 [Tabak, Benjamin M.] Banco Cent Brasil, Brasilia, DF, Brazil. [Tabak, Benjamin M.] Univ Catolica Brasilia, Brasilia, DF, Brazil. [Dwyer, Gerald P.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Dwyer, Gerald P.] Univ Carlos III Madrid, Madrid, Spain. RP Tabak, BM (reprint author), Banco Cent Brasil, Brasilia, DF, Brazil. EM benjamin.tabak@bcb.gov.br OI Tabak, Benjamin/0000-0002-7935-3188 NR 6 TC 0 Z9 0 U1 1 U2 4 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 2012 VL 8 IS 3 BP 1 EP 3 DI 10.1016/j.jfs.2012.03.001 PG 3 WC Business, Finance; Economics SC Business & Economics GA 968BE UT WOS:000305951200001 ER PT J AU Huang, X Zhou, H Zhu, HB AF Huang, Xin Zhou, Hao Zhu, Haibin TI Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Systemic risk; Macro-prudential regulation; Portfolio distress loss; Credit default swap; Dynamic conditional correlation ID EXPECTED SHORTFALL; CREDIT RISK; MANAGEMENT AB This paper measures the systemic risk of a banking sector as a hypothetical distress insurance premium, identifies various sources of financial instability, and allocates systemic risk to individual financial institutions. The systemic risk measure, defined as the insurance cost to protect against distressed losses in a banking system, is a summary indicator of market perceived risk that reflects expected default risk of individual banks, risk premia as well as correlated defaults. An application of our methodology to a portfolio of twenty-two major banks in Asia and the Pacific illustrates the dynamics of the spillover effects of the global financial crisis to the region. The increase in the perceived systemic risk, particularly after the failure of Lehman Brothers, was mainly driven by the heightened risk aversion and the squeezed liquidity. Further analysis, which is based on our proposed approach to quantifying the marginal contribution of individual banks to the systemic risk, suggests that "too-big-to-fail" is a valid concern from a macro-prudential perspective of bank regulation. (C) 2011 Elsevier B.V. All rights reserved. C1 [Huang, Xin] Univ Oklahoma, Dept Econ, Norman, OK 73019 USA. [Zhou, Hao] Fed Reserve Board, Risk Anal Sect, Washington, DC 20551 USA. [Zhu, Haibin] JP Morgan Chase Bank, NA, Hong Kong, Hong Kong, Peoples R China. RP Huang, X (reprint author), Univ Oklahoma, Dept Econ, 729 Elm Ave,Room 329,Hester Hall, Norman, OK 73019 USA. EM xhuang@ou.edu; hao.zhou@frb.gov; haibin.zhu@jpmorgan.com NR 45 TC 29 Z9 29 U1 6 U2 47 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 2012 VL 8 IS 3 BP 193 EP 205 DI 10.1016/j.jfs.2011.10.004 PG 13 WC Business, Finance; Economics SC Business & Economics GA 968BE UT WOS:000305951200006 ER PT J AU Lansing, KJ AF Lansing, Kevin J. TI Speculative growth, overreaction, and the welfare cost of technology-driven bubbles SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Excess volatility; Asset pricing; Speculative bubbles; Endogenous growth; Business cycles ID ENDOGENOUS GROWTH; STOCK-MARKET; INVESTMENT; VOLATILITY; ECONOMY; PRICES; INEFFICIENCY; INFORMATION; MODEL; TIME AB This paper develops a general equilibrium model to examine the quantitative effects of speculative bubbles on capital accumulation, growth, and welfare. A near-rational bubble component in the model equity price generates excess volatility in response to observed technology shocks. In simulations, intermittent equity price run-ups coincide with positive innovations in technology, investment and consumption booms, and faster trend growth, reminiscent of the U.S. economy during the late 1920s and late 1990s. The welfare cost of speculative bubbles depends crucially on parameter values. Bubbles can improve welfare if risk aversion is low and agents underinvest relative to the socially optimal level. But for higher levels of risk aversion, the welfare cost of bubbles is large, typically exceeding 1% of annual consumption. (C) 2012 Elsevier B.V. All rights reserved. C1 [Lansing, Kevin J.] Fed Reserve Bank San Francisco, San Francisco, CA 94120 USA. [Lansing, Kevin J.] Norges Bank, N-0107 Oslo, Norway. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, POB 7702, San Francisco, CA 94120 USA. EM kevin.j.lansing@sf.frb.org NR 54 TC 6 Z9 7 U1 1 U2 15 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 AUG PY 2012 VL 83 IS 3 BP 461 EP 483 DI 10.1016/j.jebo.2012.02.011 PG 23 WC Economics SC Business & Economics GA 076AA UT WOS:000313927700013 ER PT J AU Wieland, V Cwik, T Muller, GJ Schmidt, S Wolters, M AF Wieland, Volker Cwik, Tobias Mueller, Gernot J. Schmidt, Sebastian Wolters, Maik TI A new comparative approach to macroeconomic modeling and policy analysis SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Macroeconomic models; Model uncertainty; Policy rules; Robustness; Monetary policy; Fiscal policy; Model comparison ID OPTIMAL MONETARY-POLICY; ESTIMATED DSGE MODEL; GOVERNMENT SPENDING MULTIPLIERS; NOMINAL INTEREST-RATES; AREA-WIDE-MODEL; EURO AREA; RATIONAL-EXPECTATIONS; OPEN-ECONOMY; KEYNESIAN PERSPECTIVE; BUSINESS-CYCLE AB In the aftermath of the global financial crisis, the state of macroeconomic modeling and the use of macroeconomic models in policy analysis has come under heavy criticism. Macroeconomists in academia and policy institutions have been blamed for relying too much on a particular class of macroeconomic models. This paper proposes a comparative approach to macroeconomic policy analysis that is open to competing modeling paradigms. Macroeconomic model comparison projects have helped produce some very influential insights such as the Taylor rule. However, they have been infrequent and costly, because they require the input of many teams of researchers and multiple meetings to obtain a limited set of comparative findings. This paper provides a new approach that enables individual researchers to conduct model comparisons easily, frequently, at low cost and on a large scale. Using this approach a model archive is built that includes many well-known empirically estimated models that may be used for quantitative analysis of monetary and fiscal stabilization policies. A computational platform is created that allows straightforward comparisons of models' implications. Its application is illustrated by comparing different monetary and fiscal policies across selected models. Researchers can easily include new models in the database and compare the effects of novel extensions to established benchmarks thereby fostering a comparative instead of insular approach to model development. (C) 2012 Elsevier B.V. All rights reserved. C1 [Wieland, Volker; Schmidt, Sebastian; Wolters, Maik] Goethe Univ Frankfurt, D-60323 Frankfurt, Germany. [Cwik, Tobias] Board Governors Fed Reserve Syst, Div Res & Stat, Washington, DC 20551 USA. [Mueller, Gernot J.] Univ Bonn, D-53113 Bonn, Germany. RP Wieland, V (reprint author), Goethe Univ Frankfurt, Grueneburgpl 1,House Finance, D-60323 Frankfurt, Germany. EM wieland@wiwi.uni-frankfurt.de; tobias.cwik@frb.gov; gernot.mueller@uni-bonn.de; s.schmidt@wiwi.uni-frankfurt.de; wolters@wiwi.uni-frankfurt.de NR 87 TC 16 Z9 16 U1 0 U2 22 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 EI 1879-1751 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD AUG PY 2012 VL 83 IS 3 BP 523 EP 541 DI 10.1016/j.jebo.2012.01.006 PG 19 WC Economics SC Business & Economics GA 076AA UT WOS:000313927700016 ER PT J AU Veltri, SC Cavanagh, G AF Veltri, Stephen C. Cavanagh, Greg TI Payments SO BUSINESS LAWYER LA English DT Editorial Material C1 [Veltri, Stephen C.] Ohio No Univ, Claude W Pettit Coll Law, Ada, OH 45810 USA. [Cavanagh, Greg] Fed Reserve Bank New York, New York, NY USA. RP Veltri, SC (reprint author), Ohio No Univ, Claude W Pettit Coll Law, Ada, OH 45810 USA. NR 64 TC 4 Z9 4 U1 0 U2 0 PU AMER BAR ASSOC, ADMINISTRATIVE LAW & REGULATORY PRACTICE SECTION PI CHICAGO PA 321 N CLARK ST, CHICAGO, IL 60610 USA SN 0007-6899 J9 BUS LAWYER JI Bus. Lawyer PD AUG PY 2012 VL 67 IS 4 BP 1257 EP 1280 PG 24 WC Law SC Government & Law GA 017WP UT WOS:000309622200009 ER PT J AU Menkveld, AJ Sarkar, A van der Wel, M AF Menkveld, Albert J. Sarkar, Asani van der Wel, Michel TI Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-Free Rate SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID US TREASURY MARKET; FUTURES MARKETS; STOCK-PRICES; INFORMED TRADERS; ECONOMIC-NEWS; DUAL TRADERS; INFORMATION; LIQUIDITY; IMPACT; SPECIALIST AB Macro announcements change the equilibrium risk-free rate. We find that Treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow after the announcement to discover the full impact. This customer flow informativeness is strongest when analyst macro forecasts are most dispersed. The result holds for 30-year Treasury futures trading in both electronic and open-outcry markets. We further show that intermediaries benefit from privately recognizing informed customer flow, as their own-account trading profitability correlates with customer order access. C1 [Menkveld, Albert J.] Vrije Univ Amsterdam, TI Duisenberg Sch Finance, NL-1081 HV Amsterdam, Netherlands. [Sarkar, Asani] Fed Reserve Bank New York, New York, NY 10045 USA. [Sarkar, Asani] Princeton Univ, Princeton, NJ 08544 USA. [van der Wel, Michel] Erasmus Univ, Tinbergen Inst, NL-3000 DR Rotterdam, Netherlands. [van der Wel, Michel] CREATES Aarhus, Aarhus, Denmark. RP Menkveld, AJ (reprint author), Vrije Univ Amsterdam, TI Duisenberg Sch Finance, De Boelelaan 1105, NL-1081 HV Amsterdam, Netherlands. EM albertjmenkveld@gmail.com; asani.sarkar@ny.frb.org; vanderwel@ese.eur.nl OI Menkveld, Albert/0000-0002-9913-9242 NR 37 TC 2 Z9 2 U1 3 U2 22 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-1090 EI 1756-6916 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD AUG PY 2012 VL 47 IS 4 BP 821 EP 849 DI 10.1017/S0022109012000245 PG 29 WC Business, Finance; Economics SC Business & Economics GA 025HJ UT WOS:000310179000006 ER PT J AU Barlevy, G Neal, D AF Barlevy, Gadi Neal, Derek TI Pay for Percentile SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INCENTIVE CONTRACTS; TOURNAMENTS; ACCOUNTABILITY; PRODUCTIVITY; ACHIEVEMENT; COMPETITION; EDUCATORS; REWARD AB We propose an incentive scheme for educators that links compensation to the ranks of their students within comparison sets. Under certain conditions, this scheme induces teachers to allocate socially optimal levels of effort. Moreover, because this scheme employs only ordinal information, it allows education authorities to employ completely new assessments at each testing date without ever having to equate various assessments. This removes incentives for teachers to teach to a particular assessment form and eliminates opportunities to influence reward pay by corrupting assessment scales. Education authorities can employ separate no-stakes assessment systems to track trends in scaled measures of student achievement. (JEL I21, I28, J33, J45) C1 [Barlevy, Gadi] Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. [Neal, Derek] Univ Chicago, Dept Econ, Chicago, IL 60637 USA. [Neal, Derek] Univ Chicago, Comm Educ, Chicago, IL 60637 USA. RP Barlevy, G (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, 230 S LaSalle, Chicago, IL 60604 USA. EM gbarlevy@frbchi.org; d-neal@uchicago.edu NR 36 TC 18 Z9 18 U1 0 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD AUG PY 2012 VL 102 IS 5 BP 1805 EP 1831 DI 10.1257/aer.102.5.1805 PG 27 WC Economics SC Business & Economics GA 988EO UT WOS:000307471600002 ER PT J AU Contessi, S De Pace, P AF Contessi, Silvio De Pace, Pierangelo TI (NON-)RESILIENCY OF FOREIGN DIRECT INVESTMENT IN THE UNITED STATES DURING THE 2007-2009 FINANCIAL CRISIS SO PACIFIC ECONOMIC REVIEW LA English DT Article ID GROWTH; CREDIT; BANKS; TRADE AB We study the contraction of foreign direct investment (FDI) flows in the United States during the recent financial crisis and show their unusual non-resiliency, which depends in part on the global nature of the economic recession, but also on the increases in the cost of financing FDI in the economies in which the flows originate. To formally study the effects of external financial conditions on FDI in the United States, we exploit the three dimensions of a panel of US inward FDI flows organized by recipient US industries, source countries and years for the recorded flows. Changes in the cost of finance in the source countries have little or no effect on total inward flows (the sum of equity, debt and reinvested earnings) over the 20062010 period. However, US industries characterized by more financial vulnerability experience statistically significant variations in the debt and equity components of inward FDI flows in response to the changes in the cost of capital that occurred in the source countries during the crisis. C1 [De Pace, Pierangelo] Pomona Coll, Dept Econ, Claremont, CA 91711 USA. [Contessi, Silvio] Fed Reserve Bank St Louis, St Louis, MO USA. RP De Pace, P (reprint author), Pomona Coll, Dept Econ, Carnegie Bldg,Room 205,425 N Coll Ave, Claremont, CA 91711 USA. EM pierangelo.depace@pomona.edu NR 20 TC 2 Z9 2 U1 1 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1361-374X J9 PAC ECON REV JI Pac. Econ. Rev. PD AUG PY 2012 VL 17 IS 3 BP 368 EP 390 DI 10.1111/j.1468-0106.2012.00589.x PG 23 WC Economics SC Business & Economics GA 995UB UT WOS:000308037300003 ER PT J AU Neely, CJ Fawley, BW AF Neely, Christopher J. Fawley, Brett W. TI CAPITAL FLOWS AND JAPANESE ASSET VOLATILITY SO PACIFIC ECONOMIC REVIEW LA English DT Article ID EXCHANGE-RATE VOLATILITY; ORDER FLOWS; NEWS; MARKETS; MODELS; RATES; HETEROSKEDASTICITY; ANNOUNCEMENTS; VARIANCE; INTRADAY AB Characterizing asset price volatility is an important goal for financial economists. The literature has shown that variables that proxy for the information arrival process can help explain and/or forecast volatility. Unfortunately, however, obtaining good measures of volume and/or order flow is expensive or difficult in decentralized markets such as foreign exchange. We investigate the extent that Japanese capital flows, which are released weekly, reflect information arrival that improves foreign exchange and equity volatility forecasts. We find that capital flows can help explain transitory shocks to generalized autoregressive conditionally heteroskedastic volatility. C1 [Neely, Christopher J.; Fawley, Brett W.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM neely@stls.frb.org RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 26 TC 1 Z9 1 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1361-374X J9 PAC ECON REV JI Pac. Econ. Rev. PD AUG PY 2012 VL 17 IS 3 BP 391 EP 414 DI 10.1111/j.1468-0106.2012.00590.x PG 24 WC Economics SC Business & Economics GA 995UB UT WOS:000308037300004 ER PT J AU Sahm, CR Shapiro, MD Slemrod, J AF Sahm, Claudia R. Shapiro, Matthew D. Slemrod, Joel TI Check in the Mail or More in the Paycheck: Does the Effectiveness of Fiscal Stimulus Depend on How It Is Delivered? SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID CONSUMER RESPONSE; TAX; INCOME; REBATE; CONSUMPTION AB Recent fiscal policies, including the 2008 stimulus payments and the 2009 Making Work Pay Tax Credit, aimed to increase household spending. This paper quantifies the spending response to these policies and examines differences in spending by whether the stimulus was delivered as a one-time payment or as a flow of payments from reduced withholding. Based on responses from a representative sample of households in the Thomson Reuters/University of Michigan Surveys of Consumers, the paper finds that the reduction in withholding in 2009 boosted spending at roughly half the rate (13 percent) as the one-time payments (25 percent) in 2008. (JEL D12, E21, E62) C1 [Sahm, Claudia R.] Fed Reserve Board, Washington, DC 20551 USA. [Shapiro, Matthew D.; Slemrod, Joel] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. RP Sahm, CR (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM claudia.r.sahm@frb.gov; shapiro@umich.edu; jslemrod@umich.edu FU NIA NIH HHS [P01 AG026571]; NICHD NIH HHS [R24 HD041028] NR 25 TC 10 Z9 10 U1 1 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD AUG PY 2012 VL 4 IS 3 BP 216 EP 250 DI 10.1257/pol.4.3.216 PG 35 WC Economics SC Business & Economics GA 985QP UT WOS:000307283400008 PM 23970951 ER PT J AU Wilson, DJ AF Wilson, Daniel J. TI Fiscal Spending Jobs Multipliers: Evidence from the 2009 American Recovery and Reinvestment Act SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID GOVERNMENT PURCHASES; POLICY; TAXES; SHOCKS AB This paper estimates the "jobs multiplier" of fiscal stimulus spending using the state-level allocations of federal stimulus funds from the American Recovery and Reinvestment Act (ARRA) of 2009. Because the level and timing of stimulus funds that a state receives was potentially endogenous, I exploit the fact that most of these funds were allocated according to exogenous formulary allocation factors such as the number of federal highway miles in a state or its youth share of population. Cross-state IV results indicate that ARRA spending in its first year yielded about eight jobs per million dollars spent, or $125,000 per job. (JEL E24, E62, H72, H75, R23) C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Wilson, DJ (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St,Mail Stop 1130, San Francisco, CA 94105 USA. EM daniel.wilson@sf.frb.org NR 35 TC 24 Z9 24 U1 0 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD AUG PY 2012 VL 4 IS 3 BP 251 EP 282 DI 10.1257/pol.4.3.251 PG 32 WC Economics SC Business & Economics GA 985QP UT WOS:000307283400009 ER PT J AU de Bruin, WB van der Klaauw, W Topa, G Downs, JS Fischhoff, B Armantier, O AF de Bruin, Waendi Bruine van der Klaauw, Wilbert Topa, Giorgio Downs, Julie S. Fischhoff, Baruch Armantier, Olivier TI The effect of question wording on consumers' reported inflation expectations SO JOURNAL OF ECONOMIC PSYCHOLOGY LA English DT Article DE Inflation expectations; Question design; Consumer surveys ID WEB; FORECASTS; ECONOMY; MODELS; TIMES AB Economists and policy makers increasingly consult national household surveys asking individuals about their economic circumstances, financial decisions, and expectations for the future. For decades, the Reuters/Michigan Survey of Consumers and other national surveys have asked about expectations for "prices in general", with responses being used by academic economists, policy makers, and central bankers. Although median responses track official inflation estimates, respondents exhibit considerable disagreement, with some reporting seemingly large overestimations. Here, we demonstrate that changes in the wording of survey questions about inflation expectations affect the central tendency of responses as well as their dispersion. We randomly assigned respondents to questions asking about "prices in general", "inflation", or "prices you pay". Respondents' expectations and perceptions were lower and less dispersed when questions asked about "inflation" instead of "prices in general" or "prices you pay", with the latter two formulations eliciting similar response patterns. These question-wording effects were mediated by how much respondents thought of (extreme) personal price experiences when receiving questions about "prices in general" or "prices you pay". Compared to questions about "inflation", questions about "prices in general" and "prices you pay" elicited expectations that were more strongly correlated to expected increases in gas prices, which were relatively large and likely salient at that time. (C) 2012 Elsevier B.V. All rights reserved. C1 [de Bruin, Waendi Bruine; Downs, Julie S.; Fischhoff, Baruch] Carnegie Mellon Univ, Dept Social & Decis Sci, Pittsburgh, PA 15213 USA. [de Bruin, Waendi Bruine; Fischhoff, Baruch] Carnegie Mellon Univ, Dept Engn & Publ Policy, Pittsburgh, PA 15213 USA. [van der Klaauw, Wilbert; Topa, Giorgio; Armantier, Olivier] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP de Bruin, WB (reprint author), Carnegie Mellon Univ, Dept Social & Decis Sci, 5000 Forbes Ave,Porter Hall 208, Pittsburgh, PA 15213 USA. EM wandi@cmu.edu NR 34 TC 6 Z9 6 U1 1 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-4870 J9 J ECON PSYCHOL JI J. Econ. Psychol. PD AUG PY 2012 VL 33 IS 4 BP 749 EP 757 DI 10.1016/j.joep.2012.02.001 PG 9 WC Economics; Psychology, Multidisciplinary SC Business & Economics; Psychology GA 973VG UT WOS:000306387300005 ER PT J AU Eggertsson, GB Krugman, P AF Eggertsson, Gauti B. Krugman, Paul TI Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID MONETARY-POLICY; GOVERNMENT; DEPRESSION; SHOCKS; CRISES; OUTPUT AB In this article we present a simple new Keynesian-style model of debt-driven slumps-that is, situations in which an overhang of debt on the part of some agents, who are forced into rapid deleveraging, is depressing aggregate demand. Making some agents debt-constrained is a surprisingly powerful assumption. Fisherian debt deflation, the possibility of a liquidity trap, the paradox of thrift and toil, a Keynesian-type multiplier, and a rationale for expansionary fiscal policy all emerge naturally from the model. We argue that this approach sheds considerable light both on current economic difficulties and on historical episodes, including Japan's lost decade (now in its 18th year) and the Great Depression itself. (JEL Codes: E32, E52, E62). C1 [Eggertsson, Gauti B.] Fed Reserve Bank New York, New York, NY USA. Princeton Univ, Princeton, NJ 08544 USA. RP Eggertsson, GB (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 50 TC 135 Z9 135 U1 11 U2 101 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0033-5533 EI 1531-4650 J9 Q J ECON JI Q. J. Econ. PD AUG PY 2012 VL 127 IS 3 BP 1469 EP 1513 DI 10.1093/qje/qjs023 PG 45 WC Economics SC Business & Economics GA 993DE UT WOS:000307835000009 ER PT J AU McGrattan, ER AF McGrattan, Ellen R. TI Capital Taxation During the U.S. Great Depression SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID INDIVIDUAL INCOME-TAX; BUSINESS; RATES AB Previous studies of the U.S. Great Depression find that increased government spending and taxation contributed little to either the dramatic downturn or the slow recovery. These studies include only one type of capital taxation: a business profits tax. The contribution is much greater when the analysis includes other types of capital taxes. A general equilibrium model extended to include taxes on dividends, property, capital stock, excess profits, and undistributed profits predicts patterns of output, investment, and hours worked that are more like those in the 1930s than found in earlier studies. The greatest effects come from the increased taxes on corporate dividends and undistributed profits. JEL Codes: E13, E32, H25. C1 [McGrattan, Ellen R.] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [McGrattan, Ellen R.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP McGrattan, ER (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. NR 45 TC 5 Z9 5 U1 1 U2 8 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0033-5533 EI 1531-4650 J9 Q J ECON JI Q. J. Econ. PD AUG PY 2012 VL 127 IS 3 BP 1515 EP 1550 DI 10.1093/qje/qjs022 PG 36 WC Economics SC Business & Economics GA 993DE UT WOS:000307835000010 ER PT J AU Holmes, TJ Levine, DK Schmitz, JA AF Holmes, Thomas J. Levine, David K. Schmitz, James A., Jr. TI Monopoly and the Incentive to Innovate When Adoption Involves Switchover Disruptions SO AMERICAN ECONOMIC JOURNAL-MICROECONOMICS LA English DT Article ID SUPPLY CHAIN GLITCHES; TRADE LIBERALIZATION; MANUFACTURING-INDUSTRIES; MANAGERIAL INCENTIVES; COMPETITIVE PRESSURE; MARKET-STRUCTURE; PRODUCTIVITY; PERFORMANCE; TECHNOLOGY; US AB Arrow (1962) argued that since a monopoly restricts output relative to a competitive industry, it would be less willing to pay a fixed cost to adopt a new technology. We develop a new theory of why a monopolistic industry innovates less. Firms often face major problems in integrating new technologies. In some cases, upon adoption of technology, firms must temporarily reduce output. We call such problems switchover disruptions. A cost of adoption, then, is the forgone rents on the sales of lost or delayed production, and these opportunity costs are larger the higher the price on those lost units. (JEL D21, D42, L12, L14, O32, O33) C1 [Holmes, Thomas J.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Levine, David K.] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Schmitz, James A., Jr.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Holmes, Thomas J.] NBER, Cambridge, MA 02138 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Dept Econ, 1925 4th St S, Minneapolis, MN 55455 USA. EM holmes@umn.edu; david@dklevine.com; jas@res.mpls.frb.fed.us NR 51 TC 9 Z9 9 U1 2 U2 7 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7669 J9 AM ECON J-MICROECON JI Am. Econ. J.-Microecon. PD AUG PY 2012 VL 4 IS 3 BP 1 EP 33 DI 10.1257/mic.4.3.1 PG 33 WC Economics SC Business & Economics GA 983DI UT WOS:000307097700001 ER PT J AU Braun, RA Li, HY Stachurski, J AF Braun, R. Anton Li, Huiyu Stachurski, John TI Generalized Look-Ahead Methods for Computing Stationary Densities SO MATHEMATICS OF OPERATIONS RESEARCH LA English DT Article DE densities; numerical methods; simulation ID STOCHASTIC OPTIMAL-GROWTH; LIKELIHOOD-ESTIMATION; MAXIMUM-LIKELIHOOD; MARKOV-CHAINS; SIMULATION; MODELS AB The look-ahead estimator is used to compute densities associated with Markov processes via simulation. We study a framework that extends the look-ahead estimator to a broader range of applications. We provide a general asymptotic theory for the estimator, where both L-1 consistency and L-2 asymptotic normality are established. The L-2 asymptotic normality implies root n convergence rates for L-2 deviation. C1 [Braun, R. Anton] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. [Li, Huiyu] Stanford Univ, Dept Econ, Stanford, CA 94305 USA. [Stachurski, John] Australian Natl Univ, Res Sch Econ, Canberra, ACT, Australia. RP Braun, RA (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. EM r.anton.braun@atl.frb.org; huiyuli@stanford.edu; john.stachurski@anu.edu.au NR 20 TC 1 Z9 1 U1 0 U2 2 PU INFORMS PI HANOVER PA 7240 PARKWAY DR, STE 310, HANOVER, MD 21076-1344 USA SN 0364-765X J9 MATH OPER RES JI Math. Oper. Res. PD AUG PY 2012 VL 37 IS 3 BP 489 EP 500 DI 10.1287/moor.1120.0547 PG 12 WC Operations Research & Management Science; Mathematics, Applied SC Operations Research & Management Science; Mathematics GA 990DN UT WOS:000307611300006 ER PT J AU Herrendorf, B Schmitz, JA Teixeira, A AF Herrendorf, Berthold Schmitz, James A., Jr. Teixeira, Arilton TI THE ROLE OF TRANSPORTATION IN U.S. ECONOMIC DEVELOPMENT: 1840-1860 SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID US; GROWTH; TRADE; WORLD AB We return to two questions concerning the 19th century U.S. transportation revolution. First, to what extent were transportation improvements responsible for the large changes in the regional distribution of population in the United States and, within regions, for the changes in industry structure? Second, how important were transportation improvements for welfare gains? We find that transport improvements were the key factor driving where people lived and what industry they worked in. We also find that transport improvements were important for welfare gains: Gains over 18401860 would have been only half as large if there had been no transportation improvements. C1 [Herrendorf, Berthold] Arizona State Univ, Dept Econ, WP Carey Sch Business, Tempe, AZ 85287 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Herrendorf, B (reprint author), Arizona State Univ, Dept Econ, WP Carey Sch Business, 350 E Lemon St, Tempe, AZ 85287 USA. EM berthold.herrendorf@asu.edu NR 38 TC 8 Z9 8 U1 0 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2012 VL 53 IS 3 BP 693 EP 715 DI 10.1111/j.1468-2354.2012.00697.x PG 23 WC Economics SC Business & Economics GA 979GZ UT WOS:000306806800002 ER PT J AU Ferrero, A AF Ferrero, Andrea TI The Advantage of Flexible Targeting Rules SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E52; E58; E62; E63; targeting rules; determinacy; flexibility ID BALANCED-BUDGET RULES; MONETARY-POLICY; PERSPECTIVE; DEBT AB This paper investigates the consequences of debt stabilization for inflation targeting. If the fiscal authority holds constant the real value of debt at maturity under strict inflation targeting, the equilibrium dynamics are indeterminate for a wide range of parameters and steady-state fiscal stances. Flexible targeting rules that include a concern for stabilization of the output gap can restore determinacy of the equilibrium. Flexible inflation targeting appears to be more robust than flexible debt targeting to alternative parameterizations. The fiscal authority can prevent indeterminacy under strict targeting rules by committing to hold constant debt net of interest rate spending. C1 Fed Reserve Bank New York, Macroecon & Monetary Studies Funct Res & Stat Grp, New York, NY 10045 USA. RP Ferrero, A (reprint author), Fed Reserve Bank New York, Macroecon & Monetary Studies Funct Res & Stat Grp, New York, NY 10045 USA. EM andrea.ferrero@ny.frb.org NR 22 TC 1 Z9 1 U1 1 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2012 VL 44 IS 5 BP 863 EP 881 DI 10.1111/j.1538-4616.2012.00513.x PG 19 WC Business, Finance; Economics SC Business & Economics GA 980ND UT WOS:000306899200004 ER PT J AU Arseneau, DM AF Arseneau, David M. TI International Trade with Equilibrium Unemployment SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Book Review C1 [Arseneau, David M.] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Arseneau, DM (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. EM david.m.arseneau@frb.gov NR 5 TC 0 Z9 0 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0965-7576 J9 REV INT ECON JI Rev. Int. Econ. PD AUG PY 2012 VL 20 IS 3 SI SI BP 654 EP 656 DI 10.1111/j.1467-9396.2012.01044.x PG 3 WC Economics SC Business & Economics GA 974YE UT WOS:000306472700013 ER PT J AU Kaplan, G Schulhofer-Wohl, S AF Kaplan, Greg Schulhofer-Wohl, Sam TI Interstate Migration Has Fallen Less Than You Think: Consequences of Hot Deck Imputation in the Current Population Survey SO DEMOGRAPHY LA English DT Article DE Interstate migration; Mobility; Current population survey; Hot deck imputation; Missing data AB We show that much of the recent reported decrease in interstate migration is a statistical artifact. Before 2006, the Census Bureau's imputation procedure for dealing with missing data in the Current Population Survey inflated the estimated interstate migration rate. An undocumented change in the procedure corrected the problem starting in 2006, thus reducing the estimated migration rate. The change in imputation procedures explains 90% of the reported decrease in interstate migration between 2005 and 2006, and 42% of the decrease between 2000 (the recent high-water mark) and 2010. After we remove the effect of the change in procedures, we find that the annual interstate migration rate follows a smooth downward trend from 1996 to 2010. Contrary to popular belief, the 2007-2009 recession is not associated with any additional decrease in interstate migration relative to trend. C1 [Schulhofer-Wohl, Sam] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Kaplan, Greg] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. RP Schulhofer-Wohl, S (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM wohls@minneapolisfed.org NR 14 TC 10 Z9 10 U1 0 U2 7 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0070-3370 J9 DEMOGRAPHY JI Demography PD AUG PY 2012 VL 49 IS 3 BP 1061 EP 1074 DI 10.1007/s13524-012-0110-3 PG 14 WC Demography SC Demography GA 973DS UT WOS:000306335600014 PM 22585385 ER PT J AU Eusepi, S Preston, B AF Eusepi, Stefano Preston, Bruce TI DEBT, POLICY UNCERTAINTY, AND EXPECTATIONS STABILIZATION SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article DE E52; D83; D84 ID MONETARY-POLICY; LEARNABILITY; CONVERGENCE; PERSPECTIVE; STABILITY; PRICES; RULES AB This paper develops a model of policy regime uncertainty and its consequences for stabilizing expectations. Because of learning dynamics, uncertainty about monetary and fiscal policy is shown to restrict, relative to a rational expectations analysis, the set of policies consistent with macroeconomic stability. Anchoring expectations by communicating about monetary and fiscal policy enlarges the set of policies consistent with stability. However, absent anchored fiscal expectations, the advantages from anchoring monetary expectations are smaller the larger is the average level of indebtedness. Finally, even when expectations are stabilized in the long run, the higher are average debt levels the more persistent will be the effects of disturbances out of rational expectations equilibrium. C1 [Eusepi, Stefano] Fed Reserve Bank New York, New York, NY USA. [Preston, Bruce] Monash Univ, Clayton, Vic 3800, Australia. [Preston, Bruce] Australian Natl Univ, CAMA, Canberra, ACT 0200, Australia. RP Eusepi, S (reprint author), Fed Reserve Bank New York, New York, NY USA. EM Stefano.Eusepi@ny.frb.org; bruce.preston@monash.edu NR 42 TC 7 Z9 7 U1 2 U2 7 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 AUG PY 2012 VL 10 IS 4 BP 860 EP 886 DI 10.1111/j.1542-4774.2012.01072.x PG 27 WC Economics SC Business & Economics GA 973JY UT WOS:000306357600008 ER PT J AU Brorsen, BW Richter, FGC AF Brorsen, B. Wade Richter, Francisca G. -C. TI Experimental designs for estimating plateau-type production functions and economically optimal input levels SO JOURNAL OF PRODUCTIVITY ANALYSIS LA English DT Article DE c-Optimality; Experimental design; Linear plateau; Mitscherlich; Production functions; Random effects ID CROP PRODUCTION-FUNCTIONS; YIELD RESPONSE; MODELS; FERTILIZER; NITROGEN; VONLIEBIG; CORN; INFORMATION; PARAMETERS; LAW AB Estimation of nitrogen response functions has a long history and yet there is still considerable uncertainty about how much nitrogen to apply to agricultural crops. Nitrogen recommendations are usually based on estimation of agronomic production functions that typically use data from designed experiments. Nitrogen experiments, for example, often use equally spaced levels of nitrogen. Past agronomic research is mostly supportive of plateau-type functional forms. The question addressed is if one is willing to accept a specific plateau-type functional form as the true model, what experimental design is the best to use for estimating the production function? The objective is to minimize the variance of the estimated expected profit maximizing level of input. Of particular interest is how well does the commonly used equally-spaced design perform in comparison to the optimal design. Mixed effects models for winter wheat (Triticum aestivium L.) yield are estimated for both Mitscherlich and linear plateau functions. With three design points, one should be high enough to be on the plateau and one should be at zero. The choice of the middle design point makes little difference over a wide range of values. The optimal middle design point is lower for the Mitscherlich functional form than it is for the plateau function. Equally spaced designs with more design points have a similar precision and thus the loss from using a nonoptimal experimental design is small. C1 [Brorsen, B. Wade] Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. [Richter, Francisca G. -C.] Pontificia Univ Catolica Peru, Grad Sch Business, CENTRUM Catolica, Lima, Peru. [Richter, Francisca G. -C.] Fed Reserve Bank Cleveland, Dept Community Dev, Cleveland, OH 44101 USA. RP Brorsen, BW (reprint author), Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. EM wade.brorsen@okstate.edu NR 43 TC 5 Z9 5 U1 0 U2 15 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-562X J9 J PROD ANAL JI J. Prod. Anal. PD AUG PY 2012 VL 38 IS 1 BP 45 EP 52 DI 10.1007/s11123-010-0204-0 PG 8 WC Business; Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 967ZA UT WOS:000305945500004 ER PT J AU Nakajima, M AF Nakajima, Makoto TI Rising indebtedness and temptation: A welfare analysis SO QUANTITATIVE ECONOMICS LA English DT Article DE Temptation; self-control; hyperbolic discounting; overborrowing; heterogeneous agents; general equilibrium ID SELF-CONTROL; WEALTH INEQUALITY; LIFE-CYCLE; CONSUMPTION; SAVINGS; GROWTH; MODEL; RISK AB Is the observed large increase in consumer indebtedness since 1970 beneficial for U.S. consumers? This paper quantitatively investigates the macroeconomic and welfare implications of relaxing borrowing constraints using a model with preferences featuring temptation and self-control. The model can capture two contrasting views: the positive view, which links increased indebtedness to financial innovation and thus better consumption smoothing, and the negative view, which is associated with consumers' overborrowing. I find that the latter is sizable: the calibrated model implies a social welfare loss equivalent to a 0.4 percent decrease in per-period consumption from the relaxed borrowing constraint consistent with the observed increase in indebtedness. The welfare implication is strikingly different from the standard model without temptation, which implies a welfare gain of 0.7 percent, even though the two models are observationally similar. Although both models imply welfare gains from a tighter borrowing limit than in 2000s, the optimal borrowing limit is tighter according to the temptation model, as a tighter borrowing limit helps consumers avoiding overborrowing. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. RP Nakajima, M (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. EM makoto.nakajima@phil.frb.org NR 32 TC 3 Z9 3 U1 0 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1759-7323 J9 QUANT ECON JI Quant. Econ. PD JUL PY 2012 VL 3 IS 2 BP 257 EP 288 DI 10.3982/QE87 PG 32 WC Economics SC Business & Economics GA 116AE UT WOS:000316853300003 ER PT J AU Inklaar, R Wang, JC AF Inklaar, Robert Wang, J. Christina TI Measuring real bank output: considerations and comparisons SO MONTHLY LABOR REVIEW LA English DT Article AB The real output of banks is better estimated by counting the number of service transactions they provide than by using the balances of loans and deposits deflated by a price index C1 [Inklaar, Robert] Univ Groningen, NL-9700 AB Groningen, Netherlands. [Wang, J. Christina] Fed Reserve Bank Boston, Res Dept, Boston, MA USA. RP Inklaar, R (reprint author), Univ Groningen, NL-9700 AB Groningen, Netherlands. EM R.C.Inklaar@rug.nl; Christina.Wang@bos.frb.org RI Inklaar, Robert/G-8253-2011 OI Inklaar, Robert/0000-0003-3852-067X NR 11 TC 0 Z9 0 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 JUL PY 2012 VL 135 IS 7 BP 18 EP 27 PG 10 WC Industrial Relations & Labor SC Business & Economics GA 985HB UT WOS:000307252900002 ER PT J AU Karantounias, AG AF Karantounias, Anastasios G. TI Comment on "The market price of fiscal uncertainty" by Croce, Nguyen and Schmid SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Karantounias, AG (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM anastasios.karantounias@atl.frb.org NR 6 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 JUL PY 2012 VL 59 IS 5 BP 417 EP 421 DI 10.1016/j.jmoneco.2012.05.004 PG 5 WC Business, Finance; Economics SC Business & Economics GA 015YR UT WOS:000309484700002 ER PT J AU Boyarchenko, N AF Boyarchenko, Nina TI Ambiguity shifts and the 2007-2008 financial crisis SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID CREDIT SPREADS; ROBUST ESTIMATION; CAPITAL STRUCTURE; ASSET RETURNS; RISK; CONSUMPTION; INFORMATION; MODEL; EQUILIBRIUM; COMMITMENT AB Faced with doubts about the quality of information and the quality of modeling techniques, ambiguity-averse agents assign higher probabilities to lower utility states, leading to higher CDS premia and lower equity prices. Using data on financial institutions. I find that the sudden increases in credit spreads during the recent crisis can be explained by changes in the amount of ambiguity faced by market participants and changes in how the total amount of ambiguity was distributed between ambiguity about information quality and ambiguity about model quality. Published by Elsevier B.V. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Boyarchenko, N (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM nina.boyarchenko@ny.frb.org NR 28 TC 7 Z9 7 U1 1 U2 17 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 2012 VL 59 IS 5 BP 493 EP 507 DI 10.1016/j.jmoneco.2012.04.002 PG 15 WC Business, Finance; Economics SC Business & Economics GA 015YR UT WOS:000309484700009 ER PT J AU Tempelman, JH AF Tempelman, Jerry H. TI Against Quantitative Easing by the European Central Bank SO FINANCIAL ANALYSTS JOURNAL LA English DT Editorial Material C1 [Tempelman, Jerry H.] Fed Reserve Bank New York, New York, NY 10045 USA. NR 0 TC 1 Z9 1 U1 0 U2 4 PU CFA INST PI CHARLOTTESVILLE PA 560 RAY C HUNT DR, PO BOX 3668, CHARLOTTESVILLE, VA 22903 USA SN 0015-198X J9 FINANC ANAL J JI Financ. Anal. J. PD JUL-AUG PY 2012 VL 68 IS 4 BP 4 EP 6 PG 3 WC Business, Finance SC Business & Economics GA 986EC UT WOS:000307322900001 ER PT J AU Owyang, MT Vermann, EK AF Owyang, Michael T. Vermann, E. Katarina TI Where There's a Smoking Ban, There's Still Fire SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INDOOR-AIR LAWS; ANTISMOKING MEDIA CAMPAIGN; CIGARETTE-SMOKING; EMPIRICAL-MODEL; WORKPLACE; DEMAND; YOUTH; IMPACT; TAXES; STATE AB Since 2001, the pervasiveness of 100-percent smoke-free bans has increased dramatically from 32 local laws in 2001 to 308 by the end of 2009. The authors use individual-level data from the Behavioral Risk Factor Surveillance System survey to examine the effect of these bans in workplaces, bars, and restaurants on changes in smoking initiation, continuation, and cessation. They find that, relative to increases in cigarette taxes, smoking bans do not appear to be correlated with changes in smokers' behavior. (JEL 118) C1 [Owyang, Michael T.; Vermann, E. Katarina] Fed Reserve Bank St Louis, St Louis, MO USA. RP Owyang, MT (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 39 TC 2 Z9 2 U1 1 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2012 VL 94 IS 4 BP 265 EP 286 PG 22 WC Business, Finance; Economics SC Business & Economics GA 977QW UT WOS:000306680500002 ER PT J AU Aubuchon, C Bandyopadhyay, S Bhaumik, SK AF Aubuchon, Craig Bandyopadhyay, Subhayu Bhaumik, Sumon Kumar TI The Extent and Impact of Outsourcing: Evidence from Germany SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID FIRM-LEVEL; PRODUCTIVITY; LABOR; EU AB The authors use data from several sources, including plant-level data from the manufacturing sector in Germany, to expand the literature on outsourcing. They find that, in Germany, the extent of outsourcing among manufacturing industries is higher than among service industries and that the outsourcing intensity of these industries did not change much between 1995 and 2005. They also find a statistically significantly positive impact of industry-level outsourcing intensity on German plant-level labor productivity for both 2000 and 2005. The estimated economic impact of outsourcing on plant-level productivity is also fairly significant. (JEL F16, D24) C1 [Aubuchon, Craig; Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, St Louis, MO USA. [Bhaumik, Sumon Kumar] Aston Univ, Econ & Strategy Grp, Aston Business Sch, Birmingham B4 7ET, W Midlands, England. [Bhaumik, Sumon Kumar] Univ Michigan, Ann Arbor, MI USA. [Bhaumik, Sumon Kumar] IZA, Bonn, Germany. RP Aubuchon, C (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 37 TC 2 Z9 2 U1 1 U2 5 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2012 VL 94 IS 4 BP 287 EP 304 PG 18 WC Business, Finance; Economics SC Business & Economics GA 977QW UT WOS:000306680500003 ER PT J AU Garriga, C Gu, C AF Garriga, Carlos Gu, Chao TI Withdrawal History, Private Information, and Bank Runs SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MARKET; MODEL AB This paper provides a simple two-depositor, two-stage model to understand how a bank's withdrawal history affects an individual's decision about withdrawals, which could possibly trigger bank runs. Individual depositors have private information about their personal consumption types and receive noisy private signals about the quality of the bank's portfolio. Depositors make publicly observable withdrawal decisions in sequence. Computed examples indicate that the optimal contract contingent on withdrawal histories can tolerate bank runs. These runs are triggered by unfavorable signals about a bank's portfolio, and early liquidation of unsuccessful investments can avoid future losses. Because the signals are private, a depositor's action is the only way to partially reveal his private information. A run-admitting bank contract allows information to be revealed. However, if signals are too noisy, bank runs may occur too often when fundamentals are strong. In this case, a bank would offer a run-proof contract. Given the relevant role of information, a policy that makes private information public would be useful to improve welfare and eliminate bank runs. (JEL C73, D82, E59, G21) C1 [Garriga, Carlos] Fed Reserve Bank St Louis, St Louis, MO USA. [Gu, Chao] Univ Missouri, Columbia, MO 65211 USA. RP Garriga, C (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 18 TC 0 Z9 0 U1 1 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2012 VL 94 IS 4 BP 305 EP 320 PG 16 WC Business, Finance; Economics SC Business & Economics GA 977QW UT WOS:000306680500004 ER PT J AU Bauer, MD Rudebusch, GD Wu, JC AF Bauer, Michael D. Rudebusch, Glenn D. Wu, Jing Cynthia TI Correcting Estimation Bias in Dynamic Term Structure Models SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Small-sample bias correction; Term premium; Vector autoregression ID CONFIDENCE-INTERVALS; INTEREST-RATES; UNIT-ROOT; PREMIA; UNCERTAINTY; TESTS; RISK AB The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However, the possibility that DTSM estimates may be distorted by small-sample bias has been largely ignored. We show that conventional estimates of DTSM coefficients are indeed severely biased, and this bias results in misleading estimates of expected future short-term interest rates and of long-maturity term premia. We provide a variety of bias-corrected estimates of affine DTSMs, for both maximally flexible and overidentified specifications. Our estimates imply interest rate expectations and term premia that are more plausible from a macrofinance perspective. This article has supplementary material online. C1 [Bauer, Michael D.; Rudebusch, Glenn D.