FN Thomson Reuters Web of Science™ VR 1.0 PT J AU Williamson, S Wright, R AF Williamson, Stephen Wright, Randall TI New Monetarist Economics: Methods SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 34th Annual Economic Policy Conference of the Federal-Reserve-Bank-of-St-Louis CY OCT 15-16, 2009 CL St Louis, MO SP Fed Reserve Bank St Louis ID THE-COUNTER MARKETS; SEARCH EQUILIBRIUM; FINANCIAL INTERMEDIATION; PRIVATE INFORMATION; FIAT MONEY; RATIONAL EXPECTATIONS; TRANSACTIONS DEMAND; THEORETIC APPROACH; BUSINESS CYCLES; MATCHING MODEL AB This essay articulates the principles and practices of New Monetarism, the authors' label for a recent body of work on money, banking, payments, and asset markets. They first discuss methodological issues distinguishing their approach from others: New Monetarism has something in common with Old Monetarism, but there are also important differences; it has little in common with Keynesianism. They describe the principles of these schools and contrast them with their approach. To show how it works in practice, they build a benchmark New Monetarist model and use it to study several issues, including the cost of inflation, liquidity, and asset trading. They also develop a new model of banking. (JEL E0, E1, E4, E5) C1 [Williamson, Stephen] Washington Univ St Louis, St Louis, MO USA. [Williamson, Stephen] Fed Reserve Bank St Louis, St Louis, MO USA. [Wright, Randall] Univ Wisconsin, Madison, WI USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Williamson, S (reprint author), Fed Reserve Bank Richmond, Richmond, VA USA. EM swilliam@artsci.wustl.edu; rwright@bus.wisc.edu RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 158 TC 19 Z9 19 U1 5 U2 14 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2010 VL 92 IS 4 BP 265 EP 302 PG 38 WC Business, Finance; Economics SC Business & Economics GA 626NQ UT WOS:000279973100003 ER PT J AU Fernandez-Villaverde, J Guerron-Quintana, P Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Guerron-Quintana, Pablo Rubio-Ramirez, Juan F. TI Reading the Recent Monetary History of the United States, 1959-2007 SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 34th Annual Economic Policy Conference of the Federal-Reserve-Bank-of-St-Louis CY OCT 15-16, 2009 CL St Louis, MO SP Fed Reserve Bank St Louis ID MACROECONOMIC FLUCTUATIONS; BUSINESS-CYCLE; POLICY RULES; LONG-RUN; INFLATION; VOLATILITY; EVOLUTION; MODELS; OUTPUT; MONEY AB In this paper the authors report the results of the estimation of a rich dynamic stochastic general equilibrium (DSGE) model of the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. They use the results of this estimation to examine the recent monetary history of the United States and to interpret, through this lens, the sources of the rise and fall of the Great Inflation from the late 1960s to the early 1980s and of the Great Moderation of business cycle fluctuations between 1984 and 2007. Their main findings are that, while there is strong evidence of changes in monetary policy during Chairman Paul Volcker's tenure at the Federal Reserve, those changes contributed little to the Great Moderation. Instead, changes in the volatility of structural shocks account for most of it. Also, although the authors find that monetary policy was different under Volcker, they do not find much evidence of a big difference in monetary policy among the tenures of Chairmen Arthur Burns, G. William Miller, and Alan Greenspan. The difference in aggregate outcomes across these periods is attributed to the time-varying volatility of shocks. The history for inflation is more nuanced, as a more vigorous stand against it would have reduced inflation in the 1970s, but not completely eliminated it. In addition, they find that volatile shocks (especially those related to aggregate demand) were important contributors to the Great Inflation. (JEL E10, E30, C11) C1 [Fernandez-Villaverde, Jesus] Univ Penn, Philadelphia, PA 19104 USA. [Fernandez-Villaverde, Jesus] NBER, Cambridge, MA 02138 USA. [Guerron-Quintana, Pablo] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Rubio-Ramirez, Juan F.] Duke Univ, Durham, NC 27706 USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Philadelphia, PA 19104 USA. EM jesusfv@econ.upenn.edu; pablo.guerron@phil.frb.org; juan.rubio-ramirez@duke.edu NR 60 TC 3 Z9 3 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2010 VL 92 IS 4 BP 311 EP 338 PG 28 WC Business, Finance; Economics SC Business & Economics GA 626NQ UT WOS:000279973100005 ER PT J AU Hernandez-Murillo, R Llobet, G Fuentes, R AF Hernandez-Murillo, Ruben Llobet, Gerard Fuentes, Roberto TI Strategic online banking adoption SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Duration models; Technological adoption; Online banking; Competition ID TECHNOLOGY ADOPTION; DIFFUSION; INDUSTRY; MODELS; PROFITABILITY; INNOVATION AB In this paper we study the determinants of banks' decisions to adopt a transactional website for their customers. Using a panel of commercial banks in the United States for the period 2003-2006, we show that although bank-specific characteristics are important determinants of banks' adoption decisions, competition also plays a prominent role. The extent of competition is related to the geographic overlap of banks in different markets and their relative market share in terms of deposits. In particular, banks adopt online banking services earlier in markets where their competitors have already adopted this technology. This paper is one of the first to construct local banking markets using the geographic market definitions delimited by the CASSIDI Database compiled at the Federal Reserve Bank of St. Louis. (C) 2010 Elsevier B.V. All rights reserved. C1 [Hernandez-Murillo, Ruben] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Llobet, Gerard] CEMFI, Madrid, Spain. [Fuentes, Roberto] Farmaindustria, Madrid, Spain. RP Hernandez-Murillo, R (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM Ruben.Hernandez@stls.frb.org; llobet@cemfi.es; rfuentes@farmaindustria.es RI Llobet, Gerard/L-5996-2014 OI Llobet, Gerard/0000-0002-6421-5890 NR 36 TC 12 Z9 12 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 2010 VL 34 IS 7 SI SI BP 1650 EP 1663 DI 10.1016/j.jbankfin.2010.03.011 PG 14 WC Business, Finance; Economics SC Business & Economics GA 605KE UT WOS:000278345700020 ER PT J AU Andolfatto, D AF Andolfatto, David TI Essential interest-bearing money SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Money; Interest; Friedman rule; Voluntary trade; Incentive-feasible policies; Efficient implementation AB I examine optimal monetary policy in a Lagos and Wright [R. Lagos, R. Wright, A unified framework for monetary theory and policy analysis, J. Polit. Economy 113 (2005) 463-484] model where trade is centralized and all exchange is voluntary. I identify a class of incentive-feasible policies that improve welfare beyond what is achievable with zero intervention. Any policy in this class necessarily entails a non-negative inflation rate and a strictly positive nominal interest rate. Despite the absence of a lump-sum tax instrument, there exists an incentive-feasible policy that implements the first-best allocation. Published by Elsevier Inc. C1 [Andolfatto, David] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Andolfatto, David] Simon Fraser Univ, Dept Econ, Burnaby, BC V5A 1S6, Canada. RP Andolfatto, D (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM andolfatto@stls.frb.org RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 9 TC 12 Z9 12 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD JUL PY 2010 VL 145 IS 4 BP 1495 EP 1507 DI 10.1016/j.jet.2009.12.003 PG 13 WC Economics SC Business & Economics GA 619ET UT WOS:000279412700008 ER PT J AU Sanches, D Williamson, S AF Sanches, Daniel Williamson, Stephen TI Money and credit with limited commitment and theft SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Money; Credit; Imperfect memory; Theft; Optimal monetary policy ID PRIVATE INFORMATION; SEARCH; POLICY AB We study the interplay among imperfect memory, limited commitment, and theft, in an environment that can support monetary exchange and credit. Imperfect memory makes money useful, but it also permits theft to go undetected, and therefore provides lucrative opportunities for thieves. Limited commitment constrains credit arrangements, and the constraints tend to tighten with imperfect memory, as this mitigates punishment for bad behavior in the credit market. Theft matters for optimal monetary policy, but at the optimum theft will not be observed in the model. The Friedman rule is in general not optimal with theft, and the optimal money growth rate tends to rise as the cost of theft falls. (C) 2009 Elsevier Inc. All rights reserved. C1 [Sanches, Daniel; Williamson, Stephen] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Williamson, Stephen] Richmond Fed Reserve Bank, Richmond, VA USA. [Williamson, Stephen] St Louis Fed Reserve Bank, St Louis, MO USA. RP Sanches, D (reprint author), Washington Univ, Dept Econ, Campus Box 1208, St Louis, MO 63130 USA. EM drsanche@wustl.edu; swilliam@artsci.wustl.edu RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 14 TC 22 Z9 22 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 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD JUL PY 2010 VL 145 IS 4 BP 1525 EP 1549 DI 10.1016/j.jet.2009.12.002 PG 25 WC Economics SC Business & Economics GA 619ET UT WOS:000279412700010 ER PT J AU Silveira, R Wright, R AF Silveira, Rafael Wright, Randall TI Search and the market for ideas SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Ideas; Technology transfer; Search; Bargaining; Liquidity ID LIQUIDITY CONSTRAINTS; PRIVATE INFORMATION; MONETARY EXCHANGE; PROPERTY-RIGHTS; ENTREPRENEURSHIP; BUSINESS; INVENTIONS; MANAGEMENT; INNOVATION; ABSENCE AB We study a market where innovators, who are good at coming up with ideas, can sell them to entrepreneurs, who might be better at implementing them. The market is decentralized, with random matching and bargaining. Ideas are characterized by five salient features: they are indivisible; partially nonrival; intermediate inputs; subject to informational frictions; and difficult to collateralize. This last feature gives rise to a demand by entrepreneurs for liquidity. We determine which ideas get traded in equilibrium and compare this to the efficient outcome, emphasizing the impact of bargaining and liquidity considerations. Among other applications, we study how outcomes in the idea market affect the labor market. (C) 2010 Elsevier Inc. All rights reserved. C1 [Wright, Randall] Univ Wisconsin, Wisconsin Sch Business, Dept Econ, Madison, WI 53705 USA. [Wright, Randall] Univ Wisconsin, Dept Finance Investment & Banking, Madison, WI 53705 USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN USA. RP Wright, R (reprint author), Univ Wisconsin, Wisconsin Sch Business, Dept Econ, 975 Univ Ave, Madison, WI 53705 USA. EM rafael.silveira@bankofamerica.com; rwright@bus.wisc.edu NR 49 TC 12 Z9 13 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 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD JUL PY 2010 VL 145 IS 4 BP 1550 EP 1573 DI 10.1016/j.jet.2010.01.004 PG 24 WC Economics SC Business & Economics GA 619ET UT WOS:000279412700011 ER PT J AU Adrian, T Shin, HS AF Adrian, Tobias Shin, Hyun Song TI Liquidity and leverage SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Financial market liquidity; Financial cycles; Financial interlmediary leverage ID INTERNAL CAPITAL-MARKETS; STOCK RETURNS; RISK; VOLATILITY AB In a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, and eliciting responses from financial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is strongly procyclical. Such behavior has aggregate consequences. Changes in dealer repos - the primary margin of adjustment for the aggregate balance sheets of intermediaries - forecast changes in financial market risk as measured by the innovations in the Chicago Board Options Exchange Volatility Index VIX index. Aggregate liquidity can be seen as the rate of change of the aggregate balance sheet of the financial intermediaries. (C) 2009 Elsevier Inc. All rights reserved. C1 [Adrian, Tobias] Fed Reserve Bank New York, New York, NY 10045 USA. [Shin, Hyun Song] Princeton Univ, Princeton, NJ 08544 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org; hsshin@princeton.edu OI Adrian, Tobias/0000-0001-9379-9592 NR 37 TC 276 Z9 277 U1 7 U2 78 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 2010 VL 19 IS 3 SI SI BP 418 EP 437 DI 10.1016/j.jfi.2008.12.002 PG 20 WC Business, Finance SC Business & Economics GA 613HQ UT WOS:000278970400007 ER PT J AU Agarwal, N Banternghansa, C Bui, LTM AF Agarwal, Nikhil Banternghansa, Chanont Bui, Linda T. M. TI Toxic exposure in America: Estimating fetal and infant health outcomes from 14 years of TRI reporting SO JOURNAL OF HEALTH ECONOMICS LA English DT Article DE Toxic Release Inventory; Infant and fetal mortality; Pollution ID RESIDENTIAL-MOBILITY; CHILDRENS HEALTH; HAZARDOUS-WASTE; AIR-POLLUTION; PREGNANCY; CALIFORNIA; CHEMICALS; LANDFILL; IMPACT; RISK AB We examine the effect of exposure to a set of toxic pollutants that are tracked by the Toxic Release Inventory (TRI) from manufacturing facilities on county-level infant and fetal mortality rates in the United States between 1989 and 2002. Unlike previous studies, we control for toxic pollution from both mobile sources and non-TRI reporting facilities. We find significant adverse effects of toxic air pollution concentrations on infant mortality rates. Within toxic air pollutants we find that releases of carcinogens are particularly problematic for infant health outcomes. We estimate that the average county-level decreases in various categories of TRI concentrations saved in excess of 13,800 infant lives from 1989 to 2002. Using the low end of the range for the value of a statistical life that is typically used by the EPA of $1.8M, the savings in lives would be valued at approximately $25B. (C) 2010 Elsevier B.V. All rights reserved. C1 [Bui, Linda T. M.] Brandeis Univ, Dept Econ, Waltham, MA 02454 USA. [Agarwal, Nikhil] Harvard Univ, Cambridge, MA 02138 USA. [Banternghansa, Chanont] Fed Reserve Bank, St Louis, MO USA. RP Bui, LTM (reprint author), Brandeis Univ, Dept Econ, 415 S St,MS 021, Waltham, MA 02454 USA. EM ltbui@brandeis.edu FU Brandeis University FX The authors would like to thank NCHS for providing the birth, death, and linked data files, and the National Air Data Group of the EPA for the criteria air pollution data that was used in this paper. The authors gratefully acknowledge funding from Brandeis University's Norman Grant and would like to thank Lucas Davis, Wayne Gray, George Hall, Erich Muehlegger, Paroma Sanyal, T.S. Sims. an anonymous referee, and participants at the NBER Summer Institute 2008, Kennedy School of Government/Harvard Department of Economics Environmental Economics Seminar, and Brandeis University's Department of Economics Brown Bag lunch for helpful comments. All errors are our own. NR 24 TC 12 Z9 12 U1 2 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6296 J9 J HEALTH ECON JI J. Health Econ. PD JUL PY 2010 VL 29 IS 4 BP 557 EP 574 DI 10.1016/j.jhealeco.2010.04.002 PG 18 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA 632VG UT WOS:000280456500009 PM 20494467 ER PT J AU Hellerstein, R Villas-Boas, SB AF Hellerstein, Rebecca Villas-Boas, Sofia B. TI Outsourcing and pass-through SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Exchange-rate pass-through; Intra-firm trade; Outsourcing; Vertical contracts ID INTRAFIRM TRADE PRICES; EUROPEAN CAR MARKET; EXCHANGE-RATE; VERTICAL RELATIONSHIPS; MODELS; FIRMS; COMPETITION; RATES; COST AB A large share of international trade occurs through intra-firm transactions. We show that this common cross-border organization of the firm has implications for the well-documented incomplete transmission of shocks across such borders. We present new evidence of an inverse relationship between a firm's outsourcing of