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Wu, Jing Cynthia] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. RP Bauer, MD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM michael.bauer@sf.frb.org; glenn.rudebusch@sf.frb.org; cynthia.wu@chicagobooth.edu NR 53 TC 26 Z9 26 U1 0 U2 15 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JUL PY 2012 VL 30 IS 3 BP 454 EP 467 DI 10.1080/07350015.2012.693855 PG 14 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 977SD UT WOS:000306683900010 ER PT J AU Amiti, M Cameron, L AF Amiti, Mary Cameron, Lisa TI Trade Liberalization and the Wage Skill Premium: Evidence from Indonesia SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE wage inequality; skill premium; import tariffs; intermediate inputs ID DEVELOPING-COUNTRIES; INEQUALITY; ECONOMY; BRAZIL AB In this paper, we analyze the effect of reducing import tariffs on intermediate inputs and final goods on the wage skill premium within firms in Indonesia - a country with a high share of unskilled workers. We present a new finding that reducing input tariffs reduces the wage skill premium within firms that import their intermediate inputs. However, we do not find significant effects from reducing tariffs on final goods on the wage skill premium within firms. (C) 2012 Elsevier BM. All rights reserved. C1 [Amiti, Mary] Fed Reserve Bank New York, New York, NY 10045 USA. [Cameron, Lisa] Monash Univ, Dept Econometr & Business Stat, Clayton, Vic 3800, Australia. RP Amiti, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM mary.amiti@ny.frb.org; lisa.cameron@monash.edu OI Cameron, Lisa/0000-0002-7539-2198 NR 33 TC 17 Z9 17 U1 2 U2 20 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD JUL PY 2012 VL 87 IS 2 BP 277 EP 287 DI 10.1016/j.jinteco.2012.01.009 PG 11 WC Economics SC Business & Economics GA 978WD UT WOS:000306775600007 ER PT J AU Lester, B Postlewaite, A Wright, R AF Lester, Benjamin Postlewaite, Andrew Wright, Randall TI Information, Liquidity, Asset Prices, and Monetary Policy SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Information; Liquidity; Asset prices; Monetary policy; E40; E50; G11; G12 ID EXCHANGE ECONOMY; MONEY; CURRENCY; MARKETS; BARTER; MODEL AB What determines which assets are used in transactions? We develop a framework where the extent to which assets are recognizable determines the extent to which they are acceptable in exchange-i.e. it determines their liquidity. Recognizability and liquidity are endogenized by allowing agents to invest in information. We analyse the effects of monetary policy. There can be multiple equilibria, with different transaction patterns, and these patterns are not invariant to policy. We show that small changes in information may generate large responses in asset prices, allocations, and welfare. We also discuss some issues in international economics, including exchange rates and dollarization. C1 [Lester, Benjamin] Univ Western Ontario, London, ON N6A 3K7, Canada. [Postlewaite, Andrew] Univ Penn, Philadelphia, PA 19104 USA. [Wright, Randall] Univ Wisconsin Madison, Madison, WI USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Lester, B (reprint author), Univ Western Ontario, London, ON N6A 3K7, Canada. NR 60 TC 27 Z9 27 U1 2 U2 18 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2012 VL 79 IS 3 BP 1209 EP 1238 DI 10.1093/restud/rds003 PG 30 WC Economics SC Business & Economics GA 977GS UT WOS:000306645300012 ER PT J AU Andersen, TG Dobrev, D Schaumburg, E AF Andersen, Torben G. Dobrev, Dobrislav Schaumburg, Ernst TI Jump-robust volatility estimation using nearest neighbor truncation SO JOURNAL OF ECONOMETRICS LA English DT Article DE High-frequency data; Integrated variance; Finite activity jumps; Realized volatility; Jump robustness; Nearest neighbor truncation; Intraday U-shape patterns ID HIGH-FREQUENCY DATA; LIMIT-THEOREMS; TIME; VARIANCE; DYNAMICS; QUOTES; NOISE AB We propose two new jump-robust estimators of integrated variance that allow for an asymptotic limit theory in the presence of jumps. Specifically, our MedRV estimator has better efficiency properties than the tripower variation measure and displays better finite-sample robustness to jumps and small ("zero") returns. We stress the benefits of local volatility measures using short return blocks, as this greatly alleviates the downward biases stemming from rapid fluctuations in volatility, including diurnal (intraday) U-shape patterns. An empirical investigation of the Dow Jones 30 stocks and extensive simulations corroborate the robustness and efficiency properties of our nearest neighbor truncation estimators. (C) 2012 Elsevier B.V. All rights reserved. C1 [Andersen, Torben G.] Northwestern Univ, NBER, CREATES, Evanston, IL 60208 USA. [Schaumburg, Ernst] Fed Reserve Bank New York, New York, NY USA. RP Andersen, TG (reprint author), Northwestern Univ, NBER, CREATES, Evanston, IL 60208 USA. EM t-andersen@kellogg.northwestern.edu; Dobrislav.P.Dobrev@frb.gov; Ernst.Schaumburg@ny.frb.org FU NSF; Zell Center for Risk at the Kellogg School; CREATES; Danish National Research Foundation FX Andersen gratefully acknowledges financial support from the NSF through a grant to the NBER, from the Zell Center for Risk at the Kellogg School and from CREATES funded by the Danish National Research Foundation. Furthermore, he appreciates the CME Group for providing S&P 500 futures data from CME DataMine. NR 37 TC 69 Z9 73 U1 4 U2 16 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 2012 VL 169 IS 1 BP 75 EP 93 DI 10.1016/j.jeconom.2012.01.011 PG 19 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 969HS UT WOS:000306046900009 ER PT J AU Athreya, K Tam, XS Young, ER AF Athreya, Kartik Tam, Xuan S. Young, Eric R. TI A Quantitative Theory of Information and Unsecured Credit SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID SIGNALING GAMES; BANKRUPTCY; MARKETS AB Important changes have occurred in unsecured credit markets over the past three decades. Most prominently, there have been large increases in aggregate consumer debt, the personal bankruptcy rate, the size of bankruptcies, the dispersion of interest rates paid by borrowers, and the relative discount received by those with good credit ratings. We find that improvements in information available to lenders on household-level costs of bankruptcy can account for a significant fraction of what has been observed. The ex ante welfare gains from better information are positive but small. C1 [Athreya, Kartik] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. [Tam, Xuan S.] Univ Cambridge, Judge Business Sch, CFAP, Cambridge CB1 2AG, England. [Young, Eric R.] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. RP Athreya, K (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23219 USA. EM Kartik.Athreya@rich.frb.org; xst20@cam.ac.uk; ey2d@virginia.edu OI TAM, Xuan Song/0000-0003-3707-9528 NR 28 TC 11 Z9 11 U1 3 U2 14 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2012 VL 4 IS 3 BP 153 EP 183 DI 10.1257/mac.4.3.153 PG 31 WC Economics SC Business & Economics GA 966LB UT WOS:000305838000006 ER PT J AU Wang, PF Wen, Y AF Wang, Pengfei Wen, Yi TI Speculative Bubbles and Financial Crises SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID BUSINESS-CYCLE; EXCHANGE-RATES; INDETERMINACY; EQUILIBRIUM; CONSTRAINTS; TULIPMANIA; ECONOMY; OUTPUT; DEBT AB Are asset prices unduly volatile and often detached from their fundamentals? Does the bursting of financial bubbles depress the real economy? This paper addresses these issues by constructing a DSGE model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic values, can carry bubbles, and agents are willing to invest in such bubbles despite their positive probability of bursting. The results show that systemic risk, commonly perceived changes in the bubble's probability of bursting, can generate boom-bust cycles with hump-shaped output dynamics and produce asset price movements many times more volatile than the economy's fundamentals. C1 [Wang, Pengfei] Hong Kong Univ Sci & Technol, Dept Econ, Hong Kong, Hong Kong, Peoples R China. [Wen, Yi] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. RP Wang, PF (reprint author), Hong Kong Univ Sci & Technol, Dept Econ, Hong Kong, Hong Kong, Peoples R China. EM pfwang@ust.hk; yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016; OI Wen, Yi/0000-0001-5658-1578; Wang, Pengfei/0000-0002-8686-4787 NR 37 TC 15 Z9 15 U1 2 U2 17 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JUL PY 2012 VL 4 IS 3 BP 184 EP 221 DI 10.1257/mac.4.3.184 PG 38 WC Economics SC Business & Economics GA 966LB UT WOS:000305838000007 ER PT J AU Chappell, HW Mcgregor, RR Vermilyea, TA AF Chappell, Henry W., Jr. Mcgregor, Rob Roy Vermilyea, Todd A. TI DELIBERATION AND LEARNING IN MONETARY POLICY COMMITTEES SO ECONOMIC INQUIRY LA English DT Article ID FOMC; BEHAVIOR; CHAIRMAN; POWER AB We use records from Federal Open Market Committee (FOMC) meetings to investigate the importance of deliberation and learning in monetary policy decision making in the period from 1970 to 1978 when Arthur Burns served as Chairman. We first propose a model of Bayesian learning in which FOMC members learn from each other as they sequentially reveal their policy preferences in a committee meeting. Then, as an alternative, we investigate a model in which members defer to an emerging consensus. Neither model is supported by the data, suggesting that within-meeting deliberation might have had little effect on the quality of monetary policy decisions in the Burns era. (JEL E520, E580) C1 [Chappell, Henry W., Jr.] Univ S Carolina, Dept Econ, Columbia, SC 29208 USA. [Mcgregor, Rob Roy] Univ N Carolina, Dept Econ, Charlotte, NC 28223 USA. [Vermilyea, Todd A.] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Chappell, HW (reprint author), Univ S Carolina, Dept Econ, Columbia, SC 29208 USA. EM chappell@moore.sc.edu; rrmcgreg@uncc.edu; Todd.Vermilyea@phil.frb.org NR 23 TC 5 Z9 5 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JUL PY 2012 VL 50 IS 3 BP 839 EP 847 DI 10.1111/j.1465-7295.2011.00409.x PG 9 WC Economics SC Business & Economics GA 968QA UT WOS:000305997900017 ER PT J AU van der Klaauw, W AF van der Klaauw, Wilbert TI On the Use of Expectations Data in Estimating Structural Dynamic Choice Models SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID MAXIMUM SCORE ESTIMATOR; SOCIAL-SECURITY; SUBJECTIVE PROBABILITIES; RETIREMENT EXPECTATIONS; YOUNG-WOMEN; BEHAVIOR; DECISIONS; SURVIVAL; UNCERTAINTY; PERCEPTIONS AB Despite the importance of expectations in models of decision behavior under uncertainty, few empirical economists have made use of subjective expectations data in estimating such models. Assuming that expectations about future behavior accurately portray optimal future behavior conditional on current information, it is shown that such data can provide similar information about the decision process as can data on current or retrospective behavior. The value of self-reported choice expectations is illustrated by using information on respondents' expected future occupation in the estimation of a structural dynamic model of teacher career decisions under uncertainty. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP van der Klaauw, W (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM wilbert.vanderklaauw@ny.frb.org NR 60 TC 9 Z9 9 U1 3 U2 20 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 JUL PY 2012 VL 30 IS 3 BP 521 EP 554 DI 10.1086/664929 PG 34 WC Economics; Industrial Relations & Labor SC Business & Economics GA 970CF UT WOS:000306105000002 ER PT J AU Levine, DK AF Levine, David K. TI Production chains SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Supply chain; Specialization; Weakest link; Capitalism ID AGGREGATE FLUCTUATIONS; ECONOMIC-DEVELOPMENT; DIVISION; MARKETS; COSTS AB More advanced technologies demand higher degrees of specialization and longer chains of production connecting raw inputs to final outputs. Longer production chains are subject to a "weakest link" effect: they are more fragile and more prone to failure. Optimal chain length is determined by the trade-off between the gains to specialization and the higher failure rate associated with longer chain length. There is a kind of reverse "Keynesian multiplier" that magnifies the effect of real shocks. Consequently, more advanced economies may have lower utilization of resources and be more prone to crisis. (C) 2012 Elsevier Inc. All rights reserved. C1 [Levine, David K.] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Levine, David K.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Levine, DK (reprint author), Washington Univ, Dept Econ, Campus Box 1208, St Louis, MO 63130 USA. EM david@dklevine.com NR 21 TC 6 Z9 6 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2012 VL 15 IS 3 BP 271 EP 282 DI 10.1016/j.red.2012.01.003 PG 12 WC Economics SC Business & Economics GA 965OZ UT WOS:000305778400001 ER PT J AU Hellerstein, R AF Hellerstein, Rebecca TI What do drug monopolies cost consumers in developing countries? SO ECONOMICS LETTERS LA English DT Article DE Intellectual property rights; International price discrimination; TRIPS agreement; Pharmaceutical industry; Markups ID PATENT PROTECTION; OPTIONS; INDIA AB This paper quantifies the effects of drug monopolies and low per-capita income on pharmaceutical prices in developing economies using the example of the antiretroviral drugs (ARVs) used to treat HIV. (C) 2012 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Int Res Grp, New York, NY 10045 USA. RP Hellerstein, R (reprint author), Fed Reserve Bank New York, Int Res Grp, 33 Liberty St, New York, NY 10045 USA. EM rebecca.hellerstein@ny.frb.org NR 9 TC 2 Z9 2 U1 1 U2 16 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD JUL PY 2012 VL 116 IS 1 BP 108 EP 111 DI 10.1016/j.econlet.2011.12.114 PG 4 WC Economics SC Business & Economics GA 964CU UT WOS:000305672100030 ER PT J AU Gordy, MB Marrone, J AF Gordy, Michael B. Marrone, James TI Granularity adjustment for mark-to-market credit risk models SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Granularity adjustment; Idiosyncratic risk; Portfolio credit risk; Value-at-risk; Expected shortfall ID ANATOMY; DEBT AB The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA methodology can be applied to any risk-factor model of portfolio risk. Thus far, however, analytical results have been derived only for simple models of actuarial loss, i.e., credit loss due to default. We demonstrate that the GA is entirely tractable for single-factor versions of a large class of models that includes all the commonly used mark-to-market approaches. Our approach covers both finite ratings-based models and models with a continuum of obligor states. We apply our methodology to CreditMetrics and KMV Portfolio Manager, as these are benchmark models for the finite and continuous classes, respectively. Comparative statics of the GA reveal striking and counterintuitive patterns. We explain these relationships with a stylized model of portfolio risk. Published by Elsevier B.V. C1 [Gordy, Michael B.] Fed Reserve Board, Washington, DC 20551 USA. [Marrone, James] Univ Chicago, Chicago, IL 60637 USA. RP Gordy, MB (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM michael.gordy@frb.gov; jmar@uchicago.edu OI Gordy, Michael/0000-0002-5229-4608 NR 30 TC 6 Z9 6 U1 3 U2 15 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 2012 VL 36 IS 7 BP 1896 EP 1910 DI 10.1016/j.jbankfin.2012.02.010 PG 15 WC Business, Finance; Economics SC Business & Economics GA 955WJ UT WOS:000305051300004 ER PT J AU De Silva, DG Dunne, T Kosmopoulou, G Lamarche, C AF De Silva, Dakshina G. Dunne, Timothy Kosmopoulou, Georgia Lamarche, Carlos TI Disadvantaged business enterprise goals in government procurement contracting: An analysis of bidding behavior and costs SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article DE Government procurement; Auctions; Bidding; Affirmative action; Minority businesses AB Programs that encourage the participation of disadvantaged business enterprises (DBE) as subcontractors have been a part of government procurement auctions for over three decades. In this paper, we examine the impact of a program that requires prime contractors to subcontract out a portion of a highway procurement project to DBE firms. We study how DBE subcontracting requirements affect bidding behavior in federally funded projects. Within a symmetric independent private value framework, we use the equilibrium bidding function to obtain the cost distribution of firms undertaking projects either with or without subcontracting goals. We then use non-parametric estimation methods to uncover and compare the cost of firm bidding on a class of asphalt projects related to surface treatment in Texas. The analysis shows little differences in the cost structure between projects that have subcontracting goals and those that do not. (C) 2011 Elsevier B.V. All rights reserved. C1 [De Silva, Dakshina G.] Univ Lancaster, Lancaster LA1 4YX, England. [Dunne, Timothy] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. [Kosmopoulou, Georgia] Univ Oklahoma, Norman, OK 73019 USA. [Lamarche, Carlos] Univ Oklahoma, Norman, OK 73019 USA. RP Kosmopoulou, G (reprint author), Univ Oklahoma, 203 Hester Hall,729 Elm Ave, Norman, OK 73019 USA. EM d.desilva@lancaster.ac.uk; tim.dunne@clev.frb.org; georgiak@ou.edu; lamarche@ou.edu NR 23 TC 4 Z9 4 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-7187 EI 1873-7986 J9 INT J IND ORGAN JI Int. J. Ind. Organ. PD JUL PY 2012 VL 30 IS 4 BP 377 EP 388 DI 10.1016/j.ijindorg.2011.12.003 PG 12 WC Economics SC Business & Economics GA V38PD UT WOS:000209354400006 ER PT J AU Kovner, A AF Kovner, Anna TI Do underwriters matter? The impact of the near failure of an equity underwriter SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Investment banking; Financial crisis; IPOs; Underwriting; Event study ID INITIAL PUBLIC OFFERINGS; ANALYST RECOMMENDATIONS; STOCK RETURNS; MARKET MAKER; BANKING; FIRMS; CONSTRAINTS; PERFORMANCE; REPUTATION; COVERAGE AB The financial crisis provides a natural experiment for testing theoretical predictions of the equity underwriter's role following an initial public offering. Clients of Bear Stearns, Lehman Brothers, Merrill Lynch, and Wachovia saw their stock prices fall almost 5%, on average, on the day it appeared that these institutions might collapse. The decline was more than 1% lower than the abnormal return of other newly public companies, representing a loss in equity value of almost $3 billion. The price impact was worse for companies with fewer monitors, suggesting that underwriters play an important role in monitoring newly public companies. The abnormal return is more negative for clients that are also lending clients, but is not significantly associated with the role of the underwriter as market maker or counterparty to investors. (C) 2012 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Kovner, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM anna.kovner@ny.frb.org NR 49 TC 3 Z9 3 U1 2 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 JUL PY 2012 VL 21 IS 3 BP 507 EP 529 DI 10.1016/j.jfi.2012.01.001 PG 23 WC Business, Finance SC Business & Economics GA 951NX UT WOS:000304728400006 ER PT J AU Daly, MC Hobijn, B Sahin, A Valletta, RG AF Daly, Mary C. Hobijn, Bart Sahin, Ayseguel Valletta, Robert G. TI A Search and Matching Approach to Labor Markets: Did the Natural Rate of Unemployment Rise? SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID DYNAMICS; JOB C1 [Daly, Mary C.; Hobijn, Bart; Valletta, Robert G.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY 10045 USA. RP Daly, MC (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM mary.daly@sf.frb.org NR 53 TC 18 Z9 19 U1 1 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SUM PY 2012 VL 26 IS 3 BP 3 EP 26 DI 10.1257/jep.26.3.3 PG 24 WC Economics SC Business & Economics GA 987GO UT WOS:000307405400001 ER PT J AU Moench, E AF Moench, Emanuel TI TERM STRUCTURE SURPRISES: THE PREDICTIVE CONTENT OF CURVATURE, LEVEL, AND SLOPE SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID DATA-RICH ENVIRONMENT; MONETARY-POLICY; YIELD CURVE; STRUCTURE DYNAMICS; BOND YIELDS; IDENTIFICATION; MODELS; INFERENCE; VARIABLES; US AB This paper analyzes the predictive content of the term structure components level, slope, and curvature within a dynamic factor model of macroeconomic and interest rate data. Surprise changes of the three components are identified using sign restrictions, and their macroeconomic underpinnings are studied via impulse response analysis. The curvature factor is found to carry predictive information both about the future evolution of the yield curve and the macroeconomy. In particular, unexpected increases of the curvature factor precede a flattening of the yield curve and announce a significant decline of output more than 1 year ahead. Copyright (C) 2010 John Wiley & Sons, Ltd. 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 29 TC 10 Z9 10 U1 0 U2 13 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 JUN-JUL PY 2012 VL 27 IS 4 BP 574 EP 602 DI 10.1002/jae.1220 PG 29 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 974ZZ UT WOS:000306477600003 ER PT J AU Barnichon, R Elsby, M Hobijn, B Sahin, A AF Barnichon, Regis Elsby, Michael Hobijn, Bart Sahin, Ayseguel TI Which industries are shifting the Beveridge curve? SO MONTHLY LABOR REVIEW LA English DT Article AB According to JOLTS data, the failure of the unemployment rate to improve much despite growth in the economy is attributable to a shortfall in hires per vacancy in all industries, especially construction; this shortfall is what is causing the current labor market's shift in the Beveridge curve, which measures the negative relationship between the unemployment rate and the job openings rate C1 [Elsby, Michael] Univ Edinburgh, Edinburgh EH8 9YL, Midlothian, Scotland. [Hobijn, Bart] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Hobijn, Bart] Tinbergen Inst, Amsterdam, Netherlands. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. EM rbarnichon@crei.cat; mike.elsby@ed.ac.uk; bart.hobijn@sf.frb.org; aysegul.sahin@ny.frb.org RI Barnichon, Regis/B-4650-2013 OI Barnichon, Regis/0000-0003-3967-1453 NR 14 TC 7 Z9 7 U1 0 U2 8 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 JUN PY 2012 VL 135 IS 6 BP 25 EP 37 PG 13 WC Industrial Relations & Labor SC Business & Economics GA 973KT UT WOS:000306359700002 ER PT J AU Garrison, L Hastak, M Hogarth, JM Kleimann, S Levy, AS AF Garrison, Loretta Hastak, Manoj Hogarth, Jeanne M. Kleimann, Susan Levy, Alan S. TI Designing Evidence-based Disclosures: A Case Study of Financial Privacy Notices SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article ID NUTRITION INFORMATION; ONLINE PRIVACY; CONSUMER; BEHAVIOR; CHOICE; COMPREHENSION; PROTECTION; USABILITY; KNOWLEDGE; ECONOMICS AB Disclosure is a key component of consumer protection policy. By informing consumers about a product or service, disclosures can help consumers understand product features and shop among products and providers to find the combination of features and price that best meets their needs. For example, the Gramm-Leach-Bliley Act (GLBA, 15 U.S.C. 6801-6809) provides for disclosures of information-sharing practices of financial institutions and, in some cases, requires that these institutions offer consumers the opportunity to limit some of this sharing. Using these disclosures as a case study, this paper explores how research can help policymakers shift from a perspective of developing disclosures that are in technical compliance with the law to one of developing disclosures that consumers pay attention to, understand and use in their decision making. C1 [Garrison, Loretta] Fed Trade Commiss, Washington, DC USA. [Hastak, Manoj] American Univ, Kogod Sch Business, Washington, DC 20016 USA. [Hogarth, Jeanne M.] Fed Reserve Board, Washington, DC USA. [Levy, Alan S.] US FDA, Rockville, MD 20857 USA. EM lorettagarrison@mac.com; mhastak@american.edu; jeanne.m.hogarth@frb.gov; skleimann@kleimann.com; alan.levy@cfsan.fda.gov NR 67 TC 8 Z9 8 U1 1 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-0078 J9 J CONSUM AFF JI J. Consum. Aff. PD SUM PY 2012 VL 46 IS 2 SI SI BP 204 EP 234 DI 10.1111/j.1745-6606.2012.01226.x PG 31 WC Business; Economics SC Business & Economics GA 967HO UT WOS:000305897700003 ER PT J AU Blackburn, ML Vermilyea, T AF Blackburn, McKinley L. Vermilyea, Todd TI The prevalence and impact of misstated incomes on mortgage loan applications SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Mortgage lending; Liar loans; Housing crisis ID CRISIS AB Misstatement of income on mortgage loan applications (the "liar-loan" problem) is thought to have been a contributor to the boom and bust of mortgage markets. We provide nationwide measurements that reflect the degree to which incomes on mid-2000 home-purchase mortgage loan applications were overstated relative to the actual incomes of mortgage applicants. Our results suggest a substantial degree of income overstatement in 2005 and 2006, one consistent with the average mortgage application overstating income 15-20%. We find the tendency to misstate income was associated with markets with large home-price increases during the boom. There is little support for the proposition that income overstatement played a substantial role in subsequent mortgage defaults. (C) 2012 Elsevier Inc. All rights reserved. C1 [Blackburn, McKinley L.] Univ S Carolina, Dept Econ, Columbia, SC 29208 USA. [Vermilyea, Todd] Fed Reserve Board Governors, Washington, DC 20551 USA. RP Blackburn, ML (reprint author), Univ S Carolina, Dept Econ, Columbia, SC 29208 USA. EM blackbrn@moore.sc.edu NR 22 TC 3 Z9 3 U1 2 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD JUN PY 2012 VL 21 IS 2 BP 151 EP 168 DI 10.1016/j.jhe.2012.04.003 PG 18 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 969IG UT WOS:000306048300006 ER PT J AU Williamson, SD AF Williamson, Stephen D. TI New Monetarist Economics: Understanding Unconventional Monetary Policy SO ECONOMIC RECORD LA English DT Article DE E4; E5 ID FINANCIAL INTERMEDIATION; EQUILIBRIUM; MONEY AB This paper focuses on Federal Reserve policy in the United States after the financial crisis. Two key interventions QE1 and QE2 are reviewed, and a model is outlined that can be used to help understand some of the consequences of the financial crisis, and the policy responses to the crisis. Liquidity traps play an important role in the analysis, and it is shown how the financial crisis led to an unconventional liquidity shortage, requiring an unconventional policy response. C1 [Williamson, Stephen D.] Washington Univ, Dept Econ, Fed Reserve Bank Richmond, St Louis, MO 63130 USA. [Williamson, Stephen D.] Washington Univ, Fed Reserve Bank St Louis, St Louis, MO 63130 USA. RP Williamson, SD (reprint author), Washington Univ, Dept Econ, Fed Reserve Bank Richmond, St Louis, MO 63130 USA. EM swilliam@artsci.wustl.edu RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 22 TC 2 Z9 2 U1 4 U2 20 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 JUN PY 2012 VL 88 SU 1 SI SI BP 10 EP 21 DI 10.1111/j.1475-4932.2012.00810.x PG 12 WC Economics SC Business & Economics GA 965EZ UT WOS:000305751100003 ER PT J AU Brave, S Butters, RA AF Brave, Scott Butters, R. Andrew TI Diagnosing the Financial System: Financial Conditions and Financial Stress SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID OPERATING CHARACTERISTIC CURVES AB We approach the task of monitoring financial stability within a framework that balances the costs and benefits of identifying future crisis-like conditions based on past U.S. financial crises. Our results indicate that the National Financial Conditions Index (NFCI) produced by the Federal Reserve Bank of Chicago is a highly predictive and robust indicator of financial stress at leading horizons of up to one year, with measures of leverage playing a crucial role in signaling financial imbalances. At longer forecast horizons, we propose an alternative sub-index of the NFCI that captures the relationship between non-financial leverage, financial stress, and economic activity. C1 [Brave, Scott] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Butters, R. Andrew] Northwestern Univ, Evanston, IL 60208 USA. RP Brave, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM sbrave@frbchi.org; r-butters@kellogg.northwestern.edu NR 29 TC 10 Z9 10 U1 0 U2 8 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 JUN PY 2012 VL 8 IS 2 BP 191 EP 239 PG 49 WC Business, Finance SC Business & Economics GA 965ZD UT WOS:000305805400006 ER PT J AU Nelson, E AF Nelson, Edward TI A Review of Allan Meltzer's A History of the Federal Reserve, vol 2 SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Review ID MONETARY-POLICY; INFLATION AB This paper reviews Allan H. Meltzer's A History of the Federal Reserve, Volume 2. This two-book volume covers Federal Reserve policies from 1951 to 1986. The book represents an enormous achievement in synthesizing a great amount of archival information into a historical account grounded on economic analysis. At the same time, Meltzer's interpretation of specific eras is open to question. He does not appear to acknowledge adequately the degree to which 1950s monetary policy decisions had a solid analytical foundation. Furthermore, Meltzer's account of the shift from the 1970s inflation to the 1980s disinflation implausibly stresses a shift in policymakers' objective function. The crucial change over this period, both in the United States and other countries, is more likely to have been policymakers' improved grasp of the connections between monetary policy and inflation. The review also takes issue with Meltzer's account, in his book's epilogue, of the financial crisis from 2007 to 2009. In this epilogue, Meltzer understates the degree to which the Federal Reserve's reaction to the financial crisis was in line with the historical practice of the Federal Reserve and other central banks. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Nelson, E (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM Edward.Nelson@frb.gov NR 54 TC 0 Z9 0 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 JUN PY 2012 VL 8 IS 2 BP 241 EP 266 PG 26 WC Business, Finance SC Business & Economics GA 965ZD UT WOS:000305805400007 ER PT J AU Orrenius, P Zavodny, M Kerr, E AF Orrenius, Pia Zavodny, Madeline Kerr, Emily TI Chinese Immigrants in the US Labor Market: Effects of Post-Tiananmen Immigration Policy SO INTERNATIONAL MIGRATION REVIEW LA English DT Article ID UNDOCUMENTED WORKERS; IMPACT; LEGAL AB The Tiananmen Square protests in 1989 and ensuing government crackdown affected Chinese nationals not only at home but also around the world. The U.S. government responded to the events in China by enacting multiple measures to protect Chinese nationals present in the United States. It first suspended all forced departures among Chinese nationals present in the country as of June 1989 and later gave them authorization to work legally. The Chinese Student Protection Act, passed in October 1992, made those Chinese nationals eligible for lawful permanent resident status. These actions applied to about 80,000 Chinese nationals residing in the United States on student or other temporary visas or illegally. Receiving permission to work legally and then a green card is likely to have affected recipients labor market outcomes. This study uses 1990 and 2000 census data to examine employment and earnings among Chinese immigrants who were likely beneficiaries of the U.S. governments actions. Relative to immigrants from Hong Kong, Taiwan, and South Korea countries not covered by the post-Tiananmen immigration policy measures highly educated immigrants from mainland China experienced significant employment and earnings gains during the 1990s. Chinese immigrants who arrived in the U.S in time to benefit from the measures also had higher relative earnings in 2000 than Chinese immigrants who arrived too late to benefit. The results suggest that getting legal work status and then a green card has a significant positive effect on skilled migrants labor market outcomes. C1 [Orrenius, Pia; Kerr, Emily] Fed Reserve Bank Dallas, Dallas, TX USA. [Zavodny, Madeline] Agnes Scott Coll, Decatur, GA 30030 USA. RP Orrenius, P (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. NR 19 TC 4 Z9 4 U1 1 U2 22 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0197-9183 J9 INT MIGR REV JI Int. Migr. Rev. PD SUM PY 2012 VL 46 IS 2 BP 456 EP 482 DI 10.1111/j.1747-7379.2012.00893.x PG 27 WC Demography SC Demography GA 963IH UT WOS:000305613200006 ER PT J AU Bhutta, N AF Bhutta, Neil TI GSE Activity and Mortgage Supply in Lower-Income and Minority Neighborhoods: The Effect of the Affordable Housing Goals SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE GSE; Affordable housing goals; Low and moderate income; Mortgage ID HMDA DATA; CREDIT; HOMEOWNERSHIP; MARKET; RATES AB I estimate the credit supply effect of the Underserved Areas Goal (UAG), which establishes GSE purchase goals for mortgages to lower-income and minority neighborhoods. Taking advantage of discontinuous census tract eligibility rules and abrupt changes in tract eligibility, I find some evidence of a small UAG effect on GSE purchases and mortgage originations, without crowding-out of FHA and subprime lending. The results also suggest that the GSEs exploit the law's lack of precision-targeting, yielding effects that might diverge from the law's intent. C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Bhutta, N (reprint author), Board Governors Fed Reserve Syst, Mail Stop 149, Washington, DC 20551 USA. EM Neil.bhutta@frb.gov NR 32 TC 5 Z9 5 U1 1 U2 13 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 JUN PY 2012 VL 45 IS 1 BP 238 EP 261 DI 10.1007/s11146-010-9258-z PG 24 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 960QM UT WOS:000305403000012 ER PT J AU Swanson, ET AF Swanson, Eric T. TI Risk Aversion and the Labor Margin in Dynamic Equilibrium Models SO AMERICAN ECONOMIC REVIEW LA English DT Article ID HABIT PERSISTENCE; BUSINESS CYCLES; EQUITY PREMIUM; ASSET RETURNS; PUZZLE; COMMODITIES; ECONOMIES; FRAMEWORK; BEHAVIOR C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Swanson, ET (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM eric.swanson@sf.frb.org NR 38 TC 18 Z9 18 U1 2 U2 6 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 2012 VL 102 IS 4 BP 1663 EP 1691 DI 10.1257/aer.102.4.1663 PG 29 WC Economics SC Business & Economics GA 958WU UT WOS:000305272500018 ER PT J AU Gilchrist, S Zakrajsek, E AF Gilchrist, Simon Zakrajsek, Egon TI Credit Spreads and Business Cycle Fluctuations SO AMERICAN ECONOMIC REVIEW LA English DT Article ID ECONOMIC-ACTIVITY; CORPORATE-BONDS; INTEREST-RATES; TERM STRUCTURE; STOCK RETURNS; YIELD CURVE; RISK; LIQUIDITY; DEFAULT; US C1 [Gilchrist, Simon] Boston Univ, Dept Econ, Boston, MA 02215 USA. [Zakrajsek, Egon] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. [Gilchrist, Simon] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Gilchrist, S (reprint author), Boston Univ, Dept Econ, 270 Bay State Rd, Boston, MA 02215 USA. EM sgilchri@bu.edu; egon.zakrajsek@frb.gov NR 49 TC 120 Z9 120 U1 2 U2 39 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 2012 VL 102 IS 4 BP 1692 EP 1720 DI 10.1257/aer.102.4.1692 PG 29 WC Economics SC Business & Economics GA 958WU UT WOS:000305272500019 ER PT J AU Hu, LJ Schlosser, A AF Hu, Luojia Schlosser, Analia TI Trends in Prenatal Sex Selection and Girls' Nutritional Status in India SO CESIFO ECONOMIC STUDIES LA English DT Article DE son preference; prenatal sex selection; ultrasound; sex ratio at birth; gender discrimination; child health ID RURAL INDIA; FEMALE MORTALITY; CHILD-MORTALITY; GENDER; HEALTH; FAMILY; ABORTIONS; GROWTH; RATIO AB We study whether changes in prenatal sex selection across regions in India are associated with changes in girls' nutritional status. We exploit geographic variation in the incidence of prenatal sex selection and apply a triple difference approach comparing changes in the nutritional status of girls relative to boys across regions and over time. We find a reduction in girls' malnutrition in regions with an increasing incidence of prenatal sex selection. (JEL codes: J13, J16, I1, O12). C1 [Hu, Luojia] Fed Reserve Bank Chicago, Chicago, IL USA. [Schlosser, Analia] Tel Aviv Univ, IL-69978 Tel Aviv, Israel. RP Hu, LJ (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM lhu@frbchi.org; analias@post.tau.ac.il NR 47 TC 2 Z9 2 U1 2 U2 13 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1610-241X J9 CESIFO ECON STUD JI CESifo Econ. Stud. PD JUN PY 2012 VL 58 IS 2 BP 348 EP 372 DI 10.1093/cesifo/ifs022 PG 25 WC Economics SC Business & Economics GA 948YP UT WOS:000304540500006 ER PT J AU Phillips, KR Nordlund, J AF Phillips, Keith R. Nordlund, James TI The efficiency of the benchmark revisions to the current employment statistics (CES) data SO ECONOMICS LETTERS LA English DT Article DE Data revisions; Seasonal bias; Payroll employment AB We find evidence of a cyclical and seasonal bias in the annual benchmark revisions to the monthly level of non-farm payroll employment. We propose a change to the methodology that would remove the seasonal bias and ensure that the benchmark process does not artificially influence the estimated seasonal pattern in the raw data. (C) 2011 Elsevier B.V. All rights reserved. C1 [Phillips, Keith R.; Nordlund, James] Fed Reserve Bank Dallas, San Antonio, TX 78204 USA. RP Phillips, KR (reprint author), Fed Reserve Bank Dallas, San Antonio, TX 78204 USA. EM keith.r.phillips@dal.frb.org NR 2 TC 0 Z9 0 U1 0 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD JUN PY 2012 VL 115 IS 3 BP 431 EP 434 DI 10.1016/j.econlet.2011.12.118 PG 4 WC Economics SC Business & Economics GA 950GH UT WOS:000304637100030 ER PT J AU Scherbina, A Schlusche, B AF Scherbina, Anna Schlusche, Bernd TI Asset Bubbles: an Application to Residential Real Estate SO EUROPEAN FINANCIAL MANAGEMENT LA English DT Article DE bubbles; residential real estate; limits to arbitrage; financial crisis; G00; G01; G02; G10; R31 ID FINANCIAL WEALTH; HERD BEHAVIOR; STOCK RETURNS; MARKET; INVESTMENT; OPINION; PRICES; PERFORMANCE; CONSUMPTION; CRASHES AB Behavioural models offer new insights into why bubbles are ubiquitous in residential real estate markets. These markets are dominated by unsophisticated households who often develop optimistic views by extrapolating from past returns. Rational investors cannot easily trade against an overvaluation of housing assets because of high transaction costs and a binding short sale constraint. Circumventing the effect of the latter, the supply of housing frequently increases in response to rising prices. This helps to mitigate bubbles but often leads to overbuilding, which slows down the recovery after a bubble bursts. Models that incorporate the effects of perverse incentives and limits to arbitrage are especially helpful in explaining the bubble that developed in mortgage-backed securities and helped fuel the recent real estate bubble by relaxing home buyers borrowing constraints. The literature is ambiguous about whether governments should intervene to burst bubbles, as a better response may lie in improving incentives of key market players. C1 [Scherbina, Anna] Univ Calif Davis, Grad Sch Management, Davis, CA 95616 USA. [Schlusche, Bernd] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Scherbina, A (reprint author), Univ Calif Davis, Grad Sch Management, 1 Shields Ave, Davis, CA 95616 USA. EM ascherbina@ucdavis.edu; bernd.schlusche@frb.gov NR 84 TC 2 Z9 2 U1 2 U2 33 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1354-7798 J9 EUR FINANC MANAG JI Eur. Financ. Manag. PD JUN PY 2012 VL 18 IS 3 BP 464 EP 491 DI 10.1111/j.1468-036X.2012.00647.x PG 28 WC Business, Finance SC Business & Economics GA 944GT UT WOS:000304188000007 ER PT J AU Carey, M Kashyap, AK Rajan, R Stulz, RM AF Carey, Mark Kashyap, Anil K. Rajan, Raghuram Stulz, Rene M. TI Market institutions, financial market risks, and the financial crisis Introduction SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Editorial Material C1 [Stulz, Rene M.] Ohio State Univ, Fisher Sch Business, Columbus, OH 43210 USA. [Carey, Mark] Fed Reserve Board, Washington, DC 20551 USA. [Kashyap, Anil K.; Rajan, Raghuram] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Kashyap, Anil K.; Rajan, Raghuram; Stulz, Rene M.] NBER, Cambridge, MA 02138 USA. [Kashyap, Anil K.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Stulz, Rene M.] ECGI, B-1180 Brussels, Belgium. RP Stulz, RM (reprint author), Ohio State Univ, Fisher Sch Business, Columbus, OH 43210 USA. EM stulz@cob.osu.edu NR 0 TC 3 Z9 3 U1 3 U2 13 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 JUN PY 2012 VL 104 IS 3 SI SI BP 421 EP 424 DI 10.1016/j.jfineco.2012.02.003 PG 4 WC Business, Finance; Economics SC Business & Economics GA 948IL UT WOS:000304496700001 ER PT J AU Frame, WS Hancock, D Passmore, W AF Frame, W. Scott Hancock, Diana Passmore, Wayne TI Federal Home Loan Bank Advances and Commercial Bank Portfolio Composition SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G18; G21; G38; Federal Home Loan Bank; government-sponsored enterprise; advances; mortgage funding; portfolio shocks; panel-VAR ID FHLB BOND OPERATIONS; SAVINGS INFLOWS; ASSOCIATIONS; SYSTEM; MODEL AB Federal Home Loan Bank (FHLB) advances are a source of government-sponsored liquidity intended to encourage housing finance, although community financial institutions may use such funds more generally. Because money is fungible, it is an empirical question as to how advances are actually employed. Using panel-vector autoregression techniques, we estimate dynamic responses of U.S. commercial bank portfolios to: FHLB advance shocks, bank lending shocks, and macroeconomic shocks. We find that FHLB advances: (i) are used as a general source of liquidity by U.S. commercial banks of all sizes and (ii) dampen the sensitivity of mortgage lending to macroeconomic shocks at small banks. C1 [Frame, W. Scott] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hancock, Diana; Passmore, Wayne] Board Governors Fed Reserve Syst, Washington, DC USA. RP Frame, WS (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM scott.frame@atl.frb.org; diana.hancock@frb.gov; wayne.passmore@frb.gov NR 27 TC 2 Z9 2 U1 0 U2 38 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2012 VL 44 IS 4 BP 661 EP 684 DI 10.1111/j.1538-4616.2012.00505.x PG 24 WC Business, Finance; Economics SC Business & Economics GA 946JB UT WOS:000304346700005 ER PT J AU Fisher, LM Lambie-Hanson, L AF Fisher, Lynn M. Lambie-Hanson, Lauren TI Are Investors the Bad Guys? Tenure and Neighborhood Stability in Chelsea, Massachusetts SO REAL ESTATE ECONOMICS LA English DT Article ID IN-HOME MAINTENANCE; FORECLOSURES; OWNERSHIP AB In this article, we examine the role of investors and occupant-owners in an urban context during the recent housing crisis. We focus on Chelsea, Massachusetts, because it is a dense city, dominated by multifamily housing structures with high rates of foreclosure for which we have particularly good data. We distinguish between occupant-owners and investors using local data, and we find that many investors are misclassified as occupant-owners in the Home Mortgage Disclosure Act data. Then, employing a competing risks framework to study ownerships during the period 1998 through mid-2010, we find that local investors, who tend to invest more in relation to purchase prices and sell more quickly, experienced approximately 1.8 times the mortgage foreclosure risk of occupant-owners, conditional on financing. Nonlocal investors have no statistically significant difference in foreclosure risk from occupant-owners. Nonetheless, those owners with subprime purchase mortgages (most of whom are occupant-owners) faced the highest foreclosure risk when house prices fell. C1 [Fisher, Lynn M.] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA. [Lambie-Hanson, Lauren] MIT, Dept Urban Studies & Planning, Cambridge, MA 02139 USA. [Lambie-Hanson, Lauren] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Fisher, LM (reprint author), Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA. EM Lynn_Fisher@unc.edu; lslh@mit.edu NR 39 TC 8 Z9 8 U1 2 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 EI 1540-6229 J9 REAL ESTATE ECON JI Real Estate Econ. PD SUM PY 2012 VL 40 IS 2 BP 351 EP 386 DI 10.1111/j.1540-6229.2011.00317.x PG 36 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 945YL UT WOS:000304313400006 ER PT J AU Wang, X Wen, Y AF Wang, Xin Wen, Yi TI Housing prices and the high Chinese saving rate puzzle SO CHINA ECONOMIC REVIEW LA English DT Article DE Chinese economy; Housing; Saving rate; Borrowing constraints; Housing reform AB China's over 25% aggregate household saving rate is one of the highest in the world. One popular view attributes the high saving rate to fast-rising housing prices in China. However, cross-sectional data do not show a significant relationship between housing prices and household saving rates. This article uses a simple consumption-saving model to explain why rising housing prices per se cannot explain China's high household saving rate. Although borrowing constraints and demographic changes can translate housing prices to the aggregate saving rate, quantitative simulations of our model using Chinese time-series data on household income, housing prices, and demographics indicate that rising mortgage costs can increase the aggregate saving rate by at most 2 to 4 percentage points in the best down-payment structure. Published by Elsevier Inc. C1 [Wen, Yi] Fed Reserve Bank, St Louis, MO 63102 USA. [Wang, Xin; Wen, Yi] Tsinghua Univ, Beijing, Peoples R China. RP Wen, Y (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. EM yi.wen@stls.frb.org NR 18 TC 3 Z9 4 U1 3 U2 23 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1043-951X J9 CHINA ECON REV JI China Econ. Rev. PD JUN PY 2012 VL 23 IS 2 BP 265 EP 283 DI 10.1016/j.chieco.2011.11.003 PG 19 WC Economics SC Business & Economics GA 944OJ UT WOS:000304213400005 ER PT J AU Ergashev, BA AF Ergashev, Bakhodir A. TI A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Operational risk; Scenario analysis; Constrained estimation; The Markov chain Monte Carlo method (MCMC); Stochastic dominance AB In this paper, I introduce a theoretically justified framework that incorporates scenario analysis into operational risk modeling. The basis for the framework is the idea that only worst-case scenarios contain valuable information about the tail behavior of operational losses. In addition, worst-case scenarios introduce a natural order among scenarios that makes possible a comparison of the ordered scenario losses with the corresponding quantiles of the severity distribution that research derives from historical losses. Worst-case scenarios contain information that enters the quantification process in the form of lower bound constraints on the specific quantiles of the severity distribution. The framework gives rise to several alternative approaches to incorporating scenarios. C1 Fed Reserve Bank Richmond, Charlotte Off, Charlotte, NC 28202 USA. RP Ergashev, BA (reprint author), Fed Reserve Bank Richmond, Charlotte Off, 530 E Trade St,POB 30248, Charlotte, NC 28202 USA. EM bakhodir.ergashev@rich.frb.org NR 10 TC 4 Z9 4 U1 0 U2 5 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 JUN PY 2012 VL 41 IS 3 BP 145 EP 161 DI 10.1007/s10693-011-0105-z PG 17 WC Business, Finance SC Business & Economics GA 933SP UT WOS:000303383200003 ER PT J AU Hotchkiss, JL Moore, RE Rios-Avila, F AF Hotchkiss, Julie L. Moore, Robert E. Rios-Avila, Fernando TI ASSESSING THE WELFARE IMPACT OF TAX REFORM: A CASE STUDY OF THE 2001 U.S. TAX CUT SO REVIEW OF INCOME AND WEALTH LA English DT Article DE H23; H31; J22; household welfare; joint labor supply; tax reform ID INCOME TAXATION; UNITED-STATES; LABOR; WAGES; MODEL; SPECIFICATION; BEHAVIOR; GERMANY AB This paper implements a relatively simple methodological approach to estimate the impact on family welfare of a specific tax reform. The measured impact can differ greatly from simple marginal tax rate comparisons, and conclusions about the distribution of the welfare impact can vary depending on the basis of comparison. For example, absolute welfare gains from the 2001 U.S. tax reform were concentrated among the highest and lowest income families, whereas welfare gains measured as a share of pre-tax income are found to be nearly monotonically declining in income. C1 [Hotchkiss, Julie L.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Hotchkiss, Julie L.; Moore, Robert E.; Rios-Avila, Fernando] Georgia State Univ, 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 40 TC 2 Z9 2 U1 1 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0034-6586 EI 1475-4991 J9 REV INCOME WEALTH JI Rev. Income Wealth PD JUN PY 2012 VL 58 IS 2 BP 233 EP 256 DI 10.1111/j.1475-4991.2012.00493.x PG 24 WC Economics SC Business & Economics GA 934KV UT WOS:000303443900002 ER PT J AU Guler, B Guvenen, F Violante, GL AF Guler, Bulent Guvenen, Fatih Violante, Giovanni L. TI Joint-search theory: New opportunities and new frictions SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID JOB SEARCH; LABOR-MARKET; UNEMPLOYMENT; INEQUALITY; INSURANCE; MODELS AB The job-search problem of couples differs in significant ways from that of singles. We characterize the reservation wage strategies of a couple that perfectly pools income to understand the ramifications of joint search for individual labor market outcomes. Two cases are analyzed. First, when couples are risk averse and pool income, joint search yields new opportunities relative to single-agent search. Second, when spouses receive job offers from multiple locations and incur a cost when living apart, joint search features new frictions and can lead to worse outcomes than single-agent search. (C) 2012 Elsevier B.V. All rights reserved. C1 [Guler, Bulent] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. [Guvenen, Fatih] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Guvenen, Fatih; Violante, Giovanni L.] NBER, Cambridge, MA 02138 USA. [Violante, Giovanni L.] NYU, CEPR, New York, NY 10003 USA. RP Guler, B (reprint author), Indiana Univ, Dept Econ, 105 Wylie Hall, Bloomington, IN 47405 USA. EM bguler@indiana.edu RI Violante, Giovanni/F-1872-2017 NR 30 TC 3 Z9 3 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 MAY PY 2012 VL 59 IS 4 BP 352 EP 369 DI 10.1016/j.jmoneco.2012.05.001 PG 18 WC Business, Finance; Economics SC Business & Economics GA 966PN UT WOS:000305850000003 ER PT J AU Coenen, G Straub, R Trabandt, M AF Coenen, Guenter Straub, Roland Trabandt, Mathias TI Fiscal Policy and the Great Recession in the Euro Area SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GOVERNMENT SPENDING MULTIPLIERS C1 [Coenen, Guenter; Straub, Roland] European Cent Bank, D-60311 Frankfurt, Germany. [Trabandt, Mathias] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Coenen, G (reprint author), European Cent Bank, Kaiserstr 29, D-60311 Frankfurt, Germany. EM gunter.coenen@ecb.europa.eu; roland.straub@ecb.europa.eu; mathias.trabandt@gmail.com NR 17 TC 17 Z9 17 U1 0 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2012 VL 102 IS 3 BP 71 EP 76 DI 10.1257/aer.102.3.71 PG 6 WC Economics SC Business & Economics GA 945GV UT WOS:000304262000012 ER PT J AU Guerrieri, V Hartley, D Hurst, E AF Guerrieri, Veronica Hartley, Daniel Hurst, Erik TI Within-City Variation in Urban Decline: The Case of Detroit SO AMERICAN ECONOMIC REVIEW LA English DT Article C1 [Guerrieri, Veronica; Hurst, Erik] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Hartley, Daniel] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Guerrieri, V (reprint author), Univ Chicago, Booth Sch Business, 5807 S Woodlawn Ave, Chicago, IL 60637 USA. EM Veronica.Guerrieri@ChicagoBooth.edu; Daniel.Hartley@clev.frb.org; Erik.Hurst@ChicagoBooth.edu NR 6 TC 5 Z9 5 U1 2 U2 18 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 2012 VL 102 IS 3 BP 120 EP 126 DI 10.1257/aer.102.3.120 PG 7 WC Economics SC Business & Economics GA 945GV UT WOS:000304262000020 ER PT J AU Erceg, CJ Linde, J AF Erceg, Christopher J. Linde, Jesper TI Fiscal Consolidation in an Open Economy SO AMERICAN ECONOMIC REVIEW LA English DT Article ID POLICY C1 [Erceg, Christopher J.; Linde, Jesper] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Erceg, CJ (reprint author), Fed Reserve Board, Div Int Finance, Mailstop 20,20th & C Str NW, Washington, DC 20551 USA. EM christopher.erceg@frb.gov; jesper.l.linde@frb.gov NR 6 TC 8 Z9 8 U1 0 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2012 VL 102 IS 3 BP 186 EP 191 DI 10.1257/aer.102.3.186 PG 6 WC Economics SC Business & Economics GA 945GV UT WOS:000304262000031 ER PT J AU Cetorelli, N Goldberg, LS AF Cetorelli, Nicola Goldberg, Linda S. TI Follow the Money: Quantifying Domestic Effects of Foreign Bank Shocks in the Great Recession SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GLOBAL BANKS; TRANSMISSION; CRISIS C1 [Cetorelli, Nicola; Goldberg, Linda S.] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RP Cetorelli, N (reprint author), Fed Reserve Bank New York, Res Dept, 33 Liberty St, New York, NY 10045 USA. EM Nicola.Cetorelli@ny.frb.org; Linda.Goldberg@ny.frb.org NR 7 TC 27 Z9 27 U1 0 U2 7 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 MAY PY 2012 VL 102 IS 3 BP 213 EP 218 DI 10.1257/aer.102.3.213 PG 6 WC Economics SC Business & Economics GA 945GV UT WOS:000304262000036 ER PT J AU Davis, SJ Faberman, RJ Haltiwanger, JC AF Davis, Steven J. Faberman, R. Jason Haltiwanger, John C. TI Recruiting Intensity during and after the Great Recession: National and Industry Evidence SO AMERICAN ECONOMIC REVIEW LA English DT Article C1 [Davis, Steven J.] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Faberman, R. Jason] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Haltiwanger, John C.] Univ Maryland, Dept Econ, College Pk, MD 20742 USA. RP Davis, SJ (reprint author), Univ Chicago, Booth Sch Business, 5807 S Woodlawn Ave, Chicago, IL 60637 USA. EM Steven.Davis@chicagobooth.edu; jfaberman@frbchi.org; Haltiwan@econ.umd.edu NR 7 TC 9 Z9 9 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 2012 VL 102 IS 3 BP 584 EP 588 DI 10.1257/aer.102.3.584 PG 5 WC Economics SC Business & Economics GA 945GV UT WOS:000304262000103 ER PT J AU Bullard, J Singh, A AF Bullard, James Singh, Aarti TI LEARNING AND THE GREAT MODERATION SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; BUSINESS-CYCLE; MACROECONOMIC STABILITY; US ECONOMY; FLUCTUATIONS; VOLATILITY AB We study a stylized theory of the volatility reduction in the U.S. after 1984the Great Moderationwhich attributes part of the stabilization to less volatile shocks and another part to more difficult inference on the part of Bayesian households attempting to learn the latent state of the economy. We use a standard equilibrium business cycle model with technology following an unobserved regime-switching process. After 1984, according to Kim and Nelson (1999a), the variance of U.S. macroeconomic aggregates declined because boom and recession regimes moved closer together, keeping conditional variance unchanged. In our model this makes the signal extraction problem more difficult for Bayesian households, and in response they moderate their behavior, reinforcing the effect of the less volatile stochastic technology and contributing an extra measure of moderation to the economy. We construct example economies in which this learning effect accounts for about 30% of a volatility reduction of the magnitude observed in the postwar U.S. data. C1 [Singh, Aarti] Univ Sydney, Sch Econ, Fac Arts & Social Sci, Sydney, NSW 2006, Australia. Fed Reserve Bank St Louis, St Louis, MO USA. RP Singh, A (reprint author), Univ Sydney, Sch Econ, Fac Arts & Social Sci, H04 Merewether Bldg, Sydney, NSW 2006, Australia. EM aarti.singh@sydney.edu.au RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 24 TC 0 Z9 0 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2012 VL 53 IS 2 BP 375 EP 397 DI 10.1111/j.1468-2354.2012.00685.x PG 23 WC Economics SC Business & Economics GA 945EE UT WOS:000304254800003 ER PT J AU Nakajima, M AF Nakajima, Makoto TI BUSINESS CYCLES IN THE EQUILIBRIUM MODEL OF LABOR MARKET SEARCH AND SELF-INSURANCE SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID CYCLICAL BEHAVIOR; JOB DESTRUCTION; UNEMPLOYMENT; FLUCTUATIONS; PROPAGATION; VACANCIES; RISK AB I introduce risk-aversion, labor-leisure choice, capital, individual productivity shocks, and market incompleteness to the standard model of labor search and matching and investigate the models cyclical properties. I find that the model can generate the observed large volatility of unemployment and vacancies with a reasonable replacement rate of unemployment insurance benefits of 64%. Labor-leisure choice plays a crucial role through additional utility from leisure when unemployed and further amplification from adjustments of hours worked. On the other hand, the borrowing constraint or individual productivity shocks do not significantly affect the cyclical properties of unemployment and vacancies. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Nakajima, M (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM makoto.nakajima@phil.frb.org NR 36 TC 12 Z9 12 U1 0 U2 20 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2012 VL 53 IS 2 BP 399 EP 432 DI 10.1111/j.1468-2354.2012.00686.x PG 34 WC Economics SC Business & Economics GA 945EE UT WOS:000304254800004 ER PT J AU Kose, MA Otrok, C Prasad, E AF Kose, M. Ayhan Otrok, Christopher Prasad, Eswar TI GLOBAL BUSINESS CYCLES: CONVERGENCE OR DECOUPLING? SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID AGGREGATE FLUCTUATIONS; MODELS; WORLD; REAL; SPECIALIZATION; INTEGRATION; COMOVEMENT; INDICATORS; DYNAMICS; INDEXES AB We analyze the evolution of the degree of global cyclical interdependence over the period 19602008. Using a dynamic factor model, we decompose macroeconomic fluctuations in output, consumption, and investment into a global factor, factors specific to country groups, and country-specific factors. We find that during 19852008, there is some convergence of business cycle fluctuations among industrial economies and among emerging market economies. Surprisingly, there is a concomitant decline in the relative importance of the global factor. We conclude that there is evidence of business cycle convergence within each of these two groups of countries but divergence (or decoupling) between them. C1 [Otrok, Christopher] Univ Missouri, Dept Econ, Columbia, MO 65211 USA. Int Monetary Fund, Washington, DC 20431 USA. Fed Reserve Bank St Louis, St Louis, MO USA. Cornell Univ, Ithaca, NY 14853 USA. RP Otrok, C (reprint author), Univ Missouri, Dept Econ, 909 Univ Ave,118 Profess Bldg, Columbia, MO 65211 USA. EM otrokc@missouri.edu NR 57 TC 42 Z9 43 U1 3 U2 13 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2012 VL 53 IS 2 BP 511 EP 538 DI 10.1111/j.1468-2354.2012.00690.x PG 28 WC Economics SC Business & Economics GA 945EE UT WOS:000304254800008 ER PT J AU Chong, YP Jorda, O Taylor, AM AF Chong, Yanping Jorda, Oscar Taylor, Alan M. TI THE HARROD-BALASSA-SAMUELSON HYPOTHESIS: REAL EXCHANGE RATES AND THEIR LONG-RUN EQUILIBRIUM SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PURCHASING-POWER PARITY; PAST 2 CENTURIES; TIME-SERIES; PANEL-DATA; UNIT-ROOT; COINTEGRATION TESTS; IMPULSE RESPONSES; ERROR-CORRECTION; MONETARY-POLICY; INFERENCE AB Frictions and perturbations may influence currency values in the short run, but it is generally acknowledged that real-exchange rates eventually settle toward equilibrium. The puzzle then is how gradually this parity is reached given the fluidity in foreign exchange markets. Persistent differences in the relative productivity of countriesa broad characterization of the HarrodBalassaSamuelson hypothesismay help explain this puzzle. This article introduces methods to estimate equilibrium adjustment paths semiparametrically, and then sort how each of these components influences the dynamics of exchange rates. This is done in a dynamic panel setting by introducing novel local projections methods for cointegrated systems. Productivity shocks affect dynamics, and after adjusting for these factors, adjustment toward equilibrium is relatively rapid. C1 [Jorda, Oscar] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Winona State Univ, Winona, MN USA. Univ Calif Davis, Davis, CA 95616 USA. Univ Virginia, Charlottesville, VA 22903 USA. NBER, Cambridge, MA 02138 USA. RP Jorda, O (reprint author), Fed Reserve Bank San Francisco, MS 1130,101 Market St, San Francisco, CA 94105 USA. EM oscar.jorda@sf.frb.org NR 49 TC 9 Z9 9 U1 1 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2012 VL 53 IS 2 BP 609 EP 633 DI 10.1111/j.1468-2354.2012.00694.x PG 25 WC Economics SC Business & Economics GA 945EE UT WOS:000304254800012 ER PT J AU Goldberg, L Hellerstein, R Engel, C AF Goldberg, Linda Hellerstein, Rebecca Engel, Charles TI Introduction to symposium on the global dimensions of the financial crisis SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Editorial Material C1 [Engel, Charles] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. [Goldberg, Linda; Hellerstein, Rebecca] Fed Reserve Bank New York, New York, NY USA. RP Engel, C (reprint author), Univ Wisconsin, Dept Econ, 1180 Observ Dr, Madison, WI 53706 USA. EM linda.goldberg@ny.frb.org; rebecca.hellerstein@ny.frb.org; cengel@ssc.wisc.edu NR 0 TC 0 Z9 0 U1 1 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2012 VL 87 IS 1 BP 115 EP 116 DI 10.1016/j.jinteco.2012.02.010 PG 2 WC Economics SC Business & Economics GA 944TP UT WOS:000304227000012 ER PT J AU Hall, SG Swamy, PAVB Tavlas, GS AF Hall, Stephen G. Swamy, P. A. V. B. Tavlas, George S. TI Milton Friedman, the Demand for Money, and the ECB's Monetary Policy Strategy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID KEYNESIAN PHILLIPS-CURVE; COINTEGRATION; INFLATION; MODELS AB The European Central Bank (ECB) assigns greater weight to the role of money in its monetary policy strategy than most, if not all, other major central banks. Nevertheless, reflecting the view that the demand for money became unstable in the early 2000s, some commentators have reported that the ECB has "downgraded" the role of money demand functions in its strategy. This paper explains the ECB's monetary policy strategy and shows the considerable influence of Milton Friedman's contributions on the formulation of that strategy. The paper also provides new evidence on the stability of euro area money demand. Following a conjecture made by Friedman (1956), the authors assign a role to uncertainty in the money demand function. They find that although uncertainty is nonstationary and subject to wide swings, it is nonetheless mean reverting and has substantial effects on the demand for money. (JEL C20, E41) C1 [Hall, Stephen G.] Univ Leicester, Leicester LE1 7RH, Leics, England. [Swamy, P. A. V. B.] Board Governors Fed Reserve Syst, Washington, DC USA. [Tavlas, George S.] Bank Greece, Athens, Greece. RP Hall, SG (reprint author), Univ Pretoria, ZA-0002 Pretoria, South Africa. NR 52 TC 3 Z9 3 U1 0 U2 9 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 2012 VL 94 IS 3 BP 153 EP 185 PG 33 WC Business, Finance; Economics SC Business & Economics GA 945OL UT WOS:000304285800001 ER PT J AU Andolfatto, D AF Andolfatto, David TI Liquidity Shocks, Real Interest Rates, and Global Imbalances SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The author uses a simple neoclassical model to show how liquidity shocks at home and abroad can contribute to trade imbalances and low real interest rates. The author's interpretation is consistent with Bernanke's (2005) "global saving glut" hypothesis. (JEL E2, F3) C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Andolfatto, D (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 10 TC 2 Z9 2 U1 0 U2 8 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 2012 VL 94 IS 3 BP 187 EP 195 PG 9 WC Business, Finance; Economics SC Business & Economics GA 945OL UT WOS:000304285800002 ER PT J AU Contessi, S AF Contessi, Silvio TI An Application of Conventional Sovereign Debt Sustainability Analysis to the Current Debt Crises SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The developing international debt crisis has unleashed unanticipated fears that more governments in some advanced economies may default on their sovereign debt and trigger a global financial tsunami. This article provides a primer on sovereign debt sustainability and interprets the recent experience of advanced economies in the light of a uniform approach that allows an answer to this question: What are the main factors that contribute to making a country's debt sustainable or unsustainable? (JEL E6, H12, H6) C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Contessi, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 12 TC 4 Z9 4 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2012 VL 94 IS 3 BP 197 EP 220 PG 24 WC Business, Finance; Economics SC Business & Economics GA 945OL UT WOS:000304285800003 ER PT J AU Gilbert, RA Kliesen, KL Meyer, AP Wheelock, DC AF Gilbert, R. Alton Kliesen, Kevin L. Meyer, Andrew P. Wheelock, David C. TI Federal Reserve Lending to Troubled Banks During the Financial Crisis, 2007-2010 SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Numerous commentaries have questioned both the legality and appropriateness of Federal Reserve lending to banks during the recent financial crisis. This article addresses two questions motivated by such commentary: Did the Federal Reserve violate either the letter or spirit of the law by lending to undercapitalized banks? Did Federal Reserve credit constitute a large fraction of the deposit liabilities of failed banks during their last year before failure? The Federal Deposit Insurance Corporation Improvement Act of 1991 (FDICIA) imposed limits on the number of days that the Federal Reserve may lend to undercapitalized or critically undercapitalized depository institutions. The authors find no evidence that the Federal Reserve ever exceeded statutory limits during the recent financial crisis, recession, and recovery. In most cases, the number of days that Federal Reserve credit was extended to an undercapitalized or critically undercapitalized depository institution was appreciably less than the number of days permitted under law. Furthermore, compared with patterns of Fed lending during 1985-90, the authors find that few banks that failed during 2008-10 borrowed from the Fed during their last year prior to failure, and even fewer had outstanding Fed loans when they failed. Moreover, Federal Reserve loans averaged less than 1 percent of total deposit liabilities among nearly all banks that did borrow from the Fed during their last year. It is impossible to know whether the enactment of FDICIA explains differences in Federal Reserve lending practices during 2007-10 and the previous period of financial distress in the 1980s. However, it does seem clear that Federal Reserve lending to depository institutions during the recent episode was consistent with the congressional intent of this legislation. (JEL E58, G01, G21, G28) C1 [Gilbert, R. Alton; Kliesen, Kevin L.; Meyer, Andrew P.; Wheelock, David C.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Gilbert, RA (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Kliesen, Kevin/I-5746-2016; Wheelock, David/I-5757-2016 OI Kliesen, Kevin/0000-0002-7166-6016; Wheelock, David/0000-0002-2702-8164 NR 15 TC 2 Z9 2 U1 1 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 MAY-JUN PY 2012 VL 94 IS 3 BP 221 EP 242 PG 22 WC Business, Finance; Economics SC Business & Economics GA 945OL UT WOS:000304285800004 ER PT J AU Leung, CKY Lubik, TA AF Leung, Charles Ka Yui Lubik, Thomas A. TI INTRODUCTION: DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELLING AND THE STUDY OF ASIA-PACIFIC ECONOMIES SO PACIFIC ECONOMIC REVIEW LA English DT Article C1 [Leung, Charles Ka Yui] City Univ Hong Kong, Dept Econ & Finance, Kowloon Tong, Hong Kong, Peoples R China. [Lubik, Thomas A.] Fed Reserve Bank Richmond, Richmond, VA USA. RP Leung, CKY (reprint author), City Univ Hong Kong, Dept Econ & Finance, Kowloon Tong, Hong Kong, Peoples R China. EM kycleung@cityu.edu.hk OI LEUNG, Ka Yui Charles/0000-0003-1450-5889 NR 3 TC 0 Z9 0 U1 0 U2 4 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1361-374X J9 PAC ECON REV JI Pac. Econ. Rev. PD MAY PY 2012 VL 17 IS 2 BP 204 EP 207 DI 10.1111/j.1468-0106.2012.00579.x PG 4 WC Economics SC Business & Economics GA 943PM UT WOS:000304136700002 ER PT J AU Lubik, TA AF Lubik, Thomas A. TI AGGREGATE LABOUR MARKET DYNAMICS IN HONG KONG SO PACIFIC ECONOMIC REVIEW LA English DT Article ID EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; VACANCIES; MODEL AB I specify a simple search and matching model of the labour market and estimate it on unemployment and vacancy data for Hong Kong over the period 20002010 using Bayesian methods. The model fits the data remarkably well. The estimation shows that productivity shocks are the main driver of fluctuations in the labour market, with cyclical movements in the separation rate playing only a subordinate role. The parameter estimates are broadly consistent with those found in the literature. To replicate the volatility of unemployment and vacancies, the model estimates require a high replacement ratio and a low bargaining power for workers, in addition to two extraneous sources of uncertainty. The estimates are robust to a relaxation of the prior information and small changes in the underlying model specification, which suggests that the data are informative and that the model is well specified. Overall, the Hong Kong labour market can be characterized by having a low degree of churning in normal times, but rapid firings and hirings in recessions and expansions. C1 [Lubik, Thomas A.] Fed Reserve Bank Richmond, Richmond, VA USA. RP Lubik, TA (reprint author), Res Dept, 701 E Byrd St, Richmond, VA 23219 USA. EM thomas.lubik@rich.frb.org NR 10 TC 7 Z9 7 U1 2 U2 5 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1361-374X J9 PAC ECON REV JI Pac. Econ. Rev. PD MAY PY 2012 VL 17 IS 2 BP 257 EP 279 DI 10.1111/j.1468-0106.2012.00582.x PG 23 WC Economics SC Business & Economics GA 943PM UT WOS:000304136700005 ER PT J AU Ravikumar, B Zhang, Y AF Ravikumar, B. Zhang, Yuzhe TI Optimal auditing and insurance in a dynamic model of tax compliance SO THEORETICAL ECONOMICS LA English DT Article DE Tax auditing; tax compliance; optimal taxation; stochastic costly state verification ID COSTLY STATE VERIFICATION; OPTIMAL-CONTRACTS AB We study the optimal auditing of a taxpayer's income in a dynamic principalagent model of hidden income. Taxpayers in our model initially have low income and stochastically transit to high income that is an absorbing state. A low-income taxpayer who transits to high income can underreport his true income and evade his taxes. With a constant absolute risk-aversion utility function and a costly and imperfect auditing technology, we show that the optimal auditing mechanism in our model consists of cycles. Within each cycle, a low-income taxpayer is initially unaudited, but if the duration of low-income reports exceeds a threshold, then the auditing probability becomes positive. That is, the tax authority guarantees that the taxpayer is not audited until the threshold duration is reached. We also find that auditing becomes less frequent if the auditing cost is higher or if the variance of income is lower. C1 [Ravikumar, B.] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. [Zhang, Yuzhe] Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA. RP Ravikumar, B (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. EM b.ravikumar@wustl.edu; yuzhe-zhang@econmail.tamu.edu RI Ravikumar, B./K-6862-2016 OI Ravikumar, B./0000-0001-6991-4677 NR 20 TC 5 Z9 5 U1 1 U2 18 PU ECONOMETRIC SOCIETY PI NEW YORK PA NEW YORK UNIV, DEPT ECONOMICS, 19 W 4 ST, NEW YORK, NY 10012 USA SN 1555-7561 J9 THEOR ECON JI Theor. Econ. PD MAY PY 2012 VL 7 IS 2 BP 241 EP 282 DI 10.3982/TE737 PG 42 WC Economics SC Business & Economics GA 944HV UT WOS:000304190800003 ER PT J AU Bracha, A Brown, DJ AF Bracha, Anat Brown, Donald J. TI Affective decision making: A theory of optimism bias SO GAMES AND ECONOMIC BEHAVIOR LA English DT Article DE Affective expected utility; Optimism bias; Demand for insurance ID CEO OVERCONFIDENCE; EXPECTED UTILITY; POTENTIAL GAMES; SELF-CONTROL; UNCERTAINTY; EMOTION; NEUROECONOMICS; EXPECTATIONS; PROBABILITY; PREFERENCES AB Optimism bias is inconsistent with the independence of decision weights and payoffs found in models of choice under risk and uncertainty, such as expected utility theory, subjective expected utility, and prospect theory. We therefore propose an alternative model of risky and uncertain choice where decision weights-affective or perceived risk-are endogenous. Affective decision making (ADM) is a strategic model of choice under risk and uncertainty where we posit two cognitive processes the "rational" and the "emotional" process. The two processes interact in a simultaneous-move intrapersonal potential game, and observed choice is the result of a pure strategy Nash equilibrium in this game. We show that regular ADM potential games have an odd number of locally unique pure strategy Nash equilibria, and demonstrate this finding for affective decision making in insurance markets. We prove that ADM potential games are refutable by axiomatizing the ADM potential maximizers. (C) 2011 Elsevier Inc. All rights reserved. C1 [Bracha, Anat] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Brown, Donald J.] Yale Univ, Dept Econ, New Haven, CT 06520 USA. RP Bracha, A (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM anat.bracha@bos.frb.org; donald.brown@yale.edu NR 58 TC 9 Z9 9 U1 1 U2 38 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0899-8256 J9 GAME ECON BEHAV JI Games Econ. Behav. PD MAY PY 2012 VL 75 IS 1 BP 67 EP 80 DI 10.1016/j.geb.2011.11.004 PG 14 WC Economics SC Business & Economics GA 940NM UT WOS:000303900300005 ER PT J AU Devereux, MB Kollmann, R AF Devereux, Michael B. Kollmann, Robert TI Symposium on international risk sharing: Introduction SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article C1 [Devereux, Michael B.] Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. [Devereux, Michael B.; Kollmann, Robert] CEPR, Washington, DC USA. [Devereux, Michael B.] NBER, Cambridge, MA 02138 USA. [Devereux, Michael B.; Kollmann, Robert] Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX USA. [Kollmann, Robert] Univ Libre Brussels, ECARES, Brussels, Belgium. [Kollmann, Robert] Univ Paris Est, Paris, France. RP Devereux, MB (reprint author), Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. EM devm@mail.ubc.ca; robert_kollmann@yahoo.com NR 0 TC 2 Z9 2 U1 0 U2 2 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0008-4085 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD MAY PY 2012 VL 45 IS 2 BP 373 EP 375 DI 10.1111/j.1540-5982.2012.01716.x PG 3 WC Economics SC Business & Economics GA 935CQ UT WOS:000303496900001 ER PT J AU Kollmann, R AF Kollmann, Robert TI Limited asset market participation and the consumption-real exchange rate anomaly SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article DE F41; F36 ID NONTRADED GOODS; BUSINESS CYCLES; INCOME; SHOCKS; TRADE AB Under efficient consumption risk sharing, as assumed in standard international business cycle models, a country's aggregate consumption rises relative to foreign consumption, when the country's real exchange rate depreciates. Yet empirically, relative consumption and the real exchange rate are essentially uncorrelated. This paper shows that this consumption-real exchange rate anomaly can be explained by a simple model in which a subset of households trade in complete financial markets, while the remaining households lead hand-to-mouth (HTM) lives. HTM behaviour also generates greater volatility of the real exchange rate and of net exports, which likewise brings the model closer to the data. C1 [Kollmann, Robert] Univ Libre Brussels, ECARES, Brussels, Belgium. [Kollmann, Robert] Univ Paris Est, Paris, France. [Kollmann, Robert] CEPR, London, England. [Kollmann, Robert] Fed Reserve Bank Dallas, Monetary Policy Inst, Dallas, TX USA. RP Kollmann, R (reprint author), Univ Libre Brussels, ECARES, Brussels, Belgium. EM robert_kollmann@yahoo.com NR 48 TC 11 Z9 11 U1 2 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0008-4085 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD MAY PY 2012 VL 45 IS 2 BP 566 EP 584 DI 10.1111/j.1540-5982.2012.01705.x PG 19 WC Economics SC Business & Economics GA 935CQ UT WOS:000303496900010 ER PT J AU Bombardini, M Kurz, CJ Morrow, PM AF Bombardini, Matilde Kurz, Christopher J. Morrow, Peter M. TI Ricardian trade and the impact of domestic competition on export performance SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article ID INTERNATIONAL-TRADE; HETEROGENEOUS FIRMS; PRODUCTIVITY; TECHNOLOGY; INVESTMENT; PLANTS AB This paper develops and empirically examines a model of relative productivity differences both within and across industries for small open economies. We decompose the effect of industry productivity on export performance into direct effect of own-firm productivity and an indirect effect of higher peer-firm productivity. In a sample of Chilean and Colombian plants, we find evidence of both a positive direct effect and a negative indirect effect. The empirical evidence supports our theoretical prediction that industry-specific factors of production and asymmetric substitutability between domestic and foreign varieties drive the negative indirect effect. JEL classification: F10, F11, F12 C1 [Bombardini, Matilde] Univ British Columbia, Dept Econ, Vancouver, BC V5Z 1M9, Canada. [Kurz, Christopher J.] Fed Reserve Board Governors, Washington, DC USA. [Morrow, Peter M.] Univ Toronto, Dept Econ, Toronto, ON M5S 1A1, Canada. [Bombardini, Matilde] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Bombardini, Matilde] Canadian Inst Adv Res, Vancouver, BC, Canada. RP Bombardini, M (reprint author), Univ British Columbia, Dept Econ, Vancouver, BC V5Z 1M9, Canada. EM peter.morrow@utoronto.ca NR 43 TC 1 Z9 1 U1 2 U2 8 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0008-4085 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD MAY PY 2012 VL 45 IS 2 BP 585 EP 612 DI 10.1111/j.1540-5982.2012.01715.x PG 28 WC Economics SC Business & Economics GA 935CQ UT WOS:000303496900011 ER PT J AU Cetorelli, N Peretto, PF AF Cetorelli, Nicola Peretto, Pietro F. TI Credit quantity and credit quality: Bank competition and capital accumulation SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Bank competition; Credit market; Capital accumulation; Economic growth ID INTERNATIONAL EVIDENCE; INDUSTRY STRUCTURE; MARKET; INFORMATION; LIQUIDITY; FINANCE; CONTRACTS; PRIVATE; GROWTH; RISK AB In this paper we show that bank competition has an intrinsically ambiguous impact on capital accumulation. We further show that it is also responsible for the emergence of development traps in economies that otherwise would be characterized by unique equilibria. These results explain the conflicting evidence emerging from the recent empirical studies of the effects of bank competition on economic growth. We obtain them developing a dynamic, general equilibrium model of capital accumulation where banks operate in a Cournot oligopoly. More banks lead to a higher quantity of credit available to entrepreneurs, but also to diminished incentives to offer relationship services that improve the likelihood of success of investment projects. We also show that conditioning on one key parameter resolves the theoretical ambiguity: in economies where intrinsic market uncertainty is high (low), less (more) competition leads to higher capital accumulation. (C) 2012 Elsevier Inc. All rights reserved. C1 [Peretto, Pietro F.] Duke Univ, Dept Econ, Durham, NC 27708 USA. [Cetorelli, Nicola] Fed Reserve Bank New York, New York, NY 10045 USA. RP Peretto, PF (reprint author), Duke Univ, Dept Econ, Durham, NC 27708 USA. EM nicola.cetorelli@ny.frb.org; peretto@econ.duke.edu NR 48 TC 5 Z9 5 U1 6 U2 26 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2012 VL 147 IS 3 BP 967 EP 998 DI 10.1016/j.jet.2012.01.006 PG 32 WC Economics SC Business & Economics GA 936VT UT WOS:000303618800004 ER PT J AU Rocheteau, G AF Rocheteau, Guillaume TI The cost of inflation: A mechanism design approach SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Cost of inflation; Pairwise trades; Optimal mechanism ID MONEY; SEARCH; MODEL; WELFARE; POLICY AB I apply mechanism design to quantify the cost of inflation that can be attributed to monetary frictions alone. In an environment with pairwise meetings, the money demand that is consistent with an optimal, incentive feasible allocation takes the form of a continuous correspondence that can fit the data over the period 1900-2006. For such parameterizations, the cost of moderate inflation is zero. This result is robust to the introduction of match-specific heterogeneity and endogenous participation decisions. (C) 2012 Elsevier Inc. All rights reserved. C1 [Rocheteau, Guillaume] Univ Calif Irvine, Dept Econ, Irvine, CA 92697 USA. [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Rocheteau, G (reprint author), Univ Calif Irvine, Dept Econ, 3151 Social Sci Plaza, Irvine, CA 92697 USA. EM grochete@uci.edu NR 25 TC 6 Z9 6 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 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2012 VL 147 IS 3 BP 1261 EP 1279 DI 10.1016/j.jet.2012.01.016 PG 19 WC Economics SC Business & Economics GA 936VT UT WOS:000303618800014 ER PT J AU Nason, JM Vahey, SP AF Nason, James M. Vahey, Shaun P. TI UK World War I and interwar data for business cycle and growth analysis SO CLIOMETRICA LA English DT Article DE Hours worked; Average tax rates; Growth accounting; Bayesian model averaging ID OPTIMAL TAXATION; BRITISH INDUSTRY; UNITED-STATES; BRITAIN; UNEMPLOYMENT; EXPLANATION; POLICY AB This article contributes new time series for studying the UK economy during World War I and the interwar period. The time series are per capita hours worked and average capital income, labor income, and consumption tax rates. Uninterrupted time series of these variables are provided for an annual sample that runs from 1913 to 1938. We highlight the usefulness of these time series with several empirical applications. The per capita hours worked data are used in a growth accounting exercise to measure the contributions of capital, labor, and productivity to output growth. The average tax rates are employed in a Bayesian model averaging experiment to reevaluate the Benjamin and Kochin (J Political Econ 87:441-478, 1979) regression. C1 [Nason, James M.] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Vahey, Shaun P.] Australian Natl Univ, Coll Business & Econ, Res Sch Econ, CAMA, Canberra, ACT 0200, Australia. RP Nason, JM (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM jim.nason@phil.frb.org; shaun.vahey@anu.edu.au NR 43 TC 1 Z9 1 U1 3 U2 13 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1863-2505 J9 CLIOMETRICA JI Cliometrica PD MAY PY 2012 VL 6 IS 2 BP 115 EP 142 DI 10.1007/s11698-011-0064-5 PG 28 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 933GT UT WOS:000303349300001 ER PT J AU Abel, JR Deitz, R AF Abel, Jaison R. Deitz, Richard TI Do colleges and universities increase their region's human capital? SO JOURNAL OF ECONOMIC GEOGRAPHY LA English DT Article DE Human capital; higher education; knowledge spillovers; local economic development; R10; J24; O18 ID RESEARCH-AND-DEVELOPMENT; ACADEMIC RESEARCH; EDUCATED LABOR; SPILLOVERS; MIGRATION; LOCATION; CITIES; LOCALIZATION; GRADUATE; GROWTH AB We investigate whether the degree production and R&D activities of colleges and universities are related to the amount and types of human capital in the metropolitan areas where they are located. Our results indicate only a small positive relationship exists between a metropolitan area's production and stock of human capital, suggesting that migration plays an important role in the geographic distribution of human capital. We also find that academic R&D activities increase local human capital levels, suggesting that spillovers from such activities can raise the demand for human capital. Consistent with these results, we show that metropolitan areas with more higher education activity tend to have a larger share of workers in high human capital occupations. Thus, this research indicates that colleges and universities can raise local human capital levels by increasing both the supply of and demand for skill. C1 [Abel, Jaison R.; Deitz, Richard] Fed Reserve Bank New York, Res & Stat Grp, Buffalo, NY 14203 USA. RP Abel, JR (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 237 Main St,Suite 1200, Buffalo, NY 14203 USA. EM jaison.abel@ny.frb.org NR 40 TC 19 Z9 19 U1 1 U2 45 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1468-2702 J9 J ECON GEOGR JI J. Econ. Geogr. PD MAY PY 2012 VL 12 IS 3 BP 667 EP 691 DI 10.1093/jeg/lbr020 PG 25 WC Economics; Geography SC Business & Economics; Geography GA 932ZV UT WOS:000303329900005 ER PT J AU Bauer, PW Schweitzer, ME Shane, SA AF Bauer, Paul W. Schweitzer, Mark E. Shane, Scott A. TI KNOWLEDGE MATTERS: THE LONG-RUN DETERMINANTS OF STATE INCOME GROWTH SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID ECONOMIC-GROWTH; UNITED-STATES; LOCAL-TAXES; CONVERGENCE; REGIONS; PANEL AB State per capita income differences narrowed considerably between 1939 and 1976. However, this convergence has been incomplete. We examined the sources of relative per capita income growth using an augmented growth model and a panel of the 48 contiguous states from 1939 to 2004. We explored the effect of tax burdens, public infrastructure, size of private financial markets, rates of business failure, industry structure, climate, educational attainment, and technology production. Our results show that a state's technology and its college attainment rates are the main factors that allow some state's per capita income to remain above those of other states. C1 [Bauer, Paul W.] SUNY Coll Oneonta, Oneonta, NY 13820 USA. [Schweitzer, Mark E.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. [Shane, Scott A.] Case Western Reserve Univ, Cleveland, OH 44106 USA. RP Bauer, PW (reprint author), SUNY Coll Oneonta, Oneonta, NY 13820 USA. EM bauerpw@oneonta.edu; mark.e.schweitzer@clev.frb.org; scott.shane@case.edu NR 28 TC 9 Z9 9 U1 1 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD MAY PY 2012 VL 52 IS 2 BP 240 EP 255 DI 10.1111/j.1467-9787.2011.00729.x PG 16 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 929HA UT WOS:000303050700005 ER PT J AU Bleakley, H Lin, J AF Bleakley, Hoyt Lin, Jeffrey TI Portage and Path Dependence SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article DE R12; N91; N92; O18; F12 ID ECONOMIC-GEOGRAPHY; INDUSTRY; ADVANTAGE; GROWTH; AGGLOMERATION; DENSITY; IMPACT; WAR AB Many cities in North America formed at obstacles to water navigation, where continued transport required overland hauling or portage. Portage sites attracted commerce and supporting services, and places where the falls provided water power attracted manufacturing during early industrialization. We examine portage sites in the U.S. South, Mid-Atlantic, and Midwest, including those on the fall line, a geomorphological feature in the southeastern United States marking the final rapids on rivers before the ocean. Although their original advantages have long since become obsolete, we document the continuing importance of historical portage sites. We interpret these results as path dependence and contrast explanations based on sunk costs interacting with decreasing versus increasing returns to scale. C1 [Bleakley, Hoyt] Univ Chicago, Chicago, IL 60637 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Bleakley, H (reprint author), Univ Chicago, Chicago, IL 60637 USA. FU NIA NIH HHS [P01 AG010120] NR 44 TC 32 Z9 32 U1 4 U2 30 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD MAY PY 2012 VL 127 IS 2 BP 587 EP 644 DI 10.1093/qje/qjs011 PG 58 WC Economics SC Business & Economics GA 933EC UT WOS:000303341500002 PM 23935217 ER PT J AU Haubrich, J Pennacchi, G Ritchken, P AF Haubrich, Joseph Pennacchi, George Ritchken, Peter TI Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE G01; G12; G13 ID TERM STRUCTURE; BOND YIELDS; MODELS; UNCERTAINTY; MARKETS AB We develop a model of nominal and real bond yield curves that has four stochastic drivers but seven factors: three factors primarily determine the cross-section of yields, whereas four volatility factors solely determine risk premia. The model is estimated using nominal Treasury yields, survey inflation forecasts, and inflation swap rates and has attractive empirical properties. Time-varying volatility is particularly apparent in short-term real rates and expected inflation. Also, we detail the different economic forces that drive short- and long-term real and inflation risk premia and provide evidence that Treasury inflation-protected securities were undervalued prior to 2004 and during the recent financial crisis. C1 [Pennacchi, George] Univ Illinois, Coll Business, Champaign, IL 61820 USA. [Haubrich, Joseph; Pennacchi, George; Ritchken, Peter] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Ritchken, Peter] Case Western Reserve Univ, Weatherhead Sch Management, Cleveland, OH 44106 USA. RP Pennacchi, G (reprint author), Univ Illinois, Coll Business, 4041 BIF,515 E Gregory Dr, Champaign, IL 61820 USA. EM gpennacc@illinois.edu NR 40 TC 16 Z9 16 U1 2 U2 10 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 MAY PY 2012 VL 25 IS 5 BP 1588 EP 1629 DI 10.1093/rfs/hhs003 PG 42 WC Business, Finance; Economics SC Business & Economics GA 930US UT WOS:000303168000008 ER PT J AU Lartey, EKK Mandelman, FS Acosta, PA AF Lartey, Emmanuel K. K. Mandelman, Federico S. Acosta, Pablo A. TI Remittances, Exchange Rate Regimes and the Dutch Disease: A Panel Data Analysis SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article ID INTERNATIONAL MIGRATION; WORKERS REMITTANCES; DATA MODELS; EMPLOYMENT; POVERTY AB Using disaggregated sectorial data for developing and transition countries, this study shows that rising levels of remittances have spending effects that may lead to real exchange rate appreciation, and resource movement effects that favor the nontradable sector at the expense of tradable goods production. These are two characteristics of the phenomenon known as Dutch disease. The results further suggest that resource movement effects that favor the nontradable sector should operate stronger under fixed nominal exchange rate regimes. C1 [Lartey, Emmanuel K. K.] Calif State Univ Fullerton, Dept Econ, Fullerton, CA 92834 USA. [Mandelman, Federico S.