inputs and its rate of exchange-rate pass-through. We then develop a structural econometric model with final assemblers and upstream parts suppliers to quantify how firms' organization of their activities across national borders affects their pass-through behavior. (C) 2010 Elsevier B.V. All rights reserved. C1 [Hellerstein, Rebecca] Fed Reserve Bank New York, Int Res Grp, New York, NY 10045 USA. [Villas-Boas, Sofia B.] Univ Calif Berkeley, Berkeley, CA 94720 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 RI nipe, cef/A-4218-2010 NR 45 TC 14 Z9 14 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 JUL PY 2010 VL 81 IS 2 BP 170 EP 183 DI 10.1016/j.jinteco.2010.03.004 PG 14 WC Economics SC Business & Economics GA 621US UT WOS:000279611000002 ER PT J AU Del Negro, M Perri, F Schivardi, F AF Del Negro, Marco Perri, Fabrizio Schivardi, Fabiano TI Tax buyouts SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Normalizing Central Bank Practice in Light of the Credit Turmoil CY NOV 12-13, 2010 CL Carnegie Mellons Tepper Sch Business, Pittsburgh, PA HO Carnegie Mellons Tepper Sch Business ID INCOME-TAX; TAXATION; RATES; RESPONSES; REFORM AB The paper studies a fiscal policy instrument that can reduce fiscal distortions without affecting revenues, in a politically viable way. The instrument is a private contract (tax buyout), offered by the government to each citizen, whereby the citizen can choose to pay a fixed price in exchange for a given reduction in her tax rate for a period of time. We introduce the tax buyout in a dynamic overlapping generations economy, calibrated to match several features of the US income, taxes and wealth distribution. Under simple pricing, the introduction of the buyout is revenue neutral but, by reducing distortions, benefits a significant fraction of the population and leads to sizable increases in aggregate labor supply, income and consumption. (C) 2010 Elsevier B.V. All rights reserved. C1 [Perri, Fabrizio] Univ Minnesota, Dept Econ, Fed Reserve Bank Minneapolis, CEPR, Minneapolis, MN 55455 USA. [Del Negro, Marco] Fed Reserve Bank New York, New York, NY USA. [Perri, Fabrizio] NBER, Minneapolis, MN 55455 USA. [Schivardi, Fabiano] Univ Cagliari, EIEF, I-09124 Cagliari, Italy. RP Perri, F (reprint author), Univ Minnesota, Dept Econ, Fed Reserve Bank Minneapolis, CEPR, 4-177 Hanson Hall,1925 4th St S, Minneapolis, MN 55455 USA. EM fperri@umn.edu NR 24 TC 1 Z9 1 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2010 VL 57 IS 5 BP 576 EP 595 DI 10.1016/j.jmoneco.2010.06.005 PG 20 WC Business, Finance; Economics SC Business & Economics GA 639JA UT WOS:000280969900007 ER PT J AU Davig, T Leeper, EM Walker, TB AF Davig, Troy Leeper, Eric M. Walker, Todd B. TI "Unfunded liabilities" and uncertain fiscal financing SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Normalizing Central Bank Practice in Light of the Credit Turmoil CY NOV 12-13, 2010 CL Carnegie Mellons Tepper Sch Business, Pittsburgh, PA HO Carnegie Mellons Tepper Sch Business DE Fiscal sustainability; Inflation; Fiscal limit ID SOCIAL-SECURITY; UNITED-STATES; PRICE-LEVEL; TAX POLICY; MONETARY; INVESTMENT; ECONOMY; CYCLE; MODEL; DEBT AB A rational expectations framework is developed to study the consequences of alternative means to resolve the "unfunded liabilities" problem-unsustainable exponential growth in federal Social Security, Medicare, and Medicaid spending with no plan to finance it. Resolution requires specifying a probability distribution for how and when monetary and fiscal policies will change as the economy evolves through the 21st century. Beliefs based on that distribution determine the existence of and the nature of equilibrium. We consider policies that in expectation combine reaching a fiscal limit, some distorting taxation, modest inflation, and some reneging on the government's promised transfers. In the equilibrium, inflation-targeting monetary policy cannot successfully anchor expected inflation. Expectational effects are always present, but need not have a large impacts on inflation and interest rates in the short and medium runs. (C) 2010 Elsevier B.V. All rights reserved. C1 [Leeper, Eric M.; Walker, Todd B.] Indiana Univ, Bloomington, IN 47405 USA. [Davig, Troy] Fed Reserve Bank Kansas City, Kansas City, KS USA. [Leeper, Eric M.] NBER, Bloomington, IN 47405 USA. RP Leeper, EM (reprint author), Indiana Univ, 105 Wylie Hall, Bloomington, IN 47405 USA. EM Troy.Davig@kc.frb.org; eleeper@indiana.edu; walkertb@indiana.edu NR 41 TC 26 Z9 26 U1 0 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2010 VL 57 IS 5 BP 600 EP 619 DI 10.1016/j.jmoneco.2010.05.007 PG 20 WC Business, Finance; Economics SC Business & Economics GA 639JA UT WOS:000280969900009 ER PT J AU Ferreira, F Gyourko, J Tracy, J AF Ferreira, Fernando Gyourko, Joseph Tracy, Joseph TI Housing busts and household mobility SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Household mobility; Negative equity; Mortgage lock-in ID LOSS AVERSION; MARKET; MODEL; PRICES; EQUITY; COSTS; STOCK AB Using two decades of American Housing Survey data from 1985 to 2007, we revisit the literature on lock-in effects and provide new estimates of the impacts of negative equity and rising interest rates on the mobility of owners. Both lead to substantially lower mobility rates. Owners suffering from negative equity are one-third less mobile, and every added $1000 in real annual mortgage costs lowers mobility by about 12%. Our results cannot simply be extrapolated to the future, but they do have potentially important implications for policy makers concerned about the consequences of the housing bust that began as our data series ended. In particular, they indicate that we need to begin considering the consequences of lock-in and reduced household mobility because they are quite different from those associated with default and higher mobility. Published by Elsevier Inc. C1 [Ferreira, Fernando; Gyourko, Joseph] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. [Ferreira, Fernando; Gyourko, Joseph] NBER, Philadelphia, PA 19104 USA. [Tracy, Joseph] Fed Reserve Bank New York, New York, NY 10045 USA. RP Gyourko, J (reprint author), Univ Penn, Wharton Sch, 1461 Steinberg Detrich Hall, Philadelphia, PA 19104 USA. EM joseph.tracy@ny.frb.org NR 25 TC 61 Z9 61 U1 1 U2 19 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD JUL PY 2010 VL 68 IS 1 BP 34 EP 45 DI 10.1016/j.jue.2009.10.007 PG 12 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 601BE UT WOS:000278032200003 ER PT J AU Krusell, P Mukoyama, T Rogerson, R Sahin, A AF Krusell, Per Mukoyama, Toshihiko Rogerson, Richard Sahin, Ayseguel TI Aggregate labor market outcomes: The roles of choice and chance SO QUANTITATIVE ECONOMICS LA English DT Article DE Labor supply; labor market frictions; taxes AB Commonly used frictional models of the labor market imply that changes in frictions have large effects on steady state employment and unemployment. We use a model that features both frictions and an operative labor supply margin to examine the robustness of this feature to the inclusion of an empirically reasonable labor supply channel. The response of unemployment to changes in frictions is similar in both models, but the labor supply response present in our model greatly attenuates the effects of frictions on steady state employment relative to the simplest matching model and two common extensions. We also find that the presence of empirically plausible frictions has virtually no impact on the response of aggregate employment to taxes. C1 [Krusell, Per; Rogerson, Richard] NBER, Cambridge, MA 02138 USA. [Mukoyama, Toshihiko] Univ Virginia, Charlottesville, VA 22903 USA. [Rogerson, Richard] Arizona State Univ, Tempe, AZ 85287 USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. EM Per.Krusell@iies.su.se; tm5hs@virginia.edu; Richard.Rogerson@asu.edu; Aysegul.Sahin@ny.frb.org NR 30 TC 11 Z9 11 U1 1 U2 6 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 2010 VL 1 IS 1 BP 97 EP 127 DI 10.3982/QE7 PG 31 WC Economics SC Business & Economics GA V28LD UT WOS:000208681400003 ER PT J AU Bajona, C Kehoe, TJ AF Bajona, Claustre Kehoe, Timothy J. TI Trade, growth, and convergence in a dynamic Heckscher-Ohlin model SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE International trade; Heckscher-Ohlin; Economic growth; Convergence ID LONG-RUN; COMPARATIVE ADVANTAGE; 2-SECTOR MODEL; ACCUMULATION; POLICY AB In models in which convergence in income levels across closed countries is driven by faster accumulation of a productive factor in the poorer countries, opening these countries to trade can stop convergence and even cause divergence. We make this point using a dynamic Heckscher-Ohlin model-a combination of a static two-good, two-factor Heckscher-Ohlin trade model and a two-sector growth model-with infinitely lived consumers where international borrowing and lending are not permitted. We obtain two main results: First, countries that differ only in their initial endowments of capital per worker may converge or diverge in income levels over time, depending on the elasticity of substitution between traded goods. Divergence can occur for parameter values that would imply convergence in a world of closed economies and vice versa. Second, factor price equalization in a given period does not imply factor price equalization in future periods. (C) 2010 Elsevier Inc. All rights reserved. C1 [Kehoe, Timothy J.] Univ Minnesota, Minneapolis, MN 55455 USA. [Bajona, Claustre] Ryerson Univ, Toronto, ON, Canada. [Kehoe, Timothy J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Kehoe, Timothy J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Kehoe, TJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM tkehoe@econ.umn.edu NR 38 TC 14 Z9 14 U1 2 U2 13 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 JUL PY 2010 VL 13 IS 3 BP 487 EP 513 DI 10.1016/j.red.2010.05.002 PG 27 WC Economics SC Business & Economics GA 616UD UT WOS:000279234500001 ER PT J AU Dhawan, R Jeske, K Silos, P AF Dhawan, Rajeev Jeske, Karsten Silos, Pedro TI Productivity, energy prices and the great moderation: A new link SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Productivity; Energy price; Great moderation; Business cycles; Bayesian estimation ID MONETARY-POLICY; BUSINESS-CYCLE; SUPPLY SHOCKS; OIL SHOCKS; US ECONOMY; MACROECONOMY; MODELS; FLUCTUATIONS; VOLATILITY AB We build upon recent research that attributes the moderation of output volatility since the 1980s to the reduced volatility of the Total Factor Productivity (TFP) by investigating the linkage between energy price fluctuations and the stochastic process for TFP First, we estimate a joint stochastic process for the energy price and TFP and establish that until around 1982, energy prices negatively affected TFP. This spillover has since disappeared. Second, we show that within the framework of a Dynamic Stochastic General Equilibrium (DSGE) model, the disappearance of this energy-productivity spillover accounts for close to 68 percent of the moderation in output volatility. (C) 2009 Elsevier Inc. All rights reserved. C1 [Jeske, Karsten] Mellon Capital Management, San Francisco, CA 94105 USA. [Dhawan, Rajeev] Georgia State Univ, J Mack Robinson Coll Business, Atlanta, GA 30303 USA. [Silos, Pedro] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Jeske, K (reprint author), Mellon Capital Management, 50 Fremont St,FL 39, San Francisco, CA 94105 USA. EM rdhawan@gsu.edu; karstenj@mcm.com; pedro.silos@atl.frb.org NR 33 TC 6 Z9 6 U1 1 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2010 VL 13 IS 3 BP 715 EP 724 DI 10.1016/j.red.2009.07.001 PG 10 WC Economics SC Business & Economics GA 616UD UT WOS:000279234500012 ER PT J AU Agarwal, S Hauswald, R AF Agarwal, Sumit Hauswald, Robert TI Distance and Private Information in Lending SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID ASYMMETRIC INFORMATION; COMPETITION; BANKING; CREDIT; SINGLE; MULTIPLE; LOCATION; MARKETS; MATTERS; FIRMS AB We study the effects of physical distance on the acquisition and use of private information in informationally opaque credit markets. Using a unique data set of all loan applications by small firms to a large bank, we show that borrower proximity facilitates the collection of soft information, leading to a trade-off in the availability and pricing of credit, which is more readily accessible to nearby firms albeit at higher interest rates ceteris paribus. Analyzing loan rates and firms' decision to switch lenders provides further evidence for banks' strategic use of private information. However, distance erodes our lender's ability to collect proprietary intelligence and to carve out local captive markets, suggesting that the requisite soft information is primarily local. (JEL G21, L11, L14, D44) C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Hauswald, Robert] American Univ, Washington, DC 20016 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM ushakri@yahoo.com RI Agarwal, Sumit/F-4836-2012 NR 43 TC 92 Z9 92 U1 6 U2 36 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 JUL PY 2010 VL 23 IS 7 BP 2757 EP 2788 DI 10.1093/rfs/hhq001 PG 32 WC Business, Finance; Economics SC Business & Economics GA 628EW UT WOS:000280098300005 ER PT J AU Hanley, KW Hoberg, G AF Hanley, Kathleen Weiss Hoberg, Gerard TI The Information Content of IPO Prospectuses SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID INITIAL PUBLIC OFFERINGS; ORDER BOOK; DISCLOSURE; COMMUNICATION; ALLOCATION; INNOVATION; MARKETS; BANKING; ESSAYS; FIRMS AB Using word content analysis, we decompose information in the initial public offering prospectus into its standard and informative components. Greater informative content, as a proxy for premarket due diligence, results in more accurate offer prices and less underpricing, because it decreases the issuing firm's reliance on bookbuilding to price the issue. The opposite is true for standard content. Greater content from high reputation underwriters and issuing firm managers, through Management's Discussion and Analysis, contribute to the informativeness of the prospectus. Our results suggest that premarket due diligence and disclosure by underwriters and issuers can serve as a substitute for costly bookbuilding. (JEL G14, G24, G30, G32) C1 [Hanley, Kathleen Weiss] Fed Reserve Board Governors, Div Res & Stat, Risk Anal Sect, Washington, DC 20551 USA. [Hoberg, Gerard] Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA. RP Hanley, KW (reprint author), Fed Reserve Board Governors, Div Res & Stat, Risk Anal Sect, Mail Stop 91,20th & C St NW, Washington, DC 20551 USA. EM kathleen.hanley@frb.gov RI Hoberg, Gerard/F-9117-2010 OI Hoberg, Gerard/0000-0001-5104-9689 NR 47 TC 54 Z9 54 U1 9 U2 31 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 JUL PY 2010 VL 23 IS 7 BP 2821 EP 2864 DI 10.1093/rfs/hhq024 PG 44 WC Business, Finance; Economics SC Business & Economics GA 628EW UT WOS:000280098300007 ER PT J AU Kuester, K Wieland, V AF Kuester, Keith Wieland, Volker TI INSURANCE POLICIES FOR MONETARY POLICY IN THE EURO AREA SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID FORWARD-LOOKING MODEL; INFLATION PERSISTENCE; WIDE MODEL; UNCERTAINTY; ROBUST; RULES; PERFORMANCE; PARAMETER; ECONOMY; DESIGN AB In this paper, we aim to design a monetary policy for the euro area that is robust to the high degree of model uncertainty at the start of monetary union and allows for learning about model probabilities. To this end, we compare and ultimately combine Bayesian and worst-case analysis using four reference models estimated with pre-European Monetary Union (EMU) synthetic data. We start by computing the cost of insurance against model uncertainty, that is, the relative performance of worst-case or minimax policy versus Bayesian policy. While maximum insurance comes at moderate costs, we highlight three shortcomings of this worst-case insurance policy: (i) prior beliefs that would rationalize it from a Bayesian perspective indicate that such insurance is strongly oriented towards the model with highest baseline losses; (ii) the minimax policy is not as tolerant towards small perturbations of policy parameters as the Bayesian policy; and (iii) the minimax policy offers no avenue for incorporating posterior model probabilities derived from data available since monetary union. Thus, we propose preferences for robust policy design that reflect a mixture of the Bayesian and minimax approaches. We show how the incoming EMU data may then be used to update model probabilities, and investigate the implications for policy. (JEL: E52, E58, E61) C1 [Kuester, Keith] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Wieland, Volker] Goethe Univ Frankfurt, D-6000 Frankfurt, Germany. RP Kuester, K (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM keith.kuester@phil.frb.org; wieland@wiwi.uni-frankfurt.de NR 48 TC 8 Z9 8 U1 0 U2 4 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 JUN 10 PY 2010 VL 8 IS 4 BP 872 EP 912 PG 41 WC Economics SC Business & Economics GA 599KQ UT WOS:000277911300007 ER PT J AU Ellison, BD Lusk, JL Briggeman, BC AF Ellison, Brenna D. Lusk, Jayson L. Briggeman, Brian C. TI Taxpayer Beliefs about Farm Income and Preferences for Farm Policy SO APPLIED ECONOMIC PERSPECTIVES AND POLICY LA English DT Article DE farm policy; beliefs; farm income; Q12; Q18 ID COMPETITION; ALTRUISM AB One voice that is commonly overlooked in debates about farm policy and payment limitations is that of the average tax payer. Surprisingly little research has been done on what taxpayers believe about farms and what they prefer regarding farm policy. Our sample of taxpayers believes that farmers are doing well financially, and most people actually overestimate farmers' incomes. In addition, we found strong preferences for subsidizing small family farms over very large family farms, even though most of the people in our sample believe small family farms earn a higher level of income than their own household. A large majority of our sample supports government subsidies for farmers, primarily because people believe it ensures a secure food supply. C1 [Ellison, Brenna D.; Lusk, Jayson L.] Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. [Briggeman, Brian C.] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Lusk, JL (reprint author), Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. EM jayson.lusk@okstate.edu FU National Research Initiative of the Cooperative State Research, Education and Extension Service, USDA [2007-04447] FX This project was supported by the National Research Initiative of the Cooperative State Research, Education and Extension Service, USDA, Grant # 2007-04447. NR 19 TC 9 Z9 9 U1 0 U2 8 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 2040-5790 J9 APPL ECON PERSPECT P JI Appl. Econ. Perspect. Policy PD SUM PY 2010 VL 32 IS 2 BP 338 EP 354 DI 10.1093/aepp/ppp014 PG 17 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 593IO UT WOS:000277447400007 ER PT J AU Cohen, A AF Cohen, Andrew TI Calculating upper and lower probability bounds on the outcomes of large entry games SO ECONOMICS LETTERS LA English DT Article DE Entry games; Multiple equilibria; Nash equilibrium; Modified minimum distance estimators ID MULTIPLE EQUILIBRIA; MODEL AB Recently developed econometric techniques for estimating the parameters of entry games with multiple equilibria suffer significant computational constraints associated with calculating upper and lower bound entry probabilities. We provide simulation-based and analytical expressions for these probabilities, reducing this computational burden. Published by Elsevier B.V. C1 Fed Reserve Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Cohen, A (reprint author), Fed Reserve Board Governors, Div Res & Stat, Washington, DC 20551 USA. EM andrew.m.cohen@frb.gov NR 9 TC 0 Z9 0 U1 0 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD JUN PY 2010 VL 107 IS 3 BP 324 EP 326 DI 10.1016/j.econlet.2010.02.006 PG 3 WC Economics SC Business & Economics GA 601FE UT WOS:000278042900004 ER PT J AU Fisher, RW AF Fisher, Richard W. TI International Lessons for Regulatory Reform1 SO INTERNATIONAL FINANCE LA English DT Article C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Fisher, RW (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM Dallas-Public-Affairs@dal.frb.org NR 0 TC 1 Z9 1 U1 0 U2 1 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1367-0271 J9 INT FINANC JI Int. Financ. PD SUM PY 2010 VL 13 IS 2 BP 311 EP 320 DI 10.1111/j.1468-2362.2010.01263.x PG 10 WC Business, Finance; Economics SC Business & Economics GA 643HO UT WOS:000281286400006 ER PT J AU Edge, RM Kiley, MT Laforte, JP AF Edge, Rochelle M. Kiley, Michael T. Laforte, Jean-Philippe TI A COMPARISON OF FORECAST PERFORMANCE BETWEEN FEDERAL RESERVE STAFF FORECASTS, SIMPLE REDUCED-FORM MODELS, AND A DSGE MODEL SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID MONETARY-POLICY; EQUILIBRIUM-MODELS; US ECONOMY; TIME; INFORMATION AB This paper considers the 'real-time' forecast performance of the Federal Reserve staff, time-series models, and an estimated dynamic stochastic general equilibrium (DSGE) model the Federal Reserve Board's Estimated, Dynamic, Optimization-based (Edo) model. We evaluate forecast performance using out-of-sample predictions from 1996 to 2004. We find that the Edo model can provide forecasts that are competitive with those of Federal Reserve staff. Taken together with the fact that the Edo model has also proved useful in answering a range of policy questions, this suggests a significant and broad role for richly specified DSGE models in the toolbox of central bank models. Copyright (C) 2010 John Wiley & Sons, Ltd. C1 [Edge, Rochelle M.; Kiley, Michael T.; Laforte, Jean-Philippe] Fed Reserve Board, Washington, DC 20551 USA. RP Laforte, JP (reprint author), Fed Reserve Board, 20th St & Constitut Av NW, Washington, DC 20551 USA. EM jean-philippe.laforte@frb.gov RI Kiley, Michael/H-1132-2012; OI Kiley, Michael/0000-0003-0427-0131 NR 46 TC 32 Z9 34 U1 0 U2 5 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD JUN-JUL PY 2010 VL 25 IS 4 SI SI BP 720 EP 754 DI 10.1002/jae.1175 PG 35 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 605HX UT WOS:000278339600010 ER PT J AU de Bruin, WB Vanderklaauw, W Downs, JS Fischhoff, B Topa, G Armantier, O AF de Bruin, Waendi Bruine Vanderklaauw, Wilbert Downs, Julie S. Fischhoff, Baruch Topa, Giorgio Armantier, Olivier TI Expectations of Inflation: The Role of Demographic Variables, Expectation Formation, and Financial Literacy SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article ID DECISION-MAKING COMPETENCE; INDIVIDUAL-DIFFERENCES; NUMERACY; INFORMATION; CONSUMERS AB When financial decisions have consequences beyond the immediate future, individuals' economic success may depend on their ability to forecast the rate of inflation. Higher inflation expectations have been reported by individuals who are female, poorer, single and less educated. Our results suggest that these demographic differences in inflation expectations may be partially explained by variations in expectation formation and financial literacy. Specifically, higher inflation expectations were reported by individuals who focused more on how to cover their future expenses and on prices they pay (rather than on the US inflation rate) and by individuals with lower financial literacy. C1 [de Bruin, Waendi Bruine; 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. [Topa, Giorgio; Armantier, Olivier] Fed Reserve Bank New York, Res & Stat Grp, New York, NY USA. RP de Bruin, WB (reprint author), Carnegie Mellon Univ, Dept Social & Decis Sci, Pittsburgh, PA 15213 USA. EM wandi@cmu.edu; Wilbert.VanDerKlaauw@ny.frb.org; downs@cmu.edu; baruch@cmu.edu; Giorgio.Topa@ny.frb.org; Olivier.Armantier@ny.frb.org RI Ramalho, Thiago/E-4525-2016 NR 49 TC 23 Z9 23 U1 0 U2 13 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-0078 J9 J CONSUM AFF JI J. Consum. Aff. PD SUM PY 2010 VL 44 IS 2 BP 381 EP 402 PG 22 WC Business; Economics SC Business & Economics GA 604WX UT WOS:000278310300007 ER PT J AU Mertens, E AF Mertens, Elmar TI Structural shocks and the comovements between output and interest rates SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Interest rates; Business cycles; Bandpass filter; Structural VAR; News shocks ID BUSINESS-CYCLE FACTS; MONETARY-POLICY; TIME-SERIES; ECONOMIC-FLUCTUATIONS; TECHNOLOGY SHOCKS; REAL; US; MODELS; MONEY; INFLATION AB Stylized facts on U.S. output and interest rates have so far proved hard to match with simple DSGE models. I estimate covariances between output, nominal and real interest rate conditional on structural shocks, since such evidence has largely been lacking in previous discussions of the output-interest rate puzzle. Conditional on shocks to technology and monetary policy, the results square with simple models. Moreover, permanent inflation shocks accounted for the counter-cyclical and inversely leading behavior of the real rate during the Great Inflation (1959-1979). Over the Great Moderation (1982-2006), technology shocks were more dominant and the real rate has been pro-cyclical. 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 64 TC 5 Z9 5 U1 2 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2010 VL 34 IS 6 BP 1171 EP 1186 DI 10.1016/j.jedc.2010.02.008 PG 16 WC Economics SC Business & Economics GA 598AV UT WOS:000277805000011 ER PT J AU Aiolfi, M Rodriguez, M Timmermann, A AF Aiolfi, Marco Rodriguez, Marius Timmermann, Allan TI Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability SO JOURNAL OF FINANCIAL ECONOMETRICS LA English DT Article DE analysts' earnings forecasts; mixture model; predictability of forecast revisions ID STOCK RETURNS; SYSTEMATIC OPTIMISM; PREDICTIVE ABILITY; FORECAST REVISIONS; CAREER CONCERNS; INFORMATION; MARKET; TESTS AB This paper studies the asymmetric behavior of negative and positive values of analysts' earnings revisions and links it to the conservatism principle of accounting. Using a new three-state mixture of lognormal models that accounts for differences in the magnitude and persistence of positive, negative, and zero revisions, we find evidence that revisions to analysts' earnings expectations can be predicted using publicly available information such as lagged interest rates and past revisions. We also find that our forecasts of revisions to analysts' earnings estimates help to predict the actual earnings figure beyond the information contained in analysts' earnings expectations. (JEL: C22, G17) C1 [Rodriguez, Marius] Fed Reserve Board, Washington, DC 20551 USA. RP Rodriguez, M (reprint author), Fed Reserve Board, 20th St & Constitut Ave, Washington, DC 20551 USA. EM marius.d.rodriguez@frb.gov NR 31 TC 1 Z9 1 U1 4 U2 6 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1479-8409 J9 J FINANC ECONOMET JI J. Financ. Econom. PD SUM PY 2010 VL 8 IS 3 BP 305 EP 334 DI 10.1093/jjfinec/nbp024 PG 30 WC Business, Finance; Economics SC Business & Economics GA 620XC UT WOS:000279534500002 ER PT J AU Goldsmith-Pinkham, P Yorulmazer, T AF Goldsmith-Pinkham, Paul Yorulmazer, Tanju TI Liquidity, Bank Runs, and Bailouts: Spillover Effects During the Northern Rock Episode SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Contagion; Banking crisis; Bank run; Liquidity; Event study; Systemic risk; Bailout ID DEPOSIT INSURANCE; CONTAGION; PANICS; FAILURES; CRISIS; EXTERNALITIES; INFORMATION; DEPRESSION; PERIOD AB In September 2007, Northern Rock-the fifth largest mortgage lender in the United Kingdom-experienced an old-fashioned bank run, the first bank run in the U.K. since the collapse of City of Glasgow Bank in 1878. The run had been contained by the government's announcement that it would guarantee all deposits in Northern Rock. This paper analyzes spillover effects during the Northern Rock episode and shows that both the bank run and the subsequent bailout announcement had significant effects on the rest of the U.K. banking system, as measured by abnormal returns on the stock prices of banks. The paper also shows that the effects were a rational response by investors to market news about the liability side of banks' balance sheets. In particular, banks that rely on funding from wholesale markets were significantly affected, a result consistent with the drying up of liquidity in wholesale markets and the record-high levels of the London Interbank Offered Rate (LIBOR) during the crisis. C1 [Yorulmazer, Tanju] Fed Reserve Bank New York, New York, NY 10045 USA. [Goldsmith-Pinkham, Paul] Harvard Univ, Sch Business, Off Doctoral Program, Boston, MA 02163 USA. RP Yorulmazer, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM pgoldsm@fas.harvard.edu; Tanju.Yorulmazer@ny.frb.org NR 41 TC 19 Z9 19 U1 1 U2 21 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 2010 VL 37 IS 2-3 BP 83 EP 98 DI 10.1007/s10693-009-0079-2 PG 16 WC Business, Finance SC Business & Economics GA 575OO UT WOS:000276077000001 ER PT J AU Smith, SD Wall, LD AF Smith, Stephen D. Wall, Larry D. TI Debt, hedging and human capital SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Hedging; Human capital; Capital structure ID RISK-MANAGEMENT; AGENCY COSTS; INVESTMENT; POLICIES; DETERMINANTS; FIRMS AB This paper provides a theory of debt and hedging based on human capital. We distinguish human capital from physical capital in two ways: (1) human capital is inalienable and can exercise a one-sided option to leave the firm and (2) human capital is not perfectly replaceable. We show that a firm may reach the first best solution while issuing debt or equity to outsiders provided that either the insiders receive a senior claim or that the firm hedges. We then show that given asymmetric information concerning costs the only viable solution has the firm issuing debt to outsiders and hedging. (C) 2008 Elsevier B.V. All rights reserved. C1 [Smith, Stephen D.; Wall, Larry D.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Smith, Stephen D.] Georgia State Univ, Atlanta, GA 30303 USA. RP Wall, LD (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM larry.wall@atl.frb.org NR 21 TC 0 Z9 0 U1 0 U2 2 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 JUN PY 2010 VL 6 IS 2 BP 55 EP 63 DI 10.1016/j.jfs.2008.12.001 PG 9 WC Business, Finance; Economics SC Business & Economics GA 649XO UT WOS:000281809100001 ER PT J AU Aizenman, J Glick, R Lothian, JR AF Aizenman, Joshua Glick, Reuven Lothian, James R. TI The emerging global financial architecture: What's new and what's old? SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Editorial Material C1 [Aizenman, Joshua] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. [Glick, Reuven] Fed Reserve Bank San Francisco, Econ Res, San Francisco, CA 94105 USA. [Lothian, James R.] Fordham Univ, Sch Business, New York, NY 10023 USA. RP Aizenman, J (reprint author), Univ Calif Santa Cruz, Dept Econ, 1156 High St, Santa Cruz, CA 95064 USA. EM jaizen@ucsc.edu; reuven.glick@sf.frb.org; lothain@fordham.edu NR 0 TC 0 Z9 0 U1 0 U2 1 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 JUN PY 2010 VL 29 IS 4 SI SI BP 599 EP 602 DI 10.1016/j.jimonfin.2010.01.011 PG 4 WC Business, Finance SC Business & Economics GA 612HC UT WOS:000278886400001 ER PT J AU Ashcraft, A Bech, ML Frame, WS AF Ashcraft, Adam Bech, Morten L. Frame, W. Scott TI The Federal Home Loan Bank System: The Lender of Next-to-Last Resort? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE government-sponsored enterprise; lender of last resort; liquidity AB The Federal Home Loan Bank (FHLB) System is a large cooperatively owned government-sponsored liquidity facility that lends predominately to U.S. depository institutions. This paper documents the significant role played by the FHLB System at the outset of the recent financial crisis and provides evidence on the uses of FHLB funding by member banks and thrifts during that time. We then compare lending activity by the FHLB System and the Federal Reserve during 2007 and 2008, discuss the types of institutions seeking government-sponsored liquidity at various times, and identify the trade-offs faced by borrowers eligible to tap liquidity from both facilities. C1 [Ashcraft, Adam; Bech, Morten L.] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. [Frame, W. Scott] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Ashcraft, A (reprint author), Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. EM adam.ashcraft@ny.frb.org; morten.bech@ny.frb.org; scott.frame@atl.frb.org NR 18 TC 17 Z9 17 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2010 VL 42 IS 4 BP 551 EP 583 DI 10.1111/j.1538-4616.2010.00299.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 599LL UT WOS:000277914000002 ER PT J AU Eggertsson, GB Le Borgne, E AF Eggertsson, Gauti B. Le Borgne, Eric TI A Political Agency Theory of Central Bank Independence SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE delegation; elections; career concerns; learning by doing; insulation; central bank independence ID POLICY; ELECTIONS AB We propose a simple theory to explain why, and under what circumstances, a politician delegates policy tasks to a technocrat in an independent institution and then analyze under what conditions delegation is optimal for society. Our theory builds on Holmstrom's (1982, 1999) "hidden effort" principal-agent model. The election pressures that politicians face, and the absence of such pressures for technocrats, give rise to a dynamic incentive structure that formalizes two rationales for delegation, one highlighted by Hamilton (1788) and the other by Blinder (1998). Delegation trades off the cost of having a possibly incompetent technocrat with a long-term job contract against the benefit of having a technocrat who (i) invests more effort into the specialized policy task and (ii) is better insulated from the whims of public opinion. A natural application of our framework suggests a new theory of central bank independence. C1 [Eggertsson, Gauti B.] Fed Reserve Bank New York, New York, NY USA. [Le Borgne, Eric] World Bank, Washington, DC USA. RP Eggertsson, GB (reprint author), Fed Reserve Bank New York, New York, NY USA. EM Gauti.Eggertsson@ny.frb.org; ELeBorgne@imf.org NR 20 TC 3 Z9 3 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2010 VL 42 IS 4 BP 647 EP 677 DI 10.1111/j.1538-4616.2010.00302.x PG 31 WC Business, Finance; Economics SC Business & Economics GA 599LL UT WOS:000277914000005 ER PT J AU Agarwal, S Chomsisengphet, S Liu, CL AF Agarwal, Sumit Chomsisengphet, Souphala Liu, Chunlin TI The Importance of Adverse Selection in the Credit Card Market: Evidence from Randomized Trials of Credit Card Solicitations SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE household finance; adverse selection; credit cards; consumer credit; information asymmetry ID IMPERFECT INFORMATION AB Analyzing unique data from multiple large-scale randomized marketing trials of preapproved credit card solicitations by a large financial institution, we find that consumers responding to the lender's inferior solicitation offers have poorer credit quality attributes. This finding supports the argument that riskier type borrowers are liquidity or credit constrained and, thus, have higher reservation loan interest rates. We also find a more severe deterioration e,v post in the credit quality of the booked accounts of inferior offer types relative to superior offers. After controlling for a cardholder's observable risk attributes, demographic characteristics, and adverse economic shocks, we find that cardholders who responded to the inferior credit card offers are significantly more likely to default ex post. Our results provide evidence on the importance of adverse selection effects in the credit card market. C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL USA. [Liu, Chunlin] Univ Nevada Reno, Dept Finance, Reno, NV USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM sagarwal@frbchi.org RI Agarwal, Sumit/F-4836-2012 NR 13 TC 12 Z9 12 U1 2 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 JUN PY 2010 VL 42 IS 4 BP 743 EP 754 DI 10.1111/j.1538-4616.2010.00305.x PG 12 WC Business, Finance; Economics SC Business & Economics GA 599LL UT WOS:000277914000008 ER PT J AU Atkeson, A Burstein, AT AF Atkeson, Andrew Burstein, Ariel Tomas TI Innovation, Firm Dynamics, and International Trade SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID GROWTH; PRODUCTIVITY; GLOBALIZATION; FRAMEWORK; VARIETY; GAINS; MODEL; SIZE AB We present a general equilibrium model of the response of firms' decisions to operate, innovate, and engage in international trade to a change in the marginal cost of international trade. We find that, although a change in trade costs can have a substantial impact on heterogeneous firms' exit, export, and process innovation decisions, the impact of changes in these decisions on welfare is largely offset by the response of product innovation. Our results suggest that microeconomic evidence on firms' responses to changes in international trade costs may not be informative about the implications of changes in these trade costs for aggregate welfare. C1 [Atkeson, Andrew; Burstein, Ariel Tomas] Univ Calif Los Angeles, Los Angeles, CA 90095 USA. [Atkeson, Andrew] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Atkeson, Andrew; Burstein, Ariel Tomas] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Atkeson, A (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90095 USA. NR 41 TC 82 Z9 82 U1 4 U2 46 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 JUN PY 2010 VL 118 IS 3 BP 433 EP 484 PG 52 WC Economics SC Business & Economics GA 608FU UT WOS:000278569400002 ER PT J AU Rossi-Hansberg, E Sarte, PD Owens, R AF Rossi-Hansberg, Esteban Sarte, Pierre-Daniel Owens, Raymond, III TI Housing Externalities SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID URBAN-RENEWAL; REGRESSION AB Using data compiled from concentrated residential urban revitalization programs implemented in Richmond, Virginia, between 1999 and 2004, we study residential externalities. We estimate that housing externalities decrease by half approximately every 1,000 feet. On average, land prices in neighborhoods targeted for revitalization rose by 2-5 percent at an annual rate above those in a control neighborhood. These increases translate into land value gains of between $2 and $6 per dollar invested in the program over a 6-year period. We provide a simple theory that helps us estimate and interpret these effects in terms of the parameters of the model. C1 [Rossi-Hansberg, Esteban] Princeton Univ, Princeton, NJ 08544 USA. [Sarte, Pierre-Daniel; Owens, Raymond, III] Fed Reserve Bank Richmond, Richmond, VA USA. RP Rossi-Hansberg, E (reprint author), Princeton Univ, Princeton, NJ 08544 USA. NR 24 TC 26 Z9 26 U1 1 U2 19 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 JUN PY 2010 VL 118 IS 3 BP 485 EP 535 PG 51 WC Economics SC Business & Economics GA 608FU UT WOS:000278569400003 ER PT J AU Burke, MA Heiland, FW Nadler, CM AF Burke, Mary A. Heiland, Frank W. Nadler, Carl M. TI From "Overweight" to "About Right": Evidence of a Generational Shift in Body Weight Norms SO OBESITY LA English DT Article ID MASS INDEX; CULTURAL EXPECTATIONS; WAIST CIRCUMFERENCE; SELF-PERCEPTION; UNITED-STATES; OBESITY; THINNESS; HEALTH; WOMEN; RISK AB In this article, we describe differences in the self-perception of weight status in the United States between the two most recent National Health and Nutrition Examination Survey (NHANES) periods (1988-1994 and 1999-2004), and test the hypothesis that secular increases in adult mean BMI, adult obesity, and childhood obesity contributed to changes over time in weight perceptions. We find that the probability of self-classifying as overweight is significantly lower on average in the more recent survey, for both women and men, controlling for objective weight status and other factors. Among women, the decline in the tendency to self-classify as overweight is concentrated in the 17-35 age range, and is more pronounced among women with normal BMI than those with overweight BMI. Among men, the shift away from feeling overweight is roughly equal across age groups. Overweight men exhibit a sharper decline in feeling overweight than normal weight men. Despite the declines in feeling overweight between surveys, weight misperception did not increase significantly for men and decreased by a sizable margin among women. We interpret the findings as evidence of a generational shift in social norms related to body weight. As a result, people may be less likely to desire weight loss than previously, limiting the effectiveness of public health campaigns aimed at weight reduction. On the other hand, there may be health benefits associated with improved body image. C1 [Burke, Mary A.; Nadler, Carl M.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Heiland, Frank W.] CUNY, Baruch Coll, Inst Demog Res, Sch Publ Affairs, New York, NY 10021 USA. [Heiland, Frank W.] Florida State Univ, Ctr Demog & Populat Hlth, Tallahassee, FL 32306 USA. RP Burke, MA (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. EM mary.burke@bos.frb.org NR 27 TC 67 Z9 67 U1 1 U2 15 PU NATURE PUBLISHING GROUP PI NEW YORK PA 75 VARICK ST, 9TH FLR, NEW YORK, NY 10013-1917 USA SN 1930-7381 J9 OBESITY JI Obesity PD JUN PY 2010 VL 18 IS 6 BP 1226 EP 1234 DI 10.1038/oby.2009.369 PG 9 WC Endocrinology & Metabolism; Nutrition & Dietetics SC Endocrinology & Metabolism; Nutrition & Dietetics GA 600RQ UT WOS:000278005300025 PM 19875997 ER PT J AU Krainer, J Spiegel, MM Yamori, N AF Krainer, John Spiegel, Mark M. Yamori, Nobuyoshi TI Asset Price Persistence and Real Estate Market Illiquidity: Evidence from Japanese Land Values SO REAL ESTATE ECONOMICS LA English DT Article ID HOUSING-MARKET; MODEL; LIQUIDATION; LIQUIDITY; DYNAMICS; SEARCH; CYCLES AB We develop an overlapping generations model of the real estate market in which search frictions and a debt overhang combine to generate price persistence and illiquidity. Illiquidity stems from heterogeneity in agent real estate valuations. The variance of agent valuations determines how quickly prices adjust following a shock to fundamentals. We examine the predictions of the model by studying price depreciation in Japanese land values subsequent to the 1990 stock market crash. Commercial land values fell much more quickly than residential land values. As we would posit that the variance of buyer valuations would be greater for residential real estate than for commercial real estate, this model matches the Japanese experience. C1 [Krainer, John; Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Yamori, Nobuyoshi] Nagoya Univ, Sch Econ, Nagoya, Aichi 4648601, Japan. RP Krainer, J (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM john.krainer@sf.frb.org; mark.spiegel@sf.frb.org; yamori@soec.nagoya-u.ac.jp OI Yamori, Nobuyoshi/0000-0002-4145-0476 NR 20 TC 2 Z9 2 U1 0 U2 10 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 SUM PY 2010 VL 38 IS 2 BP 171 EP 196 PG 26 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 600HL UT WOS:000277976000001 ER PT J AU Nakamura, LI AF Nakamura, Leonard I. TI INTANGIBLE ASSETS AND NATIONAL INCOME ACCOUNTING SO REVIEW OF INCOME AND WEALTH LA English DT Article ID SUPERLATIVE INDEX NUMBERS; PRICE INDEXES; GROWTH; OUTPUT; GOODS AB In this paper I relate the measurement of intangibles to the project of measuring the sources of growth. I focus on three related and difficult areas of the measurement of national income: the measurement of new goods, the deflation of intangible investment, and the divergence between the social and private valuations of intangible assets. I argue that the economic theory and practice underlying measurement of these items is currently controversial and incomplete, and I point toward how concretely to move forward. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Nakamura, LI (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Leonard.Nakamura@phil.frb.org NR 58 TC 3 Z9 3 U1 2 U2 10 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 2010 VL 56 SI SI 1 BP S135 EP S155 PG 21 WC Economics SC Business & Economics GA 615XL UT WOS:000279171800007 ER PT J AU Corsetti, G Kuester, K Meier, A Muller, GJ AF Corsetti, Giancarlo Kuester, Keith Meier, Andre Mueller, Gernot J. TI Debt Consolidation and Fiscal Stabilization of Deep Recessions SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 122nd Annual Meeting of the American-Economics-Association CY 2010 CL Atlanta, GA SP Amer Econ Assoc C1 [Corsetti, Giancarlo] European Univ Inst, I-50133 Florence, Italy. [Kuester, Keith] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Meier, Andre] IMF, Washington, DC 20431 USA. [Mueller, Gernot J.] Univ Bonn, D-53113 Bonn, Germany. RP Corsetti, G (reprint author), European Univ Inst, Via Piazzuola 43, I-50133 Florence, Italy. EM giancarlo.corsetti@eui.eu; keith.kuester@phil.frb.org; ameier@imf.org; gernot.mueller@uni-bonn.de OI Corsetti, Giancarlo/0000-0001-8965-9853 NR 5 TC 30 Z9 31 U1 0 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 MAY PY 2010 VL 100 IS 2 BP 41 EP 45 DI 10.1257/aer.100.2.41 PG 5 WC Economics SC Business & Economics GA 605ZN UT WOS:000278389300010 ER PT J AU Ohanian, LE Wright, MLJ AF Ohanian, Lee E. Wright, Mark L. J. TI Capital Flows and Macroeconomic Performance: Lessons from the Golden Era of International Finance SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 122nd Annual Meeting of the American-Economics-Association CY 2010 CL Atlanta, GA SP Amer Econ Assoc C1 [Ohanian, Lee E.; Wright, Mark L. J.] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. [Ohanian, Lee E.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Ohanian, Lee E.] NBER, Cambridge, MA 02138 USA. RP Ohanian, LE (reprint author), Univ Calif Los Angeles, Dept Econ, Box 951477, Los Angeles, CA 90095 USA. EM ohanian@econ.ucla.edu; mlwright@econ.ucla.edu NR 10 TC 3 Z9 3 U1 1 U2 9 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2010 VL 100 IS 2 BP 68 EP 72 DI 10.1257/aer.100.2.68 PG 5 WC Economics SC Business & Economics GA 605ZN UT WOS:000278389300015 ER PT J AU Cavallo, M Landry, A AF Cavallo, Michele Landry, Anthony TI The Quantitative Role of Capital Goods Imports in US Growth SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 122nd Annual Meeting of the American-Economics-Association CY 2010 CL Atlanta, GA SP Amer Econ Assoc C1 [Cavallo, Michele] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. [Landry, Anthony] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Cavallo, M (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM Michele.Cavallo@frb.gov; Anthony.Landry@dal.frb.org NR 5 TC 1 Z9 2 U1 1 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2010 VL 100 IS 2 BP 78 EP 82 DI 10.1257/aer.100.2.78 PG 5 WC Economics SC Business & Economics GA 605ZN UT WOS:000278389300017 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI Mexican Immigrant Employment Outcomes over the Business Cycle SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 122nd Annual Meeting of the American-Economics-Association CY 2010 CL Atlanta, GA SP Amer Econ Assoc ID LABOR-MARKET; UNEMPLOYMENT C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Zavodny, Madeline] Agnes Scott Coll, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM pia.orrenius@dal.frb.org; mzavodny@agnesscott.edu NR 6 TC 7 Z9 7 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2010 VL 100 IS 2 BP 316 EP 320 DI 10.1257/aer.100.2.316 PG 5 WC Economics SC Business & Economics GA 605ZN UT WOS:000278389300061 ER PT J AU Elul, R Souleles, NS Chomsisengphet, S Glennon, D Hunt, R AF Elul, Ronel Souleles, Nicholas S. Chomsisengphet, Souphala Glennon, Dennis Hunt, Robert TI What "Triggers" Mortgage Default? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 122nd Annual Meeting of the American-Economics-Association CY 2010 CL Atlanta, GA SP Amer Econ Assoc C1 [Elul, Ronel; Hunt, Robert] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Souleles, Nicholas S.] Univ Penn, Philadelphia, PA 19104 USA. [Chomsisengphet, Souphala; Glennon, Dennis] Off Comptroller Currency, Washington, DC 20219 USA. RP Elul, R (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. EM ronel.elul@phil.frb.org; souleles@wharton.upenn.edu; souphala.chomsiseng-phet@occ.treas.gov; dennis.glennon@occ.treas.gov; bob.hunt@phil.frb.org NR 11 TC 36 Z9 38 U1 2 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 2010 VL 100 IS 2 BP 490 EP 494 DI 10.1257/aer.100.2.490 PG 5 WC Economics SC Business & Economics GA 605ZN UT WOS:000278389300095 ER PT J AU Agarwal, S Amromin, G Ben-David, I Chomsisengphet, S Evanoff, DD AF Agarwal, Sumit Amromin, Gene Ben-David, Itzhak Chomsisengphet, Souphala Evanoff, Douglas D. TI Learning to Cope: Voluntary Financial Education and Loan Performance during a Housing Crisis SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 122nd Annual Meeting of the American-Economics-Association CY 2010 CL Atlanta, GA SP Amer Econ Assoc C1 [Agarwal, Sumit; Amromin, Gene; Evanoff, Douglas D.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Ben-David, Itzhak] Ohio State Univ, Fisher Coll Business, Columbus, OH 43210 USA. [Chomsisengphet, Souphala] Off Comptroller Currency, Washington, DC 20219 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM sagarwal@frbchi.org; gamromin@frbchi.org; bendavid@fisher.osu.edu; souphala.chomsisen-gphet@occ.treas.gov; devanoff@frbchi.org RI Amromin, Gene/B-7425-2011; Agarwal, Sumit/F-4836-2012; Ben-David, Itzhak/I-3233-2012; OI Ben-David, Itzhak/0000-0001-9743-7441 NR 8 TC 13 Z9 13 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 2010 VL 100 IS 2 BP 495 EP 500 DI 10.1257/aer.100.2.495 PG 6 WC Economics SC Business & Economics GA 605ZN UT WOS:000278389300096 ER PT J AU Faltin-Traeger, O Johnson, KW Mayer, C AF Faltin-Traeger, Oliver Johnson, Kathleen W. Mayer, Christopher TI Issuer Credit Quality and the Price of Asset Backed Securities SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 122nd Annual Meeting of the American-Economics-Association CY 2010 CL Atlanta, GA SP Amer Econ Assoc C1 [Faltin-Traeger, Oliver; Mayer, Christopher] Columbia Business Sch, New York, NY 10027 USA. [Johnson, Kathleen W.] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Faltin-Traeger, O (reprint author), Columbia Business Sch, 3022 Broadway,Uris Hall 311, New York, NY 10027 USA. EM ohf2101@columbia.edu; Kathleen.W.Johnson@frb.gov; cm310@columbia.edu NR 9 TC 4 Z9 4 U1 2 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 2010 VL 100 IS 2 BP 501 EP 505 DI 10.1257/aer.100.2.501 PG 5 WC Economics SC Business & Economics GA 605ZN UT WOS:000278389300097 ER PT J AU Fleming, MJ Hrung, WB Keane, FM AF Fleming, Michael J. Hrung, Warren B. Keane, Frank M. TI Repo Market Effects of the Term Securities Lending Facility SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 122nd Annual Meeting of the American-Economics-Association CY 2010 CL Atlanta, GA SP Amer Econ Assoc C1 [Fleming, Michael J.; Hrung, Warren B.; Keane, Frank M.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Fleming, MJ (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM michael.fleming@ny.frb.org; warren.hrung@ny.frb.org; frank.keane@ny.frb.org NR 12 TC 6 Z9 6 U1 1 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2010 VL 100 IS 2 BP 591 EP 596 DI 10.1257/aer.100.2.591 PG 6 WC Economics SC Business & Economics GA 605ZN UT WOS:000278389300114 ER PT J AU Fisher, JDM Peters, R AF Fisher, Jonas D. M. Peters, Ryan TI Using Stock Returns to Identify Government Spending Shocks SO ECONOMIC JOURNAL LA English DT Article AB This article explores a new approach to identifying government spending shocks which avoids many of the shortcomings of existing approaches. The new approach is to identify government spending shocks with statistical innovations to the accumulated excess returns of large US military contractors. This strategy is used to estimate the dynamic responses of output, hours, consumption and real wages to a government spending shock. We find that positive government spending shocks are associated with increases in output, hours and consumption. Real wages initially decline after a government spending shock and then rise after a year. We estimate the government spending multiplier associated with increases in military spending to be about 1.5 over a horizon of 5 years. C1 [Fisher, Jonas D. M.; Peters, Ryan] Fed Reserve Bank Chicago, Chicago, IL USA. RP Fisher, JDM (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 19 TC 31 Z9 31 U1 1 U2 7 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0133 J9 ECON J JI Econ. J. PD MAY PY 2010 VL 120 IS 544 BP 414 EP 436 DI 10.1111/j.1468-0297.2010.02355.x PG 23 WC Economics SC Business & Economics GA 592UD UT WOS:000277405100005 ER PT J AU Bullard, J AF Bullard, James TI Three Lessons for Monetary Policy from the Panic of 2008 SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB This article is a modified version of a presentation given at the Federal Reserve Bank of Philadelphia's policy forum "Policy Lessons from the Economic and Financial Crisis," December 4, 2009. The presentation was made during a panel discussion that also included John Taylor and N. Gregory Mankiw. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 2 TC 8 Z9 8 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 2010 VL 92 IS 3 BP 155 EP 163 PG 9 WC Business, Finance; Economics SC Business & Economics GA 596QO UT WOS:000277700300001 ER PT J AU Chiodo, AJ Hernandez-Murillo, R Owyang, MT AF Chiodo, Abbigail J. Hernandez-Murillo, Ruben Owyang, Michael T. TI Nonlinear Effects of School Quality on House Prices SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PROPERTY-VALUES; PUBLIC-SCHOOLS; CAPITALIZATION; PERFORMANCE; DISTRICT; ECONOMICS; EDUCATION; SEARCH; IMPACT; MATTER AB We reexamine the relationship between quality of public schools and house prices and find it to be nonlinear. Unlike most studies in the literature, we find that the price premium parents must pay to buy a house in an area associated with a better school increases as school quality increases. This is true even after controlling for neighborhood characteristics, such as the racial composition of neighborhoods, which is also capitalized into house prices. In contrast to previous studies that use the boundary discontinuity approach, we find that the price premium from school quality remains substantially large, particularly for neighborhoods associated with high-quality schools. (JEL C21, 120, R21) C1 [Chiodo, Abbigail J.; Hernandez-Murillo, Ruben; Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. RI Freeman, Lance/B-8774-2009; Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 42 TC 6 Z9 7 U1 0 U2 5 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2010 VL 92 IS 3 BP 185 EP 204 PG 20 WC Business, Finance; Economics SC Business & Economics GA 596QO UT WOS:000277700300004 ER PT J AU Barseghyan, L DiCecio, R AF Barseghyan, Levon DiCecio, Riccardo TI Institutional Causes of Output Volatility SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID ECONOMIC-DEVELOPMENT; CAUSE GROWTH; ENTRY; PRODUCTIVITY; COUNTRIES; GEOGRAPHY; TRADE AB The authors investigate the relationship between the quality of institutions and output volatility. Using instrumental variable regressions, they address whether higher entry barriers and lower property rights protection lead to higher volatility. They find that a 1-standard-deviation increase in entry costs increases the standard deviation of output growth by roughly 40 percent of its average value in the sample. In contrast, property rights protection has no statistically significant effect on volatility. (JEL O11, O17, O43) C1 [Barseghyan, Levon] Cornell Univ, Ithaca, NY 14853 USA. [DiCecio, Riccardo] Fed Reserve Bank St Louis, St Louis, MO USA. RP Barseghyan, L (reprint author), Cornell Univ, Ithaca, NY 14853 USA. RI DiCecio, Riccardo/K-6861-2016 OI DiCecio, Riccardo/0000-0002-3288-8396 NR 45 TC 2 Z9 2 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 MAY-JUN PY 2010 VL 92 IS 3 BP 205 EP 223 PG 19 WC Business, Finance; Economics SC Business & Economics GA 596QO UT WOS:000277700300005 ER PT J AU McGrattan, ER Ohanian, LE AF McGrattan, Ellen R. Ohanian, Lee E. TI DOES NEOCLASSICAL THEORY ACCOUNT FOR THE EFFECTS OF BIG FISCAL SHOCKS? EVIDENCE FROM WORLD WAR II SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID 45 BILLION DOLLARS; US PRIVATE INVESTMENT; MARGINAL TAX RATES; UNITED-STATES; GENERAL EQUILIBRIUM; MISLAID; DEPRESSION; DECADE; OUTPUT AB Much debate surrounds the usefulness of the neoclassical growth model for assessing the macroeconomic impact of fiscal shocks. We test the theory using data from World War II, which is by far the largest fiscal shock in the history of the United States. We take observed changes in fiscal policy during the war as inputs into a parameterized, dynamic general equilibrium model and compare the values of all variables in the model to the actual values of these variables in the data. Our main finding is that the theory quantitatively accounts for macroeconomic activity during this big fiscal shock. C1 [McGrattan, Ellen R.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Univ Calif Los Angeles, Los Angeles, CA USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave,POB 291, Minneapolis, MN 55480 USA. EM erm@ellen.mpls.frb.fed.us NR 41 TC 15 Z9 15 U1 2 U2 15 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2010 VL 51 IS 2 BP 509 EP 532 PG 24 WC Economics SC Business & Economics GA 599NE UT WOS:000277919100011 ER PT J AU Bartolini, L Hilton, S McAndrews, JJ AF Bartolini, Leonardo Hilton, Spence McAndrews, James J. TI Settlement delays in the money market SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Money market trading; Settlement delay; Gridlock equilibria ID MANAGEMENT; LIQUIDITY AB We track 38,000 money market trades from execution to delivery and return, and provide a first empirical analysis of settlement delays in financial markets. In accord with the predictions of recent models of strategic settlement of financial claims, we document a tendency by lenders to delay delivery of loaned funds until the afternoon hours. We find banks to follow a simple strategy to manage the risk of account overdrafts, by delaying settlement of large payments relative to that of small payments. More sophisticated strategies such as increasing delays when own liquid balances are low and when dealing with small trading partners play a marginal role. We find evidence of strategic delay also when returning borrowed funds, although we can explain a smaller fraction of the dispersion in delays in the return than in delivery leg of money market lending. (C) 2009 Elsevier B.V. All rights reserved, C1 [Bartolini, Leonardo; Hilton, Spence; McAndrews, James J.] Fed Reserve Bank New York, New York, NY 10045 USA. RP McAndrews, JJ (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM jamie.mcandrews@ny.frb.org NR 25 TC 5 Z9 5 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAY PY 2010 VL 34 IS 5 BP 934 EP 945 DI 10.1016/j.jbankfin.2009.10.008 PG 12 WC Business, Finance; Economics SC Business & Economics GA 583HX UT WOS:000276665800004 ER PT J AU Lee, D Wolpin, KI AF Lee, Donghoon Wolpin, Kenneth I. TI Accounting for wage and employment changes in the US from 1968-2000: A dynamic model of labor market equilibrium SO JOURNAL OF ECONOMETRICS LA English DT Article DE Male-female wage differential; Wage inequality; College wage premium ID RELATIVE WAGES; SELF-SELECTION; INEQUALITY; SKILL; HETEROGENEITY; RETURNS; DEMAND; GROWTH; MEN AB In this article, we present a unified treatment of and explanation for the evolution of wages and employment in the US over the last 30 years. Specifically, we account for the pattern of changes in wage inequality, for the increased relative wage and employment of women, for the emergence of the college wage premium and for the shift in employment from the goods to the service-producing sector. The underlying theory we adopt is neoclassical, a two-sector competitive labor market economy in which the supply of and demand for labor of heterogeneous skill determines spot market skill rental prices. The empirical approach is structural. The model embeds many of the features that have been posited in the literature to have contributed to the changing US wage and employment structure including skill-biased technical change, capital-skill complementarity, changes in relative product-market prices, changes in the productivity of labor in home production and demographics such as changing cohort size and fertility. (C) 2009 Elsevier B.V. All rights reserved. C1 [Wolpin, Kenneth I.] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Lee, Donghoon] Fed Reserve Bank New York, New York, NY 10038 USA. RP Wolpin, KI (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM wolpink@ssc.upenn.edu NR 31 TC 20 Z9 20 U1 1 U2 18 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAY PY 2010 VL 156 IS 1 BP 68 EP 85 DI 10.1016/j.jeconom.2009.09.008 PG 18 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 590IN UT WOS:000277219000007 ER PT J AU Liu, HY Mroz, TA van der Klaauw, W AF Liu, Haiyong Mroz, Thomas A. van der Klaauw, Wilbert TI Maternal employment, migration, and child development SO JOURNAL OF ECONOMETRICS LA English DT Article DE Education production function; Migration; Maternal Employment; School choice ID NATIONAL LONGITUDINAL SURVEY; SCHOOL QUALITY MATTER; EDUCATION; IDENTIFICATION; OUTCOMES; YOUTH AB We analyze the roles of and interrelationships among school inputs and parental inputs in affecting child development through the specification and estimation of a behavioral model of household migration and maternal employment decisions. We integrate information on these decisions with observations on child outcomes over a 13-year period from the National Longitudinal Study of Youth (NLSY). We find that the impact of our school quality measures diminishes by factors of 2 to 4 after accounting for the fact that families may choose where to live in part based on school characteristics and labor market opportunities. The positive statistical relationship between child outcomes and maternal employment reverses sign and remains statistically significant after controlling for its possible endogeneity. Our estimates imply that when parental responses are taken into account, policy changes in school quality end up having only minor impacts on child test scores. Published by Elsevier B.V. C1 [Liu, Haiyong] E Carolina Univ, Dept Econ, Greenville, NC 27858 USA. [Mroz, Thomas A.] Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA. [van der Klaauw, Wilbert] Fed Reserve Bank New York, New York, NY 10045 USA. RP Liu, HY (reprint author), E Carolina Univ, Dept Econ, Brewster A-439,10th St, Greenville, NC 27858 USA. EM liuh@ecu.edu FU FIC NIH HHS [R01 TW005596]; NICHD NIH HHS [R01 HD047213-02, R01 HD047213-03, R01 HD047213-01A2, R01 HD047213] NR 39 TC 16 Z9 16 U1 0 U2 11 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAY PY 2010 VL 156 IS 1 BP 212 EP 228 DI 10.1016/j.jeconom.2009.09.018 PG 17 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 590IN UT WOS:000277219000015 PM 20440376 ER PT J AU Grochulski, B Piskorski, T AF Grochulski, Borys Piskorski, Tomasz TI Risky human capital and deferred capital income taxation SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Optimal taxation; Private information; Human capital; Deferred tax ID DYNAMIC OPTIMAL TAXATION; HIDDEN INCOME; LIFE-CYCLE; TAXES; CONSUMPTION; INSURANCE; EDUCATION; INVESTMENT; EARNINGS; DESIGN AB We study the structure of optimal wedges and capital taxes in a dynamic Mirrlees economy with endogenous distribution of skills. Human capital is a private, stochastic state variable that drives the skill process of each individual. Building on the findings of the labor literature, we construct a tractable life-cycle model of human capital evolution with risky investment and stochastic depreciation. In this setting, we demonstrate the optimality of (a) a human capital premium, i.e., an excess return on human capital relative to physical capital, (b) a large intertemporal wedge early in the life-cycle, and (c) a non-zero intratemporal wedge even at the top of the skill distribution at all dates except the last date in the life-cycle. The main implication for the structure of optimal linear capital taxes is the necessity of deferred taxation of physical capital. The average marginal tax rate on physical capital held in every period is zero in present value. However, expected capital tax payments do not equal zero in every period. Necessarily, agents face negative expected capital tax payments early in the life-cycle and positive expected capital tax payments late in the life-cycle. (C) 2009 Elsevier Inc. All rights reserved. C1 [Piskorski, Tomasz] Columbia Univ, Columbia Business Sch, New York, NY 10027 USA. [Grochulski, Borys] Fed Reserve Bank Richmond, Richmond, VA USA. RP Piskorski, T (reprint author), Columbia Univ, Columbia Business Sch, Broadway 3022,Uris Hall 810, New York, NY 10027 USA. EM borys.grochulski@rich.frb.org; tp2252@columbia.edu NR 39 TC 12 Z9 12 U1 3 U2 18 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 2010 VL 145 IS 3 BP 908 EP 943 DI 10.1016/j.jet.2009.09.003 PG 36 WC Economics SC Business & Economics GA 596GE UT WOS:000277672300002 ER PT J AU Arellano, C Heathcote, J AF Arellano, Cristina Heathcote, Jonathan TI Dollarization and financial integration SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Exchange rate regime; Borrowing limits; Dollarization; Debt policy ID CURRENCY UNIONS; MONETARY-POLICY; SOVEREIGN DEBT; DEFAULT; RISK; MARKETS; INCOME AB How does a country's exchange rate regime impact its ability to borrow from abroad? We build a small open economy model in which the government responds to shocks by adjusting monetary policy and foreign borrowing. Sovereign borrowing is subject to endogenous limits, which ensure repayment when the default punishment corresponds to financial autarky. Dollarizing implies renouncing monetary policy, but can make access to international debt markets more valuable, thereby loosening borrowing constraints. This mechanism linking dollarization to financial integration is consistent with observed declines in spreads on foreign-currency debt in countries adopting the dollar or the euro. (C) 2009 Elsevier Inc. All rights reserved. C1 [Arellano, Cristina; Heathcote, Jonathan] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Arellano, Cristina] Univ Minnesota, Minneapolis, MN 55455 USA. [Arellano, Cristina] NBER, Cambridge, MA 02138 USA. [Heathcote, Jonathan] CEPR, London, England. RP Heathcote, J (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM heathcote@minneapolisfed.org NR 38 TC 4 Z9 4 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 MAY PY 2010 VL 145 IS 3 BP 944 EP 973 DI 10.1016/j.jet.2009.08.002 PG 30 WC Economics SC Business & Economics GA 596GE UT WOS:000277672300003 ER PT J AU Debortoli, D Nunes, R AF Debortoli, Davide Nunes, Ricardo TI Fiscal policy under loose commitment SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Commitment; No-commitment; Fiscal policy ID MONETARY-POLICY; POSITIVE THEORY; BUSINESS-CYCLE; FACTOR INCOMES; TAX RATES; MODEL; TAXATION; REPUTATION; DISCRETION; RULES AB Due to time-inconsistency or political turnover, policymakers' promises are not always fulfilled. We analyze an optimal fiscal policy problem where the plans made by the benevolent government are periodically revised. In this loose commitment setting, the properties of labor and capital income taxes are significantly different than under the full-commitment and no-commitment assumptions. Because of the occasional reoptimizations, the average capital income tax is positive even in the long-run. Also, the autocorrelation of taxes is lower, their volatility with respect to output increases and the correlation between capital income taxes and output changes sign. Our method can be used to analyze the plausibility and the importance of commitment in a wide-class of dynamic problems. Published by Elsevier Inc. C1 [Debortoli, Davide] Univ Calif San Diego, San Diego, CA 92103 USA. RP Nunes, R (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, 20th & Constitut Ave, Washington, DC 20551 USA. EM ddebortoli@ucsd.edu; ricardo.p.nunes@frb.gov RI nipe, cef/A-4218-2010; Debortoli, Davide/K-5785-2014 OI Debortoli, Davide/0000-0001-8012-1790 NR 34 TC 23 Z9 23 U1 3 U2 11 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2010 VL 145 IS 3 BP 1005 EP 1032 DI 10.1016/j.jet.2009.10.003 PG 28 WC Economics SC Business & Economics GA 596GE UT WOS:000277672300005 ER PT J AU Bodenstein, M AF Bodenstein, Martin TI Trade elasticity of substitution and equilibrium dynamics SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE international business cycle; Multiple equilibria; Real exchange rate ID REAL EXCHANGE-RATES; SMALL OPEN-ECONOMY; RATIONAL-EXPECTATIONS; NONTRADED GOODS; BUSINESS CYCLES; INDEX THEOREM; MODELS; CONSUMPTION; MARKETS AB The empirical literature provides a wide range of estimates for trade elasticities at the aggregate level. Recent contributions in international macroeconomics suggest that low (implied) values of the trade elasticity may play an important role in understanding the disconnect between international prices and real variables. However, a standard model of the international business cycle displays multiple locally isolated equilibria if the trade is sufficiently low. The main contribution of this paper is to compute and characterize some dynamic properties of these equilibria. In simulations, the presence of multiple equilibria is shown to imply a volatile and persistent real exchange rate. (C) 2010 Elsevier Inc. All rights reserved. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Bodenstein, M (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM Martin.R.Bodenstein@frb.gov NR 44 TC 4 Z9 4 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 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2010 VL 145 IS 3 BP 1033 EP 1059 DI 10.1016/j.jet.2010.01.008 PG 27 WC Economics SC Business & Economics GA 596GE UT WOS:000277672300006 ER PT J AU Justiniano, A Preston, B AF Justiniano, Alejandro Preston, Bruce TI Can structural small open-economy models account for the influence of foreign disturbances? SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Small open economy models; International comovement; Structural estimation; Bayesian analysis; Exchange rate disconnect ID INTERNATIONAL-BUSINESS CYCLES; RATE PASS-THROUGH; MONETARY-POLICY; FINANCIAL INTEGRATION; TECHNOLOGY SHOCKS; EXCHANGE-RATES; UNIT-ROOT; FLUCTUATIONS; PRICES; TRADE AB This paper demonstrates that an estimated, structural, small open-economy model of the Canadian economy cannot account for the substantial influence of foreign-sourced disturbances identified in numerous reduced-form studies. The benchmark model assumes uncorrelated shocks across countries and implies that U.S. shocks account for less than 3% of the variability observed in several Canadian series, at all forecast horizons. Accordingly, model-implied cross-correlation functions between Canada and U.S. are essentially zero. Both findings are at odds with the data. A specification that assumes correlated cross-country shocks partially resolves this discrepancy, but still falls well short of matching reduced-form evidence. One central difficulty resides in the model's inability to account for comovement without generating counter factual implications for the real exchange rate, the terms of trade and Canadian inflation. (C) 2010 Published by Elsevier B.V. C1 [Justiniano, Alejandro] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. [Preston, Bruce] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Preston, Bruce] Australian Natl Univ, CAMA, Canberra, ACT 0200, Australia. RP Justiniano, A (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S La Salle St, Chicago, IL 60604 USA. EM ajustiniano@frbchi.org; bp2121@columbia.edu NR 57 TC 30 Z9 30 U1 3 U2 9 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 MAY PY 2010 VL 81 IS 1 BP 61 EP 74 DI 10.1016/j.jinteco.2010.01.001 PG 14 WC Economics SC Business & Economics GA 602XP UT WOS:000278172700006 ER PT J AU Mandelman, FS AF Mandelman, Federico S. TI Business cycles and monetary regimes in emerging economies: A role for a monopolistic banking sector SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Small open economy; Countercyclical bank markups; Exchange rate regimes; Bayesian estimation; balance-sheet effect ID EQUILIBRIUM-ANALYSIS; COMPETITION; RIGIDITY; INDUSTRY; PRICES; ENTRY; TREND; MODEL AB This study shows that the presence of imperfect competition in the banking system propagates external shocks and amplifies the business cycle. Strategic limit pricing, aimed at protecting retail niches from potential competitors, generates countercyclical bank markups. Markup increments during recessions directly increase borrowing costs for firms and indirectly damage the financial position of firms' balance-sheets, increasing the risk perception of lenders. I use Bayesian techniques and data from Argentina to show that the inclusion of monopolistic banking improves the fit of the New Keynesian small open economy model. (C) 2009 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Mandelman, FS (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Federico.Mandelman@atl.frb.org NR 36 TC 12 Z9 12 U1 1 U2 4 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 2010 VL 81 IS 1 BP 122 EP 138 DI 10.1016/j.jinteco.2009.11.002 PG 17 WC Economics SC Business & Economics GA 602XP UT WOS:000278172700011 ER PT J AU Ennis, HM Keister, T AF Ennis, Huberto M. Keister, Todd TI Banking panics and policy responses SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Bank runs; Limited commitment; Time consistency; Suspension of convertibility ID DEPOSIT INSURANCE; RUNS; EQUILIBRIUM; SUSPENSION; LIQUIDITY; CONVERTIBILITY; INCONSISTENCY; DISCRETION; ECONOMIES; MODEL AB When policy makers have limited commitment power, self-fulfilling bank runs can arise as an equilibrium phenomenon. We study how such banking panics unfold in a version of the Diamond and Dybvig (1983) model. A run in this setting is necessarily partial, with only some depositors participating. In addition, a run naturally occurs in waves, with each wave of withdrawals prompting a further response from policy makers. In this way, the interplay between the actions of depositors and the responses of policy makers shapes the course of a crisis. (C) 2010 Elsevier B.V. All rights reserved. C1 [Ennis, Huberto M.] Fed Reserve Bank Richmond, Richmond, VA USA. [Keister, Todd] Fed Reserve Bank New York, New York, NY USA. [Keister, Todd] European Univ Inst, Florence, Italy. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Richmond, VA USA. EM huberto.ennis@rich.frb.org; todd.keister@ny.frb.org RI Keister, Todd/B-5951-2008 NR 32 TC 19 Z9 19 U1 3 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2010 VL 57 IS 4 BP 404 EP 419 DI 10.1016/j.jmoneco.2010.04.005 PG 16 WC Business, Finance; Economics SC Business & Economics GA 604OY UT WOS:000278289600003 ER PT J AU Kuester, K AF Kuester, Keith TI Real price and wage rigidities with matching frictions SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Firm-specific labor; Real rigidities; Phillips curve; Wage rigidity; Bargaining ID MONETARY-POLICY; EQUILIBRIUM UNEMPLOYMENT; INFLATION DYNAMICS; JOB DESTRUCTION; STICKY PRICES; STICKINESS; SEARCH; SHOCKS AB Frictional unemployment means that workers, for some time, are a firm-specific factor of production. This paper models the resulting interaction of wage bargaining and price setting at the firm level in a New Keynesian model with labor market matching frictions. Real rigidities arise and the labor share ceases to be a good proxy for marginal costs. The model replicates the impulse responses of an SVAR for U.S. data better than alternatives in which the real rigidities arising at the firm level are absent. In addition, it implies reasonably low degrees of nominal rigidity whereas the alternatives do not. The interaction of wage and price setting at the firm level is important for the macroeconomic dynamics. (C) 2010 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Kuester, K (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM keith.kuester@phil.frb.org NR 28 TC 7 Z9 7 U1 2 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 MAY PY 2010 VL 57 IS 4 BP 466 EP 477 DI 10.1016/j.jmoneco.2010.04.001 PG 12 WC Business, Finance; Economics SC Business & Economics GA 604OY UT WOS:000278289600008 ER PT J AU Ferrero, A AF Ferrero, Andrea TI A structural decomposition of the US trade balance: Productivity, demographics and fiscal policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Global imbalances; Productivity growth; Demographic trends; Fiscal policy; World real interest rates ID INTERNATIONAL CAPITAL FLOWS; FINANCIAL INTEGRATION; GLOBAL IMBALANCES; INTEREST-RATES; COUNTRIES; DEFICITS; ECONOMY; DEBT AB The US external deficits have been the most striking manifestation of global imbalances. This paper investigates the contribution of productivity growth, demographics and fiscal policy in accounting for the evolution of the US external imbalances against industrialized countries during the last three decades. Productivity growth plays a dominant role. Demographics explain a non-negligible and nearly permanent component of the US trade deficit. Furthermore, the international demographic transition is crucial for large US external imbalances to be consistent with the persistent decline of world real interest rates observed in the data. Fiscal policy is of minor importance. (C) 2010 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Ferrero, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM andrea.ferrero@ny.frb.org NR 36 TC 15 Z9 15 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2010 VL 57 IS 4 BP 478 EP 490 DI 10.1016/j.jmoneco.2010.04.004 PG 13 WC Business, Finance; Economics SC Business & Economics GA 604OY UT WOS:000278289600009 ER PT J AU Ghent, AC Owyang, MT AF Ghent, Andra C. Owyang, Michael T. TI Is housing the business cycle? Evidence from US cities SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Markov switching; Time varying transition probabilities; Leading indicator; Recession ID MONETARY-POLICY; PRICES; STATES AB In a recent paper, Learner (2007) identified housing as an important precursor of the national business cycle. Previous work, on the other hand, has shown that regional cycles may not be synchronous with the aggregate cycle. In this paper, we analyze the relationship between housing and the business cycle at the MSA-level for a set of 51 US cities. We find that declines in house prices are often not followed by declines in that city's employment. While the growth rates in housing variables appeared to slow ahead of city-level peaks, we find no consistent statistical relationship suggesting a city's permits or prices influences its business cycle. in fact, we find that national permits are a better leading indicator for a city's employment than a city's own permits. This suggest the possibility that housing is merely a proxy for other consumption or wealth indicators. (c) 2009 Elsevier Inc. All rights reserved. C1 [Ghent, Andra C.] CUNY Bernard M Baruch Coll, Zicklin Sch Business, Dept Real Estate, New York, NY 10010 USA. [Owyang, Michael T.