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Acosta, Pablo A.] World Bank, Washington, DC 20433 USA. RP Lartey, EKK (reprint author), Calif State Univ Fullerton, Dept Econ, 800 N State Coll Blvd, Fullerton, CA 92834 USA. EM elartey@fullerton.edu; Federico.Mandelman@atl.frb.org; pacosta@worldbank.org NR 26 TC 16 Z9 17 U1 1 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 MAY PY 2012 VL 20 IS 2 BP 377 EP 395 DI 10.1111/j.1467-9396.2012.01028.x PG 19 WC Economics SC Business & Economics GA 926XN UT WOS:000302865800012 ER PT J AU Gabe, T Abel, J Ross, A Stolarick, K AF Gabe, Todd Abel, Jaison Ross, Adrienne Stolarick, Kevin TI Knowledge in Cities SO URBAN STUDIES LA English DT Article ID ECONOMIC-DEVELOPMENT; GROWTH; PRODUCTIVITY; CLUSTERS; SKILL AB This study identifies clusters of US and Canadian metropolitan areas with similar knowledge traits. These groups-ranging from 'Making regions', characterised by knowledge about manufacturing, to 'Thinking regions', noted for knowledge about the arts, humanities, IT and commerce-can be used by analysts and policy-makers for the purposes of regional benchmarking or comparing the types of programme and infrastructure available to support closely related economic activities. In addition, these knowledge-based clusters help to explain the types of region that have levels of economic development that exceed, or fall short of, other places with similar amounts of college attainment. Regression results show that 'Engineering', 'Building', 'Enterprising' and 'Making' regions are associated with higher levels of productivity and/or income per capita; while 'Teaching', 'Understanding', 'Working' and 'Comforting' regions have lower levels of economic development. C1 [Gabe, Todd] Univ Maine, Sch Econ, Orono, ME 04469 USA. [Abel, Jaison] Fed Reserve Bank New York, Res & Stat Grp, Buffalo, NY USA. [Ross, Adrienne] Inst Competitiveness & Prosper, Toronto, ON, Canada. [Stolarick, Kevin] Univ Toronto, Martin Prosper Inst, Toronto, ON, Canada. RP Gabe, T (reprint author), Univ Maine, Sch Econ, 5782 Winslow Hall, Orono, ME 04469 USA. EM todd.gabe@umit.maine.edu; jaison.abel@ny.frb.org; a.ross@competeprosper.ca; kevin.stolarick@rotman.utoronto.ca NR 35 TC 14 Z9 14 U1 1 U2 11 PU SAGE PUBLICATIONS LTD PI LONDON PA 1 OLIVERS YARD, 55 CITY ROAD, LONDON EC1Y 1SP, ENGLAND SN 0042-0980 J9 URBAN STUD JI Urban Stud. PD MAY PY 2012 VL 49 IS 6 BP 1179 EP 1200 DI 10.1177/0042098011411949 PG 22 WC Environmental Studies; Urban Studies SC Environmental Sciences & Ecology; Urban Studies GA 926TA UT WOS:000302853300002 ER PT J AU Bhardwaj, G Sengupta, R AF Bhardwaj, Geetesh Sengupta, Rajdeep TI Subprime mortgage design SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Mortgage design; Subprime; Refinance; Prepayment ID BACKED SECURITIES; DEFAULT; CONSTRAINTS; PREPAYMENT; EQUITY; MARKET AB This paper offers evidence on the design of subprime mortgages as bridge-financing products. We show that the viability of subprime mortgages was uniquely predicated on the appreciation of house prices over short horizons. High rates of early prepayments on subprime mortgages suggest the use of prepayments as an exit option. This paper argues that high early defaults on post-2004 originations can be explained when one considers high early prepayment rates for pre-2004 originations. (C) 2012 Elsevier B.V. All rights reserved. C1 [Sengupta, Rajdeep] Fed Reserve Bank, St Louis, MO 63166 USA. [Bhardwaj, Geetesh] SurnmerHaven Investment Managment LLC, Stamford, CT 06902 USA. RP Sengupta, R (reprint author), Fed Reserve Bank, POB 44, St Louis, MO 63166 USA. EM gbhardwaj@summerhavenim.com; rajdeep.sengupta@stls.frb.org NR 38 TC 3 Z9 3 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 2012 VL 36 IS 5 BP 1503 EP 1519 DI 10.1016/j.jbankfin.2011.12.012 PG 17 WC Business, Finance; Economics SC Business & Economics GA 920YS UT WOS:000302445800021 ER PT J AU Howard, G Goodman, S AF Howard, Greg Goodman, Sue TI Generic maps of the projective plane with a single triple point SO MATHEMATICAL PROCEEDINGS OF THE CAMBRIDGE PHILOSOPHICAL SOCIETY LA English DT Article ID REGULAR HOMOTOPY CLASSES; SURFACES AB Cromwell and Marar present an analysis of semi-regular (generic) surfaces with a single triple point and connected self-intersection set. Six of their surfaces are the projective plane, including Boy's surface and Steiner's surface. We build on their work by incorporating twists similar to that of Apery's immersion of the projective plane and show that with a few additional surfaces, all such generic maps of the projective plane are now identified. C1 [Howard, Greg] Fed Reserve Board Governors, Chapel Hill, NC USA. [Howard, Greg; Goodman, Sue] Univ N Carolina, Chapel Hill, NC USA. RP Howard, G (reprint author), Fed Reserve Board Governors, Chapel Hill, NC USA. EM greg.l.howard@gmail.com; seg@email.unc.edu FU Honors Department at UNC FX The authors would like to thank Alex Mellnik for his computer graphics and help; Jane Hawkins and Justin Sawon for their constructive comments and service on the thesis panel; and Richard Rimanyi, Scott Carter, and Washington Marar for their helpful feedback. We are grateful for monetary support from the Honors Department at UNC. NR 16 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0305-0041 J9 MATH PROC CAMBRIDGE JI Math. Proc. Camb. Philos. Soc. PD MAY PY 2012 VL 152 BP 455 EP 472 DI 10.1017/S0305004112000059 PN 3 PG 18 WC Mathematics SC Mathematics GA 920RY UT WOS:000302426200004 ER PT J AU Arellano, C Ramanarayanan, A AF Arellano, Cristina Ramanarayanan, Ananth TI Default and the Maturity Structure in Sovereign Bonds SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID INTEREST-RATES; RISK STRUCTURE; DEBT; CRISIS; BANKING; CREDIT AB This paper studies the maturity composition and the term structure of interest rate spreads of government debt in emerging markets. In the data, when interest rate spreads rise, debt maturity shortens and the spread on short-term bonds rises more than the spread on long-term bonds. We build a dynamic model of international borrowing with endogenous default and multiple debt maturities. Long-term debt provides a hedge against future fluctuations in spreads, whereas short-term debt is more effective at providing incentives to repay. The trade-off between these hedging and incentive benefits is quantitatively important for understanding the maturity structure in emerging markets. C1 [Arellano, Cristina] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Arellano, Cristina] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Ramanarayanan, Ananth] Univ Western Ontario, London, ON N6A 3K7, Canada. RP Arellano, C (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. NR 43 TC 24 Z9 24 U1 4 U2 14 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 APR PY 2012 VL 120 IS 2 BP 187 EP 232 DI 10.1086/666589 PG 46 WC Economics SC Business & Economics GA 956JM UT WOS:000305085900001 ER PT J AU Bilbiie, FO Ghironi, F Melitz, MJ AF Bilbiie, Florin O. Ghironi, Fabio Melitz, Marc J. TI Endogenous Entry, Product Variety, and Business Cycles SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID MONOPOLISTIC COMPETITION; INCREASING RETURNS; AGGREGATE FLUCTUATIONS; INTERNATIONAL-TRADE; FIRM DYNAMICS; EQUILIBRIUM; EXIT; SPECIALIZATION; PERSISTENCE; TECHNOLOGY AB This paper builds a framework for the analysis of macroeconomic fluctuations that incorporates the endogenous determination of the number of producers and products over the business cycle. Economic expansions induce higher entry rates by prospective entrants subject to sunk investment costs. The sluggish response of the number of producers generates a new and potentially important endogenous propagation mechanism for business cycle models. The return to investment determines household saving decisions, producer entry, and the allocation of labor across sectors. Our framework replicates several features of business cycles and predicts procyclical profits even for preference specifications that imply countercyclical markups. C1 [Bilbiie, Florin O.] Univ Paris 01, Paris Sch Econ, F-75231 Paris 05, France. [Bilbiie, Florin O.] Ctr Econ Policy Res, Washington, DC USA. [Ghironi, Fabio] Boston Coll, Fed Reserve Bank Boston, Chestnut Hill, MA 02167 USA. [Ghironi, Fabio; Melitz, Marc J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Melitz, Marc J.] Harvard Univ, Ctr Econ Policy Res, Cambridge, MA 02138 USA. RP Bilbiie, FO (reprint author), Univ Paris 01, Paris Sch Econ, F-75231 Paris 05, France. RI Ghironi, Fabio/A-1290-2008 OI Ghironi, Fabio/0000-0002-4104-5673 NR 61 TC 63 Z9 64 U1 7 U2 43 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 EI 1537-534X J9 J POLIT ECON JI J. Polit. Econ. PD APR PY 2012 VL 120 IS 2 BP 304 EP 345 DI 10.1086/665825 PG 42 WC Economics SC Business & Economics GA 956JM UT WOS:000305085900004 ER PT J AU Kishor, NK Koenig, EF AF Kishor, N. Kundan Koenig, Evan F. TI VAR Estimation and Forecasting When Data Are Subject to Revision SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Forecasting; Real-time data; Real-time estimation ID REAL-TIME DATA; PREDICTIVE ABILITY; INVESTMENT; OUTPUT; INDEX; TESTS AB We show that Howrey's method for producing economic forecasts when data are subject to revision is easily generalized to handle the case where data are produced by a sophisticated statistical agency. The proposed approach assumes that government estimates are efficient with a finite lag. It takes no stand on whether earlier revisions are the result of "news" or of reductions in "noise." We present asymptotic performance results in the scalar case and illustrate the technique using several simple models of economic activity. In each case, it outperforms both conventional VAR analysis and the original Howrey method. It produces GDP forecasts that are competitive with those of professional forecasters. Special cases and extensions of the analysis are discussed in a series of appendices that are available online. C1 [Kishor, N. Kundan] Univ Wisconsin, Dept Econ, Milwaukee, WI 53201 USA. [Koenig, Evan F.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Kishor, NK (reprint author), Univ Wisconsin, Dept Econ, Bolton Hall, Milwaukee, WI 53201 USA. EM evan.f.koenig@dal.frb.org NR 22 TC 8 Z9 8 U1 3 U2 8 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD APR PY 2012 VL 30 IS 2 BP 181 EP 190 DI 10.1198/jbes.2010.08169 PG 10 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 948DY UT WOS:000304485000003 ER PT J AU Grishchenko, OV Rossi, M AF Grishchenko, Olesya V. Rossi, Marco TI The Role of Heterogeneity in Asset Pricing: The Effect of a Clustering Approach SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Aggregation; Clustering approach; Euler equations; Household consumption; Idiosyncratic consumption risk; Incomplete markets ID CONSUMER EXPENDITURE SURVEY; INCOMPLETE MARKETS; CONSUMPTION RISK; EQUITY PREMIUM; IDIOSYNCRATIC RISK; PRICES; MODELS; RETURNS; PUZZLES; CYCLE AB In this article we use a novel clustering approach to study the role of heterogeneity in asset pricing. We present evidence that the equity premium is consistent with a stochastic discount factor (SDF) calculated as the average of the household clusters' intertemporal marginal rates of substitution in the 1984-2002 period. The result is driven by the skewness of the cluster-based cross-sectional distribution of consumption growth, but cannot be explained by the cross-sectional variance and mean alone. We find that nine clusters are sufficient to explain the equity premium with relative risk aversion coefficient equal to six. The result is robust to various averaging schemes of cluster-based consumption growth used to construct the SDF. Lastly, the analysis reveals that standard approximation schemes of the SDF using individual household data produce unreliable results, implying a negative SDF. C1 [Grishchenko, Olesya V.] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. [Rossi, Marco] Univ Notre Dame, Mendoza Coll Business, Notre Dame, IN 46556 USA. RP Grishchenko, OV (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. EM Olesya.V.Grishchenko@frb.gov; marco.rossi@nd.edu NR 32 TC 4 Z9 4 U1 1 U2 6 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD APR PY 2012 VL 30 IS 2 BP 297 EP 311 DI 10.1080/07350015.2012.670544 PG 15 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 948DY UT WOS:000304485000013 ER PT J AU Brown, M Scholz, JK Seshadri, A AF Brown, Meta Scholz, John Karl Seshadri, Ananth TI A New Test of Borrowing Constraints for Education SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Education; Borrowing constraints; H52; I18 ID ROTTEN-KID THEOREM; CREDIT CONSTRAINTS; TRANSFERS; COLLEGE; FAMILY; RETURNS; ATTAINMENT; ALTRUISM; SAVINGS; MALES AB We discuss a simple model in which parents and children make investments in the children's education and investments for other purposes and parents can transfer cash to their children. We show that for an identifiable set of parent-child pairs, parents will rationally underinvest in their child's education. For these parent-child pairs, additional financial aid will increase educational attainment. The model highlights an important feature of higher education finance, the "expected family contribution" (EFC) that is based on income, assets, and other factors. The EFC is neither legally guaranteed nor universally offered: our model identifies the set of families that are disproportionately likely to not provide their full EFC. Using a common proxy for financial aid, we show, in data from the Health and Retirement Study, that financial aid increases the educational attainment of children whose families are more likely than others to underinvest in education. Financial aid has no effect on the educational attainment of children in other families. The theory and empirical evidence identifies a set of children who face quantitatively important borrowing constraints for higher education. C1 [Brown, Meta] Fed Reserve Bank New York, New York, NY 10045 USA. [Scholz, John Karl; Seshadri, Ananth] Univ Wisconsin, Madison, WI 53706 USA. RP Brown, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 45 TC 14 Z9 14 U1 0 U2 20 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 APR PY 2012 VL 79 IS 2 BP 511 EP 538 DI 10.1093/restud/rdr032 PG 28 WC Economics SC Business & Economics GA 933EI UT WOS:000303342100004 ER PT J AU Pitchford, R Wright, MLJ AF Pitchford, Rohan Wright, Mark L. J. TI Holdouts in Sovereign Debt Restructuring: A Theory of Negotiation in a Weak Contractual Environment SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Soveign debt; Holdout; Negotiation; Contracts; Default; D23; D78; F34; K12; K33 ID FAVORED-NATION CLAUSES; SETTLEMENT; ATTRITION; WAR; MODEL; INFORMATION; CREDITORS; MARKETS AB Why is it difficult to restructure sovereign debt in a timely manner? In this paper, we present a theory of the sovereign debt-restructuring process in which delay arises as individual creditors hold up a settlement in order to extract greater payments from the sovereign. We then use the theory to analyse recent policy proposals aimed at ensuring equal repayment of creditor claims. Strikingly, we show that such collective action policies may increase delay by encouraging free riding on negotiation costs, even while preventing hold-up and reducing total negotiation costs. A calibrated version of the model can account for observed delays and finds that free riding is quantitatively relevant: whereas in simple low-cost debt-restructuring operations, collective mechanisms will reduce delay by more than 60%, in high-cost complicated restructurings, the adoption of such mechanisms results in a doubling of delay. C1 [Pitchford, Rohan] Australian Natl Univ, Canberra, ACT 0200, Australia. [Wright, Mark L. J.] Univ Calif Los Angeles, Los Angeles, CA USA. [Wright, Mark L. J.] NBER, Cambridge, MA 02138 USA. [Wright, Mark L. J.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Pitchford, R (reprint author), Australian Natl Univ, Canberra, ACT 0200, Australia. NR 63 TC 10 Z9 10 U1 1 U2 13 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD APR PY 2012 VL 79 IS 2 BP 812 EP 837 DI 10.1093/restud/rdr038 PG 26 WC Economics SC Business & Economics GA 933EI UT WOS:000303342100013 ER PT J AU Acharya, VV Gromb, D Yorulmazer, T AF Acharya, Viral V. Gromb, Denis Yorulmazer, Tanju TI Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID FEDERAL-FUNDS MARKET; FINANCIAL CRISES; CONTAGION; PRIVATE; RISK; CLEARINGHOUSES; INFORMATION; GOVERNANCE; EFFICIENCY; VALUATION AB We study interbank lending and asset sales markets in which banks with surplus liquidity have market power vis-a-vis banks needing liquidity, frictions arise in lending due to moral hazard, and assets are bank-specific. Surplus banks ration lending and instead purchase assets from needy banks, an inefficiency more acute during financial crises. A central bank acting as a lender-of-last-resort can ameliorate this inefficiency provided it is prepared to extend potentially loss-making loans or is better informed than outside markets, as might be the case if it also performs a supervisory role. This rationale for central banking finds support in historical episodes. (JEL E58, G01, G21, G28, L13, N21) C1 [Acharya, Viral V.] NYU, Dept Finance, Stern Sch Business, New York, NY 10012 USA. [Acharya, Viral V.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Gromb, Denis] INSEAD, F-77305 Fontainebleau, France. [Yorulmazer, Tanju] Fed Reserve Bank New York, New York, NY 10045 USA. RP Acharya, VV (reprint author), NYU, Dept Finance, Stern Sch Business, 44 W 4th St,Room 9-84, New York, NY 10012 USA. EM vacharya@stern.nyu.edu; denis.gromb@insead.edu; tanju.yorulmazer@ny.frb.org NR 74 TC 21 Z9 21 U1 3 U2 18 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD APR PY 2012 VL 4 IS 2 BP 184 EP 217 DI 10.1257/mac.4.2.184 PG 34 WC Economics SC Business & Economics GA 922MY UT WOS:000302552800007 ER PT J AU Zafar, B AF Zafar, Basit TI DOUBLE MAJORS: ONE FOR ME, ONE FOR THE PARENTS? SO ECONOMIC INQUIRY LA English DT Article ID SUBJECTIVE EXPECTATIONS; COLLEGE-STUDENTS; CHOICE; PREFERENCES; HOUSEHOLDS; EDUCATION; EARNINGS; RETURNS AB At least a quarter of college students in the United States graduate with more than one undergraduate major. This article investigates how students choose the composition of their majors conditional on pursuing more than one major, that is, whether the majors that they choose are substitutes or complements. As the students use both their preferences and expectations about the realizations of future major-specific outcomes when choosing their college majors, I collect innovative data on subjective expectations from a sample of Northwestern University sophomores. Although there is substantial heterogeneity in beliefs across students, they seem to be aware of differences across majors and have sensible beliefs about the outcomes conditional on major. Students believe that their parents are more likely to approve majors associated with high social status and high returns in the labor market. I incorporate the subjective data in a choice model of double majors that also captures the notion of specialization. I find that enjoying studying the coursework and gaining approval of parents are the most important determinants in the choice of majors. The model estimates reject the hypothesis that students major in one field to pursue their own interests and in another for parents' approval. Instead I find that gaining parents' approval and enjoying studying and working in a field of study are outcomes that are important for both majors in a student's major pair. However, I do find that students act strategically in their choice of majors by choosing majors that differ in their chances of completion and difficulty, and in finding a job upon graduation. (JEL D8, I2, J1) C1 Fed Reserve Bank New York Res, New York, NY 10045 USA. RP Zafar, B (reprint author), Fed Reserve Bank New York Res, 33 Liberty St, New York, NY 10045 USA. EM basit.zafar@ny.frb.org NR 34 TC 4 Z9 4 U1 0 U2 13 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD APR PY 2012 VL 50 IS 2 BP 287 EP 308 DI 10.1111/j.1465-7295.2011.00403.x PG 22 WC Economics SC Business & Economics GA 923KV UT WOS:000302619100001 ER PT J AU Lubik, TA Teo, WL AF Lubik, Thomas A. Teo, Wing Leong TI Inventories, inflation dynamics and the New Keynesian Phillips curve SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Phillips curve; GMM; Marginal costs; Inventories ID STRUCTURAL ECONOMETRIC-ANALYSIS; SEARCH FRICTIONS; US; OUTPUT AB We introduce inventories into an otherwise standard New Keynesian model and study the implications for inflation dynamics. Inventory holdings are motivated as a means to generate sales for demand-constrained firms. We derive various representations of the New Keynesian Phillips curve with inventories and show that one of these specifications is observationally equivalent to the standard model with respect to the behavior of inflation when the model's cross-equation restrictions are imposed. However, the driving variable in the New Keynesian Phillips curve - real marginal cost - is unobservable and has to be proxied by, for instance, real unit labor cost. An alternative approach is to impute marginal cost by using the model's optimality conditions. We show that the stock-sales ratio is linked to marginal cost. We also estimate these various specifications of the New Keynesian Phillips curve using GMM. We find that the predictive power of the inventory-specification at best approaches that of the standard model, but does not improve upon it. (C) 2011 Elsevier B.V. All rights reserved. C1 [Lubik, Thomas A.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. [Teo, Wing Leong] Univ Nottingham, Sch Econ, Semenyih 43500, Selangor, Malaysia. RP Lubik, TA (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM thomas.lubik@rich.frb.org; WingLeong.Teo@nottingham.edu.my OI Teo, Wing Leong/0000-0003-2370-7263 NR 22 TC 4 Z9 4 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 APR PY 2012 VL 56 IS 3 BP 327 EP 346 DI 10.1016/j.euroecorev.2011.10.002 PG 20 WC Economics SC Business & Economics GA 920ZI UT WOS:000302447400003 ER PT J AU Aliprantis, D AF Aliprantis, Dionissi TI Redshirting, Compulsory Schooling Laws, and Educational Attainment SO JOURNAL OF EDUCATIONAL AND BEHAVIORAL STATISTICS LA English DT Article DE instrumental variable; local average treatment effect; average causal response; essential heterogeneity; monotonicity; latent index model ID HEAD-START; INSTRUMENTAL VARIABLES; STUDENT-ACHIEVEMENT; UNITED-STATES; MODELS; INFERENCE; IDENTIFICATION; CHILDHOOD; TEACHERS; BENEFITS AB A wide literature uses date of birth as an instrument to study the causal effects of educational attainment. This paper shows how parents delaying their children's initial enrollment in kindergarten, a practice known as redshirting, can make estimates obtained through this identification framework all but impossible to interpret. A latent index model is used to illustrate how the monotonicity assumption in this framework is violated if redshirting decisions are made in a setting of essential heterogeneity. Empirical evidence is presented from the Early Childhood Longitudinal Study, Kindergarten Class (ECLS-K) data set that favors this scenario; redshirting is common and heterogeneity in the treatment effect of educational attainment is likely a factor in parents' redshirting decisions. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. RP Aliprantis, D (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM dio-nissi.aliprantis@clev.frb.org NR 69 TC 4 Z9 4 U1 0 U2 10 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 1076-9986 J9 J EDUC BEHAV STAT JI J. Educ. Behav. Stat. PD APR PY 2012 VL 37 IS 2 BP 316 EP 338 DI 10.3102/1076998610396885 PG 23 WC Education & Educational Research; Social Sciences, Mathematical Methods; Psychology, Mathematical SC Education & Educational Research; Mathematical Methods In Social Sciences; Psychology GA 920VL UT WOS:000302436400006 ER PT J AU Schmeiser, MD AF Schmeiser, Maximilian D. TI The impact of long-term participation in the supplemental nutrition assistance program on child obesity SO HEALTH ECONOMICS LA English DT Article DE child obesity; food stamps; supplemental nutrition assistance; BMI ID INCOME-TAX CREDIT; FOOD INSECURITY; US CHILDREN; OVERWEIGHT; CONSEQUENCES; ADOLESCENTS; PREVALENCE; SELECTION; MOTHERS; WEIGHT AB Participation in the Supplemental Nutrition Assistance Program (SNAP) reached an all-time high of 40.2 million persons in March 2010, which means the program affects a substantial fraction of Americans. A significant body of research has emerged suggesting that participation in SNAP increases the probability of being obese for adult women and has little effect on the probability for adult men. However, studies addressing the effects of participation on children have produced mixed results. This paper examines the effect of long-term SNAP participation on the Body Mass Index (BMI) percentile and probability of being overweight or obese for children ages 518 using data from the National Longitudinal Survey of Youth 1979 Children and Young Adults data set. An instrumental variables identification strategy that exploits exogenous variation in state-level program parameters, as well as state and federal expansions of the Earned Income Tax Credit (EITC), is used to address the endogeneity between SNAP participation and obesity. SNAP participation is found to significantly reduce BMI percentile and the probability of being overweight or obese for boys and girls ages 511 and boys ages 1218. For girls ages 1218, SNAP participation appears to have no significant effect on these outcomes. Copyright (c) 2011 John Wiley & Sons, Ltd. C1 [Schmeiser, Maximilian D.] Fed Reserve Board Governors, Washington, DC USA. RP Schmeiser, MD (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM max.schmeiser@frb.gov FU USDA RIDGE FX Funding for this research was provided by a grant from the USDA RIDGE program. I would like to thank Judi Bartfeld, Lauren Nicholas, David Frisvold, Dhaval Dave, and two anonymous referees for their helpful comments on this paper. NR 46 TC 8 Z9 8 U1 3 U2 16 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1057-9230 J9 HEALTH ECON JI Health Econ. PD APR PY 2012 VL 21 IS 4 BP 386 EP 404 DI 10.1002/hec.1714 PG 19 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA 901QC UT WOS:000300980900003 PM 21305645 ER PT J AU French, E Jones, J AF French, Eric Jones, John TI Public pensions and labor supply over the life cycle SO INTERNATIONAL TAX AND PUBLIC FINANCE LA English DT Article DE Pensions; Social security; Labor supply; Retirement ID SOCIAL-SECURITY RULES; RETIREMENT BEHAVIOR; SELF-INSURANCE; UNITED-STATES; MODEL; SAVINGS; HEALTH; NETHERLANDS; EARNINGS; WEALTH AB In order to remain fiscally solvent, governments of many countries have reformed their public pension schemes to encourage labor supply at older ages. These reforms include reductions in the generosity of public pensions and reduced penalties for working past the normal retirement age. In this paper, we consider how reforms to public pension systems affect labor supply over the life cycle. We put the recent empirical evidence on the effect of government pensions on labor supply in a life cycle context, and we present evidence on the effectiveness of tax reforms for stimulating labor supply over the life cycle. Our main conclusion is that the labor supply of older workers is responsive to changes in retirement incentives. The labor supply of younger workers is less responsive. Thus the trend towards lower taxes on older workers in many developed countries should continue to fuel their trend towards later retirement. C1 [French, Eric] Fed Reserve Bank Chicago, Div Econ Res, Chicago, IL 60604 USA. [Jones, John] SUNY Albany, Dept Econ, Albany, NY 12222 USA. RP French, E (reprint author), Fed Reserve Bank Chicago, Div Econ Res, 230 S LaSalle St, Chicago, IL 60604 USA. EM efrench@frbchi.org; jbjones@albany.edu NR 47 TC 11 Z9 11 U1 1 U2 8 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0927-5940 J9 INT TAX PUBLIC FINAN JI Int. Tax Public Financ. PD APR PY 2012 VL 19 IS 2 BP 268 EP 287 DI 10.1007/s10797-011-9184-x PG 20 WC Economics SC Business & Economics GA 918YE UT WOS:000302286800005 ER PT J AU An, L Wang, J AF An, Lian Wang, Jian TI Exchange Rate Pass-Through: Evidence Based on Vector Autoregression with Sign Restrictions SO OPEN ECONOMIES REVIEW LA English DT Article DE Exchange rate pass-through; Vector autoregression; Sign restrictions ID MONETARY-POLICY; DOMESTIC PRICES; LARGE DEVALUATIONS; FOREIGN-EXCHANGE; UNITED-STATES; POWER AB We estimate exchange rate pass-through (PT) into import, producer and consumer price indexes for nine OECD countries, using a method proposed by Uhlig (2005). In a Vector Autoregression (VAR) model, we identify the exchange rate shock by imposing restrictions on the signs of impulse responses for a small subset of variables. These restrictions are consistent with a large class of theoretical models and previous empirical findings. We find that exchange rate PT is less than one at both short and long horizons. Among three price indexes, exchange rate PT is greatest for import price index and smallest for consumer price index. In addition, greater exchange rate PT is found in an economy which has a smaller size, higher import share, more persistent exchange rate, more volatile monetary policy, higher inflation rate, and less volatile aggregate demand. C1 [An, Lian] Univ N Florida, Coggin Coll Business, Dept Econ & Geog, Jacksonville, FL 32224 USA. [Wang, Jian] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP An, L (reprint author), Univ N Florida, Coggin Coll Business, Dept Econ & Geog, 1 UNF Dr, Jacksonville, FL 32224 USA. EM lian.an@unf.edu; Jian.Wang@dal.frb.org NR 30 TC 4 Z9 4 U1 0 U2 9 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0923-7992 J9 OPEN ECON REV JI Open Econ. Rev. PD APR PY 2012 VL 23 IS 2 BP 359 EP 380 DI 10.1007/s11079-010-9195-8 PG 22 WC Economics SC Business & Economics GA 917BK UT WOS:000302146800007 ER PT J AU Contessi, S De Pace, P Francis, JL AF Contessi, Silvio De Pace, Pierangelo Francis, Johanna L. TI Changes in the second-moment properties of disaggregated capital flows SO ECONOMICS LETTERS LA English DT Article DE Capital flows; International business cycles; Nonparametric bootstrap methods ID BUSINESS CYCLES AB Using formal statistical tests, we detect (i) significant volatility increases for various types of capital flows for a period of changes in business cycle comovement among the G7 countries, and (ii) mixed evidence of changes in covariances and correlations with a set of macroeconomic variables. (C) 2011 Elsevier B.V. All rights reserved. C1 [Contessi, Silvio] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [De Pace, Pierangelo] Pomona Coll, Dept Econ, Claremont, CA 91711 USA. [Francis, Johanna L.] Fordham Univ, Dept Econ, Bronx, NY 10458 USA. RP Contessi, S (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM silvio.contessi@stls.frb.org; pierangelo.depace@pomona.edu; ajofrancis@fordham.edu NR 15 TC 1 Z9 1 U1 1 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 APR PY 2012 VL 115 IS 1 BP 122 EP 127 DI 10.1016/j.econlet.2011.12.015 PG 6 WC Economics SC Business & Economics GA 915BH UT WOS:000301997400035 ER PT J AU Kurozumi, T Van Zandweghe, W AF Kurozumi, Takushi Van Zandweghe, Willem TI Learning about monetary policy rules when labor market search and matching frictions matter SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Labor market search and matching frictions; Forecast-based interest rate policy; Indeterminacy; E-stability; Extensive and intensive margins of labor ID RATIONAL-EXPECTATIONS MODELS; KEYNESIAN MODEL; STICKY PRICES; JOB SEARCH; UNEMPLOYMENT; STABILITY; EQUILIBRIUM; DETERMINACY; INFLATION; DYNAMICS AB This paper examines the implications of labor market search and matching frictions for determinacy and E-stability of rational expectations equilibrium (REE) in a sticky price model with interest rate policy. When labor adjustment takes place solely at the extensive margin, forecast-based policy that meets the Taylor principle is likely to induce indeterminacy and E-instability, regardless of whether it is strictly or flexibly inflation targeting. When labor adjustment takes place at both the extensive and intensive margins, the strictly inflation-forecast targeting policy remains likely to induce indeterminacy, but it generates a unique E-stable fundamental REE as long as the Taylor principle is satisfied. Therefore, the presence of search and matching frictions changes the determinacy properties of a strictly inflation-forecast targeting policy, and alters its E-stability properties when only an extensive margin is present but not when labor adjustment takes place at both margins. (C) 2012 Elsevier B.V. All rights reserved. C1 [Van Zandweghe, Willem] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Kurozumi, Takushi] Bank Japan, Chuo Ku, Tokyo 1038660, Japan. RP Van Zandweghe, W (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM takushi.kurozumi@boj.or.jp; willem.vanzandweghe@kc.frb.org NR 37 TC 2 Z9 2 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 APR PY 2012 VL 36 IS 4 BP 523 EP 535 DI 10.1016/j.jedc.2011.10.003 PG 13 WC Economics SC Business & Economics GA 905ZS UT WOS:000301315300004 ER PT J AU Meeks, R AF Meeks, Roland TI Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Corporate bond spreads; Default rates; Sign restrictions; Bayesian vector autoregression ID MONETARY-POLICY; FINANCIAL ACCELERATOR; BUSINESS FLUCTUATIONS; STRUCTURAL MODELS; YIELD SPREADS; RISK; TRANSMISSION; LIQUIDITY; PREMIUM; BONDS AB Are exogenous shocks to lending spreads in corporate credit markets a substantial source of macroeconomic fluctuations? An alternative explanation of the data is that borrowing costs respond endogenously to expectations of future default, driven by macroeconomic shocks. We investigate by imposing restrictions on a structural vector autoregression that isolate the influence of expected default on spreads. We find that adverse credit shocks have contributed to declining output in every post-1982 recession, and account for three-fifths of the decline in output during the 2007-2009 contraction. However, on average credit shocks account for only a fifth of business cycle fluctuations. (C) 2011 Elsevier B.V. All rights reserved. C1 [Meeks, Roland] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Meeks, Roland] Australian Natl Univ, Ctr Appl Macroecon Anal, Canberra, ACT 0200, Australia. RP Meeks, R (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM roland.meeks@gmail.com OI Meeks, Roland/0000-0002-1321-3182 NR 51 TC 11 Z9 11 U1 4 U2 12 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 APR PY 2012 VL 36 IS 4 BP 568 EP 584 DI 10.1016/j.jedc.2011.11.010 PG 17 WC Economics SC Business & Economics GA 905ZS UT WOS:000301315300007 ER PT J AU Meade, EE Thornton, DL AF Meade, Ellen E. Thornton, Daniel L. TI The Phillips curve and US monetary policy: what the FOMC transcripts tell us SO OXFORD ECONOMIC PAPERS-NEW SERIES LA English DT Article DE E31; E37; E52; E58 ID OUTPUT GAP; REAL-TIME; INFLATION; UNEMPLOYMENT; NAIRU AB The Phillips curve framework, which includes the output gap and natural rate hypothesis, plays a central role in the canonical macroeconomic model used in analyses of monetary policy. It is now well understood that real-time data must be used to evaluate historical monetary policy. We believe that it is equally important that macroeconomic models used to evaluate historical monetary policy reflect the framework that policymakers used to formulate that policy. To that end, we use the Federal Open Market Committee (FOMC) transcripts to examine the role that the Phillips curve framework played in Fed policymaking from 1979 through 2003. The FOMC's transcripts allow us to trace the evolution in policymakers' discussion of the Phillips curve framework over time. Our analysis suggests that the Phillips curve was much less central to the formulation and implementation of US monetary policy than it is in models commonly used to evaluate that policy. C1 [Meade, Ellen E.] American Univ, Dept Econ, Washington, DC 20016 USA. [Thornton, Daniel L.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Meade, EE (reprint author), American Univ, Dept Econ, Washington, DC 20016 USA. EM meade@american.edu NR 28 TC 7 Z9 7 U1 1 U2 8 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0030-7653 J9 OXFORD ECON PAP JI Oxf. Econ. Pap.-New Ser. PD APR PY 2012 VL 64 IS 2 BP 197 EP 216 DI 10.1093/oep/gpr047 PG 20 WC Economics SC Business & Economics GA 915DP UT WOS:000302004400001 ER PT J AU Caldara, D Fernandez-Villaverde, J Rubio-Ramirez, JF Yao, W AF Caldara, Dario Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. Yao, Wen TI Computing DSGE models with recursive preferences and stochastic volatility SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE DSGE models; Recursive preferences; Perturbation ID AGGREGATE GROWTH-MODELS; TEMPORAL BEHAVIOR; BUSINESS CYCLES; ASSET RETURNS; RISK-AVERSION; SUBSTITUTION; CONSUMPTION; RESOLUTION; POLICY AB This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989, 1991) and stochastic volatility. Models with these two features have recently become popular, but we know little about the best ways to implement them numerically. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences and stochastic volatility using four different approaches: second- and third-order perturbation, Chebyshev polynomials, and value function iteration. We document the performance of the methods in terms of computing time, implementation complexity, and accuracy. Our main finding is that perturbations are competitive in terms of accuracy with Chebyshev polynomials and value function iteration while being several orders of magnitude faster to run. Therefore, we conclude that perturbation methods are an attractive approach for computing this class of problems. (C) 2011 Elsevier Inc. All rights reserved. C1 [Fernandez-Villaverde, Jesus; Yao, Wen] Univ Penn, Philadelphia, PA 19104 USA. [Caldara, Dario] Fed Reserve Board, Washington, DC 20551 USA. [Fernandez-Villaverde, Jesus] NBER, Cambridge, MA 02138 USA. [Rubio-Ramirez, Juan F.] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, 160 McNeil,3718 Locust Walk, Philadelphia, PA 19104 USA. EM dario.caldara@frb.gov; jesusfv@econ.upenn.edu; juan.rubio-ramirez@duke.edu; wenyao@econ.upenn.edu NR 33 TC 18 Z9 18 U1 0 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2012 VL 15 IS 2 BP 188 EP 206 DI 10.1016/j.red.2011.10.001 PG 19 WC Economics SC Business & Economics GA 913VJ UT WOS:000301905200004 ER PT J AU Wang, PF Wen, Y AF Wang, Pengfei Wen, Yi TI Hayashi meets Kiyotaki and Moore: A theory of capital adjustment costs SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Adjustment costs; Collateral; Borrowing constraints; Tobin's Q; Lumpy investment ID BUSINESS-CYCLE; OPTIMAL INVESTMENT; AGENCY COSTS; NET WORTH; UNCERTAINTY; FLUCTUATIONS; DYNAMICS; SHOCKS; PLANT; FIRM AB Firm-level investment is lumpy and volatile but aggregate investment is much smoother and highly serially correlated. These different patterns of investment behavior have been viewed as indicating convex adjustment costs at the aggregate level but non-convex adjustment costs at the firm level. This paper shows that financial frictions in the form of collateralized borrowing at the firm level (Kiyotaki and Moore, 1997) can give rise to convex adjustment costs at the aggregate level yet at the same time generate lumpiness in plant-level investment. In particular, our model can (i) derive aggregate capital adjustment cost functions identical to those assumed by Hayashi (1982) and (ii) explain the weak empirical relationship between Tobin's Q and plant-level investment. Published by Elsevier Inc. C1 [Wen, Yi] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Wen, Yi] Tsinghua Univ, Beijing, Peoples R China. [Wang, Pengfei] Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016; OI Wen, Yi/0000-0001-5658-1578; Wang, Pengfei/0000-0002-8686-4787 NR 46 TC 8 Z9 8 U1 2 U2 14 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2012 VL 15 IS 2 BP 207 EP 225 DI 10.1016/j.red.2011.09.004 PG 19 WC Economics SC Business & Economics GA 913VJ UT WOS:000301905200005 ER PT J AU Ozdagli, AK AF Ozdagli, Ali K. TI Financial Leverage, Corporate Investment, and Stock Returns SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID ASSET PRICE DYNAMICS; CAPITAL STRUCTURE; ADJUSTMENT COSTS; CROSS-SECTION; MARKET EQUILIBRIUM; GROWTH OPTIONS; VALUE PREMIUM; RISK; EXPLANATION; MODEL AB This article rationalizes empirical patterns of market leverage, book leverage, book-to-market ratios, and stock returns across different book-to-market portfolios, using a model of firm financing and investment. The model analytically shows that tax deductibility of interest payments increases. effective investment irreversibility and that investment irreversibility weakens the relation between book-to-market values and returns. This provides a clear and novel mechanism showing how financial leverage affects stock returns beyond the standard Modigliani-Miller paradigm. The article argues that market leverage, rather than operating leverage or investment irreversibility, explains a major portion of the value premium. Empirical evidence supports this argument. (JEL G12, G31, G32) C1 [Ozdagli, Ali K.] Fed Reserve Bank Boston, Boston, MA USA. RP Ozdagli, AK (reprint author), 600 Atlantic Ave,Res T-8, Boston, MA 02210 USA. EM Ali.Ozdagli@bos.frb.org NR 41 TC 10 Z9 10 U1 4 U2 28 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD APR PY 2012 VL 25 IS 4 BP 1033 EP 1069 DI 10.1093/rfs/hhr145 PG 37 WC Business, Finance; Economics SC Business & Economics GA 912VV UT WOS:000301830400002 ER PT J AU Hall, SG Swamy, PAVB Tavlas, GS AF Hall, Stephen G. Swamy, P. A. V. B. Tavlas, George S. TI Generalized cointegration: a new concept with an application to health expenditure and health outcomes SO EMPIRICAL ECONOMICS LA English DT Article DE Generalized cointegration; Non-stationarity; Time-varying coefficient model; Coefficient driver ID REGRESSION-MODELS; PANEL-DATA; PREDICTION; CAUSALITY; ERROR AB We propose a new generalization of the concept of cointegration that allows for the possibility that a set of variables are involved in an unknown nonlinear relationship. Although these variables may be unit-root non-stationary, there exists a nonlinear combination of them that takes account of such non-stationarity. We then introduce an estimation technique that allows us to test for the presence of this generalized cointegration in the absence of knowledge as to the true nonlinear functional form and the full set of regressors. We outline the basic stages of the technique and discuss how the issue of unit-root non-stationarity and cointegration affects each stage of the estimation procedure. We then apply this technique to the relationship between health expenditure and health outcomes, which is an important but controversial issue. A number of studies have found very little or no relationship between the level of health expenditure and outcomes. In econometric terms, if there is such a relationship, then there should exist a cointegrating relationship between these two variables and possibly many others. The problem that arises is that we may be either unable to measure these other variables or that we do not know about them, in which case we may incorrectly find no relationship between health expenditures and outcomes. We then apply the concept of generalized cointegration; we obtain a highly significant relationship between health expenditure and health outcomes. C1 [Hall, Stephen G.] Univ Leicester, Bank Greece, Leicester LE1 7RH, Leics, England. NIESR, Leicester LE1 7RH, Leics, England. [Swamy, P. A. V. B.] Fed Reserve Board, Kingstowne, VA 22315 USA. [Tavlas, George S.] Bank Greece, Athens 10250, Greece. RP Hall, SG (reprint author), Univ Leicester, Bank Greece, Room Astley Clarke 116,Univ Rd, Leicester LE1 7RH, Leics, England. EM s.g.hall@le.ac.uk; swamyparavastu@hotmail.com; GTavlas@bankofgreece.gr NR 31 TC 4 Z9 4 U1 1 U2 6 PU PHYSICA-VERLAG GMBH & CO PI HEIDELBERG PA PO BOX 10 52 80, 69042 HEIDELBERG, GERMANY SN 0377-7332 J9 EMPIR ECON JI Empir. Econ. PD APR PY 2012 VL 42 IS 2 SI SI BP 603 EP 618 DI 10.1007/s00181-011-0483-y PG 16 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 907SQ UT WOS:000301438700012 ER PT J AU Quiros, GP Mendizabal, HR AF Perez Quiros, Gabriel Rodriguez Mendizabal, Hugo TI Asymmetric Standing Facilities: An Unexploited Monetary Policy Tool SO IMF ECONOMIC REVIEW LA English DT Article ID RESERVE; MARKET; FUNDS AB This paper analyzes the role of standing facilities in the determination of the demand for reserves in the overnight money market. The paper shows how central banks could use the position of the main refinancing rate with respect to the deposit and lending rates as a policy tool to control the demand for excess reserves by depository institutions. Furthermore, it illustrates how the existence of fine-tuning operations at the end of the reserve maintenance period significantly affects the ability of the central bank to influence the demand for reserves. [JEL E52, E58, E43] IMF Economic Review (2012) 60, 43-74. doi: 10.1057/imfer.2012.3 C1 [Perez Quiros, Gabriel] Fed Reserve Bank New York, New York, NY USA. [Rodriguez Mendizabal, Hugo] Barcelona GSE, Barcelona, Spain. OI Rodriguez Mendizabal, Hugo/0000-0002-6960-2531 NR 19 TC 0 Z9 0 U1 0 U2 11 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 EI 2041-417X J9 IMF ECON REV JI IMF Econ. Rev. PD APR PY 2012 VL 60 IS 1 BP 43 EP 74 DI 10.1057/imfer.2012.3 PG 32 WC Business, Finance; Economics SC Business & Economics GA 909AA UT WOS:000301533000002 ER PT J AU Wu, JJ AF Wu, Jason J. TI Semiparametric forecast intervals SO JOURNAL OF FORECASTING LA English DT Article DE semiparametric; robustness; interval forecasting; quantiles ID GENERALIZED QUANTILE PROCESSES; EXCHANGE-RATE MODELS; DEPENDENT DATA; TIME-SERIES; REGRESSION QUANTILES; STOCHASTIC-PROCESSES; PREDICTIVE ABILITY; DENSITY-ESTIMATION; RATES; FUNDAMENTALS AB Consider forecasting the economic variable Yt+h with predictors Xt, where h is the forecast horizon. This paper introduces a semiparametric method that generates forecast intervals of Yt+h|Xt from point forecast models. First, the point forecast model is estimated, thereby taking advantage of its predictive power. Then, nonparametric estimation of the conditional distribution function (CDF) of the forecast error conditional on Xt builds the rest of the forecast distribution around the point forecast, from which symmetric and minimum-length forecast intervals for Yt+h|Xt can be constructed. Under mild regularity conditions, asymptotic analysis shows that (1) regardless of the quality of the point forecast model (i.e., it may be misspecified), forecast quantiles are consistent and asymptotically normal; (2) minimum length forecast intervals are consistent. Proposals for bandwidth selection and dimension reduction are made. Three sets of simulations show that for reasonable point forecast models the method has significant advantages over two existing approaches to interval forecasting: one that requires the point forecast model to be correctly specified, and one that is based on fully nonparametric CDF estimate of Yt+h|Xt. An application to exchange rate forecasting is presented. Copyright (C) 2010 John Wiley & Sons, Ltd. C1 Fed Reserve Board, Quantitat Risk Management Sect, Div Banking Supervis & Regulat, Washington, DC 20551 USA. RP Wu, JJ (reprint author), Fed Reserve Board, Quantitat Risk Management Sect, Div Banking Supervis & Regulat, Mail Stop 183,20th & C Str, Washington, DC 20551 USA. EM jason.j.wu@frb.gov NR 63 TC 1 Z9 1 U1 1 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0277-6693 EI 1099-131X J9 J FORECASTING JI J. Forecast. PD APR PY 2012 VL 31 IS 3 BP 189 EP 228 DI 10.1002/for.1185 PG 40 WC Economics; Management SC Business & Economics GA 911HJ UT WOS:000301707600001 ER PT J AU Kumar, A AF Kumar, Anil TI Nonparametric estimation of the impact of taxes on female labor supply SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID SAMPLE SELECTION MODELS; NONLINEAR BUDGET SETS; FORCE PARTICIPATION; SEMIPARAMETRIC ESTIMATION; MARKET PARTICIPATION; REGRESSION; TAXATION; SPECIFICATION; PREFERENCES; WELFARE AB This paper proposes a simple extension of nonparametric estimation methods for nonlinear budget-set models derived in Blomquist and Newey (2002) to censored dependent variables. The nonparametric method is applied to estimate female labor supply elasticities using data on married women from the 1985 and 1989 waves of the Panel Study of Income Dynamics, exploiting the substantial variation in budget sets caused by the Tax Reform Act of 1986 as a source of identification. The estimated wage elasticities from this new method are 0.56 overall and 0.27 on the intensive margin. The income elasticity estimates are close to - 0.67 overall and - 0.13 on the intensive margin. Compared with the linear labor supply model, the estimated elasticities are usually larger for the nonparametric specifications that account for nonlinear budget sets. Copyright (C) 2010 John Wiley & Sons, Ltd. C1 Fed Reserve Bank Dallas, Dept Res, Dallas, TX 75201 USA. RP Kumar, A (reprint author), Fed Reserve Bank Dallas, Dept Res, 2200 N Pearl St, Dallas, TX 75201 USA. EM anil.kumar@dal.frb.org NR 69 TC 3 Z9 3 U1 2 U2 17 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD APR-MAY PY 2012 VL 27 IS 3 BP 415 EP 439 DI 10.1002/jae.1205 PG 25 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 902PL UT WOS:000301050300003 ER PT J AU Adams, RB Mehran, H AF Adams, Renee B. Mehran, Hamid TI Bank board structure and performance: Evidence for large bank holding companies SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Corporate Governance; Board structure; Banking industry; Holding company; Complexity ID FIRM PERFORMANCE; CEO COMPENSATION; EXECUTIVE-COMPENSATION; MARKET VALUATION; OWNERSHIP; SIZE; DIRECTORS; GOVERNANCE; INDUSTRY; MERGERS AB The subprime crisis highlights how little we know about bank governance. This paper addresses a long-standing gap in the literature by analyzing the relationship between board governance and performance using a sample of banking firm data that spans 34 years. We find that board independence is not related to performance, as measured by a proxy for Tobin's Q. However, board size is positively related to performance. Our results are not driven by M&A activity. But, we provide new evidence that increases in board size due to additions of directors with subsidiary directorships may add value as BHC complexity increases. We conclude that governance regulation should take unique features of bank governance into account. (C) 2011 Elsevier Inc. All rights reserved. C1 [Adams, Renee B.] Univ Queensland, UQ Business Sch, ECGI, Brisbane, Qld 4072, Australia. [Mehran, Hamid] Fed Reserve Bank New York, New York, NY 10045 USA. RP Adams, RB (reprint author), Univ Queensland, UQ Business Sch, ECGI, Brisbane, Qld 4072, Australia. EM r.adams@business.uq.edu.au NR 45 TC 40 Z9 40 U1 4 U2 44 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2012 VL 21 IS 2 BP 243 EP 267 DI 10.1016/j.jfi.2011.09.002 PG 25 WC Business, Finance SC Business & Economics GA 898ML UT WOS:000300746400004 ER PT J AU Goodspeed, TJ Haughwout, AF AF Goodspeed, Timothy J. Haughwout, Andrew F. TI On the optimal design of disaster insurance in a federation SO ECONOMICS OF GOVERNANCE LA English DT Article DE Risk-sharing; Redistributive transfers; Federalism; Intergovernmental relations; Grants ID ROTTEN-KID THEOREM; REGIONAL REDISTRIBUTION; PUBLIC-GOODS; INFORMATION; CANADA AB Recent experience with disasters and terrorist attacks in the US indicates that state and local governments rely on the federal sector for support after disasters occur. But these same governments invest in infrastructure designed to reduce vulnerability to natural and man-made hazards. We show that when the federal government is committed to full insurance against disasters, regions will have incentives to under-invest in ex-ante protective measures. We derive the structure of the optimal second-best insurance system when regional governments choose investment levels non-cooperatively and the central government cannot verify regional investment choices. For low probability disasters this will result in lower ex-post intergovernmental transfers (and hence less ex-post redistribution) and greater ex-ante investment. However, the second-best transfer scheme suffers from a time-inconsistency problem. Ex-post, the central government will be driven towards full insurance rather than the second-best grants, which results in a type of soft budget constraint problem. Subnational governments will anticipate this and reduce their investment in protective infrastructure even further. The result is that the central government may be better off suffering the underinvestment that results with first-best transfers because investment is even lower under second-best transfers when the central government is unable to commit. C1 [Goodspeed, Timothy J.] CUNY Hunter Coll, Dept Econ, New York, NY 10065 USA. [Goodspeed, Timothy J.] CUNY, Grad Ctr, New York, NY 10065 USA. [Haughwout, Andrew F.