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Ghent, AC (reprint author), CUNY Bernard M Baruch Coll, Zicklin Sch Business, Dept Real Estate, 17 Lexington Ave, New York, NY 10010 USA. EM andra.ghent@baruch.cuny.edu; owyang@stls.frb.org RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 35 TC 20 Z9 20 U1 2 U2 12 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAY PY 2010 VL 67 IS 3 BP 336 EP 351 DI 10.1016/j.jue.2009.11.001 PG 16 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 567LS UT WOS:000275448900008 ER PT J AU Sasser, AC AF Sasser, Alicia C. TI Voting with their feet: Relative economic conditions and state migration patterns SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE Migration patterns; Relative economic conditions ID UNITED-STATES; RETURN MIGRATION; INTERNAL MIGRATION; AMENITIES; FLOWS AB Over the past decade, state and local policymakers and business leaders across the U.S. have expressed concern regarding the ability to attract and retain skilled workers, given the economic climate of their states compared with other parts of the nation. Examining the factors underlying state-level migration trends is important to determine what role, if any, public policy might play in addressing their potential impact on local labor supply. Using data from the Internal Revenue Service for each of the 48 states in the continental United States from 1977 through 2006, this paper examines the role of three economic factors namely labor market conditions, per capita incomes, and housing affordability in determining domestic state-to-state migration flows. Estimates from a logistic model of out-migration show that while all three measures of relative economic conditions are significant determinants of migration, the magnitude of their impact varies and has changed considerably over time. For example, the importance of per capita income as a determining factor has fallen considerably since the late 1970s, while that of housing affordability has risen. Interestingly, the role of labor market conditions while significant throughout the entire 30-year period was most prominent in the late 1980s and early 1990s. Estimates from the model are used to forecast migration for 2009 for selected states. The results from this exercise are surprisingly accurate when compared to actual state migration patterns for that year. Published by Elsevier B.V. C1 Fed Reserve Bank Boston, New England Publ Policy Ctr, Boston, MA 02205 USA. RP Sasser, AC (reprint author), Fed Reserve Bank Boston, New England Publ Policy Ctr, POB 55882, Boston, MA 02205 USA. EM alicia.sasser@bos.frb.org NR 60 TC 9 Z9 9 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD MAY PY 2010 VL 40 IS 2-3 BP 122 EP 135 DI 10.1016/j.regsciurbeco.2010.02.001 PG 14 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 596EM UT WOS:000277667500005 ER PT J AU Aizenman, J Spiegel, MM AF Aizenman, Joshua Spiegel, Mark M. TI Takeoffs SO REVIEW OF DEVELOPMENT ECONOMICS LA English DT Article ID GROWTH; TRADE AB This paper identifies factors associated with takeoff-a sustained period of high growth following a period of stagnation. Countries that experience takeoffs average 2.3% annual growth following their stagnation episodes, while those that do not average 0%. Using probit, we find that de jure trade openness is positively and significantly associated with takeoffs. A one-standard-deviation increase in de jure trade openness is associated with a 55% increase in the probability of a takeoff in our default specification. Capital account openness encourages takeoff responses, but measures of de facto trade openness are found to be poor predictors of takeoffs. We also examine the determinants of nations achieving "sustained" takeoffs; i.e. those lasting eight years or longer. Takeoffs in countries with more commodity-intensive output bundles are less likely to be sustained, suggesting that adverse terms-of-trade shocks may play a role in ending long-term high growth episodes. C1 [Aizenman, Joshua] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. [Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Aizenman, J (reprint author), Univ Calif Santa Cruz, Dept Econ, E2,1156 High St, Santa Cruz, CA 95064 USA. EM jaizen@ucsc.edu; mark.spiegel@sf.frb.org NR 19 TC 8 Z9 8 U1 0 U2 4 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1363-6669 J9 REV DEV ECON JI Rev. Dev. Econ. PD MAY PY 2010 VL 14 IS 2 BP 177 EP 196 DI 10.1111/j.1467-9361.2010.00546.x PG 20 WC Economics; Planning & Development SC Business & Economics; Public Administration GA 583SR UT WOS:000276700600003 ER PT J AU Goldberg, LS Campa, JM AF Goldberg, Linda S. Campa, Jose Manuel TI THE SENSITIVITY OF THE CPI TO EXCHANGE RATES: DISTRIBUTION MARGINS, IMPORTED INPUTS, AND TRADE EXPOSURE SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID RATE PASS-THROUGH; DYNAMICS; MARKET AB This paper quantifies the relative importance of the different channels of CPI responsiveness to exchange rates and import prices across 21 industrialized economies. The paper provides new and rich cross-country and cross-industry details on the sensitivity to exchange rates of distribution margins; the extent of imported inputs use in different categories of consumption goods; and on their role in consumption of nontradables, home-produced tradables, and imported goods. The dominant channel for CPI sensitivity is through the costs arising from imported input use in goods production. This channel is more important than changes in prices of imported goods directly consumed. C1 [Goldberg, Linda S.] Fed Reserve Bank New York, New York, NY 10045 USA. [Goldberg, Linda S.] NBER, Cambridge, MA 02138 USA. RP Goldberg, LS (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 35 TC 44 Z9 45 U1 2 U2 8 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2010 VL 92 IS 2 BP 392 EP 407 DI 10.1162/rest.2010.11459 PG 16 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 589OL UT WOS:000277160600012 ER PT J AU Zhuang, JJ Wang, AX Zhang, JY AF Zhuang, Jimmy J. Wang, Annie X. Zhang, Joyce Y. TI What users really want to know from university ratings SO NATURE LA English DT Letter C1 [Zhuang, Jimmy J.] Harvard Univ, Dept Mol & Cellular Biol, Cambridge, MA 02138 USA. [Wang, Annie X.] Goodwin Procter, Boston, MA 02109 USA. [Zhang, Joyce Y.] Fed Reserve Bank New York, New York, NY 10038 USA. RP Zhuang, JJ (reprint author), Harvard Univ, Dept Mol & Cellular Biol, Cambridge, MA 02138 USA. EM jzhuang@fas.harvard.edu NR 0 TC 0 Z9 0 U1 0 U2 0 PU NATURE PUBLISHING GROUP PI LONDON PA MACMILLAN BUILDING, 4 CRINAN ST, LONDON N1 9XW, ENGLAND SN 0028-0836 J9 NATURE JI Nature PD APR 22 PY 2010 VL 464 IS 7292 BP 1125 EP 1125 DI 10.1038/4641125c PG 1 WC Multidisciplinary Sciences SC Science & Technology - Other Topics GA 586FR UT WOS:000276891100013 PM 20414288 ER PT J AU Livshits, I MacGee, J Tertilt, M AF Livshits, Igor MacGee, James Tertilt, Michele TI Accounting for the Rise in Consumer Bankruptcies SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID REFORM-ACT; EMPIRICAL-ANALYSIS; DEBT; CREDIT; VARIANCE; EQUITY AB Personal bankruptcies in the United States have increased dramatically, rising from 1.4 per thousand working age adults in 1970 to 8.5 in 2002. We use a heterogeneous agent life-cycle model with competitive lenders to evaluate several commonly offered explanations. We find that increased uncertainty (income shocks, expense uncertainty) cannot account quantitatively for the rise in bankruptcies. Instead, the rise in filings appears mainly to reflect changes in the credit market environment: a decrease in the transaction cost of lending and in the cost of bankruptcy. We also argue that the abolition of usury laws and other legal changes were unimportant. C1 [Livshits, Igor; MacGee, James] Univ Western Ontario, Dept Econ, Social Sci Ctr, London, ON N6A 5C2, Canada. [MacGee, James] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Tertilt, Michele] Stanford Univ, Dept Econ, Stanford, CA 94305 USA. RP Livshits, I (reprint author), Univ Western Ontario, Dept Econ, Social Sci Ctr, London, ON N6A 5C2, Canada. EM livshits@uwo.ca; jmacgee@uwo.ca; tertilt@stanford.edu NR 64 TC 25 Z9 25 U1 2 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD APR PY 2010 VL 2 IS 2 BP 165 EP 193 DI 10.1257/mac.2.2.165 PG 29 WC Economics SC Business & Economics GA 692TF UT WOS:000285177300006 ER PT J AU Davis, SJ Faberman, RJ Haltiwanger, J Jarmin, R Miranda, J AF Davis, Steven J. Faberman, R. Jason Haltiwanger, John Jarmin, Ron Miranda, Javier TI Business Volatility, Job Destruction, and Unemployment SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID MONETARY-POLICY; GREAT MODERATION; UNITED-STATES; EMPLOYMENT; FLUCTUATIONS; AGGREGATE; DYNAMICS; CREATION; SHOCKS; IMPACT AB Unemployment inflows fell from 4 percent of employment per month in the early 1980s to 2 percent by the mid 1990s. Using low frequency movements in. industry-level data, we estimate that a 1 percentage point drop in the quarterly job destruction rate lowers the monthly unemployment inflow rate by 0.28 points. By our estimates, declines in job destruction intensity account for 28 (55) percent of the fall in unemployment inflows from 1982 (1990) to 2005. Slower job destruction accounts for similar fractions of long-term declines in the rate of unemployment. C1 [Davis, Steven J.] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Faberman, R. Jason] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. [Haltiwanger, John] Univ Maryland, Dept Econ, College Pk, MD 20742 USA. [Jarmin, Ron; Miranda, Javier] US Bur Census, Ctr Econ Studies, Wa, DC 20233 USA. RP Davis, SJ (reprint author), Univ Chicago, Booth Sch Business, 5807 S Woodlawn Ave, Chicago, IL 60637 USA. EM Steven.Davis@chicagogsb.edu; Jason.Faberman@phil.frb.org; Haltiwan@econ.umd.edu; ron.s.jarmin@censu.gov; Javier.miranda@census.gov NR 41 TC 15 Z9 15 U1 2 U2 10 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 2010 VL 2 IS 2 BP 259 EP 287 DI 10.1257/mac.2.2.259 PG 29 WC Economics SC Business & Economics GA 692TF UT WOS:000285177300009 ER PT J AU Gruben, WC Welch, JH AF Gruben, William C. Welch, John H. TI IS TIGHTER FISCAL POLICY EXPANSIONARY UNDER FISCAL DOMINANCE?: HYPERCROWDING OUT IN LATIN AMERICA SO CONTEMPORARY ECONOMIC POLICY LA English DT Article AB Hypercrowding out occurs when fiscally dominated governments' domestic credit demands are so intrusive to a nation's financial system that a move toward fiscal surplus lowers interest rates and increases growth. We sample nine Latin American countries to test for these relationships. The impulse-response results of vector error correction models, six nations test positive for these two connections, suggesting market concern despite recent efforts toward fiscal balance. (JEL E430, E620, O230, O540). C1 [Gruben, William C.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Gruben, WC (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM william.c.gruben@dal.frb.org; john.welch-@lehman.com NR 7 TC 0 Z9 0 U1 0 U2 1 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1074-3529 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD APR PY 2010 VL 28 IS 2 DI 10.1111/j.1465-7287.2009.00062.x PG 17 WC Economics; Public Administration SC Business & Economics; Public Administration GA 573LV UT WOS:000275916300003 ER PT J AU Gomis-Porqueras, P Peralta-Alva, A AF Gomis-Porqueras, Pedro Peralta-Alva, Adrian TI Optimal monetary and fiscal policies in a search theoretic model of monetary exchange SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Money; Bargaining; Search; Inflation; Fiscal policy ID MONEY AB Search models of monetary exchange commonly assume that terms of trade in anonymous markets are determined via Nash bargaining, which generally causes monetary equilibrium to be inefficient. Bargaining frictions add to the classical intertemporal distortion present in most monetary models, whereby agents work today to obtain cash that can be used only in future transactions. In this paper, we study the properties of optimal fiscal and monetary policy within the framework of Lagos and Wright (2005). We show that fiscal policy can be implemented to alleviate underproduction while money is still essential. If lump sum monetary transfers are available, a production subsidy can restore the efficiency of monetary equilibria. The Friedman rule belongs to the optimal policy set, but higher inflation rates are also possible. When lump-sum monetary transfers are not available, equilibrium allocations are generally not first-best. Nevertheless, fiscal policy still results in substantial welfare gains. Money can be extracted from circulation via a sales tax on decentralized market activities, and the Friedman rule is only optimal if the buyer has relatively low bargaining power. (C) 2009 Elsevier B.V. All rights reserved. C1 [Gomis-Porqueras, Pedro] Australian Natl Univ, Sch Econ, Canberra, ACT 0200, Australia. [Peralta-Alva, Adrian] Fed Reserve Bank St Louis, St Louis, MO USA. RP Gomis-Porqueras, P (reprint author), Australian Natl Univ, Sch Econ, Canberra, ACT 0200, Australia. EM peregomis@gmail.com RI Gomis Porqueras, Pedro/G-6347-2010 NR 20 TC 7 Z9 7 U1 0 U2 4 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 2010 VL 54 IS 3 BP 331 EP 344 DI 10.1016/j.euroecorev.2009.08.007 PG 14 WC Economics SC Business & Economics GA 580CH UT WOS:000276424000001 ER PT J AU Andersen, TG Benzoni, L AF Andersen, Torben G. Benzoni, Luca TI Do Bonds Span Volatility Risk in the US Treasury Market? A Specification Test for Affine Term Structure Models SO JOURNAL OF FINANCE LA English DT Article ID UNSPANNED STOCHASTIC VOLATILITY; INTEREST-RATE DERIVATIVES; TIME PRICE DISCOVERY; HIGH-FREQUENCY DATA; INTEREST-RATES; MICROSTRUCTURE NOISE; REALIZED VARIANCE; RETURN VOLATILITY; YIELD CURVE; ECONOMETRIC-ANALYSIS AB We propose using model-free yield quadratic variation measures computed from intraday data as a tool for specification testing and selection of dynamic term structure models. We find that the yield curve fails to span realized yield volatility in the U.S. Treasury market, as the systematic volatility factors are largely unrelated to the cross-section of yields. We conclude that a broad class of affine diffusive, quadratic Gaussian, and affine jump-diffusive models cannot accommodate the observed yield volatility dynamics. Hence, the Treasury market per se is incomplete, as yield volatility risk cannot be hedged solely through Treasury securities. C1 [Andersen, Torben G.] Northwestern Univ, Kellogg Sch Management, NBER, Evanston, IL 60208 USA. [Benzoni, Luca] Fed Reserve Bank Chicago, Chicago, IL USA. RP Andersen, TG (reprint author), Northwestern Univ, Kellogg Sch Management, NBER, Evanston, IL 60208 USA. NR 95 TC 12 Z9 14 U1 6 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD APR PY 2010 VL 65 IS 2 BP 603 EP 653 DI 10.1111/j.1540-6261.2009.01546.x PG 51 WC Business, Finance; Economics SC Business & Economics GA 571OC UT WOS:000275761900006 ER PT J AU Gompers, P Kovner, A Lerner, J Scharfstein, D AF Gompers, Paul Kovner, Anna Lerner, Josh Scharfstein, David TI Performance persistence in entrepreneurship SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Private equity; New ventures; Venture capital ID VENTURE; FIRMS AB This paper presents evidence of performance persistence in entrepreneurship. We show that entrepreneurs with a track record of success are much more likely to succeed than first-time entrepreneurs and those who have previously failed. In particular, they exhibit persistence in selecting the right industry and time to start new ventures. Entrepreneurs with demonstrated market timing skill are also more likely to outperform industry peers in their subsequent ventures. This is consistent with the view that if suppliers and customers perceive the entrepreneur to have market timing skill, and is therefore more likely to succeed, they will be more willing to commit resources to the firm. In this way, success breeds success and strengthens performance persistence. (C) 2010 Published by Elsevier B.V. C1 [Gompers, Paul; Lerner, Josh; Scharfstein, David] Harvard Univ, Harvard Sch Business, Soldiers Field, Baker Lib 239, Boston, MA 02163 USA. [Gompers, Paul] NBER, Cambridge, MA 02138 USA. [Kovner, Anna] Fed Reserve Bank New York, New York, NY 10045 USA. RP Scharfstein, D (reprint author), Harvard Univ, Harvard Sch Business, Soldiers Field, Baker Lib 239, Boston, MA 02163 USA. EM dscharfstein@hbs.edu NR 13 TC 67 Z9 67 U1 1 U2 37 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD APR PY 2010 VL 96 IS 1 BP 18 EP 32 DI 10.1016/j.jfineco.2009.11.001 PG 15 WC Business, Finance; Economics SC Business & Economics GA 568XB UT WOS:000275558200002 ER PT J AU Krishnan, CNV Ergungor, OE Laux, PA Singh, AK Zebedee, AA AF Krishnan, C. N. V. Ergungor, O. Emre