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Goodspeed, TJ (reprint author), CUNY Hunter Coll, Dept Econ, 695 Pk Ave, New York, NY 10065 USA. EM timothy.goodspeed@hunter.cuny.edu; Andrew.Haughwout@ny.frb.org NR 29 TC 5 Z9 5 U1 1 U2 7 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1435-6104 J9 ECON GOV JI Econ. Gov. PD MAR PY 2012 VL 13 IS 1 BP 1 EP 27 DI 10.1007/s10101-011-0103-5 PG 27 WC Economics SC Business & Economics GA 022YZ UT WOS:000310001400001 ER PT J AU Meade, EE AF Meade, Ellen E. TI Institutional Governance and Monetary Arrangements SO INTERNATIONAL FINANCE LA English DT Review ID CENTRAL BANK INDEPENDENCE; INFLATION; POLICY; EVOLUTION C1 Fed Reserve Board, Washington, DC 20551 USA. RP Meade, EE (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM ellen.meade@frb.gov NR 18 TC 0 Z9 0 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1367-0271 EI 1468-2362 J9 INT FINANC JI Int. Financ. PD SPR PY 2012 VL 15 IS 1 BP 137 EP 151 DI 10.1111/j.1468-2362.2012.01297.x PG 15 WC Business, Finance; Economics SC Business & Economics GA 993SQ UT WOS:000307880300006 ER PT J AU Greenstone, M Looney, A AF Greenstone, Michael Looney, Adam TI Paying Too Much for Energy? The True Costs of Our Energy Choices SO DAEDALUS LA English DT Article ID UNITED-STATES; POLLUTION; CLIMATE; OZONE; CROPS AB Energy consumption is critical to economic growth and quality of life. America's energy system, however, is malfunctioning. The status quo is characterized by a tilted playing field, where energy choices are based on the visible costs that appear on utility bills and at gas pumps. This system masks the "external" costs arising from those energy choices, including shorter lives, higher health care expenses, a changing climate, and weakened national security. As a result, we pay unnecessarily high costs for energy. New "rules of the road" could level the energy playing field. Drawing from our work for The Hamilton Project, this paper offers four principles for reforming U.S. energy policies in order to increase Americans' well-being. C1 [Greenstone, Michael] MIT, Cambridge, MA 02139 USA. [Greenstone, Michael; Looney, Adam] Brookings Inst, Hamilton Project, Washington, DC 20036 USA. [Looney, Adam] Fed Reserve Board, Washington, DC USA. RP Greenstone, M (reprint author), MIT, Cambridge, MA 02139 USA. NR 39 TC 6 Z9 6 U1 0 U2 2 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0011-5266 J9 DAEDALUS-US JI Daedalus PD SPR PY 2012 VL 141 IS 2 BP 10 EP 30 PG 21 WC Humanities, Multidisciplinary; Social Sciences, Interdisciplinary SC Arts & Humanities - Other Topics; Social Sciences - Other Topics GA 988HQ UT WOS:000307481600002 ER PT J AU Bordo, MD Humpage, OF Schwartz, AJ AF Bordo, Michael D. Humpage, Owen F. Schwartz, Anna J. TI The Federal Reserve as an Informed Foreign Exchange Trader: 1973-1995 SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID CENTRAL BANK INTERVENTION; INVESTMENT PERFORMANCE; MARKET; JAPAN AB If official interventions convey private information useful for price discovery in foreign exchange markets, then they should have value as a forecast of near-term exchange rate movements. Using a set of standard criteria, we show that approximately 60 percent of all U. S. foreign exchange interventions between 1973 and 1995 were successful in this sense. This percentage, however, is no better than random. U. S. intervention sales and purchases of foreign exchange were incapable of forecasting dollar appreciations or depreciations. U. S. interventions, however, were associated with more moderate dollar movements in a manner consistent with leaning against the wind, but only 22 percent of all U. S. interventions conformed to this pattern. We also found that the larger the size of an intervention, the greater was its probability of success. In this context, most U. S. interventions appear to have been too small to have had a high probability of success. Other potential characteristics of intervention-notably, coordination and secrecy-did not seem to influence our success rates. C1 [Bordo, Michael D.] Rutgers State Univ, Piscataway, NJ 08855 USA. [Humpage, Owen F.] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Schwartz, Anna J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Bordo, MD (reprint author), Rutgers State Univ, Piscataway, NJ 08855 USA. EM bordo@fas-econ.rutgers.edu; owen.f.humpage@clev.frb.org; aschwartz@gc.cuny.edu NR 48 TC 2 Z9 2 U1 0 U2 3 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2012 VL 8 IS 1 SI SI BP 127 EP 159 PG 33 WC Business, Finance SC Business & Economics GA 965YK UT WOS:000305803500007 ER PT J AU Lipinska, A Millard, S AF Lipinska, Anna Millard, Stephen TI Tailwinds and Headwinds: How Does Growth in the BRICs Affect Inflation in the G-7? SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID PRICE STABILITY; MONETARY-POLICY; SHOCKS AB In this paper, we analyze the impact of a persistent productivity increase in a set of countries-which we think of as the economies of Brazil, Russia, India, and China (BRIC)-on inflation in their trading partners, the Group of Seven (G-7). In particular, we want to understand the conditions under which this shock can lead to tailwinds or headwinds in the economies of trading partners. We build a three-country dynamic stochastic general equilibrium (DSGE) model in which there are two oil-importing countries (home and foreign) and one oil-exporting country. In our benchmark calibration, we find that the tailwind effect, lowering inflation in the home economy, dominates the headwind effect. However, if the oil demand elasticity is low (equal to the empirical short-run estimate) or the labor market is flexible, inflation at home rises in the subsequent periods as a result of the foreign productivity shock. C1 [Lipinska, Anna] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. [Millard, Stephen] Bank England, Struct Econ Anal Div, Monetary Anal, London EC2R 8AH, England. [Millard, Stephen] Durham Business Sch, Durham, NC USA. RP Lipinska, A (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM anna.lipinska@frb.gov; stephen.millard@bankofengland.co.uk NR 31 TC 3 Z9 3 U1 0 U2 9 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2012 VL 8 IS 1 SI SI BP 227 EP 266 PG 40 WC Business, Finance SC Business & Economics GA 965YK UT WOS:000305803500012 ER PT J AU Velde, FR AF Velde, Francois R. TI THE LIFE AND TIMES OF NICOLAS DUTOT SO JOURNAL OF THE HISTORY OF ECONOMIC THOUGHT LA English DT Article AB Nicolas Dutot (1684-1741) is an important figure for the history of economic thought, as a pioneer in monetary theory and price statistics, and for economic history, as a chronicler of John Law's System. Yet, until recently, very little information about him was known, some of it incorrect. I present extensive research that reveals a remarkable career rising from humble origins and full of surprises. He spent his formative years in the ranks of the "ancienne finance'' he was thought to despise, and then worked for the Chamber of Justice that he so decried in his writings, only to be sent to the Bastille for corruption. After working for Law's Bank and then retiring quite comfortably, he continued to socialize with his pre-System financier and banker friends, at least for a while. He also joined a short-lived learned society and accumulated a substantial library that reveals much about his tastes and affinities. The portrait that emerges is at odds with the image of an honest accountant he tried to project, but also richer and more engaging. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Velde, FR (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 74 TC 0 Z9 0 U1 0 U2 3 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1053-8372 J9 J HIST ECON THOUGHT JI J. Hist. Econ. Thought PD MAR PY 2012 VL 34 IS 1 BP 67 EP 107 DI 10.1017/S1053837212000065 PG 41 WC History; History Of Social Sciences SC History; Social Sciences - Other Topics GA 954AS UT WOS:000304916600004 ER PT J AU Ding, L Quercia, RG Reid, CK White, AM AF Ding, Lei Quercia, Roberto G. Reid, Carolina K. White, Alan M. TI The Impact of Federal Preemption of State Antipredatory Lending Laws on the Foreclosure Crisis SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Article AB State antipredatory lending laws (APLs) are designed to protect borrowers against predatory lending that can increase the risk of default and deplete the home equity held by borrowers. Federal regulators instituted preemption that limited the scope and reach of state antipredatory lending regulations for certain lenders. Based on the variation in state laws and the variation in the regulatory environment among lenders, this paper identifies the effects of federal preemption of state APLs on the quality of mortgages originated by preempted lenders. The results provide evidence of a relatively higher increase in default risk among loans exempted from strong state antipredatory laws. These results are most robust among refinance mortgages with adjustable interest ratesa large and highly dynamic market in the period of analysis. The findings provide initial evidence that preemption of state mortgage lending regulations may result in an increase in mortgage default risk, thus limiting consumer protection in the residential mortgage market. C1 [Ding, Lei] Wayne State Univ, Dept Urban Studies & Planning, Detroit, MI 48202 USA. [Quercia, Roberto G.] Univ N Carolina, Ctr Community Capital, Chapel Hill, NC 27514 USA. [Reid, Carolina K.] Fed Reserve Bank San Francisco, Res Grp, Community Dev Dept, San Francisco, CA USA. [White, Alan M.] Valparaiso Univ, Sch Law, Valparaiso, IN 46383 USA. RP Ding, L (reprint author), Wayne State Univ, Dept Urban Studies & Planning, Detroit, MI 48202 USA. NR 31 TC 9 Z9 9 U1 1 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0276-8739 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD SPR PY 2012 VL 31 IS 2 BP 367 EP + DI 10.1002/pam.21604 PG 23 WC Economics; Public Administration SC Business & Economics; Public Administration GA 948TT UT WOS:000304526200008 ER PT J AU Burkhauser, RV Daly, MC AF Burkhauser, Richard V. Daly, Mary C. TI SOCIAL SECURITY DISABILITY INSURANCE: TIME FOR FUNDAMENTAL CHANGE SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Editorial Material ID PROGRAMS; GROWTH; ROLLS C1 [Burkhauser, Richard V.] Cornell Univ, Dept Policy Anal & Management, Ithaca, NY 14853 USA. [Daly, Mary C.] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Burkhauser, RV (reprint author), Cornell Univ, Dept Policy Anal & Management, 259 MVR Hall, Ithaca, NY 14853 USA. RI Burkhauser, Richard/G-5403-2015 OI Burkhauser, Richard/0000-0003-4629-0253 NR 22 TC 12 Z9 12 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0276-8739 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD SPR PY 2012 VL 31 IS 2 BP 454 EP 461 DI 10.1002/pam.21618 PG 8 WC Economics; Public Administration SC Business & Economics; Public Administration GA 948TT UT WOS:000304526200013 ER PT J AU Burkhauser, RV Daly, MC AF Burkhauser, Richard V. Daly, Mary C. TI SOCIAL SECURITY DISABILITY INSURANCE: ESSENTIAL PROTECTION WHEN WORK INCAPACITY STRIKES RESPONSE SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Editorial Material C1 [Burkhauser, Richard V.] Cornell Univ, Dept Policy Anal & Management, Ithaca, NY 14853 USA. [Daly, Mary C.] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Burkhauser, RV (reprint author), Cornell Univ, Dept Policy Anal & Management, 259 MVR Hall, Ithaca, NY 14853 USA. RI Burkhauser, Richard/G-5403-2015 OI Burkhauser, Richard/0000-0003-4629-0253 NR 0 TC 0 Z9 0 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0276-8739 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD SPR PY 2012 VL 31 IS 2 BP 469 EP 471 DI 10.1002/pam.21619 PG 3 WC Economics; Public Administration SC Business & Economics; Public Administration GA 948TT UT WOS:000304526200015 ER PT J AU Pierce, JR Schott, PK AF Pierce, Justin R. Schott, Peter K. TI Concording U.S. Harmonized System Codes over Time SO JOURNAL OF OFFICIAL STATISTICS LA English DT Article DE International trade; product classification ID FIRMS AB Monitoring changes to product classification systems is an important component of a wide range of empirical research. In this article we develop an alogorithm for concording periodic revisions to the ten-digit Harmonized System (HS) codes used by U.S. statistical agencies to categorize international trade since 1989. We use this algorithm to construct the first comprehensive concordance of HS codes over time, and show how this concordance can be extended to incorporate future revisions. We then characterize the extent of HS-code changes since 1989 and discuss how controlling for these revisions is critical for understanding the growth of U.S. trade. Lastly, we highlight the general applicability of the algorithm to other national and international product classification systems. C1 [Pierce, Justin R.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Schott, Peter K.] Yale Univ, Sch Management, New Haven, CT 06520 USA. [Schott, Peter K.] NBER, New Haven, CT 06520 USA. RP Pierce, JR (reprint author), Fed Reserve Syst, Board Governors, 20th & C ST NW, Washington, DC 20551 USA. EM justin.r.pierce@frb.gov; peter.schott@yale.edu FU National Science Foundation [SES-0241474, SES-0550190] FX We thank Julie Linden of the Yale University Social Sciences Library for generous help in securing the publicly available U.S. trade data. We thank Kitjawat Tacharoen and Matt Flagge for research assistance. We thank Alvin Venning, Carol Ann Aristone, James Kristoff and Mendel Gayle of the U.S. Census Bureau for many enlightening conversations. Schott thanks the National Science Foundation (SES-0241474 and SES-0550190) for research support. Pierce thanks the U.S. Census Bureau where he was employed for a large portion of this project. We also thank the editor for helpful comments. The analysis and conclusions set forth in this paper are those of the authors and do not indicate concurrence by the Board of Governors, other members of the research staff or the National Science Foundation. NR 5 TC 12 Z9 12 U1 0 U2 2 PU STATISTICS SWEDEN PI OREBRO PA KLOSTERGATAN 23, OREBRO, SE-701 89, SWEDEN SN 0282-423X J9 J OFF STAT JI J. Off. Stat. PD MAR PY 2012 VL 28 IS 1 BP 53 EP 68 PG 16 WC Social Sciences, Mathematical Methods; Statistics & Probability SC Mathematical Methods In Social Sciences; Mathematics GA 931NZ UT WOS:000303227900003 ER PT J AU Agarwal, S Ambrose, BW Chomsisengphet, S Sanders, AB AF Agarwal, Sumit Ambrose, Brent W. Chomsisengphet, Souphala Sanders, Anthony B. TI Thy Neighbor's Mortgage: Does Living in a Subprime Neighborhood Affect One's Probability of Default? SO REAL ESTATE ECONOMICS LA English DT Article ID PROPERTY-VALUES; FORECLOSURE; CASCADES AB This article focuses on the potential externalities associated with subprime mortgage origination activity. Specifically, we examine whether negative spillover effects from subprime mortgage originations result in higher default rates in the surrounding area. Our empirical analysis controls for loan characteristics, house price changes and alternative loan products. Our results indicate that, after controlling for these characteristics, the concentration of subprime lending in a neighborhood does not lead to greater default risks for surrounding borrowers. However, we do find that more aggressive mortgage products (such as hybrid adjustable rate mortgages and low/no-documentation loans) had significant negative spillovers on other borrowers. Stated differently, the aggressive alternative mortgage designs were more toxic to the housing and mortgage market than previously believed. C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Ambrose, Brent W.] Penn State Univ, Smeal Coll Business, University Pk, PA 16802 USA. [Chomsisengphet, Souphala] Off Comptroller Currency, Washington, DC 20219 USA. [Sanders, Anthony B.] George Mason Univ, Fairfax, VA 22030 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM sagarwal@frbchi.org; bwa10@psu.edu; souphala.chomsisengphet@occ.treas.gov; asander7@gmu.edu RI Agarwal, Sumit/F-4836-2012; Ambrose, Brent/C-8531-2017 OI Ambrose, Brent/0000-0001-5977-3663 NR 25 TC 11 Z9 11 U1 1 U2 16 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD SPR PY 2012 VL 40 IS 1 BP 1 EP 22 DI 10.1111/j.1540-6229.2011.00311.x PG 22 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 897RF UT WOS:000300671800001 ER PT J AU Luttmer, EGJ AF Luttmer, Erzo G. J. TI Technology diffusion and growth SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Productivity; Imitation; Selection; Diffusion ID SIZE DISTRIBUTION; BUSINESS FIRMS; INNOVATION; SELECTION; EVOLUTION AB Suppose firms are subject to decreasing returns and permanent idiosyncratic productivity shocks. Suppose also firms can only stay in business by continuously paying a fixed cost. New firms can enter. Firms with a history of relatively good productivity shocks tend to survive and others are forced to exit. This paper identifies assumptions about entry that guarantee a stationary firm size distribution and lead to balanced growth. The range of technology diffusion mechanisms that can be considered is greatly expanded relative to Luttmer (2007) [21]. If entrants can make only small improvements over the technologies used by the least productive incumbents, then the firm size distribution approximates Zipf's law and entry and exit rates are high, as in the data. (C) 2011 Elsevier Inc. All rights reserved. C1 [Luttmer, Erzo G. J.] Univ Minnesota, Minneapolis, MN 55455 USA. [Luttmer, Erzo G. J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Luttmer, EGJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM luttmer@umn.edu NR 27 TC 3 Z9 3 U1 2 U2 15 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 MAR PY 2012 VL 147 IS 2 BP 602 EP 622 DI 10.1016/j.jet.2011.02.003 PG 21 WC Economics SC Business & Economics GA 926OJ UT WOS:000302840400012 ER PT J AU Schuh, S Shy, O Stavins, J Triest, R AF Schuh, Scott Shy, Oz Stavins, Joanna Triest, Robert TI AN ECONOMIC ANALYSIS OF THE 2011 SETTLEMENT BETWEEN THE DEPARTMENT OF JUSTICE AND CREDIT CARD NETWORKS SO JOURNAL OF COMPETITION LAW & ECONOMICS LA English DT Article DE E42; G29; D14 ID INFORMATION AB In 2010, the Department of Justice (DOJ) filed a lawsuit against the credit card networks American Express, MasterCard, and Visa for alleged antitrust violations. We evaluate the extent to which the recently approved settlement between the DOJ and Visa and MasterCard (the Settlement) is likely to achieve its central objective: to allow Merchants to attempt to influence the General Purpose [Credit] Card or Form of Payment Customers select by providing choices and information in a competitive market. In word and spirit, the Settlement represents a significant step toward promoting competition in the credit card market. However, we find that merchants are unlikely to be able to take full advantage of the Settlements new freedoms because they currently lack comprehensible and complete information on the full and exact merchant discount fees for their customers credit cards. We analyze the likely consequences of this information problem and consider ways in which it could be remedied. We also evaluate the probable welfare consequences of allowing merchants to impose surcharges to reflect the fees associated with the use of payment cards. C1 [Schuh, Scott] Fed Reserve Bank Boston, Consumer Payments Res Ctr, Boston, MA USA. [Schuh, Scott; Shy, Oz; Stavins, Joanna; Triest, Robert] Fed Reserve Bank Boston, Res Dept, Boston, MA USA. RP Schuh, S (reprint author), Fed Reserve Bank Boston, Consumer Payments Res Ctr, Boston, MA USA. EM Scott.Schuh@bos.frb.org; Oz.Shy@bos.frb.org; Joanna.Stavins@bos.frb.org; Robert.Triest@bos.frb.org NR 52 TC 3 Z9 3 U1 1 U2 7 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1744-6414 J9 J COMPET LAW ECON JI J. Compet. Law Econ. PD MAR PY 2012 VL 8 IS 1 BP 107 EP 144 DI 10.1093/joclec/nhr020 PG 38 WC Economics; Law SC Business & Economics; Government & Law GA 902UK UT WOS:000301067200004 ER PT J AU Bodenstein, M Hebden, J Nunes, R AF Bodenstein, Martin Hebden, James Nunes, Ricardo TI Imperfect credibility and the zero lower bound SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID OPTIMAL MONETARY-POLICY; NOMINAL INTEREST-RATES; INCOMPLETE INFORMATION; RULES; EXPECTATIONS; LIMITATIONS; COMMITMENT; REPUTATION; INFLATION; GUIDANCE AB As the nominal interest rate cannot fall below zero, a central bank with imperfect credibility faces a significant challenge to stabilize the economy in a New Keynesian model during a large recession. We characterize the optimal monetary policy at the zero lower bound for the nominal interest rate if credibility is imperfect. Confronting monetary policy communication of the U.S. Federal Reserve and the Swedish Riksbank with such a framework, the credibility of both institutions is shown to have been low in the aftermath of the 2008 economic crisis. Published by Elsevier B.V. C1 [Bodenstein, Martin; Nunes, Ricardo] Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. [Hebden, James] MIT, Sloan Sch Management, Cambridge, MA 02139 USA. RP Nunes, R (reprint author), Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. EM Ricardo.P.Nunes@frb.gov NR 52 TC 9 Z9 11 U1 2 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 MAR PY 2012 VL 59 IS 2 BP 135 EP 149 DI 10.1016/j.jmoneco.2012.01.002 PG 15 WC Business, Finance; Economics SC Business & Economics GA 921TU UT WOS:000302501400002 ER PT J AU Mandelman, FS Zlate, A AF Mandelman, Federico S. Zlate, Andrei TI Immigration, remittances and business cycles SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID DYNAMICS; MODELS; POLICY; TRADE; TREND AB Using data on border enforcement and macroeconomic indicators from the U.S. and Mexico, we estimate a two-country business cycle model of labor migration and remittances. The model matches the cyclical dynamics of unskilled migration, and documents the insurance role of remittances in consumption smoothing. Over the cycle, immigration increases with the expected stream of future wage gains, but it is dampened by a sunk emigration cost. Migration barriers slow the adjustment of the stock of immigrant labor, enhancing the volatility of unskilled wages and remittances. Changes in border enforcement have asymmetric welfare implications for the skilled and unskilled households. (C) 2012 Elsevier B.V. All rights reserved. C1 [Mandelman, Federico S.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Zlate, Andrei] Board Governors Fed Reserve Syst, Div Int Finance, Washington, DC 20551 USA. RP Mandelman, FS (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. EM federico.mandelman@atl.frb.org; andrei.zlate@frb.gov NR 38 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 MAR PY 2012 VL 59 IS 2 BP 196 EP 213 DI 10.1016/j.jmoneco.2012.01.004 PG 18 WC Business, Finance; Economics SC Business & Economics GA 921TU UT WOS:000302501400006 ER PT J AU Schott, FH AF Schott, Francis H. TI Financing the Deficit SO AMERICAN SCHOLAR LA English DT Letter C1 [Schott, Francis H.] Fed Reserve Bank New York, Ridgewood, NJ USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PHI BETA KAPPA SOC PI WASHINGTON PA 1785 MASSACHUSETTS AVENUE, N W FOURTH FL,, WASHINGTON, DC 20036 USA SN 0003-0937 J9 AM SCHOLAR JI Am. Sch. PD SPR PY 2012 VL 81 IS 2 BP 3 EP 3 PG 1 WC Humanities, Multidisciplinary SC Arts & Humanities - Other Topics GA 920GA UT WOS:000302391100002 ER PT J AU Bullard, J AF Bullard, James TI Death of a Theory SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID DEBT AB The author discusses the effectiveness of fiscal approaches to stabilization policy. The conventional wisdom before 2007 was that fiscal policy intervention as a stabilization tool had little to recommend it, mostly due to political constraints and to the unlikely effectiveness of many types of temporary fiscal policy actions. However, with short-term nominal interest rates near zero, attention turned again toward fiscal stabilization policy. The author describes and critiques two theories of how fiscal policy might be viewed as effective in such circumstances. One, heavily studied, is that a tax-financed increase in government expenditures would temporarily increase total output in the economy. The other, lightly studied but rhetorically forceful, is that increased government expenditures may inspire confidence. Both theories have drawbacks, but the author argues the first is dying because of three considerations: (i) actual political systems are ill-suited to implement the advice from the theory; (ii) monetary stabilization policy has been quite effective, making fiscal experiments redundant; and (iii) governments pushed distortionary taxes into the future, which in the theory reduces or eliminates the desired effects. (JEL E4, E5) C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 30 TC 2 Z9 2 U1 0 U2 9 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 2012 VL 94 IS 2 BP 83 EP 101 PG 19 WC Business, Finance; Economics SC Business & Economics GA 917UG UT WOS:000302203500001 ER PT J AU Santos, MS AF Santos, Manuel S. TI How Home Loan Modification through the 60/40 Plan Can Save the Housing Sector SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Many well-respected economists have suggested plans for mortgage restructuring built on the idea of share appreciation mortgages, which generate rather complex transactions with conflicting interests between the lender and the homeowner. The 60/40 Plan, however, combines several economic principles adapted to the nature of home loans and appears to provide all the benefits but fewer of the drawbacks of many of these programs, including current government programs such as the Home Affordable Refinance (HARP) and Home Affordable Modification (HAMP) programs. For example, HARP homeowners must service the entire principal balance and meet additional eligibility restrictions that are not warranted by economic considerations. In contrast, the 60/40 Plan provides for affordable monthly payments by restructuring the debt into two parts, has relatively minor eligibility requirements, and creates household incentives to maintain the property. Failure to address the current financing needs of the housing market may result in a decapitalization of the banking sector, lost potential house value for many homeowners through foreclosure, and an extended episode of low growth for the U.S. economy. (JEL E44, E52, G01) C1 [Santos, Manuel S.] Univ Miami, Dept Econ, Coral Gables, FL 33124 USA. RP Santos, MS (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 10 TC 0 Z9 0 U1 0 U2 5 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2012 VL 94 IS 2 BP 103 EP 115 PG 13 WC Business, Finance; Economics SC Business & Economics GA 917UG UT WOS:000302203500002 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI The Dual Mandate: Has the Fed Changed Its Objective? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY AB The Federal Reserve is said to have a dual mandate of price stability and full employment. While the Fed has mentioned price stability as one of its primary goals, it has been reluctant to mention employment as a separate policy objective, preferring instead to state that maximum employment could best be achieved by achieving price stability. This hesitance ended with the December 2008 policy directive in which the Federal Open Market Committee (FOMC) noted its objectives were "maximum employment and price stability" Operationally equivalent language first appeared in the FOMC's policy statement in September 2010 and has appeared in every subsequent statement. This article reviews the FOMC transcripts and biannual statements to Congress to provide some insight into the Fed's historical reluctance to mention employment as an independent policy objective. The FOMC documents do not point to a specific reason for the historical reluctance, but they provide a few clues. Perhaps more importantly, they point to two changes that may explain the recent change in language: the increased emphasis on economic stabilization and the shift in emphasis from the growth rate of output to the level of output. (JEL E52, E58) C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 14 TC 4 Z9 4 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 MAR-APR PY 2012 VL 94 IS 2 BP 117 EP 133 PG 17 WC Business, Finance; Economics SC Business & Economics GA 917UG UT WOS:000302203500003 ER PT J AU Andolfatto, D Williams, MM AF Andolfatto, David Williams, Marcela M. TI Many Moving Parts: The Latest Look Inside the U.S. Labor Market SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The U.S. economy has gained roughly 2.8 million jobs since early 2010. That may be cold comfort, considering that more than 8 million jobs have been lost since the recession began. The Federal Reserve has lowered its policy rate as far as it can go, and the economy is flush with liquidity. Yet the unemployment rate remains persistently high. From policymakers to private citizens, the debate continues over what to do to help the labor market adjust. Disagreements stem, in part, from the complicated nature of the labor market itself. There are many moving parts, and the authors examine several here, pointing out that a "one size fits all" approach may not accommodate the differences across various sectors of the economy. The authors examine structural change, "frictions" in matching workers with job openings, lack of consumer and business confidence, the severity of the past recession, and other factors to help inform and illuminate this complex policy debate. (JEL J20, J60, J64) C1 [Andolfatto, David; Williams, Marcela M.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Andolfatto, D (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 7 TC 0 Z9 0 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2012 VL 94 IS 2 BP 135 EP 151 PG 17 WC Business, Finance; Economics SC Business & Economics GA 917UG UT WOS:000302203500004 ER PT J AU Carpenter, S Demiralp, S AF Carpenter, Seth Demiralp, Selva TI Money, reserves, and the transmission of monetary policy: Does the money multiplier exist? SO JOURNAL OF MACROECONOMICS LA English DT Article DE Monetary transmission mechanism; Money multiplier; Lending channel ID CHANNEL; MARKET; OUTPUT; BANKS AB With the use of non-traditional policy tools, the level of reserve balances has risen in the US from roughly $20 billion before the financial crisis to well past $1 trillion. The effect of reserve balances in macroeconomic models often comes through the money multiplier, affecting the money supply and the bank lending. In this paper, we document that the mechanism does not work through the standard multiplier model or the bank lending channel. If the level of reserve balances is expected to have an impact on the economy, it seems unlikely that a standard multiplier story will explain the effect. (C) 2011 Elsevier Inc. All rights reserved. C1 [Demiralp, Selva] Koc Univ, Dept Econ, TR-34450 Istanbul, Turkey. [Carpenter, Seth] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Demiralp, S (reprint author), Koc Univ, Dept Econ, Rumeli Feneri Yolu, TR-34450 Istanbul, Turkey. EM scarpenter@frb.gov; sdemiralp@ku.edu.tr RI Demiralp, Selva/L-6650-2016 OI Demiralp, Selva/0000-0003-4087-168X NR 26 TC 12 Z9 12 U1 1 U2 10 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD MAR PY 2012 VL 34 IS 1 BP 59 EP 75 DI 10.1016/j.jmacro.2011.09.009 PG 17 WC Economics SC Business & Economics GA 915SB UT WOS:000302046600007 ER PT J AU Doh, T AF Doh, Taeyoung TI What Does the Yield Curve Tell Us about the Federal Reserve's Implicit Inflation Target? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE C32; E43; G12; inflation target; DSGE model; term structure of interest rates ID TERM STRUCTURE; MONETARY-POLICY; INTEREST-RATES; SHOCKS; MODEL AB This paper uses a dynamic stochastic general equilibrium (DSGE) model to explore additional information that can be extracted from the yield curve about the Federal Reserves implicit inflation target. In the model, monetary policy follows a nominal interest rate rule with a drifting inflation target, and agents have imperfect information about the persistent component of the inflation target. When the yield curve information is included, the DSGE model generates inflation expectations that are highly correlated with survey data evidence. In the DSGE model, agents quickly learn the inflation target and the gap between the perceived target and the actual target is quantitatively small. This is in contrast to some existing studies that suggest a persistent role of imperfect information even as long-run inflation expectations have declined and stabilized at a low level since the mid 1980s. C1 Fed Reserve Bank Kansas City, Kansas City, MO USA. RP Doh, T (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO USA. EM Taeyoung.Doh@kc.frb.org NR 25 TC 1 Z9 1 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2012 VL 44 IS 2-3 BP 469 EP 486 DI 10.1111/j.1538-4616.2011.00496.x PG 18 WC Business, Finance; Economics SC Business & Economics GA 916CK UT WOS:000302074300010 ER PT J AU Morgan, DP Strain, MR Seblani, I AF Morgan, Donald P. Strain, Michael R. Seblani, Ihab TI How Payday Credit Access Affects Overdrafts and Other Outcomes SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G21; G28; I38; payday credit; bounced checks; overdrafts; debt collectors; dunning; bankruptcy; informal bankruptcy AB Despite a dozen studies, the welfare effects of payday credit are still debatable. We contribute new evidence to the debate by studying how payday credit access affects bank overdrafts (such as returned checks), bankruptcy, and household complaints against lenders and debt collectors. We find some evidence that Chapter 13 bankruptcy rates decrease after payday credit bans, but where we find that, we also find that complaints against lenders and debt collectors increase. The welfare implications of these offsetting movements are unclear. Our most robust finding is that returned check numbers and overdraft fee income at banks increase after payday credit bans. Bouncing a check may cost more than a payday loan, so this finding suggests that payday credit access helps households avoid costlier alternatives. While our findings obviously do not settle the welfare debate over payday lending, we hope they resolve it to some extent it by illuminating how households rearrange their financial affairs when payday loan supply changes. C1 [Morgan, Donald P.] Fed Reserve Bank New York, New York, NY USA. RP Morgan, DP (reprint author), Fed Reserve Bank New York, New York, NY USA. EM don.morgan@ny.frb.org NR 23 TC 13 Z9 13 U1 1 U2 16 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2012 VL 44 IS 2-3 BP 519 EP 531 DI 10.1111/j.1538-4616.2011.00499.x PG 13 WC Business, Finance; Economics SC Business & Economics GA 916CK UT WOS:000302074300013 ER PT J AU Klier, T Linn, J AF Klier, Thomas Linn, Joshua TI New-vehicle characteristics and the cost of the Corporate Average Fuel Economy standard SO RAND JOURNAL OF ECONOMICS LA English DT Article ID GASOLINE; MODELS AB By 2016, the Corporate Average Fuel Economy (CAFE) standard will increase by 40%. This article focuses on the medium-run effects of fuel economy regulation. We estimate consumers' willingness to pay for vehicle characteristics. We employ a novel empirical strategy that accounts for the characteristics' endogeneity by using variation of engine models used in vehicle models. The results imply that consumers value an increase in power more than an increase in fuel economy. Simulations of the effects of an increase in the CAFE standard suggest that regulatory costs are significantly smaller in the medium run than in the short run. C1 [Klier, Thomas] Fed Reserve Bank Chicago, Chicago, IL USA. RP Klier, T (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM thomas.klier@chi.frb.org; linn@rff.org NR 25 TC 22 Z9 22 U1 0 U2 12 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0741-6261 J9 RAND J ECON JI Rand J. Econ. PD SPR PY 2012 VL 43 IS 1 BP 186 EP 213 DI 10.1111/j.1756-2171.2012.00162.x PG 28 WC Economics SC Business & Economics GA 915XR UT WOS:000302061400008 ER PT J AU Hagendorff, J Hernando, I Nieto, MJ Wall, LD AF Hagendorff, Jens Hernando, Ignacio Nieto, Maria J. Wall, Larry D. TI What do premiums paid for bank M&As reflect? The case of the European Union SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Infinity Conference on International Finance CY JUN, 2010 CL Trinity Coll, Dublin, IRELAND HO Trinity Coll DE Banks; Mergers; Premiums; Europe ID FINANCIAL DETERMINANTS; INVESTOR PROTECTION; MERGER PREMIUMS; ACQUISITIONS; DIVERSIFICATION; REGULATORS; LAW AB We analyze the takeover premiums paid for a sample of domestic and cross-border bank takeovers in the European Union between 1997 and 2007. We find that acquiring banks value profitable, high-growth and low risk targets. We also find that the strength of bank regulation and supervision as well as deposit insurance regimes in Europe have measurable effects on takeover pricing. Stricter bank regulatory regimes and stronger deposit insurance schemes lower the takeover premiums paid by acquiring banks. This result, presumably in anticipation of higher compliance costs, is driven by domestic deals. Similar qualitative results are found for both the entire sample and the sample of publicly traded targets. (C) 2011 Elsevier B.V. All rights reserved. C1 [Wall, Larry D.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Hagendorff, Jens] Univ Edinburgh, Sch Business, Edinburgh EH8 9JS, Midlothian, Scotland. [Hernando, Ignacio; Nieto, Maria J.] Banco Espana, Madrid 28014, Spain. RP Wall, LD (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM jens.hagendorff@ed.ac.uk; Hernando@bde.es; maria.nieto@bde.es; larry.wall@atl.frb.org NR 46 TC 7 Z9 7 U1 2 U2 28 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2012 VL 36 IS 3 SI SI BP 749 EP 759 DI 10.1016/j.jbankfin.2011.03.009 PG 11 WC Business, Finance; Economics SC Business & Economics GA 912VN UT WOS:000301829600010 ER PT J AU Francis, WB Osborne, M AF Francis, William B. Osborne, Matthew TI Capital requirements and bank behavior in the UK: Are there lessons for international capital standards? SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Infinity Conference on International Finance CY JUN, 2010 CL Trinity Coll, Dublin, IRELAND HO Trinity Coll DE Bank capital channel; Regulatory capital requirements; Bank capital ratios; Bank credit supply; Countercyclical capital policy; Macroprudential tools ID CREDIT CRUNCH; INVESTMENT AB The financial crisis prompted widespread interest in developing a better understanding of how capital regulation drives bank behavior. This paper uses a unique, comprehensive database of regulatory capital requirements on all UK banks to examine their effects on capital, lending and balance sheet management behavior. We find that capital requirements that include firm-specific, time-varying add-ons set by supervisors affect banks' desired capital ratios and that resulting adjustments to capital and lending depend on the gap between actual and target ratios. We use these results to measure the effects of a capital regime that includes features similar to those embedded in the UK framework. Our results suggest that countercyclical capital requirements may be less effective in slowing credit activity when banks can readily satisfy them with lower-quality (lower-costing) capital elements versus higher-quality common equity. Given the size of the UK banking sector and the global nature of many of the largest institutions in the UK banking sector, the results have implications for the ongoing debate surrounding the design and calibration of international capital standards. Crown Copyright (C) 2011 Published by Elsevier B.V. All rights reserved. C1 [Osborne, Matthew] Financial Serv Author, London E14 5HS, England. [Francis, William B.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Osborne, M (reprint author), Financial Serv Author, London E14 5HS, England. EM william.b.francis@frb.gov; matthew.osborne@fsa.gov.uk NR 26 TC 17 Z9 17 U1 0 U2 18 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2012 VL 36 IS 3 SI SI BP 803 EP 816 DI 10.1016/j.jbankfin.2011.09.011 PG 14 WC Business, Finance; Economics SC Business & Economics GA 912VN UT WOS:000301829600014 ER PT J AU Frydman, C Molloy, R AF Frydman, Carola Molloy, Raven TI Pay Cuts for the Boss: Executive Compensation in the 1940s SO JOURNAL OF ECONOMIC HISTORY LA English DT Article ID UNITED-STATES; WAGE; INCOME; INEQUALITY; DECADES AB Executive pay fell during the 1940s, marking the last notable decrease in the past 70 years. We study this decline using a new panel data set on the remuneration of top executives in 246 firms. Government regulation including explicit salary restrictions and taxation had, at best, a modest effect on executive pay. By contrast, a decline in the returns to firm size and an increase in the power of labor unions contributed greatly to the reduction in executive compensation relative to other workers' earnings from 1940 to 1946. The continued decrease in relative executive pay remains largely unexplained. C1 [Frydman, Carola] Boston Univ, Boston, MA 02215 USA. [Molloy, Raven] Fed Reserve Board Governors, Washington, DC 20551 USA. [Frydman, Carola] NBER, Cambridge, MA 02138 USA. RP Frydman, C (reprint author), Boston Univ, 270 Bay State Rd,Room 307, Boston, MA 02215 USA. EM cfrydman@bu.edu; raven.s.molloy@frb.gov NR 52 TC 2 Z9 2 U1 3 U2 8 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD MAR PY 2012 VL 72 IS 1 BP 225 EP 251 DI 10.1017/S002205071100249X PG 27 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 912OZ UT WOS:000301810800008 ER PT J AU Ranjith, S Rupasingha, A AF Ranjith, Sri Rupasingha, Anil TI Social and Cultural Determinants of Child Poverty in the United States SO JOURNAL OF ECONOMIC ISSUES LA English DT Article DE child poverty; religion; social capital; US counties ID FAMILY-STRUCTURE; ECONOMIC-GROWTH; WELFARE-REFORM; AMERICAN CHILDREN; RELIGION; US; INEQUALITY; TRENDS; INCOME; AREAS AB This study considers social capital and religious adherence as determinants of child poverty in the United States and finds that both social capital and religious adherence play a role in U.S. child poverty at the county level. The study also disaggregates the total religious adherence variable into Mainline Protestants, Evangelical Protestants, and Catholics and finds that the effects of these denominations on child poverty are mixed. The model is tested for spatial dependence bias and the test results show that without spatial correction, the OLS results may be biased and inefficient. C1 [Ranjith, Sri] Univ Peradeniya, Dept Econ & Stat, Peradeniya, Sri Lanka. [Rupasingha, Anil] Fed Reserve Bank Atlanta, Community & Econ Dev Dept, Atlanta, GA USA. [Ranjith, Sri] New Mexico State Univ, Doctorate Econ Dev Program, Las Cruces, NM 88003 USA. RP Ranjith, S (reprint author), Univ Peradeniya, Dept Econ & Stat, Peradeniya, Sri Lanka. NR 50 TC 0 Z9 0 U1 1 U2 12 PU M E SHARPE INC PI ARMONK PA 80 BUSINESS PARK DR, ARMONK, NY 10504 USA SN 0021-3624 J9 J ECON ISSUES JI J. Econ. Issues PD MAR PY 2012 VL 46 IS 1 BP 119 EP 141 DI 10.2753/JEI0021-3624460105 PG 23 WC Economics SC Business & Economics GA 912RN UT WOS:000301817500005 ER PT J AU Gordy, MB Willemann, S AF Gordy, Michael B. Willemann, Soren TI Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models SO MANAGEMENT SCIENCE LA English DT Article DE credit risk; securitization; structured credit; rating agencies; stochastic volatility ID STOCHASTIC VOLATILITY MODELS; BAYESIAN-ANALYSIS; CREDIT SPREADS; DEFAULT; FINANCE AB In its complexity and its vulnerability to market volatility, the constant proportion debt obligation (CPDO) might be viewed as the poster child for the excesses of financial engineering in the credit market. This paper examines the CPDO as a case study in model risk in the rating of complex structured products. We demonstrate that the models used by Standard and Poor's (S&P) and Moody's fail in-sample specification tests even during the precrisis period and in particular understate the kurtosis of spread changes. Because stochastic volatility is the most natural explanation for the excess kurtosis, we estimate an extended version of the S&P model with stochastic volatility and find that the volatility-of-volatility is large and significant. An implication is that agency model-implied probabilities of attaining high spread levels were biased downward, which in turn biased the rating upward. We conclude with larger lessons for the rating of complex products and for modeling credit risk in general. C1 [Gordy, Michael B.] Fed Reserve Board, Washington, DC 20551 USA. [Willemann, Soren] Barclays Capital, London E14 4BB, England. RP Gordy, MB (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM michael.gordy@frb.gov; soren.willemann@barcap.com OI Gordy, Michael/0000-0002-5229-4608 NR 42 TC 5 Z9 7 U1 2 U2 12 PU INFORMS PI HANOVER PA 7240 PARKWAY DR, STE 310, HANOVER, MD 21076-1344 USA SN 0025-1909 J9 MANAGE SCI JI Manage. Sci. PD MAR PY 2012 VL 58 IS 3 BP 476 EP 492 DI 10.1287/mnsc.1110.1433 PG 17 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 911FK UT WOS:000301702500003 ER PT J AU Cai, F Warnock, FE AF Cai, Fang Warnock, Francis E. TI Foreign exposure through domestic equities SO FINANCE RESEARCH LETTERS LA English DT Article DE Home bias; International portfolio allocation; Multinationals ID HOME BIAS; INTERNATIONAL DIVERSIFICATION; FINANCIAL GLOBALIZATION; INSTITUTIONAL INVESTORS; OWNERSHIP; HOLDINGS; INVESTMENT; GOVERNANCE AB We show that US investors obtain substantial foreign exposure through their holdings of domestic equities. Domestic multinationals, in particular, provide significant foreign exposure. We also find that, although the average US investor is less tilted toward domestic multinationals, institutional investors do overweight domestic firms that are more internationally oriented. 'Indirect' foreign holdings through domestic multinationals are shown to be substantial; combining them with reported data on international positions almost doubles US investors' total 'foreign' holdings. Our findings indicate that the home bias is not as severe as assessments based on reported international investment statistics suggest. Published by Elsevier Inc. C1 [Cai, Fang] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. [Warnock, Francis E.] Univ Virginia, Darden Business Sch, Charlottesville, VA 22906 USA. [Warnock, Francis E.] Univ Dublin Trinity Coll, Inst Int Integrat Studies, Dublin 2, Ireland. [Warnock, Francis E.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Cai, F (reprint author), Mail Stop 42,20th & C St NW, Washington, DC 20551 USA. EM Fang.Cai@frb.gov; warnockf@darden.virginia.edu NR 30 TC 5 Z9 5 U1 0 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1544-6131 J9 FINANC RES LETT JI Financ. Res. Lett. PD MAR PY 2012 VL 9 IS 1 BP 8 EP 20 DI 10.1016/j.frl.2011.12.001 PG 13 WC Business, Finance SC Business & Economics GA 910BG UT WOS:000301611600002 ER PT J AU Cattaneo, MD Crump, RK Jansson, M AF Cattaneo, Matias D. Crump, Richard K. Jansson, Michael TI Optimal inference for instrumental variables regression with non-Gaussian errors SO JOURNAL OF ECONOMETRICS LA English DT Article ID ABSOLUTE DEVIATIONS ESTIMATORS; WEAK INSTRUMENTS; ADAPTIVE ESTIMATION; TESTS; MODELS AB This paper is concerned with inference on the coefficient on the endogenous regressor in a linear instrumental variables model with a single endogenous regressor, nonrandom exogenous regressors and instruments, and i.i.d. errors whose distribution is unknown. It is shown that under mild smoothness conditions on the error distribution it is possible to develop tests which are "nearly" efficient in the sense of Andrews et al. (2006) when identification is weak and consistent and asymptotically optimal when identification is strong. In addition, an estimator is presented which can be used in the usual way to construct valid (indeed, optimal) confidence intervals when identification is strong. The estimator is of the two stage least squares variety and is asymptotically efficient under strong identification whether or not the errors are normal. (C) 2011 Elsevier B.V. All rights reserved. C1 [Jansson, Michael] UC Berkeley, Dept Econ, Berkeley, CA 94720 USA. [Cattaneo, Matias D.] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Crump, Richard K.] Fed Reserve Bank New York, New York, NY USA. [Jansson, Michael] Univ Aarhus, CREATES, DK-8000 Aarhus C, Denmark. RP Jansson, M (reprint author), UC Berkeley, Dept Econ, Berkeley, CA 94720 USA. EM mjansson@econ.berkeley.edu OI Cattaneo, Matias/0000-0003-0493-7506 FU National Science Foundation [SES 0921505, SES 0920953]; CREATES; Danish National Research Foundation FX The authors thank Don Andrews, Bryan Graham, Jim Powell, Tom Rothenberg, Paul Ruud, Hal White, two anonymous referees, and seminar participants at Aarhus, Berkeley, Brown, Columbia, Michigan, NYU, Princeton, Rochester, Stanford, Yale, UCSD, UTDT, and UdeSA for comments. The first author gratefully acknowledges financial support from the National Science Foundation (SES 0921505). The third author gratefully acknowledges financial support from the National Science Foundation (SES 0920953) and the research support of CREATES (funded by the Danish National Research Foundation). NR 21 TC 3 Z9 3 U1 1 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 MAR PY 2012 VL 167 IS 1 BP 1 EP 15 DI 10.1016/j.jeconom.2011.04.004 PG 15 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 900CD UT WOS:000300863300001 ER PT J AU Kristensen, D Shin, Y AF Kristensen, Dennis Shin, Yongseok TI Estimation of dynamic models with nonparametric simulated maximum likelihood SO JOURNAL OF ECONOMETRICS LA English DT Article ID TIME-SERIES MODELS; STOCHASTIC VOLATILITY MODELS; ASYMPTOTIC THEORY; DIFFUSION-PROCESSES; DENSITY-ESTIMATION; CONVERGENCE-RATES; INFERENCE; MOMENTS; APPROXIMATION; CHOICE AB We propose an easy-to-implement simulated maximum likelihood estimator for dynamic models where no closed-form representation of the likelihood function is available. Our method can handle any simulable model without latent dynamics. Using simulated observations, we nonparametrically estimate the unknown density by kernel methods, and then construct a likelihood function that can be maximized. We prove that this nonparametric simulated maximum likelihood (NPSML) estimator is consistent and asymptotically efficient. The higher-order impact of simulations and kernel smoothing on the resulting estimator is also analyzed: in particular, it is shown that the NPSML does not suffer from the usual curse of dimensionality associated with kernel estimators. A simulation study shows good performance of the method when employed in the estimation of jump-diffusion models. (C) 2011 Elsevier B.V. All rights reserved. C1 [Shin, Yongseok] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Kristensen, Dennis] UCL, Dept Econ, London WC1E 6BT, England. [Kristensen, Dennis] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Kristensen, Dennis] Aarhus Univ, CREATES, DK-8000 Aarhus C, Denmark. [Shin, Yongseok] Fed Reserve Bank St Louis, St Louis, MO USA. RP Shin, Y (reprint author), Washington Univ, Dept Econ, St Louis, MO 63130 USA. EM d.kristensen@ucl.ac.uk; yshin@wustl.edu RI Kristensen, Dennis/A-7894-2009 OI Kristensen, Dennis/0000-0001-9713-1784 FU National Science Foundation [SES-0961596]; Danish Research Foundation FX We thank the seminar participants at Berkeley, BU, Brown, Columbia, LSE, NYU, Rice, and Stanford for many useful comments. We also thank the referees who offered exceptionally thorough and helpful comments. Kyu-Chul Jung provided excellent research assistance. Kristensen gratefully acknowledges the financial support of the National Science Foundation (SES-0961596) and the Danish Research Foundation (through a grant to CREATES). NR 72 TC 5 Z9 5 U1 5 U2 13 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAR PY 2012 VL 167 IS 1 BP 76 EP 94 DI 10.1016/j.jeconom.2011.09.042 PG 19 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 900CD UT WOS:000300863300006 ER PT J AU Ross, CL de Nie, KL Dannenberg, AL Beck, LF Marcus, MJ Barringer, J AF Ross, Catherine L. de Nie, Karen Leone Dannenberg, Andrew L. Beck, Laurie F. Marcus, Michelle J. Barringer, Jason TI Health Impact Assessment of the Atlanta BeltLine SO AMERICAN JOURNAL OF PREVENTIVE MEDICINE LA English DT Article ID PHYSICAL-ACTIVITY; PUBLIC-HEALTH; UNITED-STATES; NEIGHBORHOOD; COMMUNITY; SENSE; ENVIRONMENT; POPULATION; PREVENTION; AGENDA AB Background: Although a health impact assessment (HIA) is a tool that can provide decision makers with recommendations to promote positive health impacts and mitigate adverse health impacts of proposed projects and policies, it is not routinely conducted on most major projects or policies. Purpose: To make health a decision criterion for the Atlanta BeltLine, a multibillion-dollar transit, trails, parks, and redevelopment project. Methods: An HIA was conducted in 2005-2007 to anticipate and influence the BeltLine's effect on health determinants. Results: Changes in access and equity, environmental quality, safety, social capital, and physical activity were forecast, and steps to maximize health benefits and reduce negative effects were recommended. Key recommendations included giving priority to the construction of trails and greenspace rather than residential and retail construction, making health an explicit goal in project priority setting, adding a public health professional to decision-making boards, increasing the connectivity between the BeltLine and civic spaces, and ensuring that affordable housing is built. BeltLine project decision makers have incorporated most of the HIA recommendations into the planning process. The HIA was cited in the awarding of additional funds of $7,000,000 for brownfield clean-up and greenspace development. The project is expected to promote the health of local residents more than in the absence of the HIA. Conclusions: This report is one of the first HIAs to tie specific assessment findings to specific recommendations and to identifiable impacts from those recommendations. The lessons learned from this project may help others engaged in similar efforts. (Am J Prev Med 2012;42(3):203-213) (C) 2012 Published by Elsevier Inc. on behalf of American Journal of Preventive Medicine C1 [Ross, Catherine L.] Georgia Inst Technol, Coll Architecture, Ctr Qual Growth & Reg Dev, Atlanta, GA 30308 USA. [Dannenberg, Andrew L.] CDC, Natl Ctr Environm Hlth, Atlanta, GA 30333 USA. [Beck, Laurie F.] CDC, Natl Ctr Injury Prevent & Control, Atlanta, GA 30333 USA. [de Nie, Karen Leone] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Ross, CL (reprint author), Georgia Inst Technol, Coll Architecture, Ctr Qual Growth & Reg Dev, 760 Spring St,Suite 213, Atlanta, GA 30308 USA. EM catherine.ross@coa.gatech.edu FU Robert Wood Johnson Foundation FX This work was supported by a grant from the Robert Wood Johnson Foundation to the Georgia Institute of Technology Center for Quality Growth and Regional Development. The authors appreciate the assistance received in preparing the BeltLine HIA report from Saskia Benjamin, Jessica Harbour Doyle, Mine Hashas, and Dave Pierce from the Georgia Institute of Technology, Center for Quality Growth and Regional Development; Susan Hobson, Mary E. O'Neil, Bianca R. Perri, Candace Rutt, Sheryl Lyss, and April Vance from the CDC; and the Fulton County (GA) Department of Health and Wellness. NR 76 TC 9 Z9 9 U1 2 U2 35 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0749-3797 J9 AM J PREV MED JI Am. J. Prev. Med. PD MAR PY 2012 VL 42 IS 3 BP 203 EP 213 DI 10.1016/j.amepre.2011.10.019 PG 11 WC Public, Environmental & Occupational Health; Medicine, General & Internal SC Public, Environmental & Occupational Health; General & Internal Medicine GA 897CI UT WOS:000300618600005 PM 22341156 ER PT J AU Gabe, TM Abel, JR AF Gabe, Todd M. Abel, Jaison R. TI Specialized knowledge and the geographic concentration of occupations SO JOURNAL OF ECONOMIC GEOGRAPHY LA English DT Article DE Agglomeration; geographic concentration; occupations; labor market pooling; knowledge; R12; J24; R20 ID MANUFACTURING-INDUSTRIES; ECONOMIC-DEVELOPMENT; AGGLOMERATION; SPILLOVERS; LOCALIZATION; INNOVATION; DYNAMICS; LOCATION; EARNINGS; MARKETS AB This article examines the effects of specialized knowledge on the geographic concentration of occupations across US metropolitan areas. Controlling for a wide range of other attributes, empirical results reveal that occupations with a unique knowledge base exhibit higher levels of concentration than those with generic knowledge requirements. This result is robust to the use of several model specifications and instrumental variables estimation that relies on an instrument set representing the means by which people acquire knowledge. Thus, the study suggests that the benefits of labor market pooling are particularly apparent in cases where workers require a specialized knowledge base. C1 [Gabe, Todd M.] Univ Maine, Sch Econ, Orono, ME 04469 USA. [Abel, Jaison R.] Fed Reserve Bank New York, Res & Stat Grp, Buffalo, NY 14203 USA. RP Gabe, TM (reprint author), Univ Maine, Sch Econ, 5782 Winslow Hall, Orono, ME 04469 USA. EM todd.gabe@umit.maine.edu NR 39 TC 6 Z9 6 U1 1 U2 17 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1468-2702 J9 J ECON GEOGR JI J. Econ. Geogr. PD MAR PY 2012 VL 12 IS 2 BP 435 EP 453 DI 10.1093/jeg/lbr006 PG 19 WC Economics; Geography SC Business & Economics; Geography GA 894QA UT WOS:000300440400005 ER PT J AU Campbell, JR Evans, CL Fisher, JDM Justiniano, A AF Campbell, Jeffrey R. Evans, Charles L. Fisher, Jonas D. M. Justiniano, Alejandro TI Macroeconomic Effects of Federal Reserve Forward Guidance SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID MONETARY-POLICY; INTEREST-RATES; MARKET; SHOCKS AB A large output gap accompanied by stable inflation close to its target calls for further monetary accommodation, but the zero lower bound on interest rates has robbed the Federal Open Market Committee (FOMC) of the usual tool for its provision. We examine how public statements of FOMC intentions-forward guidance-can substitute for lower rates at the zero bound. We distinguish between Odyssean forward guidance, which publicly commits the FOMC to a future action, and Delphic forward guidance, which merely forecasts macroeconomic performance and likely monetary policy actions. Others have shown how forward guidance that commits the central bank to keeping rates at zero for longer than conditions would otherwise warrant can provide monetary easing, if the public trusts it. We empirically characterize the responses of asset prices and private macroeconomic forecasts to FOMC forward guidance, both before and since the recent financial crisis. Our results show that the FOMC has extensive experience successfully telegraphing its intended adjustments to evolving conditions, so communication difficulties do not present an insurmountable barrier to Odyssean forward guidance. Using an estimated dynamic stochastic general equilibrium model, we investigate how pairing such guidance with bright-line rules for launching rate increases can mitigate risks to the Federal Reserve's price stability mandate. C1 [Campbell, Jeffrey R.; Evans, Charles L.; Fisher, Jonas D. M.; Justiniano, Alejandro] Fed Reserve Bank Chicago, Chicago, IL USA. RP Campbell, JR (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 38 TC 36 Z9 36 U1 3 U2 11 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 EI 1533-4465 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PD SPR PY 2012 BP 1 EP 80 PG 80 WC Economics SC Business & Economics GA 259XH UT WOS:000327559100002 ER PT J AU Frye, J Jacobs, M AF Frye, Jon Jacobs, Michael, Jr. TI Credit loss and systematic loss given default SO JOURNAL OF CREDIT RISK LA English DT Article AB This paper presents a simple and effective model of systematic loss given default. It is simple in that it uses only parameters appearing in standard models. It is effective in that it survives statistical testing against more complicated models. C1 [Frye, Jon] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Jacobs, Michael, Jr.] Off Comptroller Currency, Washington, DC 20219 USA. RP Frye, J (reprint author), Fed Reserve Bank Chicago, 230 South LaSalle St, Chicago, IL 60604 USA. EM jon.frye@chi.frb.org; michael.jacobs@occ.treas.gov NR 9 TC 3 Z9 3 U1 0 U2 1 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6619 J9 J CREDIT RISK JI J. Credit Risk PD SPR PY 2012 VL 8 IS 1 BP 109 EP 140 PG 32 WC Business, Finance SC Business & Economics GA 126WX UT WOS:000317654200005 ER PT J AU Copeland, A Fixler, D AF Copeland, Adam Fixler, Dennis TI MEASURING THE PRICE OF RESEARCH AND DEVELOPMENT OUTPUT SO REVIEW OF INCOME AND WEALTH LA English DT Article DE E01; O47; O3; research and development; price indices; innovation ID SEMICONDUCTOR INDUSTRY; ECONOMICS; INDEXES AB We construct a price index for the scientific R&D services industry, a significant producer of R&D in the United States. Unlike most previous R&D price indexes, our index is not based on input costs but rather on measures of R&D sales. Consequently, unlike input-cost price indexes, our output-based index is able to account for changes in productivity and markups in the scientific R&D services industry. We compute that scientific R&D services prices increased, on average, by 7.14 percent at an annual rate from 1987 to 2006. Using our index, we find that real revenues grew at an annual average rate of 2.85 percent. We then propose using our index, in combination with an input-cost price index, to deflate total R&D nominal expenditures. We find that real total U.S. R&D expenditures grew at an average annual rate of 1.42 percent from 1987 to 2006. C1 [Copeland, Adam] Fed Reserve Bank New York, New York, NY 10045 USA. [Fixler, Dennis] US Bur Econ Anal, Washington, DC USA. RP Copeland, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM adam.copeland@ny.frb.org NR 27 TC 1 Z9 1 U1 1 U2 9 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0034-6586 J9 REV INCOME WEALTH JI Rev. Income Wealth PD MAR PY 2012 VL 58 IS 1 BP 166 EP 182 DI 10.1111/j.1475-4991.2011.00490.x PG 17 WC Economics SC Business & Economics GA 885ML UT WOS:000299783000008 ER PT J AU Brueckner, JK Calem, PS Nakamura, LI AF Brueckner, Jan K. Calem, Paul S. Nakamura, Leonard I. TI Subprime mortgages and the housing bubble SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Subprime; Default; Mortgage; Bubble ID DEFAULT PROBABILITIES; INFORMATION; COSTS AB This paper explores the link between the house-price expectations of mortgage lenders and the extent of subprime lending. It argues that bubble conditions in the housing market are likely to spur subprime lending, with favorable price expectations easing the default concerns of lenders and thus increasing their willingness to extend loans to risky borrowers. Since the demand created by subprime lending feeds back onto house prices, such lending also helps to fuel an emerging housing bubble. These ideas are illustrated in a theoretical model, and tentative support is found in empirical work exploring the connection between price expectations and the extent of subprime lending. (C) 2011 Elsevier Inc. All rights reserved. C1 [Brueckner, Jan K.] Univ Calif Irvine, Dept Econ, Irvine, CA 92697 USA. [Calem, Paul S.] Board Governors Fed Reserve Syst, Washington, DC 20551 USA. [Nakamura, Leonard I.] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Brueckner, JK (reprint author), Univ Calif Irvine, Dept Econ, 3151 Social Sci Plaza, Irvine, CA 92697 USA. EM jkbrueck@uci.edu; Paul.Calem@frb.gov; Leonard.Nakamura@phil.frb.org NR 21 TC 20 Z9 20 U1 1 U2 14 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 2012 VL 71 IS 2 BP 230 EP 243 DI 10.1016/j.jue.2011.09.002 PG 14 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 877QO UT WOS:000299197200005 ER PT J AU Paciorek, A Sinai, T AF Paciorek, Andrew Sinai, Todd TI Does home owning smooth the variability of future housing consumption? SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Housing; House price risk; Mobility; Consumption; Volatility ID UNEMPLOYMENT-INSURANCE; PRICE RISK; DEMAND; HETEROSCEDASTICITY; DECISIONS; COSTS AB We show that the hedging benefit of owning a home reduces the variability of housing consumption after a move. When a current home owner's house price covaries positively with housing costs in a future city, changes in the future cost of housing are offset by commensurate changes in wealth before the move. Using Census micro-data, we find that the cross-sectional variation in house values subsequent to a move is lower for home owners who moved between more highly covarying cities. Our preferred estimates imply that an increase in covariance of one standard deviation reduces the variance of subsequent housing consumption by about 11%. Households at the top end of the covariance distribution who are likely to have owned large homes before moving get the largest reductions, of up to 40% relative to households at the median. (C) 2011 Elsevier Inc. All rights reserved. C1 [Sinai, Todd] Univ Penn, Wharton Sch, Real Estate Dept, Philadelphia, PA 19104 USA. [Paciorek, Andrew] Fed Reserve Board Governors, Washington, DC USA. RP Sinai, T (reprint author), Univ Penn, Wharton Sch, Real Estate Dept, Philadelphia, PA 19104 USA. EM andrew.d.paciorek@frb.gov; sinai@wharton.upenn.edu NR 38 TC 7 Z9 7 U1 2 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 2012 VL 71 IS 2 BP 244 EP 257 DI 10.1016/j.jue.2011.11.001 PG 14 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 877QO UT WOS:000299197200006 ER PT J AU Fudenberg, D Levine, DK AF Fudenberg, Drew Levine, David K. TI Fairness, risk preferences and independence: Impossibility theorems SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Fairness; Risk; Ex-ante fairness ID INDIVIDUALISTIC ETHICS; CARDINAL WELFARE; UTILITY; ALTRUISM; JUSTICE AB The most widely used economic models of social preferences are specified only for certain outcomes. There are two obvious methods of extending them to lotteries. If we do so by expected utility theory, so that the independence axiom is satisfied, our results imply that the resulting preferences do not exhibit ex ante fairness. If we do so by replacing certain outcomes with their expected utilities for each individual, so that individual risk preferences are preserved, then ex ante fairness may be preserved, but neither the independence axiom nor ex post fairness is satisfied. Both ex ante and ex post fairness can be satisfied but then the individual does not have well defined preferences over own lotteries. (C) 2011 Elsevier B.V. All rights reserved. C1 [Fudenberg, Drew] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. [Levine, David K.] Washington Univ, Dept Econ, St Louis Fed Reserve Bank, St Louis, MO 63130 USA. [Levine, David K.] European Univ Inst, Florence, Italy. RP Fudenberg, D (reprint author), Harvard Univ, Dept Econ, 1805 Cambridge St, Cambridge, MA 02138 USA. EM drew.fudenberg@gmail.com NR 22 TC 14 Z9 14 U1 0 U2 7 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 FEB PY 2012 VL 81 IS 2 BP 606 EP 612 DI 10.1016/j.jebo.2011.09.004 PG 7 WC Economics SC Business & Economics GA 905ZT UT WOS:000301315400021 ER PT J AU Chatterjee, S Rossi-Hansberg, E AF Chatterjee, Satyajit Rossi-Hansberg, Esteban TI SPINOFFS AND THE MARKET FOR IDEAS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID SIZE DISTRIBUTION; PROPERTY-RIGHTS; DYNAMICS; INDUSTRY; FIRMS; SELECTION; CITIES; ENTRY; LAW AB We present a theory of entry through spinoffs where workers generate ideas and possess private information concerning their quality. Because quality is privately observed, adverse selection implies that the market can only offer a price that reflects the average quality of ideas sold. Only workers with good ideas decide to spin off, whereas workers with mediocre ideas sell them. Existing firms pay a price for ideas sold in the market that implies zero expected profits. Hence, firms project selection is independent of firm size, which can lead to scale-independent growth. This mechanism results in invariant firm-size distributions that resemble the data. C1 [Chatterjee, Satyajit] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. Princeton Univ, Princeton, NJ 08544 USA. RP Chatterjee, S (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM chatterjee.satyajit@gmail.com NR 24 TC 7 Z9 7 U1 1 U2 16 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD FEB PY 2012 VL 53 IS 1 BP 53 EP 93 DI 10.1111/j.1468-2354.2011.00671.x PG 41 WC Economics SC Business & Economics GA 897XF UT WOS:000300693800003 ER PT J AU Eggertsson, GB AF Eggertsson, Gauti B. TI Was the New Deal Contractionary? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID OPTIMAL MONETARY-POLICY; GREAT-DEPRESSION; DEFLATION; PRICES; MARKET; RULES; COSTS C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Eggertsson, GB (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Gauti.Eggertsson@ny.frb.org NR 45 TC 19 Z9 19 U1 1 U2 7 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 FEB PY 2012 VL 102 IS 1 BP 524 EP 555 DI 10.1257/aer.102.1.524 PG 32 WC Economics SC Business & Economics GA 894EY UT WOS:000300411000017 ER PT J AU Canals-Cerda, JJ AF Canals-Cerda, Jose J. TI The value of a good reputation online: an application to art auctions SO JOURNAL OF CULTURAL ECONOMICS LA English DT Article DE Art auctions; Internet markets; Reputation ID INTERNET AUCTIONS; EBAY AUCTIONS; TRUST; PRICE; PUNISHMENT; MECHANISMS; INSIGHTS; BEHAVIOR; MARKETS AB Using a unique dataset of art auctions on eBay, we conduct an empirical analysis of the value of a seller's online reputation. Several aspects distinguish our work from most existing research. We analyze a heterogeneous panel data consisting of a large number of observations over a large period of time, including significant variation in reputation across and within sellers. The panel structure of our dataset allows us to employ fixed effects techniques to control for observed and unobserved differences across auctions. Our results point to a highly significant, and sizable, impact of a negative reputation on the behavior of market participants and on market outcomes. Negative feedback is associated with a significant reduction in the number of bidders and a reduction in the probability of sale; negative feedback is also associated with a significant reduction in sale price. Consistent with previous research, the impact of additional positive feedback on market outcomes for the seasoned sellers in our sample is not statistically significant. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Canals-Cerda, JJ (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Jose.Canals-Cerda@phil.frb.org NR 33 TC 6 Z9 6 U1 5 U2 23 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0885-2545 J9 J CULT ECON JI J. Cult. Econ. PD FEB PY 2012 VL 36 IS 1 BP 67 EP 85 DI 10.1007/s10824-011-9156-0 PG 19 WC Economics SC Business & Economics GA 892MT UT WOS:000300291000004 ER PT J AU Orphanides, A Wei, M AF Orphanides, Athanasios Wei, Min TI Evolving macroeconomic perceptions and the term structure of interest rates SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Macro term structure model; Adaptive learning; Recursive least squares; Real-time data; Survey forecasts; Anticipated utility; SPF; Blue chip economic indicators ID MONETARY-POLICY; STRUCTURE DYNAMICS; EXPECTATIONS; INFLATION; MODEL; FORECAST AB We explore the role of evolving beliefs regarding the structure of the macroeconomy in improving our understanding of the term structure of interest rates within the context of a simple macro-finance model. Using quarterly vintages of real-time data and survey forecasts for the United States over the past 40 years, we show that a recursively estimated VAR on real GDP growth, inflation and the nominal short-term interest rate generates predictions that are more consistent with survey forecasts than a benchmark fixed-coefficient counterpart. We then estimate a simple term structure model under the assumption that investor risk attitude is driven by near-term expectations of the three state variables. When we allow for evolving beliefs about the macroeconomy, the resulting term structure model provides a better fit to the cross section of yields than the benchmark model, especially at longer maturities, and exhibits better performance in out-of-sample predictions of future yield movements. Published by Elsevier By. C1 [Wei, Min] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. [Orphanides, Athanasios] Cent Bank Cyprus, Nicosia, Cyprus. RP Wei, M (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. EM Athanasios.Orphanides@centralbank.gov.cy; min.wei@frb.gov NR 25 TC 5 Z9 5 U1 1 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD FEB PY 2012 VL 36 IS 2 BP 239 EP 254 DI 10.1016/j.jedc.2011.08.011 PG 16 WC Economics SC Business & Economics GA 895ER UT WOS:000300479500005 ER PT J AU Holmes, TJ Lee, S AF Holmes, Thomas J. Lee, Sanghoon TI ECONOMIES OF DENSITY VERSUS NATURAL ADVANTAGE: CROP CHOICE ON THE BACK FORTY SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID GEOGRAPHIC CONCENTRATION AB We estimate the factors determining specialization of crop choice at the level of individual fields, distinguishing between the role of natural advantage (soil characteristics) and economies of density (scale economies achieved when farmers plant neighboring fields the same). Using rich geographic data from North Dakota, including new data on crop choice collected by satellite, we estimate a model of how a farmer plants adjacent fields under the farmer's control. We find planting decisions on a field are heavily dependent on the soil characteristics of adjacent fields. Through this relationship, we back out the structural parameters of economies of density. C1 [Holmes, Thomas J.] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Holmes, Thomas J.] NBER, Cambridge, MA 02138 USA. [Lee, Sanghoon] Univ British Columbia, Sauder Sch Business, Vancouver, BC V5Z 1M9, Canada. RP Holmes, TJ (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. NR 22 TC 6 Z9 6 U1 0 U2 6 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD FEB PY 2012 VL 94 IS 1 BP 1 EP 19 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 892YD UT WOS:000300320600001 ER PT J AU Dwyer, GP Lothian, JR AF Dwyer, Gerald P. Lothian, James R. TI International and historical dimensions of the financial crisis of 2007 and 2008 SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Macroeconomics; Monetary policy; Business cycles; Financial crises; Great Depression; 2007-2009 recession ID NATURAL EXPERIMENT AB This article provides an interpretative overview of the papers in this special issue of JIMF devoted to international aspects of the 2007-2009 financial crisis. It then goes on to provide additional empirical evidence of two sorts. The first documents the difference between the monetary policies pursued by the European Central Bank, the Bank of Japan, the Bank of England and the Federal Reserve in this episode and the policies pursued by the Federal Reserve in the Great Depression. In the course of this episode, unlike the Great Depression, policies were not contractionary and the recessions were less severe than in the United States in 1929-1933. The second compares the recovery in the United States in the aftermath of the recent crisis and in recoveries following periods of previous banking crises. This recovery is much weaker than average. (C) 2011 Elsevier Ltd. All rights reserved. C1 [Dwyer, Gerald P.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Dwyer, Gerald P.] Univ Carlos III Madrid, Madrid, Spain. [Lothian, James R.] Fordham Univ, Grad Sch Business, New York, NY 10023 USA. [Lothian, James R.] Tilburg Univ, NL-5000 LE Tilburg, Netherlands. RP Dwyer, GP (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Gerald.P.Dwyer@atl.frb.org; jrmlothian@aol.com NR 26 TC 9 Z9 9 U1 5 U2 22 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 2012 VL 31 IS 1 SI SI BP 1 EP 9 DI 10.1016/j.jimonfin.2011.11.006 PG 9 WC Business, Finance SC Business & Economics GA 891FW UT WOS:000300203600001 ER PT J AU Chung, H Laforte, JP Reifschneider, D Williams, JC AF Chung, Hess Laforte, Jean-Philippe Reifschneider, David Williams, John C. TI Have We Underestimated the Likelihood and Severity of Zero Lower Bound Events? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E37; E47; E52; E58; E65; zero lower bound; model uncertainty; large-scale asset purchases; model uncertainty ID MONETARY-POLICY; NATURAL RATE; DSGE MODEL; VECTOR AB Prior to the financial crisis, most economists probably did not view the zero lower bound (ZLB) as a major problem for central banks. Using a range of structural and statistical models, we find that previous research understated the ZLB threat by ignoring uncertainty about model parameters and latent variables, focusing too much on the Great Moderation experience, and relying on structural models whose dynamics cannot generate sustained ZLB episodes. Our analysis also suggests that the Federal Reserve's asset purchases, while materially improving macroeconomic conditions, did not prevent the ZLB constraint from having first-order adverse effects on real activity and inflation. C1 [Chung, Hess; Laforte, Jean-Philippe; Reifschneider, David] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. [Williams, John C.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Chung, H (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. EM hess.t.chung@frb.gov; philippe.laforte@frb.gov; david.l.reifschneider@frb.gov; john.c.williams@sf.frb.org NR 46 TC 34 Z9 34 U1 0 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2012 VL 44 SU 1 BP 47 EP 82 DI 10.1111/j.1538-4616.2011.00478.x PG 36 WC Business, Finance; Economics SC Business & Economics GA 886BY UT WOS:000299827000003 ER PT J AU Fuhrer, JC Olivei, GP Tootell, GMB AF Fuhrer, Jeffrey C. Olivei, Giovanni P. Tootell, Geoffrey M. B. TI Inflation Dynamics When Inflation Is Near Zero SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E12; E31; E52; inflation; anchored expectations; survey expectations; downward nominal wage rigidity; Phillips curve AB We discuss the likely evolution of U.S. inflation in the near and medium terms on the basis of (i) past U.S. experience with very low levels of inflation, (ii) the most recent Japanese experience with negative inflation, and (iii) some preliminary U.S. micro evidence on downward nominal wage rigidity. Our findings question the view that stable long-run inflation expectations and downward nominal wage rigidity will necessarily provide sufficient support to prices to avoid further declines in inflation. We show that an inflation model fitted on Japanese data over the past 20 years, which accounts for both short- and long-run inflation expectations, matches the recent U.S. inflation experience quite well. While the model indicates that U.S. inflation might be subject to a lower bound, it does not rule out a prolonged period of low inflation or even mild deflation going forward. In addition, micro-level data on wages suggest no obvious downward rigidity in the firm's wage bill, downward rigidity in individual wages notwithstanding. As a consequence, downward nominal wage rigidity may not be enough to offset deflationary pressures in the current situation. C1 [Fuhrer, Jeffrey C.; Olivei, Giovanni P.; Tootell, Geoffrey M. B.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Fuhrer, JC (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. EM Jeff.Fuhrer@bos.frb.org; Giovanni.Olivei@bos.frb.org; Geoff.Tootell@bos.frb.org RI Fuhrer, Jeff/F-8852-2013 NR 19 TC 6 Z9 6 U1 3 U2 9 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2012 VL 44 SU 1 BP 83 EP 122 DI 10.1111/j.1538-4616.2011.00479.x PG 40 WC Business, Finance; Economics SC Business & Economics GA 886BY UT WOS:000299827000004 ER PT J AU Wang, J Wu, JJ AF Wang, Jian Wu, Jason J. TI The Taylor Rule and Forecast Intervals for Exchange Rates SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE C14; C53; F31; Meese-Rogoff puzzle; exchange rate forecast; interval forecasting; Taylor rule model ID FINANCIAL RISK-MANAGEMENT; MONETARY-POLICY RULES; TERM STRUCTURE MODELS; DENSITY FORECASTS; PREDICTIVE ABILITY; RANDOM-WALK; RATE PREDICTABILITY; FOREIGN-EXCHANGE; FUNDAMENTALS; SAMPLE AB In this paper, we examine the MeeseRogoff puzzle from a different perspective: out-of-sample interval forecasting. While most studies in the literature focus on point forecasts, we apply semiparametric interval forecasting to a group of exchange rate models. Forecast intervals for 10 OECD exchange rates are generated and the performance of the empirical exchange rate models are compared with the random walk. Our contribution is twofold. First, we find that in general, exchange rate models generate tighter forecast intervals than the random walk, given that their intervals cover out-of-sample exchange rate realizations equally well. Our results suggest a connection between exchange rates and economic fundamentals: economic variables contain information useful in forecasting distributions of exchange rates. We also find that the benchmark Taylor rule model performs better than the monetary, PPP and forward premium models, and its advantages are more pronounced at longer horizons. Second, the bootstrap inference framework proposed in this paper for forecast interval evaluation can be applied in a broader context, such as inflation forecasting. C1 [Wang, Jian] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. [Wu, Jason J.] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Wang, J (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. EM jian.wang@dal.frb.org; jason.j.wu@frb.gov NR 62 TC 7 Z9 7 U1 0 U2 10 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2012 VL 44 IS 1 BP 103 EP 144 DI 10.1111/j.1538-4616.2011.00470.x PG 42 WC Business, Finance; Economics SC Business & Economics GA 883KS UT WOS:000299633500004 ER PT J AU Evans, CL AF Evans, Charles L. TI Monetary Policy in a Low-Inflation Environment: Developing a State-Contingent Price-Level Target SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E24; E31; E61; E66; dual mandate; employment; inflation; liquidity trap; price targeting ID LIQUIDITY TRAP AB A number of academic studies find that either price-level targeting or temporary above-average inflation are nearly optimal policies to address a liquidity trap crisis. Still, central bankers and the public generally question whether even a temporarily higher inflation rate could be beneficial in addressing a liquidity trap or could be consistent with price stability over the longer term. At the same time, however, the Federal Reserve's projections for high unemployment and low inflation do not seem to be consistent with the best monetary policies to address the Fed's dual mandate responsibilities. Accordingly, it is useful to seriously discuss these potentially beneficial alternative policies. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Evans, CL (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM information.chi@chi.frb.org NR 7 TC 4 Z9 4 U1 1 U2 8 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2012 VL 44 SU 1 BP 147 EP 155 DI 10.1111/j.1538-4616.2011.00482.x PG 9 WC Business, Finance; Economics SC Business & Economics GA 886BY UT WOS:000299827000007 ER PT J AU Rosengren, ES AF Rosengren, Eric S. TI Revisiting Monetary Policy in a Low-Inflation Environment: Remarks at the Federal Reserve Bank of Boston's 55th Economic Conference SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Rosengren, ES (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM eric.rosengren@bos.frb.org NR 1 TC 0 Z9 0 U1 0 U2 3 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2012 VL 44 SU 1 BP 165 EP 174 DI 10.1111/j.1538-4616.2011.00484.x PG 10 WC Business, Finance; Economics SC Business & Economics GA 886BY UT WOS:000299827000009 ER PT J AU Wheelock, DC Wilson, PW AF Wheelock, David C. Wilson, Paul W. TI Do Large Banks Have Lower Costs? New Estimates of Returns to Scale for US Banks SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE C12; C13; C14; D24; G21; L11; L25; banks; returns to scale; scale economies; nonparametric; regression ID COMMERCIAL-BANKS; PERFORMANCE; REGRESSION; EFFICIENCY; ECONOMIES; INDUSTRY; DEMAND AB This paper presents new, fully nonparametric estimates of ray-scale and expansion-path scale economies for U.S. banks based on a model of bank costs. Unlike prior studies that use models with restrictive parametric assumptions or limited samples, our methodology uses local polynomial estimators and data on all U.S. banks over the period 19842006. Our estimates indicate that as recently as 2006, most U.S. banks faced increasing returns to scale, suggesting that scale economies are a plausible (but not necessarily only) reason for the growth in average bank size and that the tendency toward increasing scale is likely to continue unless checked by government intervention. C1 [Wheelock, David C.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, Res Dept, St Louis, MO USA. EM wheelock@stls.frb.org; pww@clemson.edu RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 38 TC 35 Z9 35 U1 2 U2 9 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2012 VL 44 IS 1 BP 171 EP 199 DI 10.1111/j.1538-4616.2011.00472.x PG 29 WC Business, Finance; Economics SC Business & Economics GA 883KS UT WOS:000299633500006 ER PT J AU French, E Manning, A AF French, Eric Manning, Alan TI The Minimum Wage and Labor Market Outcomes SO ECONOMIC JOURNAL LA English DT Book Review ID UNEMPLOYMENT; SEARCH C1 [French, Eric] Fed Reserve Bank Chicago, Chicago, IL USA. [Manning, Alan] London Sch Econ, London, England. RP French, E (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 10 TC 0 Z9 0 U1 1 U2 8 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 FEB PY 2012 VL 122 IS 558 BP F105 EP F114 DI 10.1111/j.1468-0297.2011.02491.x PG 10 WC Economics SC Business & Economics GA 877DD UT WOS:000299156200006 ER PT S AU Hutchison, M AF Hutchison, Michael BE Oxelheim, L TI Obstacles to Global Financial Adjustment: Economic Re-polarization and the Euro Area SO EU-ASIA AND THE RE-POLARIZATION OF THE GLOBAL ECONOMIC ARENA SE Advanced Research in Asian Economic Studies LA English DT Article; Book Chapter C1 [Hutchison, Michael] Univ Calif Santa Cruz, Santa Cruz, CA 95064 USA. [Hutchison, Michael] Santa Cruz Inst Int Econ, Santa Cruz, CA USA. [Hutchison, Michael] Natl Inst Publ Finance & Policy, New Delhi, India. [Hutchison, Michael] Univ Copenhagen, Econ Policy Res Unit, DK-1168 Copenhagen, Denmark. [Hutchison, Michael] Univ Calif Santa Cruz, Fac Econ, Santa Cruz, CA 95064 USA. [Hutchison, Michael] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Hutchison, Michael] Bank Int Settlements, Basel, Switzerland. [Hutchison, Michael] Univ Gothenburg, Gothenburg, Sweden. [Hutchison, Michael] Copenhagen Business Sch, Copenhagen, Denmark. [Hutchison, Michael] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA. [Hutchison, Michael] Univ So Calif, Marshall Sch Business, Los Angeles, CA 90089 USA. RP Hutchison, M (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 15 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 1793-0944 BN 978-981-4366-52-6 J9 ADV RES ASIAN ECON PY 2012 VL 7 BP 33 EP 54 D2 10.1142/8256 PG 22 WC Economics SC Business & Economics GA BGW59 UT WOS:000324387800003 ER PT J AU Kleiner, MM Weil, D AF Kleiner, Morris M. Weil, David BE Estlund, CL Wachter, ML TI Evaluating the effectiveness of National Labor Relations Act remedies: analysis and comparison with other workplace penalty policies SO RESEARCH HANDBOOK ON THE ECONOMICS OF LABOR AND EMPLOYMENT LAW SE Research Handbooks in Law and Economics LA English DT Article; Book Chapter ID UNION ORGANIZING DRIVES; CERTIFICATION ELECTIONS; MINIMUM-WAGE; EMPLOYER; LAW; UNIONIZATION; ENFORCEMENT; SAFETY; SECTOR; OSHA C1 [Kleiner, Morris M.] Univ Minnesota, Humphrey Sch Publ Affairs, AFL CIO, Minneapolis, MN 55455 USA. [Kleiner, Morris M.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Weil, David] Boston Univ, Sch Management, Boston, MA 02215 USA. [Weil, David] Harvard Univ, John F Kennedy Sch Govt, Transparency Policy Project, Cambridge, MA 02138 USA. RP Kleiner, MM (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN USA. NR 63 TC 2 Z9 2 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84980-101-0 J9 RES HANDB LAW ECON PY 2012 BP 209 EP 247 D2 10.4337/9781781006115 PG 39 WC Economics; Law SC Business & Economics; Government & Law GA BGM61 UT WOS:000323511500007 ER PT B AU Dihel, N Fernandes, AM Gicho, R Kashangaki, J Strychacz, N AF Dihel, Nora Fernandes, Ana Margarida Gicho, Richard Kashangaki, John Strychacz, Nicholas BE Goswami, AG Mattoo, A Saez, S TI BECOMING A GLOBAL EXPORTER OF BUSINESS SERVICES? THE CASE OF KENYA SO EXPORTING SERVICES: A DEVELOPING COUNTRY PERSPECTIVE LA English DT Article; Book Chapter C1 [Dihel, Nora] World Bank, Poverty Reduct & Econ Management Network, Washington, DC 20433 USA. [Fernandes, Ana Margarida] World Bank, Dev Res Grp, Trade & Integrat Unit, Washington, DC USA. [Gicho, Richard] TriMagus Consulting, Nairobi, Kenya. [Kashangaki, John] Strateg Business Advisors Ltd, Nairobi, Kenya. [Strychacz, Nicholas] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Dihel, N (reprint author), World Bank, Poverty Reduct & Econ Management Network, Washington, DC 20433 USA. NR 17 TC 1 Z9 1 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-8816-7 PY 2012 BP 237 EP 267 D2 10.1596/978-0-8213-8816-7 PG 31 WC International Relations; Planning & Development SC International Relations; Public Administration GA BGE39 UT WOS:000322544400008 ER PT S AU Armantier, O Boly, A AF Armantier, Olivier Boly, Amadou BE Serra, D Wantchekon, L TI ON THE EXTERNAL VALIDITY OF LABORATORY EXPERIMENTS ON CORRUPTION SO NEW ADVANCES IN EXPERIMENTAL RESEARCH ON CORRUPTION SE Research in Experimental Economics LA English DT Article; Book Chapter ID MEASURING SOCIAL PREFERENCES; FIELD; ECONOMICS; BEHAVIOR; CULTURE; GAMES AB This chapter examines the external validity of lab experiments on corruption by evaluating the extent to which experimental results are robust to the degree of field context included in the experimental design. To do so, we follow Harrison and List (2004) and partition corruption experiments into four classes depending on their field context. A comparison of the results obtained within each class reveals that similar treatment effects tend to emerge. Although a definitive answer to the external validity question has yet to be provided, these preliminary results provide some support to the external validity of lab experiments on corruption. C1 [Armantier, Olivier] Fed Reserve Bank New York, New York, NY 10045 USA. [Boly, Amadou] United Nations Ind Dev Org, Vienna, Austria. RP Armantier, O (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 43 TC 6 Z9 7 U1 0 U2 1 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 0193-2306 BN 978-1-78052-784-0 J9 RES EXP ECON PY 2012 VL 15 BP 117 EP 144 DI 10.1108/S0193-2306(2012)0000015007 PG 28 WC Economics SC Business & Economics GA BFG93 UT WOS:000319829300005 ER PT B AU Boone, C Kriger, N AF Boone, Catherine Kriger, Norma BE Bekoe, DA TI Land Patronage and elections Winners and Losers in Zimbabwe and Cote d'Ivoire SO VOTING IN FEAR: ELECTORAL VIOLENCE IN SUB-SAHARAN AFRICAN LA English DT Article; Book Chapter ID AFRICA; POLITICS; FAILURE; RIGHTS; REFORM; KENYA C1 [Boone, Catherine] Univ Texas Austin, Austin, TX 78712 USA. [Kriger, Norma] Lib Congress, Fed Res Div, Washington, DC 20540 USA. RP Boone, C (reprint author), Univ Texas Austin, Austin, TX 78712 USA. NR 114 TC 2 Z9 2 U1 0 U2 1 PU US INST PEACE PI WASHINGTON PA 1550 M STREET, NW, WASHINGTON, DC 20005 USA BN 978-1-60127-136-5 PY 2012 BP 75 EP 115 PG 41 WC International Relations; Political Science SC International Relations; Government & Law GA BEX39 UT WOS:000318529300005 ER PT J AU Francis, N Owyang, MT Sekhposyan, T AF Francis, Neville Owyang, Michael T. Sekhposyan, Tatevik TI The Local Effects of Monetary Policy SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE Monetary policy channels; Bayesian structural vector auto regression; Markov Chain Monte Carlo Model Composition ID VECTOR AUTOREGRESSIONS; IMPULSE RESPONSES; BUSINESS-CYCLE; GIBBS SAMPLER; US STATES; MODELS; CITIES; PRICE; GROWTH; EMPLOYMENT AB Many studies have documented disparities in the regional responses to monetary policy shocks. However, because of computational issues, the literature has often neglected the richest level of disaggregation: the city. In this paper, we estimate the city-level responses to monetary policy shocks in a Bayesian SVAR. The Bayesian SVAR allows us to model the entire panel of metropolitan areas through the imposition of a shrinkage prior. We then seek the origin of the city-level asymmetric responses. We find strong evidence that the population density and the size of the local government sector mitigate the effects of monetary policy on local employment. The roles of the traditional interest rate, equity, and credit channels are marginalized relative to the previous findings based on less-granular definitions of regions. However, the relevance of the interest rate and credit channels appears to be more robust to business cycle uncertainty. C1 [Francis, Neville] Univ N Carolina, Chapel Hill, NC 27515 USA. [Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Francis, N (reprint author), Univ N Carolina, Chapel Hill, NC 27515 USA. EM nfrancis@unc.edu; Michael.T.Owyang@stls.frb.org; tsekhposyan@bankofcanada.ca RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 49 TC 0 Z9 0 U1 2 U2 10 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 2012 VL 12 IS 2 AR 3 DI 10.1515/1935-1690.2371 PG 37 WC Economics SC Business & Economics GA 956ID UT WOS:000305082400003 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI The 2008-2009 Recession Market or Policy Maker Failure? SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 1 EP 10 D2 10.1017/CBO9780511997563 PG 10 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200002 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Recessions Financial Instability or Monetary Mismanagement? SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 11 EP 22 D2 10.1017/CBO9780511997563 PG 12 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200003 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI The Great Recession Market Failure or Policy Failure? Preface SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Editorial Material; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP XIII EP + D2 10.1017/CBO9780511997563 PG 28 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200001 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI The Great Contraction 1929-1933 SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 23 EP 45 D2 10.1017/CBO9780511997563 PG 23 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200004 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Monetary Policy and Bank Runs in the Great Depression SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 46 EP 64 D2 10.1017/CBO9780511997563 PG 19 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200005 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Vigorous Recovery and Relapse 1933-1939 SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 65 EP 84 D2 10.1017/CBO9780511997563 PG 20 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200006 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Interwar International Monetary Experiments SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 85 EP 109 D2 10.1017/CBO9780511997563 PG 25 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200007 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Identifying the Shocks that Cause Recessions SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 110 EP 127 D2 10.1017/CBO9780511997563 PG 18 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200008 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI From Stop-Go to the Great Moderation SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 128 EP 148 D2 10.1017/CBO9780511997563 PG 21 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200009 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Controlling Bank Risk Taking Market or Regulator Discipline? SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 149 EP 169 D2 10.1017/CBO9780511997563 PG 21 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200010 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI The Housing Crash Subsidizing Housing and Bank Risk Taking SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 170 EP 186 D2 10.1017/CBO9780511997563 PG 17 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200011 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Bubble Trouble Easy Money in 2003 and 2004? SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 187 EP 203 D2 10.1017/CBO9780511997563 PG 17 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200012 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI What Caused the Great Recession of 2008-2009? SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 204 EP 238 D2 10.1017/CBO9780511997563 PG 35 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200013 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI What Caused the Great Leverage Collapse? SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 239 EP 256 D2 10.1017/CBO9780511997563 PG 18 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200014 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI The Distinctions Between Credit, Monetary, and Liquidity Policy SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 257 EP 281 D2 10.1017/CBO9780511997563 PG 25 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200015 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Fed Market Interventions The Experiment with Credit Policy SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 282 EP 299 D2 10.1017/CBO9780511997563 PG 18 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200016 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Evaluating Policy What Are the Relevant Counterfactuals? SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 300 EP 318 D2 10.1017/CBO9780511997563 PG 19 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200017 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI The Business Cycle Market Instability or Monetary Instability? SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 319 EP 329 D2 10.1017/CBO9780511997563 PG 11 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200018 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI Why Is Learning So Hard? SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 330 EP 341 D2 10.1017/CBO9780511997563 PG 12 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200019 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI How Should Society Regulate Capitalism? Rules versus Discretion SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 342 EP 345 D2 10.1017/CBO9780511997563 PG 4 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200020 ER PT J AU Hetzel, RL AF Hetzel, Robert L. BA Hetzel, RL BF Hetzel, RL TI The Great Recession Market Failure or Policy Failure? Postscript SO GREAT RECESSION: MARKET FAILURE OR POLICY FAILURE? SE Studies in Macroeconomic History LA English DT Editorial Material; Book Chapter C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Hetzel, RL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-01188-5 J9 STUD MACROECON HIST PY 2012 BP 346 EP 350 D2 10.1017/CBO9780511997563 PG 5 WC Economics SC Business & Economics GA BDF71 UT WOS:000313053200021 ER PT J AU Long, BT AF Long, Bridget Terry BE Kelly, AP Schneider, M TI Remediation The Challenges of Helping Underprepared Students SO GETTING TO GRADUATION: THE COMPLETION AGENDA IN HIGHER EDUCATION LA English DT Article; Book Chapter C1 [Long, Bridget Terry] Harvard Univ, Grad Sch Educ, Cambridge, MA 02138 USA. [Long, Bridget Terry] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Long, BT (reprint author), Fed Reserve Bank Boston, New England Publ Policy Ctr, Boston, MA 02210 USA. OI Long, Bridget/0000-0003-2333-9245 NR 54 TC 1 Z9 1 U1 0 U2 2 PU JOHNS HOPKINS UNIV PRESS PI BALTIMORE PA 2715 N CHARLES ST, BALTIMORE, MD 21218-4319 USA BN 978-1-4214-0622-0 PY 2012 BP 175 EP 200 PG 26 WC Education & Educational Research SC Education & Educational Research GA BDZ62 UT WOS:000315724500008 ER PT J AU de Walque, D Dow, WH Nathan, R Abdul, R Abilahi, F Gong, E Isdahl, Z Jamison, J Jullu, B Krishnan, S Majura, A Miguel, E Moncada, J Mtenga, S Mwanyangala, MA Packel, L Schachter, J Shirima, K Medlin, CA AF de Walque, Damien Dow, William H. Nathan, Rose Abdul, Ramadhani Abilahi, Faraji Gong, Erick Isdahl, Zachary Jamison, Julian Jullu, Boniphace Krishnan, Suneeta Majura, Albert Miguel, Edward Moncada, Jeanne Mtenga, Sally Mwanyangala, Mathew Alexander Packel, Laura Schachter, Julius Shirima, Kizito Medlin, Carol A. TI Incentivising safe sex: a randomised trial of conditional cash transfers for HIV and sexually transmitted infection prevention in rural Tanzania SO BMJ OPEN LA English DT Article ID INTERVENTIONS; COUNTRIES; AFRICA AB Objective: The authors evaluated the use of conditional cash transfers as an HIV and sexually transmitted infection prevention strategy to incentivise safe sex. Design: An unblinded, individually randomised and controlled trial. Setting: 10 villages within the Kilombero/Ulanga districts of the Ifakara Health and Demographic Surveillance System in rural south-west Tanzania. Participants: The authors enrolled 2399 participants, aged 18-30 years, including adult spouses. Interventions: Participants were randomly assigned to either a control arm (n=1124) or one of two intervention arms: low-value conditional cash transfer (eligible for $10 per testing round, n=660) and high-value conditional cash transfer (eligible for $20 per testing round, n=615). The authors tested participants every 4 months over a 12-month period for the presence of common sexually transmitted infections. In the intervention arms, conditional cash transfer payments were tied to negative sexually transmitted infection test results. Anyone testing positive for a sexually transmitted infection was offered free treatment, and all received counselling. Main outcome measures: The primary study end point was combined prevalence of the four sexually transmitted infections, which were tested and reported to subjects every 4 months: Chlamydia trachomatis, Neisseria gonorrhoeae, Trichomonas vaginalis and Mycoplasma genitalium. The authors also tested for HIV, herpes simplex virus 2 and syphilis at baseline and month 12. Results: At the end of the 12-month period, for the combined prevalence of any of the four sexually transmitted infections, which were tested and reported every 4 months (C trachomatis, N gonorrhoeae, T vaginalis and M genitalium), unadjusted RR for the high-value conditional cash transfer arm compared to controls was 0.80 (95% CI 0.54 to 1.06) and the adjusted RR was 0.73 (95% CI 0.47 to 0.99). Unadjusted RR for the high-value conditional cash transfer arm compared to the low-value conditional cash transfer arm was 0.76 (95% CI 0.49 to 1.03) and the adjusted RR was 0.69 (95% CI 0.45 to 0.92). No harm was reported. Conclusions: Conditional cash transfers used to incentivise safer sexual practices are a potentially promising new tool in HIV and sexually transmitted infections prevention. Additional larger study would be useful to clarify the effect size, to calibrate the size of the incentive and to determine whether the intervention can be delivered cost effectively. Trial registration number: NCT00922038 ClinicalTrials.gov. C1 [de Walque, Damien] World Bank, Dev Res Grp, Washington, DC 20433 USA. [Dow, William H.] Univ Calif Berkeley, Sch Publ Hlth, Berkeley, CA 94720 USA. [Nathan, Rose; Mtenga, Sally; Shirima, Kizito] Ifakara Hlth Inst, Dar Es Salaam, Tanzania. [Abdul, Ramadhani; Abilahi, Faraji; Jullu, Boniphace; Majura, Albert; Mwanyangala, Mathew Alexander] Ifakara Hlth Inst, Ifakara, Tanzania. [Gong, Erick] Middlebury Coll, Dept Econ, Middlebury, VT 05753 USA. [Isdahl, Zachary; Miguel, Edward] Univ Calif Berkeley, Berkeley, CA 94720 USA. [Jamison, Julian] Fed Reserve Bank Boston, Ctr Behav Econ, Boston, MA 02210 USA. [Krishnan, Suneeta] Res Triangle Inst Int, Res Triangle Pk, NC USA. [Moncada, Jeanne; Schachter, Julius] Univ Calif San Francisco, Dept Lab Med, San Francisco, CA 94143 USA. [Packel, Laura] Univ Calif San Francisco, Global Hlth Sci Prevent & Publ Hlth Grp, San Francisco, CA 94143 USA. [Medlin, Carol A.] Bill & Melinda Gates Fdn, Global Hlth Program, Seattle, WA USA. RP de Walque, D (reprint author), World Bank, Dev Res Grp, 1818 H St NW, Washington, DC 20433 USA. EM ddewalque@worldbank.org OI de Walque, Damien/0000-0003-1592-7602; Dow, William/0000-0002-4080-1668 FU World Bank Research Committee; Spanish Impact Evaluation Fund; Knowledge for Change Program FX The study was funded by the World Bank Research Committee, the Spanish Impact Evaluation Fund and the Knowledge for Change Program managed by the World Bank and the William and Flora Hewlett Foundation through the Population Reference Bureau. The study funders had no role in the study design, in the collection, analysis and interpretation of data, in the writing of the report and in the decision to submit the article for publication and researchers were independent from the funders. The findings, interpretations and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organisations or those of the Executive Directors of the World Bank or the governments they represent. NR 20 TC 59 Z9 59 U1 3 U2 18 PU BMJ PUBLISHING GROUP PI LONDON PA BRITISH MED ASSOC HOUSE, TAVISTOCK SQUARE, LONDON WC1H 9JR, ENGLAND SN 2044-6055 J9 BMJ OPEN JI BMJ Open PY 2012 VL 2 IS 1 AR e000747 DI 10.1136/bmjopen-2011-000747 PG 10 WC Medicine, General & Internal SC General & Internal Medicine GA 091GK UT WOS:000315037200082 PM 22318666 ER PT J AU Hallock, KF Strain, MR Webber, D AF Hallock, Kevin F. Strain, Michael R. Webber, Douglas BE Cooper, CL Pandey, A Quick, JC TI Job loss and effects on firms and workers SO DOWNSIZING: IS LESS STILL MORE? SE Cambridge Companions to Management LA English DT Article; Book Chapter ID EMPLOYMENT PROTECTION; LAYOFF ANNOUNCEMENTS; SURVIVORS REACTIONS; DISPLACED WORKERS; MASS LAYOFFS; MARKET VALUE; PERFORMANCE; IMPACT; DECISIONS; UNEMPLOYMENT C1 [Hallock, Kevin F.] Cornell Univ, ICS, Ithaca, NY 14853 USA. [Hallock, Kevin F.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Strain, Michael R.] Cornell Univ, Ithaca, NY 14853 USA. [Strain, Michael R.] Fed Reserve Bank New York, Res Grp, New York, NY USA. [Webber, Douglas] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA. RP Hallock, KF (reprint author), Cornell Univ, ICS, Ithaca, NY 14853 USA. NR 93 TC 2 Z9 2 U1 1 U2 1 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-1-107-00467-2 J9 CAMB COMP MANAG PY 2012 BP 3 EP 50 PG 48 WC Management SC Business & Economics GA BDG82 UT WOS:000313169700003 ER PT J AU Bodenstein, M Guerrieri, L Kilian, L AF Bodenstein, Martin Guerrieri, Luca Kilian, Lutz TI Monetary Policy Responses to Oil Price Fluctuations SO IMF ECONOMIC REVIEW LA English DT Article ID SHOCKS; DYNAMICS; CARTEL; MARKET; OPEC AB The paper provides the first quantitative analysis of how U.S. monetary policy responses should differ depending on the source of the observed oil price fluctuations. It presents three main sets of results. First, the paper proposes a novel decomposition of the marginal cost of production that highlights the role of each factor input for the evolution of inflation. Second, conditional on an estimated interest rate policy reaction Junction, the paper demonstrates that no two structural shocks induce the same monetary policy response, even after controlling for the impact response of the real price of oil, and quantifies these differences. Third, the paper shows that the policy responses implied by a policy rule, whose coefficients were chosen to maximize U.S. welfare, differ substantially from the policy response implied by the same rule estimated on historical data. Among a wide range of rules, a rule that is easily implementable and that nearly maximizes U.S. welfare involves the Federal Reserve putting zero weight on the price of oil and responding to wage inflation without interest rate smoothing. [JEL E31, E43, F41, Q43] IMF Economic Review (2012) 60, 470-504. doi:10.1057/imfer.2012.19 C1 [Bodenstein, Martin] Asian Dev Bank, Econ Res & Dev Dept, Manila, Philippines. [Guerrieri, Luca] Fed Reserve Board, Washington, DC USA. RP Bodenstein, M (reprint author), Asian Dev Bank, Econ Res & Dev Dept, Manila, Philippines. NR 41 TC 17 Z9 17 U1 3 U2 9 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 2041-4161 J9 IMF ECON REV JI IMF Econ. Rev. PY 2012 VL 60 IS 4 BP 470 EP 504 DI 10.1057/imfer.2012.19 PG 35 WC Business, Finance; Economics SC Business & Economics GA 057PN UT WOS:000312575600002 ER PT J AU Carbo-Valverde, S Linares-Zegarra, JM Rodriguez-Fernandez, F AF Carbo-Valverde, Santiago Manuel Linares-Zegarra, Jose Rodriguez-Fernandez, Francisco TI Feedback Loop Effects in Payment Card Markets: Empirical Evidence SO REVIEW OF NETWORK ECONOMICS LA English DT Article DE payment cards; feedback loop; network externalities ID 2-SIDED MARKETS; NETWORK EXTERNALITIES; COMPETITION; EQUILIBRIUM; INDUSTRY AB While some studies have assumed that mature and well-established platforms do not exhibit feedback loop effects, other recent contributions have suggested that these effects may exist. Using a unique database that provides detailed information on both cardholder and merchant sides of the Spanish payment card market, we find empirical evidence of feedback loop effects. We also offer some evidence on the relative value that consumers (merchants) place on network characteristics such as the degree of merchant acceptance (cardholder adoption) and prices. C1 [Carbo-Valverde, Santiago; Manuel Linares-Zegarra, Jose; Rodriguez-Fernandez, Francisco] Univ Granada, E-18071 Granada, Spain. [Carbo-Valverde, Santiago] Fed Reserve Bank Chicago, Chicago, IL USA. RP Carbo-Valverde, S (reprint author), Univ Granada, E-18071 Granada, Spain. OI /0000-0003-1732-3853 NR 34 TC 1 Z9 1 U1 1 U2 9 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1446-9022 J9 REV NETW ECON JI Rev. Netw. Econ. PY 2012 VL 11 IS 2 AR 2 DI 10.1515/1446-9022.1268 PG 24 WC Economics SC Business & Economics GA 066JV UT WOS:000313217900002 ER PT J AU Occhino, F AF Occhino, Filippo TI Government Debt Dynamics Under Discretion SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE time-consistency; markov perfect equilibrium ID OPTIMAL FISCAL-POLICY; OPTIMAL TAXATION; MONETARY-POLICY; MODEL; RULES AB This paper studies the dynamics of state-contingent government debt in the case that the fiscal authority cannot commit to a future policy. As is well known, optimal policy under commitment calls for letting debt follow a stationary process, with values that depend on the initial conditions. In contrast, when the fiscal authority lacks the ability to commit, it manipulates its policy tools, i.e. the tax rate and government spending, in order to reduce the intertemporal price of current consumption goods, i.e. the real interest rate, and the intertemporal value of its current outstanding liabilities. If the economy converges, in any steady state the government has either no incentive or no ability to reduce the real interest rate any longer. 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 16 TC 1 Z9 1 U1 0 U2 7 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2012 VL 12 IS 1 AR 19 DI 10.1515/1935-1690.2362 PG 28 WC Economics SC Business & Economics GA 032DE UT WOS:000310691400006 ER PT S AU Eichenbaum, M AF Eichenbaum, Martin BE Acemoglu, D Woodford, M TI Natural Expectations, Macroeconomic Dynamics, and Asset Pricing Comment SO NBER MACROECONOMICS ANNUAL 2011 SE NBER Macroeconomics Annual LA English DT Editorial Material; Book Chapter ID MODEL UNCERTAINTY; MONETARY-POLICY; BUSINESS-CYCLE; FLUCTUATIONS; INFLATION; BELIEFS; BUBBLES; OUTPUT C1 [Eichenbaum, Martin] Northwestern Univ, Evanston, IL 60208 USA. [Eichenbaum, Martin] NBER, Cambridge, MA 02138 USA. [Eichenbaum, Martin] Fed Reserve Bank Chicago, Chicago, IL USA. RP Eichenbaum, M (reprint author), Northwestern Univ, Evanston, IL 60208 USA. NR 24 TC 0 Z9 0 U1 1 U2 2 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00214-9 J9 NBER MACROECON ANNU PY 2012 VL 26 BP 49 EP 71 PG 23 WC Economics SC Business & Economics GA BDA21 UT WOS:000312276600003 ER PT J AU Tabova, A Baker, C AF Tabova, Alexandra Baker, Carol BE Akitoby, B Coorey, S TI Determinants of Non-Oil Growth in the CFA Zone Oil-Producing Countries: How Do They Differ? SO OIL WEALTH IN CENTRAL AFRICA: POLICIES FOR INCLUSIVE GROWTH LA English DT Article; Book Chapter C1 [Tabova, Alexandra] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. [Tabova, Alexandra] World Bank, Econ Policy & Debt Dept, Washington, DC USA. [Tabova, Alexandra] World Bank, Financial Resource Mobilizat Dept, Washington, DC USA. RP Tabova, A (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. NR 22 TC 1 Z9 1 U1 0 U2 0 PU INT MONETARY FUND PI WASHINGTON PA 700 19TH ST NW SUITE C-100, WASHINGTON, DC 20431 USA BN 978-1-4755-7733-4 PY 2012 BP 39 EP 53 PG 15 WC Economics; Planning & Development SC Business & Economics; Public Administration GA BCY66 UT WOS:000312062200005 ER PT S AU Adrian, T Ashcraft, AB AF Adrian, Tobias Ashcraft, Adam B. BE Lo, AW Merton, RC TI Shadow Banking Regulation SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 4 SE Annual Review of Financial Economics LA English DT Article; Book Chapter DE regulatory arbitrage; financial intermediation; money markets; shadow banking; regulation ID FINANCIAL CRISIS; SECURITIZATION AB Shadow banks conduct credit intermediation without direct, explicit access to public sources of liquidity and credit guarantees. Shadow banks contributed to the credit boom in the early 2000s and collapsed during the financial crisis of 2007-2009. We review the quickly growing literature on shadow banking and provide a conceptual framework of shadow banking regulation. Since the collapse, regulatory reform efforts have aimed at strengthening the stability of the shadow banking system. We review these reform efforts for shadow funding sources including asset-backed commercial paper (ABCP), tri-party repurchase agreements (repos), money market mutual funds (MMMFs), and securitization. Despite significant effort by lawmakers, regulators, and accountants, there has been uneven progress in achieving a more stable shadow banking system. C1 [Adrian, Tobias; Ashcraft, Adam B.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM Tobias.Adrian@ny.frb.org; Adam.Ashcraft@ny.frb.org OI Adrian, Tobias/0000-0001-9379-9592 NR 64 TC 4 Z9 4 U1 3 U2 75 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4804-5 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2012 VL 4 BP 99 EP + DI 10.1146/annurev-financial-110311-101810 PG 43 WC Business, Finance; Economics SC Business & Economics GA BCV54 UT WOS:000311572400005 ER PT S AU Fleming, MJ AF Fleming, Michael J. BE Lo, AW Merton, RC TI Federal Reserve Liquidity Provision during the Financial Crisis of 2007-2009 SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 4 SE Annual Review of Financial Economics LA English DT Article; Book Chapter DE central bank; liquidity facilities; lender of last resort ID DISCOUNT WINDOW; FACILITY; MARKETS AB This review examines the Federal Reserve's (or Fed's) unprecedented liquidity provision during the financial crisis of 2007-2009. It first reviews how the Fed provides liquidity in normal times. It then explains how the Fed's new and expanded liquidity facilities were intended to enable the central bank to fulfill its traditional lender-of-last-resort role during the crisis while mitigating stigma, broadening the set of institutions with access to liquidity, and increasing the flexibility with which institutions could tap such liquidity. The review then assesses the growing empirical literature on the effectiveness of the facilities and provides insights as to where further research is warranted. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Fleming, MJ (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM michael.fleming@ny.frb.org NR 35 TC 5 Z9 5 U1 2 U2 15 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4804-5 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2012 VL 4 BP 161 EP + DI 10.1146/annurev-financial-110311-101735 PG 20 WC Business, Finance; Economics SC Business & Economics GA BCV54 UT WOS:000311572400007 ER PT S AU Mehran, H Mollineaux, L AF Mehran, Hamid Mollineaux, Lindsay BE Lo, AW Merton, RC TI Corporate Governance of Financial Institutions SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 4 SE Annual Review of Financial Economics LA English DT Article; Book Chapter DE financial institutions; governance; disclosure; information; market discipline; financial crisis ID DISCLOSURE; GROWTH AB We identify the tension between dueling expectations of financial institutions as value-maximizing entities that also serve the public interest. We highlight the importance of information in addressing the public desire for banks to be safe yet innovative. Regulators can choose several approaches to increase market discipline and information production. Information production can be mandated outside of markets through increased regulatory disclosure. Regulators can also directly motivate potential producers of information by changing their incentives. Traditional approaches to bank governance may interfere with the information content of prices. Thus, the lack of transparency in the banking industry may be a symptom rather than the primary cause of bad governance. We provide examples of compensation and resolution. Reforms that promote the quality of security prices through information production can improve the governance of financial institutions. Future research is needed to examine the interactions between disclosure, information, and governance. C1 [Mehran, Hamid; Mollineaux, Lindsay] Fed Reserve Bank New York, New York, NY 10045 USA. RP Mehran, H (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM hamid.mehran@ny.frb.org; Lindsay.mollineaux@ny.frb.org NR 43 TC 2 Z9 2 U1 3 U2 20 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1367 BN 978-0-8243-4804-5 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2012 VL 4 BP 215 EP 232 DI 10.1146/annurev-financial-110311-101821 PG 18 WC Business, Finance; Economics SC Business & Economics GA BCV54 UT WOS:000311572400009 ER PT J AU Spong, KR Sullivan, RJ AF Spong, Kenneth R. Sullivan, Richard J. BE Barth, JR Lin, C Wihlborg, C TI Bank ownership and risk taking: improving corporate governance in banking after the crisis SO RESEARCH HANDBOOK ON INTERNATIONAL BANKING AND GOVERNANCE SE Elgar Original Reference LA English DT Article; Book Chapter ID COMMERCIAL-BANKS; FIRM; INCENTIVES C1 [Spong, Kenneth R.] Fed Reserve Bank Kansas City, Banking Res Dept, Kansas City, MO USA. [Sullivan, Richard J.] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO USA. RP Spong, KR (reprint author), Fed Reserve Bank Kansas City, Banking Res Dept, Kansas City, MO USA. NR 31 TC 0 Z9 0 U1 0 U2 2 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84980-293-2 J9 ELGAR ORIG REF PY 2012 BP 163 EP 178 PG 16 WC Business, Finance; Economics SC Business & Economics GA BCK60 UT WOS:000310459800011 ER PT J AU Martin, FM AF Martin, Fernando M. TI Government Policy Response to War-Expenditure Shocks SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE government policy; limited commitment; war shocks; micro founded models of money ID MONETARY-POLICY; PUBLIC DEBT; MONEY; ECONOMICS AB The U.S. has experienced three episodes in which public expenditure temporarily increased to very high levels: the Civil War, World War I and World War II. These wars share a set of stylized facts regarding the behavior of tax revenue, government debt, primary deficit, inflation and output. I present a theory of government policy determination, whose primary ingredients are intertemporal distortion-smoothing and limited commitment, that matches these regularities qualitatively and displays empirically plausible quantitative behavior. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Martin, FM (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM fernando.m.martin@stls.frb.org RI Martin, Fernando/I-5747-2016 OI Martin, Fernando/0000-0001-5045-7998 NR 33 TC 1 Z9 1 U1 0 U2 4 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2012 VL 12 IS 1 AR 25 DI 10.1515/1935-1690.2151 PG 40 WC Economics SC Business & Economics GA 032DG UT WOS:000310691700004 ER PT J AU Bracha, A Jamison, JC AF Bracha, Anat Jamison, Julian C. TI Shifting Confidence in Homeownership: The Great Recession SO B E JOURNAL OF MACROECONOMICS LA English DT Article ID INFORMATION; EXPERIENCE AB We study the responses to several questions related to real estate that were added to the Michigan Survey of Consumers in July and August of 2011. Specifically, we asked about attitudes toward renting versus buying a home; about commuting; and about how much to spend on a mortgage. By matching the results to data about relative house price declines during the recent crisis (at the ZIP-code level), we can study the relationship between the housing crash and individual attitudes. We find that younger respondents are relatively less confident about homeownership after larger declines, while older respondents are relatively more confident. In both cases, this is observed only for those with personal experience of loss (via themselves or someone close) during the crash. We find no effect on attitudes toward commuting, and we find that people who live in the high-decline areas believe it is appropriate to spend more on a mortgage. C1 [Bracha, Anat] Fed Reserve Bank Boston, Res Dept, Boston, MA USA. RP Bracha, A (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA USA. EM anat.bracha@bos.frb.org; julian.jamison@bos.frb.org NR 26 TC 0 Z9 0 U1 0 U2 4 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2012 VL 12 IS 3 AR 5 DI 10.1515/1935-1690.104 PG 48 WC Economics SC Business & Economics GA 030OJ UT WOS:000310579700005 ER PT J AU Bradbury, K Foote, CL AF Bradbury, Katharine Foote, Christopher L. TI Special Issue: Long-Term Effects of the Great Recession SO B E JOURNAL OF MACROECONOMICS LA English DT Article C1 [Bradbury, Katharine; Foote, Christopher L.] Fed Reserve Bank Boston, Boston, MA USA. RP Bradbury, K (reprint author), Fed Reserve Bank Boston, Boston, MA USA. EM Katharine.Bradbury@bos.frb.org; Chris.Foote@bos.frb.org NR 0 TC 0 Z9 0 U1 0 U2 1 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2012 VL 12 IS 3 AR 1 DI 10.1515/1935-1690.100 PG 14 WC Economics SC Business & Economics GA 030OJ UT WOS:000310579700001 ER PT J AU Dickens, WT Triest, RK AF Dickens, William T. Triest, Robert K. TI Potential Effects of the Great Recession on the U.S. Labor Market SO B E JOURNAL OF MACROECONOMICS LA English DT Article ID JOB DISPLACEMENT; CYCLICAL UNEMPLOYMENT; RESIDENTIAL-MOBILITY; YOUTH UNEMPLOYMENT; SECTORAL SHIFTS; UNITED-STATES; WORKERS; EARNINGS; NAIRU; TIME AB The effect of the Great Recession on the U.S. labor market will likely persist even after economic output has recovered. Although the Great Recession did not greatly change the relative probabilities of job loss for different types of workers, the long-run impact will vary by worker characteristics. Workers who lost long-term jobs during the recession are at increased risk of future job loss due to the loss of protection afforded by long job tenure, and older displaced workers are at relatively high risk of prolonged spells of unemployment and premature retirement. The recent increase in the job vacancy rate with relatively little change in the unemployment rate suggests a decrease in the efficiency of job matching and an increase in the NAIRU. However, this phenomenon may pass once aggregate demand has increased enough to bring vacancy rates back within their normal range and extended unemployment insurance programs have expired. C1 [Dickens, William T.] Northeastern Univ, Dept Econ, Boston, MA 02115 USA. [Dickens, William T.] Brookings Inst, Washington, DC 20036 USA. [Triest, Robert K.] Fed Reserve Bank Boston, Res Dept, Boston, MA USA. RP Dickens, WT (reprint author), Northeastern Univ, Dept Econ, Boston, MA 02115 USA. EM wtdickens@gmail.com; Robert.Triest@bos.frb.org NR 63 TC 1 Z9 1 U1 1 U2 10 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2012 VL 12 IS 3 AR 8 DI 10.1515/1935-1690.107 PG 41 WC Economics SC Business & Economics GA 030OJ UT WOS:000310579700008 ER PT J AU Eggertsson, GB AF Eggertsson, Gauti B. TI Second Discussant Comment on "Fiscal Policy as a Stabilization Tool" SO B E JOURNAL OF MACROECONOMICS LA English DT Article C1 Fed Reserve Bank New York, New York, NY USA. RP Eggertsson, GB (reprint author), Fed Reserve Bank New York, New York, NY USA. EM gauti.eggertsson@ny.frb.org NR 2 TC 0 Z9 0 U1 0 U2 1 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 2012 VL 12 IS 3 AR 16 DI 10.1515/1935-1690.115 PG 6 WC Economics SC Business & Economics GA 030OJ UT WOS:000310579700016 ER PT J AU Hobijn, B AF Hobijn, Bart TI Second Discussant Comment on "Potential Effects of the Great Recession on the U.S. Labor Market" SO B E JOURNAL OF MACROECONOMICS LA English DT Article C1 [Hobijn, Bart] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Hobijn, Bart] Vrije Univ Amsterdam, Amsterdam, Netherlands. [Hobijn, Bart] Tinbergen Inst, Amsterdam, Netherlands. RP Hobijn, B (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM bart.hobijn@sf.frb.org NR 13 TC 0 Z9 0 U1 0 U2 2 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 2012 VL 12 IS 3 AR 10 DI 10.1515/1935-1690.109 PG 10 WC Economics SC Business & Economics GA 030OJ UT WOS:000310579700010 ER PT J AU Rosengren, ES AF Rosengren, Eric S. TI Global Financial Intermediaries: Lessons and Continuing Challenges SO B E JOURNAL OF MACROECONOMICS LA English DT Article C1 Fed Reserve Bank Boston, Boston, MA USA. RP Rosengren, ES (reprint author), Fed Reserve Bank Boston, Boston, MA USA. NR 7 TC 0 Z9 0 U1 0 U2 1 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2012 VL 12 IS 3 AR 20 DI 10.1515/1935-1690.119 PG 14 WC Economics SC Business & Economics GA 030OJ UT WOS:000310579700020 ER PT J AU Wall, LD AF Wall, Larry D. BE Kawai, M Mayes, DG Morgan, PJ TI Enlisting macroprudential and market regulatory structures to strengthen prudential supervision SO IMPLICATIONS OF THE GLOBAL FINANCIAL CRISIS FOR FINANCIAL REFORM AND REGULATION IN ASIA LA English DT Article; Book Chapter C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Wall, LD (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. NR 18 TC 0 Z9 0 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-0-85793-471-0 PY 2012 BP 50 EP 68 PG 19 WC Business, Finance SC Business & Economics GA BCF72 UT WOS:000310082000004 ER PT J AU Spiegel, MM AF Spiegel, Mark M. BE Kawai, M Mayes, DG Morgan, PJ TI Developing Asian local currency bond markets: why and how? SO IMPLICATIONS OF THE GLOBAL FINANCIAL CRISIS FOR FINANCIAL REFORM AND REGULATION IN ASIA LA English DT Article; Book Chapter C1 Fed Reserve Bank San Francisco, Ctr Pacific Basin Studies, San Francisco, CA USA. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, Ctr Pacific Basin Studies, San Francisco, CA USA. NR 30 TC 1 Z9 1 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-0-85793-471-0 PY 2012 BP 221 EP 247 PG 27 WC Business, Finance SC Business & Economics GA BCF72 UT WOS:000310082000012 ER PT J AU Owen, AL AF Owen, Ann L. BE Hoyt, GM McGoldrick, KM TI Student characteristics, behavior, and performance in economics classes SO INTERNATIONAL HANDBOOK ON TEACHING AND LEARNING ECONOMICS LA English DT Article; Book Chapter ID INTRODUCTORY ECONOMICS; GENDER-DIFFERENCES; PERSONALITY TYPE; UNDERGRADUATE ECONOMICS; ACADEMIC-PERFORMANCE; EXAM PERFORMANCE; PRINCIPLES; CURRICULUM; MICROECONOMICS; ATTENDANCE C1 [Owen, Ann L.] Hamilton Coll, Clinton, NY 13323 USA. [Owen, Ann L.] Fed Reserve Board, Washington, DC USA. RP Owen, AL (reprint author), Hamilton Coll, Clinton, NY 13323 USA. NR 44 TC 5 Z9 5 U1 0 U2 2 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84844-968-8 PY 2012 BP 341 EP 350 PG 10 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA BYY48 UT WOS:000300722500034 ER PT J AU Foote, CL AF Foote, Christopher L. BE Hoyt, GM McGoldrick, KM TI Intermediate macroeconomics SO INTERNATIONAL HANDBOOK ON TEACHING AND LEARNING ECONOMICS LA English DT Article; Book Chapter C1 [Foote, Christopher L.] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Foote, Christopher L.] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. RP Foote, CL (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 25 TC 0 Z9 0 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84844-968-8 PY 2012 BP 442 EP 451 PG 10 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA BYY48 UT WOS:000300722500044 ER PT J AU Croushore, D AF Croushore, Dean BE Hoyt, GM McGoldrick, KM TI Using real-world applications to policy and everyday life to teach money and banking SO INTERNATIONAL HANDBOOK ON TEACHING AND LEARNING ECONOMICS LA English DT Article; Book Chapter C1 [Croushore, Dean] Univ Richmond, Richmond, VA 23173 USA. [Croushore, Dean] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Croushore, D (reprint author), Univ Richmond, Richmond, VA 23173 USA. NR 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 978-1-84844-968-8 PY 2012 BP 628 EP 637 PG 10 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA BYY48 UT WOS:000300722500062 ER PT J AU McMillen, DP AF McMillen, Daniel P. BE Hoyt, GM McGoldrick, KM TI Using location, agglomeration, and policy issues to teach urban economics SO INTERNATIONAL HANDBOOK ON TEACHING AND LEARNING ECONOMICS LA English DT Article; Book Chapter C1 [McMillen, Daniel P.] Fed Reserve Bank Chicago, Chicago, IL USA. [McMillen, Daniel P.] Univ Illinois, Dept Econ, Chicago, IL 60680 USA. [McMillen, Daniel P.] Univ Illinois, Inst Govt & Publ Affairs, Chicago, IL 60680 USA. RP McMillen, DP (reprint author), Lincoln Inst Land Policy, Lincoln, NE USA. NR 9 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 978-1-84844-968-8 PY 2012 BP 683 EP 692 PG 10 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA BYY48 UT WOS:000300722500067 ER PT J AU Sierminska, E Takhtamanova, Y AF Sierminska, Eva Takhtamanova, Yelena TI Financial and Housing Wealth and Consumption Spending: Cross-Country and Age Group Comparisons SO HOUSING STUDIES LA English DT Article DE Wealth; elasticity; household behavior ID FOREIGN-BORN HOUSEHOLDS; LIFE-CYCLE; MICRO DATA; PRICES AB In this study we explore the link between household expenditures and wealth across the age distribution by examining the elasticity of consumption spending from different types of wealth. We use a new source of harmonized wealth micro data for five countries: Canada, Finland, Italy, Germany and the US. Our results indicate that the effect of housing wealth dominates the effect of financial wealth in Finland, Italy, Germany, the US, and also in Canada for certain age groups. We find consumption responsiveness to housing wealth to be statistically significantly lower for younger households. The analysis also confirms the existence of between-country differences. C1 [Sierminska, Eva] CEPS INSTEAD, L-4364 Esch Sur Alzette, Luxembourg. [Sierminska, Eva] DIW, Berlin, Germany. [Takhtamanova, Yelena] SF Fed Reserve Board, San Francisco, CA USA. RP Sierminska, E (reprint author), CEPS INSTEAD, 3 Ave De La Fonte, L-4364 Esch Sur Alzette, Luxembourg. EM eva.sierminska@ceps.lu NR 48 TC 6 Z9 6 U1 2 U2 6 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0267-3037 J9 HOUSING STUD JI Hous. Stud. PY 2012 VL 27 IS 5 BP 685 EP 719 DI 10.1080/02673037.2012.697550 PG 35 WC Environmental Studies; Urban Studies SC Environmental Sciences & Ecology; Urban Studies GA 979OS UT WOS:000306830100007 ER PT J AU Allgood, S Bosshardt, W van der Klaauw, W Watts, M AF Allgood, Sam Bosshardt, William van der Klaauw, Wilbert Watts, Michael TI Is Economics Coursework, or Majoring in Economics, Associated with Different Civic Behaviors? SO JOURNAL OF ECONOMIC EDUCATION LA English DT Article DE civic behavior; economics major; long-term effects of economics coursework; voting ID HIGH-SCHOOL ECONOMICS; UNITED-STATES; EDUCATION; PARTICIPATION; KNOWLEDGE; VOLUNTEER; ATTITUDES; STUDENTS; TURNOUT AB Using data collected from graduates who attended four large public universities in 1976, 1986, or 1996, the authors investigate the relationship between studying economics and civic behaviors. They compare students who majored in economics, business, or other majors, and by the number of undergraduate economics courses completed. Coursework is strongly associated with political party affiliation and donating money to candidates or parties, but not with voting in presidential, state, or local elections, nor with the likelihood or intensity of volunteerism. Business majors are less likely to engage in voting and volunteering. More economics coursework is usually associated with attitudes on policy issues closer to those reported in surveys of U. S. economists, while attitudes of business majors are more like those of general majors than economics majors. C1 [Allgood, Sam] Univ Nebraska, Lincoln, NE 68583 USA. [Bosshardt, William] Florida Atlantic Univ, Boca Raton, FL 33431 USA. [Watts, Michael] Purdue Univ, W Lafayette, IN 47907 USA. [van der Klaauw, Wilbert] Fed Reserve Bank New York, New York, NY USA. RP Allgood, S (reprint author), Univ Nebraska, Lincoln, NE 68583 USA. EM sallgood@UNL.edu; wbosshar@fau.edu; Wilbert.Vanderklaauw@ny.frb.org; mwatts@purdue.edu NR 37 TC 7 Z9 7 U1 0 U2 10 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0022-0485 J9 J ECON EDUC JI J. Econ. Educ. PY 2012 VL 43 IS 3 BP 248 EP 268 DI 10.1080/00220485.2012.686389 PG 21 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA 979OB UT WOS:000306828300003 ER PT J AU Celik, S Juhn, C McCue, K Thompson, J AF Celik, Sule Juhn, Chinhui McCue, Kristin Thompson, Jesse TI Recent Trends in Earnings Volatility: Evidence from Survey and Administrative Data SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article DE earnings volatility; job separations; performance pay ID CURRENT POPULATION SURVEY; UNITED-STATES; JOB STABILITY; INSTABILITY; INEQUALITY; DYNAMICS AB Recent papers find that earnings volatility is again on the rise (Dynan et al. 2008, and Shin and Solon 2011). Using household survey data-the matched Current Population Surveys and Survey of Income and Program Participation-and the newly available Longitudinal Employment and Household Dynamics administrative dataset, we find that earnings volatility was remarkably stable in the 1990s and through the mid 2000s. This evidence is in contrast to that from the Panel Study of Income Dynamics (PSID) which registers a sharp increase in the early 2000s. We investigate whether adjusting measures based on our sources to more closely match the characteristics of the PSID can reconcile this divergence in trends, but do not find a clear explanation for the divergence. We also find little evidence of a rise over this period in the components of volatility: volatility among job leavers, volatility among job stayers, and the fraction of workers who are job leavers. C1 [Celik, Sule] San Francisco State Univ, San Francisco, CA 94132 USA. [Juhn, Chinhui] Univ Houston, Houston, TX 77004 USA. [Juhn, Chinhui] NBER, Cambridge, MA 02138 USA. [McCue, Kristin] US Bur Census, Washington, DC USA. [Thompson, Jesse] Fed Reserve Bank Dallas, Houston Branch, Dallas, TX USA. RP Celik, S (reprint author), San Francisco State Univ, San Francisco, CA 94132 USA. EM suleaytaskin@yahoo.com; cjuhn@uh.edu; KRISTIN.MCCUE@CENSUS.GOV; jesse.thompson@dal.frb.org NR 36 TC 5 Z9 5 U1 1 U2 8 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1682 J9 BE J ECON ANAL POLI JI B E J. Econ. Anal. Policy PY 2012 VL 12 IS 2 AR 1 DI 10.1515/1935-1682.3043 PG 26 WC Economics SC Business & Economics GA 971FC UT WOS:000306188100001 ER PT S AU Cohen, JP Coughlin, CC AF Cohen, Jeffrey P. Coughlin, Cletus C. BE Peoples, J TI WHERE DOES AIRPORT NOISE FALL? EVIDENCE FROM ATLANTA SO PRICING BEHAVIOR AND NON-PRICE CHARACTERISTICS IN THE AIRLINE INDUSTRY SE Advances in Airline Economics LA English DT Article; Book Chapter ID HOUSING PRICES C1 [Cohen, Jeffrey P.] Univ Hartford, Hartford, CT 06117 USA. [Coughlin, Cletus C.] Fed Reserve Bank St Louis, Off President, St Louis, MO USA. RP Cohen, JP (reprint author), Univ Hartford, Hartford, CT 06117 USA. NR 11 TC 0 Z9 0 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LTD PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND SN 2212-1609 BN 978-1-78052-468-9 J9 ADV AIRLINE ECON PY 2012 VL 3 BP 275 EP 295 DI 10.1108/S2212-1609(2011)0000003014 PG 21 WC Business; Economics SC Business & Economics GA BAJ25 UT WOS:000304328600012 ER PT J AU Eggertsson, GB AF Eggertsson, Gauti B. TI Discussion of "How Flexible Can Inflation Targeting Be and Still Work?" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Editorial Material 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 3 TC 1 Z9 1 U1 0 U2 1 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD JAN PY 2012 VL 8 SU 1 SI SI BP 101 EP 104 PG 4 WC Business, Finance SC Business & Economics GA 965YE UT WOS:000305802900005 ER PT J AU Fuhrer, J AF Fuhrer, Jeff TI The Role of Expectations in Inflation Dynamics SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID MONETARY-POLICY; MODEL AB A growing body of literature examines alternatives to the rational expectations hypothesis in applied macroeconomics. This paper continues this strand of research, examining the role of survey expectations in the inflation process. It reports three principal findings: (i) short-run inflation expectations appear to have a significant role in explaining U. S. inflation over the past twenty to twenty-five years; (ii) long-run expectations generally do not appear to have a direct influence on U. S. inflation over the same period, although they enter indirectly as a key determinant of the short-run expectations (the restrictions implied by "trend inflation" models of inflation are generally rejected in the data); and (iii) the paper develops a first pass at a structural model that incorporates the features discussed above, employing a "survey operator," and assesses its performance in explaining inflation in the post-war period. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Fuhrer, J (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02210 USA. EM jeff.fuhrer@bos.frb.org RI Fuhrer, Jeff/F-8852-2013 NR 18 TC 2 Z9 2 U1 1 U2 6 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 JAN PY 2012 VL 8 SU 1 SI SI BP 137 EP 165 PG 29 WC Business, Finance SC Business & Economics GA 965YE UT WOS:000305802900008 ER PT J AU Fuster, A Hebert, B Laibson, D AF Fuster, Andreas Hebert, Benjamin Laibson, David TI Investment Dynamics with Natural Expectations SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID STOCK-PRICES; RISK; EXTRAPOLATION; UNCERTAINTY; INFORMATION; VOLATILITY; OVERREACT; DIVIDENDS; RETURN AB We study an investment model in which agents have the wrong beliefs about the dynamic properties of fundamentals. Specifically, we assume that agents underestimate the rate of mean reversion. The model exhibits the following six properties: (i) Beliefs are excessively optimistic in good times and excessively pessimistic in bad times. (ii) Asset prices are too volatile. (iii) Excess returns are negatively autocorrelated. (iv) High levels of corporate profits predict negative future excess returns. (v) Real economic activity is excessively volatile; the economy experiences amplified investment cycles. (vi) Corporate profits are positively autocorrelated in the short run and negatively autocorrelated in the medium run. The paper provides an illustrative model of animal spirits, amplified business cycles, and excess volatility. C1 [Fuster, Andreas] Fed Reserve Bank New York, New York, NY 10045 USA. [Hebert, Benjamin; Laibson, David] Harvard Univ, Cambridge, MA 02138 USA. [Laibson, David] NBER, Cambridge, MA 02138 USA. RP Fuster, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 37 TC 2 Z9 2 U1 4 U2 22 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 JAN PY 2012 VL 8 SU 1 SI SI BP 243 EP 265 PG 23 WC Business, Finance SC Business & Economics GA 965YE UT WOS:000305802900014 ER PT J AU Willen, P AF Willen, Paul TI Discussion of "Investment Dynamics with Natural Expectations" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Editorial Material C1 [Willen, Paul] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Willen, Paul] NBER, Cambridge, MA 02138 USA. RP Willen, P (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM Paul.Willen@bos.frb.org NR 5 TC 0 Z9 0 U1 0 U2 0 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 JAN PY 2012 VL 8 SU 1 SI SI BP 267 EP 272 PG 6 WC Business, Finance SC Business & Economics GA 965YE UT WOS:000305802900015 ER PT J AU Feigenbaum, JA Li, G AF Feigenbaum, James A. Li, Geng TI Life Cycle Dynamics of Income Uncertainty and Consumption SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE income uncertainty; projection errors; life cycle dynamics; precautionary saving; consumption hump ID LABOR INCOME; EARNINGS; RISK; CHOICE; INEQUALITY; SHOCKS; WEALTH AB We propose a method for estimating household income uncertainty that does not impose restrictions on the underlying income shocks or assumptions about household behaviors. We measure income uncertainty as the variance of linear projection errors at various future horizons, up to 25 years ahead, conditional on only the information available to households when the projection is made. Our uncertainty estimates change substantially over the life cycle. We calibrate an income process to match our estimates, allowing the variances of both transitory and persistent shocks to change over the life cycle. Relative to previous studies, we find lower and less persistent income uncertainties that call for a life cycle consumption profile with a less pronounced hump. C1 [Feigenbaum, James A.] Utah State Univ, Dept Econ & Finance, Logan, UT 84322 USA. [Li, Geng] Fed Reserve Board, Washington, DC 20551 USA. RP Feigenbaum, JA (reprint author), Utah State Univ, Dept Econ & Finance, Logan, UT 84322 USA. EM J.Feigen@aggiemail.usu.edu; geng.li@frb.gov NR 44 TC 1 Z9 1 U1 3 U2 12 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2012 VL 12 IS 1 AR 11 DI 10.1515/1935-1690.2258 PG 48 WC Economics SC Business & Economics GA 956HW UT WOS:000305081700011 ER PT J AU Foote, CL Hurst, E Mian, AR Wilson, DJ AF Foote, Christopher L. Hurst, Erik Mian, Atif R. Wilson, Daniel J. TI Empirical Macroeconomics Using Geographical Data: Guest Editors' Introduction SO B E JOURNAL OF MACROECONOMICS LA English DT Editorial Material DE empirical macroeconomics; geographical data AB This special issue of the B. E. Journal of Macroeconomics collects papers presented at a Conference on Empirical Macroeconomics Using Geographical Data, held at the Federal Reserve Bank of San Francisco on March 18, 2011. C1 [Foote, Christopher L.] Fed Reserve Bank Boston, Boston, MA USA. [Hurst, Erik] Univ Chicago, Chicago, IL 60637 USA. [Mian, Atif R.] Univ Calif Berkeley, Berkeley, CA 94720 USA. [Wilson, Daniel J.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Foote, CL (reprint author), Fed Reserve Bank Boston, Boston, MA USA. EM Chris.Foote@bos.frb.org; erik.hurst@ChicagoBooth.edu; atif@haas.berkeley.edu; DANIEL.WILSON@SF.FRB.ORG NR 0 TC 0 Z9 0 U1 0 U2 2 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2012 VL 12 IS 2 AR 1 DI 10.1515/1935-1690.2478 PG 2 WC Economics SC Business & Economics GA 956ID UT WOS:000305082400001 ER PT J AU Kan, R Robotti, C AF Kan, Raymond Robotti, Cesare BE Duan, JC Hardle, WK Gentle, JE TI Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions SO HANDBOOK OF COMPUTATIONAL FINANCE SE Springer Handbooks of Computational Statistics LA English DT Article; Book Chapter ID INEQUALITY CONSTRAINTS; MULTIVARIATE TESTS; EXPECTED RETURNS; RISK; CAPM; REDUCTION; SELECTION; MATRIX AB This chapter provides a review of the two-pass cross-sectional regression methodology, which over the years has become the most popular approach for estimating and testing linear asset pricing models. We focus on some of the recent developments of this methodology and highlight the importance of accounting for model misspecification in estimating risk premia and in comparing the performance of competing asset pricing models. C1 [Kan, Raymond] Univ Toronto, Joseph L Rotman Sch Management, Toronto, ON M5S 3E6, Canada. [Robotti, Cesare] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Kan, R (reprint author), Univ Toronto, Joseph L Rotman Sch Management, 105 St George St, Toronto, ON M5S 3E6, Canada. EM kan@chass.utoronto.ca; cesare.robotti@atl.frb.org NR 44 TC 2 Z9 2 U1 0 U2 1 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES BN 978-3-642-17254-0 J9 SPR HBK COMPU STAT PY 2012 BP 223 EP 251 DI 10.1007/978-3-642-17254-0_9 D2 10.1007/978-3-642-17254-0 PG 29 WC Computer Science, Theory & Methods; Statistics & Probability SC Computer Science; Mathematics GA BZT64 UT WOS:000302922300009 ER PT J AU Croushore, D AF Croushore, Dean TI Forecast Rationality Tests Based on Multi-Horizon Bounds Comment SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Editorial Material ID REAL-TIME DATA; EXPECTATIONS C1 [Croushore, Dean] Univ Richmond, Dept Econ, Richmond, VA 23173 USA. [Croushore, Dean] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Croushore, D (reprint author), Univ Richmond, Dept Econ, Richmond, VA 23173 USA. EM dcrousho@richmond.edu NR 7 TC 2 Z9 2 U1 4 U2 7 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2012 VL 30 IS 1 BP 17 EP 20 DI 10.1080/07350015.2012.634340 PG 4 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 942CM UT WOS:000304019800002 ER PT J AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. TI Reality Checks and Comparisons of Nested Predictive Models SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Equal accuracy; Forecast evaluation; Prediction ID EXCHANGE-RATES; EQUITY PREMIUM; TESTS; FORECAST; INFERENCE; ACCURACY; ABILITY; HETEROSKEDASTICITY; PREDICTABILITY; FUNDAMENTALS AB This article develops a simple bootstrap method for simulating asymptotic critical values for tests of equal forecast accuracy and encompassing among many nested models. Our method combines elements of fixed regressor and wild bootstraps. We first derive the asymptotic distributions of tests of equal forecast accuracy and encompassing applied to forecasts from multiple models that nest the benchmark model-that is, reality check tests. We then prove the validity of the bootstrap for these tests. Monte Carlo experiments indicate that our proposed bootstrap has better finite-sample size and power than other methods designed for comparison of nonnested models. Supplementary materials are available online. C1 [Clark, Todd E.] Fed Reserve Bank Cleveland, Econ Res Dept, Cleveland, OH 44101 USA. [McCracken, Michael W.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Clark, TE (reprint author), Fed Reserve Bank Cleveland, Econ Res Dept, POB 6387, Cleveland, OH 44101 USA. EM todd.clark@clev.frb.org; michael.w.mccracken@stls.frb.org RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 45 TC 21 Z9 21 U1 2 U2 7 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2012 VL 30 IS 1 BP 53 EP 66 DI 10.1198/jbes.2011.10278 PG 14 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 942CM UT WOS:000304019800009 ER PT J AU Gupton, GM AF Gupton, Greg M. TI Stochastic Analysis with Financial Applications SO QUANTITATIVE FINANCE LA English DT Book Review ID RISK C1 [Gupton, Greg M.] Fed Reserve Bank New York, New York, NY USA. RP Gupton, GM (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 9 TC 0 Z9 0 U1 0 U2 1 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 2012 VL 12 IS 5 BP 691 EP 692 DI 10.1080/14697688.2012.662595 PG 2 WC Business, Finance; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 936UK UT WOS:000303615300003 ER PT J AU Gollin, D Zimmermann, C AF Gollin, Douglas Zimmermann, Christian TI GLOBAL CLIMATE CHANGE, THE ECONOMY, AND THE RESURGENCE OF TROPICAL DISEASE SO MATHEMATICAL POPULATION STUDIES LA English DT Article DE climate change; economic models of disease; malaria; tropical disease ID TRANSMISSION; MALARIA AB How will global climate change affect the prevalence of tropical diseases? In general, warmer temperatures will expand the areas in which these diseases are endemic. However, if households can take actions to protect themselves from disease-such as purchasing bednets or insecticidal sprays-then economic factors may greatly mitigate the effects of climate change. These actions are costly, however, and particularly in poor countries, many households face borrowing constraints. A model of disease transmission combining the household's objectives and constraints shows that a temperature increase of 3 degrees C will induce modest changes in disease prevalence and output. These effects can be mitigated by improvements in the efficacy of disease prevention. C1 [Zimmermann, Christian] Fed Reserve Bank St Louis, Econ Res Div, St Louis, MO 63166 USA. [Gollin, Douglas] Williams Coll, Dept Econ, Williamstown, MA 01267 USA. RP Zimmermann, C (reprint author), Fed Reserve Bank St Louis, Econ Res Div, POB 442, St Louis, MO 63166 USA. EM zimmermann@stlouisfed.org RI Zimmermann, Christian/I-5760-2016 OI Zimmermann, Christian/0000-0002-6398-1411 NR 17 TC 2 Z9 2 U1 0 U2 4 PU TAYLOR & FRANCIS INC PI PHILADELPHIA PA 325 CHESTNUT ST, SUITE 800, PHILADELPHIA, PA 19106 USA SN 0889-8480 J9 MATH POPUL STUD JI Math. Popul. Stud. PY 2012 VL 19 IS 1 SI SI BP 51 EP 62 DI 10.1080/08898480.2012.640868 PG 12 WC Demography; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Demography; Mathematics; Mathematical Methods In Social Sciences GA 919ER UT WOS:000302305300004 ER PT J AU Schmeiser, MD AF Schmeiser, Maximilian D. TI Expanding New York State's Earned Income Tax Credit Programme: the effect on work, income and poverty SO APPLIED ECONOMICS LA English DT Article DE poverty; EITC; labour supply ID UNITED-STATES; WELFARE; EITC; PARTICIPATION AB Given its favourable employment incentives and ability to target the working poor, the Earned Income Tax Credit (EITC) has become the primary antipoverty programme at both the federal and state levels. However, when evaluating the effect of EITC programmes on income and poverty, governments generally calculate the effect using simple accounting, where the value of the state or federal EITC benefit is added to a person's income. These calculations omit the behavioural incentives created by the existence of these programmes, the corresponding effect on labour supply and hours worked, and therefore the actual effect on income and poverty. This article simulates the full effect of an expansion of the New York State EITC benefit on employment, hours worked, income, poverty and programme expenditures. These results are then compared to those omitting labour supply effects. Relative to estimates excluding labour supply effects, the preferred behavioural results show that an expansion of the New York State EITC increases employment by an additional 14 244 persons, labour earnings by an additional $95.8 million, family income by an additional $84.5 million, decreases poverty by an additional 56 576 persons and increases costs to the State by $29.7 million. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Schmeiser, MD (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. EM max.schmeiser@frb.gov NR 28 TC 0 Z9 0 U1 1 U2 16 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 2012 VL 44 IS 16 BP 2035 EP 2050 DI 10.1080/00036846.2011.558478 PG 16 WC Economics SC Business & Economics GA 909BZ UT WOS:000301538400003 ER PT J AU Hotchkiss, JL Robertson, JC AF Hotchkiss, Julie L. Robertson, John C. TI Asymmetric labour force participation decisions SO APPLIED ECONOMICS LA English DT Article DE labour supply; labour force participation; aggregate unemployment; asymmetric effects ID BUSINESS-CYCLE; US UNEMPLOYMENT; RATES AB This article finds compelling evidence of asymmetric labour force participation decisions across demographic groups in response to changes in labour market conditions. This behaviour is consistent with predictions from the standard labour-leisure choice model and suggests that asymmetry in individual behaviour plays some role in the observed asymmetry of the aggregate unemployment rate. It is estimated that the weighted average difference in response to a one percentage point change in unemployment rates is sizeable when compared to the average monthly change in the aggregate labour force. C1 [Hotchkiss, Julie L.; Robertson, John C.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30039 USA. [Hotchkiss, Julie L.] Georgia State Univ, Atlanta, GA 30039 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30039 USA. EM Julie.L.Hotchkiss@atl.frb.org NR 30 TC 3 Z9 3 U1 0 U2 2 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 0003-6846 J9 APPL ECON JI Appl. Econ. PY 2012 VL 44 IS 16 BP 2065 EP 2073 DI 10.1080/00036846.2011.558480 PG 9 WC Economics SC Business & Economics GA 909BZ UT WOS:000301538400005 ER PT J AU Mora, N Logan, A AF Mora, Nada Logan, Andrew TI Shocks to bank capital: evidence from UK banks at home and away SO APPLIED ECONOMICS LA English DT Article ID CREDIT CRUNCH; JAPAN; CRISIS AB This article assesses how shocks to bank capital may influence a bank's portfolio behaviour using novel evidence from a UK bank panel data set from a period that predates the recent financial crisis. Focusing on the behaviour of bank loans, we extract the dynamic response of a bank to innovations in its capital and in its regulatory capital buffer. We find that innovations in a bank's capital in this (precrisis) sample period were coupled with a loan response that lasted up to 3 years. The international presence of UK banks allows us to identify a specific driver of capital shocks in our data, independent of bank lending to UK residents. Specifically, we use write-offs on loans to nonresidents to instrument bank capital's impact on UK resident lending. A fall in capital brought about a significant drop in lending in particular, to Private Nonfinancial Corporations (PNFC). In contrast, household lending increased when capital fell, which may indicate that, in this precrisis period, banks substituted into less risky assets when capital was short. C1 [Mora, Nada] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Logan, Andrew] Oxford Econ Ltd, Oxford OX1 1HB, England. RP Mora, N (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM nada.mora@kc.frb.org NR 36 TC 2 Z9 3 U1 0 U2 3 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 2012 VL 44 IS 9 BP 1103 EP 1119 DI 10.1080/00036846.2010.537639 PG 17 WC Economics SC Business & Economics GA 909BB UT WOS:000301535900005 ER PT J AU Sun, B AF Sun, Bo TI Corporate governance, stock options and earnings management SO APPLIED ECONOMICS LETTERS LA English DT Article DE corporate governance; earnings management; executive compensation; optimal contract; stock options ID INCENTIVES AB Firms often compensate executives with stock options when empirical studies find that these contracts lead to severe earnings management problem. In order to understand the use of stock options as a prevailing compensation strategy in practice, we derive the optimal contract between a firm's shareholders and its manager, the latter of whom exerts unobservable effort and is privately informed about economic earnings as well as his own expertise in managing earnings. The optimal contract is characterized analytically in different corporate governance systems. The model indicates that the inactive region below a threshold in the compensation should be more economically significant when the corporate governance is weaker. The model suggests that, while the use of options leads to earnings management incentives, it is an optimal contract in the presence of reporting latitude and uncertainty over an executives' ability to manage earnings. The model result is in accordance with the observed positive association between the level of earnings management and the use of stock options in both time series and cross section. Empirical evidence on the changes in the intensity of option grants in executive compensation in response to corporate governance legislations also lends support to the model. C1 [Sun, Bo] Board Governors Fed Reserve, Div Int Finance, Washington, DC 20551 USA. [Sun, Bo] Peking Univ, Dept Finance, Guanghua Sch Management, Beijing 100871, Peoples R China. RP Sun, B (reprint author), Board Governors Fed Reserve, Div Int Finance, Mail Stop 44,20th St & Constitut Ave, Washington, DC 20551 USA. EM bo.sun@frb.gov RI alrefaei, hessa/F-1443-2015 NR 8 TC 0 Z9 0 U1 1 U2 8 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 2012 VL 19 IS 2 BP 189 EP 196 DI 10.1080/13504851.2011.570707 PG 8 WC Economics SC Business & Economics GA 910QH UT WOS:000301654800016 ER PT J AU Aguiar-Conraria, L Wen, Y AF Aguiar-Conraria, Luis Wen, Yi TI OPEC's oil exporting strategy and macroeconomic (in)stability SO ENERGY ECONOMICS LA English DT Article DE Equilibrium indeterminacy; Oil; OPEC strategy; Great Moderation ID SMALL OPEN-ECONOMY; REAL BUSINESS-CYCLE; INCREASING RETURNS; CONSTANT RETURNS; UNITED-STATES; STOCK-MARKET; INDETERMINACY; PRICE; SCALE; COMPETITION AB Aguiar-Conraria and Wen (2008) argued that dependence on foreign oil raises the likelihood of equilibrium indeterminacy (economic instability) for oil importing countries. We argue that this relation is more subtle. The endogenous choices of prices and quantities by a cartel of oil exporters, such as the OPEC, can affect the directions of the changes in the likelihood of equilibrium indeterminacy. We show that fluctuations driven by self-fulfilling expectations under oil shocks are easier to occur if the cartel sets the price of oil, but the result is reversed if the cartel sets the quantity of production. These results offer a potentially interesting explanation for the decline in economic volatility (i.e., the Great Moderation) in oil importing countries since the mid-1980s when the OPEC cartel changed its market strategies from setting prices to setting quantities, despite the fact that oil prices are far more volatile today than they were 30 years ago. (C) 2011 Elsevier B.V. All rights reserved. C1 [Aguiar-Conraria, Luis] Univ Minho, NIPE, P-4719 Braga, Portugal. [Aguiar-Conraria, Luis] Univ Minho, Dept Econ, P-4719 Braga, Portugal. [Wen, Yi] Fed Reserve Bank St Louis, Res Dept, St Louis, MO USA. [Wen, Yi] Tsinghua Univ, Beijing 100084, Peoples R China. RP Aguiar-Conraria, L (reprint author), Univ Minho, NIPE, P-4719 Braga, Portugal. EM Ifaguiar@eeg.uminho.pt; Yi.Wen@stls.frb.org RI EEG, Universidade Minho/F-9143-2010; NIPE, Universidade Minho/F-9327-2010; nipe, cef/A-4218-2010; 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 50 TC 3 Z9 3 U1 2 U2 22 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0140-9883 J9 ENERG ECON JI Energy Econ. PD JAN PY 2012 VL 34 IS 1 BP 132 EP 136 DI 10.1016/j.eneco.2011.03.014 PG 5 WC Economics SC Business & Economics GA 898PC UT WOS:000300753300013 ER PT J AU Davis, SJ Faberman, RJ Haltiwanger, J AF Davis, Steven J. Faberman, R. Jason Haltiwanger, John TI Labor market flows in the cross section and over time SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID JOB DESTRUCTION; UNEMPLOYMENT; EMPLOYMENT; TURNOVER; LAYOFFS; QUITS; SEARCH; GROWTH AB Many theoretical models of labor market search imply a tight link between worker flows (hires and separations) and job gains and losses at the employer level. We use rich establishment-level data to assess several theoretical models and to study the relationship between worker flows and jobs flows. Hires, quits, and layoffs exhibit strong, highly nonlinear relationships to employer growth rates in the cross section. Simple statistical models of these relationships greatly improve our ability to account for fluctuations in aggregate worker flows and enable us to construct synthetic measures of hires, separations, quits, and layoffs back to 1990. (C) 2011 Elsevier B.V. All rights reserved. C1 [Haltiwanger, John] Univ Maryland, Dept Econ, College Pk, MD 20742 USA. [Haltiwanger, John] NBER, College Pk, MD 20742 USA. [Davis, Steven J.] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Davis, Steven J.] NBER, Chicago, IL 60637 USA. [Faberman, R. Jason] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Haltiwanger, J (reprint author), Univ Maryland, Dept Econ, College Pk, MD 20742 USA. EM Steven.Davis@chicagobooth.edu; jfaberman@frbchi.org; Haltiwan@econ.umd.edu NR 36 TC 25 Z9 25 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2012 VL 59 IS 1 BP 1 EP 18 DI 10.1016/j.jmoneco.2011.10.001 PG 18 WC Business, Finance; Economics SC Business & Economics GA 905ZP UT WOS:000301315000001 ER PT J AU Sahin, A AF Sahin, Ayseguel TI Comments on: "Labor market flows in the cross section and over time" by Steven J. Davis, R. Jason Faberman and John Haltiwanger SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID UNEMPLOYMENT C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Sahin, A (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM aysegul.sahin@ny.frb.org NR 5 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 2012 VL 59 IS 1 BP 19 EP 23 DI 10.1016/j.jmoneco.2011.09.001 PG 5 WC Business, Finance; Economics SC Business & Economics GA 905ZP UT WOS:000301315000002 ER PT J AU Ohanian, LE Raffo, A AF Ohanian, Lee E. Raffo, Andrea TI Aggregate hours worked in OECD countries: New measurement and implications for business cycles SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID GENERAL EQUILIBRIUM-ANALYSIS; GREAT-DEPRESSION; LABOR; FLUCTUATIONS; TIME AB We build a dataset of quarterly hours worked for 14 OECD countries. We document that hours are as volatile as output, that a large fraction of labor adjustment takes place along the intensive margin, and that the volatility of hours relative to output has increased over time. We use these data to reassess the Great Recession and prior recessions. The Great Recession in many countries is a puzzle in that labor wedges are small, while those in the U.S. Great Recession - and those in previous European recessions - are much larger. (C) 2011 Elsevier B.V. All rights reserved. C1 [Ohanian, Lee E.] Univ Calif Los Angeles, Dept Econ, NBER, Hoover Inst, Los Angeles, CA 90024 USA. [Raffo, Andrea] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Ohanian, LE (reprint author), Univ Calif Los Angeles, Dept Econ, NBER, Hoover Inst, 405 Hilgard Ave, Los Angeles, CA 90024 USA. EM ohanian@econ.ucla.edu; andrea.raffo@frb.gov RI RAFFO, ANDREA/D-7659-2014 OI RAFFO, ANDREA/0000-0003-1799-1739 NR 42 TC 18 Z9 18 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 2012 VL 59 IS 1 BP 40 EP 56 DI 10.1016/j.jmoneco.2011.11.005 PG 17 WC Business, Finance; Economics SC Business & Economics GA 905ZP UT WOS:000301315000005 ER PT J AU Smith, CL AF Smith, Christopher L. TI The Impact of Low-Skilled Immigration on the Youth Labor Market SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID SCHOOL; EARNINGS; WAGES AB The employment to population rate of high school-aged youth has fallen by about 20 percentage points since the late 1980s. One potential explanation is increased competition from substitutable labor, such as immigrants. I demonstrate that the increase in the population of less educated immigrants has had a considerably more negative effect on employment outcomes for native youth than for native adults. At least two factors are at work: there is greater overlap between the jobs that youth and less educated adult immigrants traditionally do, and youth labor supply appears more responsive to immigration-induced wage changes. C1 Fed Reserve Board Governors, Washington, DC USA. RP Smith, CL (reprint author), Fed Reserve Board Governors, Washington, DC USA. NR 30 TC 13 Z9 13 U1 1 U2 7 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 2012 VL 30 IS 1 BP 55 EP 89 DI 10.1086/662073 PG 35 WC Economics; Industrial Relations & Labor SC Business & Economics GA 893KW UT WOS:000300355800002 ER PT J AU Amiti, M Davis, DR AF Amiti, Mary Davis, Donald R. TI Trade, Firms, and Wages: Theory and Evidence SO REVIEW OF ECONOMIC STUDIES LA English DT Article DE Input tariffs; Output tariffs; Firm heterogeneity; Trade liberalization; F10; F12; F13; F14 ID INTERNATIONAL-TRADE; LIBERALIZATION; HETEROGENEITY; PRODUCTIVITY; EQUILIBRIUM; PROTECTION; INEQUALITY; EXCHANGE; ECONOMY; GROWTH AB How does trade liberalization affect wages? This is the first paper to consider in theory and data how the impact of final and intermediate input tariff cuts on workers' wages varies with the global engagement of their firm. Our model predicts that a fall in output tariffs lowers wages at import-competing firms but boosts wages at exporting firms. Similarly, a fall in input tariffs raises wages at import-using firms relative to those at firms that only source inputs locally. Using highly detailed Indonesian manufacturing census data for the period 1991-2000, we find considerable support for the model's predictions. C1 [Amiti, Mary] Fed Reserve Bank New York, New York, NY USA. [Davis, Donald R.] Columbia Univ, New York, NY 10027 USA. [Davis, Donald R.] NBER, Cambridge, MA 02138 USA. RP Amiti, M (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 47 TC 48 Z9 48 U1 4 U2 36 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 JAN PY 2012 VL 79 IS 1 BP 1 EP 36 DI 10.1093/restud/rdr016 PG 36 WC Economics SC Business & Economics GA 891OI UT WOS:000300226100001 ER PT J AU Goley, MA AF Goley, Mary Anne TI The Tribute of Isabella SO APOLLO-THE INTERNATIONAL ART MAGAZINE LA English DT Article C1 Fed Reserve Board Governors, Fine Arts Program, Washington, DC 20551 USA. RP Goley, MA (reprint author), Fed Reserve Board Governors, Fine Arts Program, Washington, DC 20551 USA. NR 21 TC 0 Z9 0 U1 0 U2 1 PU APOLLO MAGAZINE LTD PI LONDON PA 20 THEOBALD'S RD, LONDON WC1X 8PF, ENGLAND SN 0003-6536 J9 APOLLO JI Apollo PD JAN PY 2012 VL 175 IS 594 BP 58 EP 64 PG 7 WC Art SC Art GA 882WV UT WOS:000299595500007 ER PT J AU Burkhauser, RV Schmeiser, MD Weathers, RR AF Burkhauser, Richard V. Schmeiser, Maximilian D. Weathers, Robert R., II TI THE IMPORTANCE OF ANTI-DISCRIMINATION AND WORKERS' COMPENSATION LAWS ON THE PROVISION OF WORKPLACE ACCOMMODATIONS FOLLOWING THE ONSET OF A DISABILITY SO ILR REVIEW LA English DT Article ID WORKMENS COMPENSATION; INCOME-MAINTENANCE; ACT AB The Americans with Disabilities Act of 1990 (ADA) was the first federal disability-based anti-discrimination law that applied to a broad range of workers. Whereas some studies have focused on its impact on workplace accommodation, this is the first to do so while accounting for previous state anti-discrimination and Workers' Compensation laws. Using data from the Health and Retirement Study, the authors find that prior to the implementation of the ADA, employers were more likely to accommodate workers if their disability onset was work-related and hence likely to be covered by Workers' Compensation laws. State anti-discrimination laws significantly increased accommodations to workers whose disabilities were not work-related, effectively bringing their accommodation rates in line with workers whose disabilities were. Though implementation of the ADA increased accommodation for all workers, the authors point: out that failure to account for pre-existing state anti-discrimination and Workers' Compensation laws will underestimate its effect. C1 [Burkhauser, Richard V.] Cornell Univ, Dept Policy Anal & Management, Ithaca, NY 14853 USA. [Burkhauser, Richard V.] Univ Melbourne, Melbourne Inst, Melbourne, Vic 3010, Australia. RP Schmeiser, MD (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM max.schmeiser@frb.gov RI Burkhauser, Richard/G-5403-2015 OI Burkhauser, Richard/0000-0003-4629-0253 NR 27 TC 5 Z9 5 U1 2 U2 11 PU CORNELL UNIV, ILR SCHOOL PI ITHACA PA 381 IVES EAST, ITHACA, NY 14853 USA SN 0019-7939 J9 ILR REV JI ILR Rev. PD JAN PY 2012 VL 65 IS 1 BP 161 EP 180 PG 20 WC Industrial Relations & Labor SC Business & Economics GA 888ET UT WOS:000299987300009 ER PT J AU Wang, ZY Zhang, XY AF Wang, Zhenyu Zhang, Xiaoyan TI Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Bayesian inference; Asset pricing; Pricing errors; Model comparison; Contingent claims ID CROSS-SECTIONAL TEST; SPECIFICATION ERRORS; RISK; RETURNS; MARKET; STOCK; CONSUMPTION; INFORMATION; STRATEGIES; PRICES AB Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian inference for these measures. While the literature reports that the time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis shows that the reduction is much smaller based on the second measure. Those time-varying models have large pricing errors on the contingent claims of the test assets because their stochastic discount factors are often negative and admit arbitrage opportunities. (C) 2011 Elsevier B.V. All rights reserved. C1 [Zhang, Xiaoyan] Purdue Univ, W Lafayette, IN 47907 USA. [Wang, Zhenyu] Fed Reserve Bank New York, New York, NY USA. RP Zhang, XY (reprint author), Purdue Univ, W Lafayette, IN 47907 USA. EM zhang654@purdue.edu NR 32 TC 4 Z9 4 U1 2 U2 5 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 JAN PY 2012 VL 19 IS 1 BP 65 EP 78 DI 10.1016/j.jempfin.2011.11.001 PG 14 WC Business, Finance; Economics SC Business & Economics GA 889KV UT WOS:000300073500004 ER PT J AU Daly, M AF Daly, Mary TI Health at Older Ages: The Causes and Consequences of Declining Disability among the Elderly. SO JOURNAL OF PENSION ECONOMICS & FINANCE LA English DT Book Review C1 [Daly, Mary] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Daly, M (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 1 TC 0 Z9 0 U1 0 U2 0 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 JAN PY 2012 VL 11 IS 1 BP 119 EP 120 DI 10.1017/S1474747210000399 PG 2 WC Business, Finance; Economics SC Business & Economics GA 886WD UT WOS:000299883700006 ER PT J AU Coenen, G Erceg, CJ Freedman, C Furceri, D Kumhof, M Lalonde, R Laxton, D Linde, J Mourougane, A Muir, D Mursula, S de Resende, C Roberts, J Roeger, W Snudden, S Trabandt, M Veld, JI AF Coenen, Guenter Erceg, Christopher J. Freedman, Charles Furceri, Davide Kumhof, Michael Lalonde, Rene Laxton, Douglas Linde, Jesper Mourougane, Annabelle Muir, Dirk Mursula, Susanna de Resende, Carlos Roberts, John Roeger, Werner Snudden, Stephen Trabandt, Mathias Veld, Jan In't TI Effects of Fiscal Stimulus in Structural Models SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID BUSINESS CYCLES; MONETARY-POLICY; INTEREST-RATES; EURO AREA; BUDGET DEFICITS; DSGE MODEL; SHOCKS; EXPENDITURE; GROWTH; PRICES AB The paper subjects seven structural DSGE models, all used heavily by policymaking institutions, to discretionary fiscal stimulus shocks using seven different fiscal instruments, and compares the results to those of two prominent academic DSGE models. There is considerable agreement across models on both the absolute and relative sizes of different types of fiscal multipliers. The size of many multipliers is large, particularly for spending and targeted transfers. Fiscal policy is most effective if it has moderate persistence and if monetary policy is accommodative. Permanently higher spending or deficits imply significantly lower initial multipliers. C1 [Coenen, Guenter; Trabandt, Mathias] ECB, Directorate Gen Res, D-60311 Frankfurt, Germany. [Erceg, Christopher J.; Linde, Jesper; Roberts, John] Fed Reserve Board, Washington, DC 20551 USA. [Freedman, Charles] Carleton Univ, Dept Econ, Ottawa, ON K1H 5T3, Canada. [Furceri, Davide] Univ Palermo, I-90128 Palermo, Italy. [Kumhof, Michael; Laxton, Douglas; Muir, Dirk; Mursula, Susanna; Snudden, Stephen] IMF, Res Dept, Modeling Unit, Washington, DC 20431 USA. [Lalonde, Rene; de Resende, Carlos] Bank Canada, Int Econ Anal Dept, Ottawa, ON K1A 0G9, Canada. [Mourougane, Annabelle] OECD, Dept Econ, F-75775 Paris 16, France. [Roeger, Werner; Veld, Jan In't] Commiss European Communities, DG ECFIN, B-1049 Brussels, Belgium. RP Coenen, G (reprint author), ECB, Directorate Gen Res, Kaiserstr 29, D-60311 Frankfurt, Germany. EM gunter.coenen@ecb.int; christopher.erceg@frb.gov; charles_freedman@carleton.ca; furceri@economia.unipa.it; mkumhof@imf.org; rlalonde@banqueducanada.ca; dlaxton@imf.org; jesper.l.linde@frb.gov; annabelle.mourougane@oecd.org; dmuir@imf.org; smursula@imf.org; cderesende@bankofcanada.ca; jroberts@frb.gov; werner.roeger@ec.europa.eu; ssnudden@imf.org; mathias.trabandt@googlemail.com; jan.intveld@ec.europa.eu NR 64 TC 77 Z9 77 U1 4 U2 24 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2012 VL 4 IS 1 BP 22 EP 68 DI 10.1257/mac.4.1.22 PG 47 WC Economics SC Business & Economics GA 879ED UT WOS:000299311600002 ER PT J AU Rudebusch, GD Swanson, ET AF Rudebusch, Glenn D. Swanson, Eric T. TI The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID TERM STRUCTURE; INTEREST-RATES; MONETARY-POLICY; BUSINESS-CYCLE; ASSET RETURNS; INTERTEMPORAL SUBSTITUTION; HABIT PERSISTENCE; EQUITY PREMIUM; CONSUMPTION; ECONOMIES AB The term premium in standard macroeconomic DSGE models is far too small and stable relative to the data-an example of the "bond premium puzzle." However, in endowment economy models, researchers have generated reasonable term premiums by assuming investors have recursive Epstein-Zin preferences and face long-run economic risks. We show that introducing Epstein-Zin preferences into a canonical DSGE model can also produce a large and variable term premium without compromising the model's ability to fit key macroeconomic variables. Long-run nominal risks further improve the model's empirical fit, but do not substantially reduce the need for high risk aversion. C1 [Rudebusch, Glenn D.; Swanson, Eric T.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM glenn.rudebusch@sf.frb.org; eric.swanson@sf.frb.org NR 60 TC 33 Z9 33 U1 2 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 EI 1945-7715 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2012 VL 4 IS 1 BP 105 EP 143 DI 10.1257/mac.4.1.105 PG 39 WC Economics SC Business & Economics GA 879ED UT WOS:000299311600004 ER PT J AU Wells, K Thill, JC AF Wells, Kirstin Thill, Jean-Claude TI DO TRANSIT-DEPENDENT NEIGHBORHOODS RECEIVE INFERIOR BUS ACCESS? A NEIGHBORHOOD ANALYSIS IN FOUR U.S. CITIES SO JOURNAL OF URBAN AFFAIRS LA English DT Article ID URBAN PUBLIC-SERVICE; POLITICS; ACCESSIBILITY; DELIVERY; BUREAUCRACY; EQUITY; EXPLORATION; INEQUALITY; EXCLUSION; EQUALITY AB Intrajurisdictional delivery of publicly provided services often results in observable service level differences that vary by spatial subunit (neighborhood). These variations are related to the sociodemographic characteristics of neighborhoods and have been hypothesized in prior literature to be the result of bias against or favoritism toward certain neighborhoods. Using path regression, this paper examines publicly provided bus service in four citiesAsheville, North Carolina; Charlotte, North Carolina; Mobile, Alabama; and Richmond, Virginiato examine whether the socioeconomic character of a neighborhood is related to the share of municipal bus service it receives. With this analysis, we test an expanded version of Lineberry's underclass hypothesis. Specifically, do transit-dependent neighborhoods, or those with a high percentage of non-Caucasian, low-income, elderly, or student residents receive inferior bus service? Findings confirm prior research that both standard rules and bias are present in service delivery decisions. C1 [Wells, Kirstin] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. [Thill, Jean-Claude] Univ N Carolina, Charlotte, NC 28223 USA. RP Wells, K (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S LaSalle St, Chicago, IL 60604 USA. EM kirstin.wells@chi.frb.org NR 74 TC 5 Z9 5 U1 2 U2 14 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0735-2166 J9 J URBAN AFF JI J. Urban Aff. PY 2012 VL 34 IS 1 BP 43 EP 63 DI 10.1111/j.1467-9906.2011.00575.x PG 21 WC Urban Studies SC Urban Studies GA 883JP UT WOS:000299630500005 ER PT J AU Castelli, A Dwyer, GP Hasan, I AF Castelli, Annalisa Dwyer, Gerald P. Hasan, Iftekhar TI Bank Relationships and Firms' Financial Performance: The Italian Experience SO EUROPEAN FINANCIAL MANAGEMENT LA English DT Article DE bank relationships; small business lending; firms' performance; D21; G21; G32 ID CUSTOMER RELATIONSHIPS; LENDING RELATIONSHIPS; SMALL BUSINESSES; CREDIT; INFORMATION; DEBT; INTERMEDIATION; INDUSTRY; GERMANY; CHOICE AB We examine the connection between the number of bank relationships and firms' performance using a unique data set on Italian small firms for which banks are a major source of financing. Our evidence indicates that return on equity and return on assets decrease as the number of bank relationships increases with a stronger effect on small firms than large firms. We also find that interest expense over assets increases as the number of relationships increases. Particularly for small firms, these results are consistent with analyses suggesting that fewer bank relationships reduce information asymmetries and agency problems and outweigh hold-up problems. C1 [Castelli, Annalisa] Univ Roma Tor Vergata, Fac Econ, I-00133 Rome, Italy. [Dwyer, Gerald P.] Ctr Financial Innovat & Stabil, Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Dwyer, Gerald P.] Univ Carlos III Madrid, Dept Econ Empressa, E-28903 Getafe, Spain. [Hasan, Iftekhar] Rensselaer Polytech Inst, Lally Sch Management & Technol, Troy, NY 12180 USA. [Hasan, Iftekhar] Bank Finland, FI-00101 Helsinki, Finland. RP Castelli, A (reprint author), Univ Roma Tor Vergata, Fac Econ, Via Columbia 2, I-00133 Rome, Italy. EM annalisa.castelli@uniroma2.it; jerry@jerrydwyer.com; hasan@rpi.edu NR 63 TC 2 Z9 2 U1 4 U2 10 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1354-7798 J9 EUR FINANC MANAG JI Eur. Financ. Manag. PD JAN PY 2012 VL 18 IS 1 BP 28 EP 67 DI 10.1111/j.1468-036X.2009.00531.x PG 40 WC Business, Finance SC Business & Economics GA 869HY UT WOS:000298590200002 ER PT J AU Kliesen, KL Thornton, DL AF Kliesen, Kevin L. Thornton, Daniel L. TI How Good Are the Government's Deficit and Debt Projections and Should We Care? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Each year, the Congressional Budget Office (CBO) publishes its Budget and Economic Outlook. The CBO's deficit projections for the current fiscal year (FY) and the next 10 FYs are widely followed because they provide an assessment of the medium-term budget outlook based on current law and a presumed path for the economy over the next decade. Admittedly, this task is more difficult because of the required assumption that the laws governing future outlays and revenues do not change. Nevertheless, given its nonpartisan nature and the CBO's well-respected staff of professional economists and budget analysts, its projections are closely followed. In this article, the authors update their 2001 assessment of the accuracy of the CBO's short- and medium-term budget projections by adding an additional 10 years of data. Such analysis is useful in light of the dramatic change in actual and expected fiscal policy, especially over the past few years. In addition, they investigate the extent to which the CBO's projection errors are affected by errors in forecasting key economic variables and the extent to which the errors relate more to inaccurate projections of revenues or expenditures. (JEL H60, H62, H68) C1 [Kliesen, Kevin L.; Thornton, Daniel L.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Kliesen, KL (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 9 TC 4 Z9 4 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2012 VL 94 IS 1 BP 21 EP 39 PG 19 WC Business, Finance; Economics SC Business & Economics GA 878IA UT WOS:000299247500002 ER PT J AU Gavin, WT Keen, BD Pakko, MR AF Gavin, William T. Keen, Benjamin D. Pakko, Michael R. TI Taylor-Type Rules and Total Factor Productivity SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY; OUTPUT-GAP; GROWTH AB This paper examines the impact of a persistent shock to the growth rate of total factor productivity in a New Keynesian model in which the central bank does not observe the shock. The authors then investigate the performance of alternative policy rules in such an incomplete information environment. While some rules perform better than others, the authors demonstrate that inflation is more stable after a persistent productivity shock when monetary policy targets the output growth rate (not the output gap) or the price-level path (not the inflation rate). Both the output growth and price-level path rules generate less volatility in output and inflation following a persistent productivity shock compared with the Taylor rule. (JEL E30, E42, E58) C1 [Gavin, William T.] Fed Reserve Bank St Louis, St Louis, MO USA. [Keen, Benjamin D.] Univ Oklahoma, Norman, OK 73019 USA. [Pakko, Michael R.] Univ Arkansas, Inst Econ Adv, Little Rock, AR 72204 USA. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 26 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2012 VL 94 IS 1 BP 41 EP 64 PG 24 WC Business, Finance; Economics SC Business & Economics GA 878IA UT WOS:000299247500003 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI How Did We Get to Inflation Targeting and Where Do We Need to Go to Now? A Perspective from the US Experience SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY TRANSMISSION MECHANISM; RATIONAL-EXPECTATIONS; GREAT-MODERATION; TERM STRUCTURE; POLICY; CREDIT; HYPOTHESIS; OUTPUT; RULES; VIEW AB The Federal Reserve is not formally inflation targeting. Nevertheless, it is commonly believed to be an implicit inflation targeter. The evolution to inflation targeting occurred because central banks, most importantly the Federal Reserve, demonstrated that monetary policy could control inflation. As central banks' credibility for keeping inflation low increased, policy actions became increasingly focused on affecting the growth rate of employment or the unemployment rate. The author argues that this change in emphasis is unlikely to generate positive benefits; more importantly, it endangers the continued effectiveness, and perhaps even the viability, of inflation targeting. (JEL E31, 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 72 TC 4 Z9 4 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2012 VL 94 IS 1 BP 65 EP 81 PG 17 WC Business, Finance; Economics SC Business & Economics GA 878IA UT WOS:000299247500004 ER PT J AU Arseneau, DM AF Arseneau, David M. TI Expectation traps in a new Keynesian open economy model SO ECONOMIC THEORY LA English DT Article DE Discretionary monetary policy; Friedman rule; Time consistency problem; Sustainable policy ID MONETARY-POLICY; DISCRETION; INFLATION; MARKETS AB This paper illustrates that the presence of a money demand distortion in an otherwise standard new Keynesian open economy model results in multiple discretionary equilibria that arise in the form of expectations traps. If private sector inflation expectations become sufficiently unanchored, the model predicts that a monetary authority can easily be trapped into validating these expectations, thereby pushing the economy to a lower welfare equilibrium. Given the ease with which expectation traps arise in the presence of international linkages, the main result presented here suggests that maintaining well-anchored inflation expectations is a critically important policy goal for central banks in open economies. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Arseneau, DM (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM david.m.arseneau@frb.gov NR 37 TC 1 Z9 1 U1 1 U2 5 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0938-2259 EI 1432-0479 J9 ECON THEOR JI Econ. Theory PD JAN PY 2012 VL 49 IS 1 BP 81 EP 112 DI 10.1007/s00199-010-0533-2 PG 32 WC Economics SC Business & Economics GA 870FQ UT WOS:000298655000004 ER EF