Laux, Paul A. Singh, Ajai K. Zebedee, Allan A. TI Examining bank SEOs: Are offers made by undercapitalized banks different? SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Bank seasoned equity offers; Undercapitalization; Overcapitalization; Involuntary issues; Voluntary issues; Market reaction; Long run performance; Long-run returns ID SEASONED EQUITY OFFERINGS; STOCK RETURNS; OPERATING PERFORMANCE; MARKET-EFFICIENCY; RISK; FIRMS; ISSUES; ANNOUNCEMENTS; INFORMATION; DECISIONS AB Despite extensive monitoring, banking operations are often considered opaque, and despite explicit capital adequacy regulation, banks may have substantial discretion in their financing. Both monitoring and capital regulation have changed substantially over time, with the adoption of FDICIA being one important breakpoint. This article empirically studies seasoned equity offerings (SEOs) by banks to understand how opacity and capital regulation interact to determine the timing of bank SEOs and their market valuation. SEOs both by banks that are undercapitalized relative to regulatory standards and also well-capitalized banks are fully discretionary when it comes to SEOs, even before FDICIA. Both undercapitalized and well-capitalized banks experience similar and significantly negative stock price reactions to SEO announcements, and also have similar prior patterns of insider trading and similar economic drivers of the issuance decision. Moreover, post-SEO abnormal stock returns are similar to benchmark returns for both types of issuers in the long run, suggesting that, contrary to the well-documented evidence for industrial SEOs, investors understand the value implications of bank SEOs upon announcement. The evidence implies that undercapitalized banks' SEOs are more discretionary and that all bank SEOs are less opaque than implied by earlier studies. (C) 2009 Elsevier Inc. All rights reserved. C1 [Krishnan, C. N. V.; Singh, Ajai K.] Case Western Reserve Univ, Weatherhead Sch Management, Cleveland, OH 44106 USA. [Ergungor, O. Emre] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Laux, Paul A.] Univ Delaware, Newark, DE 19716 USA. [Zebedee, Allan A.] Clarkson Univ, Potsdam, NY 13676 USA. RP Krishnan, CNV (reprint author), Case Western Reserve Univ, Weatherhead Sch Management, Cleveland, OH 44106 USA. EM cnk2@cwru.edu; Ozgur.E.Ergungor@clev.frb.org; laux@udel.edu; ajai.singh@case.edu; azebedee@clarkson.edu OI Laux, Paul/0000-0002-2410-2488 NR 47 TC 4 Z9 4 U1 3 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 APR PY 2010 VL 19 IS 2 BP 207 EP 234 DI 10.1016/j.jfi.2009.02.002 PG 28 WC Business, Finance SC Business & Economics GA 581KS UT WOS:000276522000004 ER PT J AU Benzoni, L Schenone, C AF Benzoni, Luca Schenone, Carola TI Conflict of interest and certification in the US IPO market SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Conflict of interest; Certification; Lending relationships; IPOs; Glass-Steagall Act ID INITIAL PUBLIC OFFERINGS; ABNORMAL STOCK RETURNS; LONG-RUN PERFORMANCE; INVESTMENT BANKING; PRICE PERFORMANCE; COMMERCIAL-BANKS; ISSUES PUZZLE; SECURITIES; REPUTATION; EFFICIENCY AB We examine the long-term return performance of U.S. IPOs underwritten by relationship banks. We show that, over one- to three-year horizons, IPOs managed by relationship banks experience buy-and-hold benchmark-adjusted returns that are similar to those observed for a matching sample of stocks managed by non-relationship underwriters. This result holds even when the returns' skewness and cross-sectional correlation is accounted for. Further, we examine the calendar-time returns on a portfolio that is long the stocks underwritten by relationship banks and short ex-ante similar stocks taken public by non-relationship institutions. Again, we conclude that the two groups of IPOs yield similar long-run returns. These findings support the certification role of relationship banks and suggest that, in this respect, the effect of the 1999 repeal of Sections 20 and 32 of the Glass-Steagall Act has not been negative. (C) 2009 Elsevier Inc. All rights reserved. C1 [Benzoni, Luca] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Schenone, Carola] Univ Virginia, McIntire Sch, Charlottesville, VA 22904 USA. RP Benzoni, L (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM lbenzoni@frbchi.org; schenone@virginia.edu NR 46 TC 3 Z9 3 U1 2 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2010 VL 19 IS 2 BP 235 EP 254 DI 10.1016/j.jfi.2009.02.003 PG 20 WC Business, Finance SC Business & Economics GA 581KS UT WOS:000276522000005 ER PT J AU Dennis, R AF Dennis, Richard TI When is discretion superior to timeless perspective policymaking? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Discretion; Timeless perspective; Policy evaluation ID OPTIMAL MONETARY-POLICY; MODELS; UNCERTAINTY; COMMITMENT AB The monetary policy literature assumes increasingly that policy is formulated according to the timeless perspective (Woodford, 1999a). However, by treating appropriately the auxiliary state variables that characterize the timeless perspective equilibrium when evaluating policy performance, this paper shows that discretionary policymaking can be superior to timeless perspective policymaking and identifies model features that make this outcome more likely. Using standard New Keynesian DSGE models, discretion is found to dominate timeless perspective policymaking when the price/wage Phillips curves are relatively flat, due, perhaps, to firm-specific capital (or labor) and/or Kimball (1995) aggregation in combination with nominal rigidities. These results suggest that studies applying the timeless perspective might also usefully compare its performance to discretion, paying careful attention to how policy performance is evaluated. (C) 2010 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. EM richard.dennis@sf.frb.org NR 35 TC 12 Z9 12 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2010 VL 57 IS 3 BP 266 EP 277 DI 10.1016/j.jmoneco.2010.02.006 PG 12 WC Business, Finance; Economics SC Business & Economics GA 594HW UT WOS:000277528300002 ER PT J AU Gust, C Leduc, S Vigfusson, R AF Gust, Christopher Leduc, Sylvain Vigfusson, Robert TI Trade integration, competition, and the decline in exchange-rate pass-through SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Pass-through; Trade integration ID PRICING-TO-MARKET; MONETARY-POLICY; PRICES; MODELS AB Over the past 20 years, U.S. import prices have become less responsive to the exchange rate. We propose that a significant portion of this decline is a result of increased trade integration. To illustrate this effect, we develop an open economy DGE model featuring demand curves with variable elasticities so that a firm's pricing decision depends on its competitors' prices. As a result, a foreign exporter finds it optimal to vary its markup in response to shocks that change the exchange rate, insulating import prices from exchange rate movements. With increased trade integration, exporters have become more responsive to the prices of their competitors, explaining a sizeable portion of the observed decline in the sensitivity of U.S import prices to the exchange rate. Published by Elsevier B.V. C1 [Leduc, Sylvain] Fed Reserve Bank San Francisco, San Francisco, CA USA. EM robert.j.vigfusson@frb.gov NR 35 TC 29 Z9 29 U1 3 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 APR PY 2010 VL 57 IS 3 BP 309 EP 324 DI 10.1016/j.jmoneco.2010.02.001 PG 16 WC Business, Finance; Economics SC Business & Economics GA 594HW UT WOS:000277528300005 ER PT J AU Bech, ML Chapman, JTE Garratt, RJ AF Bech, Morten L. Chapman, James T. E. Garratt, Rodney J. TI Which bank is the "central" bank? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Payment systems; Networks; Liquidity ID APPROXIMATIONS; LIQUIDITY AB Liquidity flows through a financial network cannot be accurately described using external processing constraints alone. Behavioral aspects of participants also matter. A method similar to Google's PageRank procedure is used to produce a ranking of participants in the Canadian Large Value Transfer System in terms of their daily liquidity holdings. Accounting for differences in banks' processing speeds is essential for explaining why observed distributions of liquidity differ from the initial distributions, which are determined by the credit limits selected by banks. Delay tendencies of banks are unobservable in the data and are estimated using a Markov model. Crown Copyright (C) 2010 Published by Elsevier B.V. All rights reserved. C1 [Chapman, James T. E.] Bank Canada, Ottawa, ON K1A 0G9, Canada. [Bech, Morten L.] Fed Reserve Bank New York, New York, NY USA. [Garratt, Rodney J.] Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. RP Chapman, JTE (reprint author), Bank Canada, 234 Wellington St, Ottawa, ON K1A 0G9, Canada. EM Morten.Bech@ny.frb.org; jchapman@bank-banque-canada.ca; garratt@econ.ucsb.edu NR 25 TC 10 Z9 10 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2010 VL 57 IS 3 BP 352 EP 363 DI 10.1016/j.jmoneco.2010.01.002 PG 12 WC Business, Finance; Economics SC Business & Economics GA 594HW UT WOS:000277528300008 ER PT J AU Peralta-Alva, A Santos, MS AF Peralta-Alva, Adrian Santos, Manuel S. TI PROBLEMS IN THE NUMERICAL SIMULATION OF MODELS WITH HETEROGENEOUS AGENTS AND ECONOMIC DISTORTIONS SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 24th Annual Congress of the European-Economic-Association CY AUG 23-27, 2009 CL Barcelona, SPAIN SP European Econ Assoc ID STATIONARY MARKOV EQUILIBRIA; RATIONAL-EXPECTATIONS; INCOMPLETE MARKETS AB Our work has been concerned with the numerical simulation of dynamic economies with heterogeneous agents and economic distortions. Recent research has drawn attention to inherent difficulties in the computation of competitive equilibria for these economies: A continuous Markovian solution may fail to exist, and some commonly used numerical algorithms may not deliver accurate approximations. We consider a reliable algorithm set forth in Feng et al. ( 2009), and discuss problems related to the existence and computation of Markovian equilibria, as well as convergence and accuracy properties. We offer new insights into numerical simulation. (JEL: C6, D5, E2) C1 [Peralta-Alva, Adrian] Fed Reserve Bank St Louis, St Louis, MO USA. [Santos, Manuel S.] Univ Miami, Coral Gables, FL 33124 USA. RP Peralta-Alva, A (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM aperalta@stls.frb.org; msantos@exchange.sba.miami.edu NR 16 TC 5 Z9 5 U1 1 U2 2 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 APR-MAY PY 2010 VL 8 IS 2-3 BP 617 EP 625 DI 10.1111/j.1542-4774.2010.tb00531.x PG 9 WC Economics SC Business & Economics GA 580PD UT WOS:000276460500028 ER PT J AU Bullard, J Evans, GW Honkapohja, S AF Bullard, James Evans, George W. Honkapohja, Seppo TI A MODEL OF NEAR-RATIONAL EXUBERANCE SO MACROECONOMIC DYNAMICS LA English DT Article DE Learning; Expectations; Excess Volatility; Bounded Rationality ID MONETARY-POLICY; CONSISTENT EXPECTATIONS; STOCK-PRICES; CONVERGENCE; EQUILIBRIA; STABILITY; JUDGMENT AB We study how the use of judgment or "add-factors" in forecasting may disturb the set of equilibrium outcomes when agents learn by using recursive methods. We isolate conditions under which new phenomena, which we call exuberance equilibria, can exist in a standard self-referential environment. Local indeterminacy is not a requirement for existence. We construct a simple asset-pricing example and find that exuberance equilibria, when they exist, can be extremely volatile relative to fundamental equilibria. C1 [Evans, George W.] Univ Oregon, Dept Econ, Eugene, OR 97403 USA. [Bullard, James] Fed Reserve Bank St Louis, St Louis, MO USA. [Evans, George W.] Univ St Andrews, St Andrews KY16 9AJ, Fife, Scotland. [Honkapohja, Seppo] Bank Finland, Helsinki, Finland. RP Evans, GW (reprint author), Univ Oregon, Dept Econ, Eugene, OR 97403 USA. EM gevans@uoregon.edu RI Evans, George/H-8051-2012; Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 34 TC 8 Z9 8 U1 0 U2 3 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2010 VL 14 IS 2 BP 166 EP 188 DI 10.1017/S1365100509090208 PG 23 WC Economics SC Business & Economics GA 580WW UT WOS:000276482300002 ER PT J AU Garrett, T Rhine, R AF Garrett, Thomas Rhine, Russell TI Government growth and private contributions to charity SO PUBLIC CHOICE LA English DT Article DE Government spending; Charity; Growth; Crowding out ID UNIT-ROOT; IMPURE ALTRUISM; PANEL-DATA; DONATIONS; CROWD; COINTEGRATION; HYPOTHESIS; TRANSFERS; INCOME; TESTS AB We exploit the time-series properties of charitable giving to provide additional insights into the relationship between charitable contributions and government spending. Cointegration tests reveal a significant long-run relationship between several categories of charitable giving and government spending. Granger causality tests provide evidence on the short-run giving and spending relationship. Evidence suggests that charitable contributions to education respond quite differently to state and local government education expenditures versus federal government expenditures. We argue that the government spending and charitable giving relationship depends on the source of government revenue, how this revenue is used, and the rational ignorance of private donors. C1 [Garrett, Thomas] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. [Rhine, Russell] St Marys Coll Maryland, St Marys City, MD 20686 USA. RP Garrett, T (reprint author), Fed Reserve Bank St Louis, 411 Locust St, St Louis, MO 63102 USA. EM tom.a.garrett@stls.frb.org NR 40 TC 4 Z9 4 U1 2 U2 10 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0048-5829 J9 PUBLIC CHOICE JI Public Choice PD APR PY 2010 VL 143 IS 1-2 BP 103 EP 120 DI 10.1007/s11127-009-9492-1 PG 18 WC Economics; Political Science SC Business & Economics; Government & Law GA 574LD UT WOS:000275989800005 ER PT J AU Grochulski, B AF Grochulski, Borys TI Optimal personal bankruptcy design under moral hazard SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Bankruptcy; Unsecured credit; Moral hazard ID DYNAMIC OPTIMAL TAXATION; CONSUMER BANKRUPTCY; FRESH-START; UNEMPLOYMENT-INSURANCE; GENERAL EQUILIBRIUM; PRIVATE INFORMATION; DEFAULT; CREDIT; MARKETS; MODEL AB In this paper. we develop a normative theory of unsecured consumer credit and personal bankruptcy based on the optimal trade-off between incentives and insurance. First, in order to characterize this trade-off, we solve a dynamic moral hazard problem in which agents' private effort decisions influence the life-cycle profiles of their earnings. We then show how the optimal allocation of individual effort and consumption can be implemented in a market equilibrium in which (i) agents and intermediaries repeatedly trade secured and unsecured debt instruments, and (ii) agents obtain (restricted) discharge of their unsecured debts in bankruptcy. The structure of this equilibrium and the associated restrictions on debt discharge closely match the main qualitative features of personal credit markets and bankruptcy law that actually exist in the United States. (C) 2009 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Grochulski, B (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. EM borys.grochulski@rich.frb.org NR 46 TC 3 Z9 3 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 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2010 VL 13 IS 2 BP 350 EP 378 DI 10.1016/j.red.2009.06.004 PG 29 WC Economics SC Business & Economics GA 568AI UT WOS:000275492700005 ER PT J AU Armenter, R Ortega, F AF Armenter, Roc Ortega, Francesc TI Credible redistributive policies and migration across US states SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Labor mobility; Redistribution; Credible policies ID SOCIAL INSURANCE; LABOR MOBILITY; TAXATION; EXPENDITURES; EDUCATION; WORKERS; TIEBOUT AB We ask whether worker mobility has undermined the ability of U.S. states to redistribute income. We build a tractable model where both migration decisions and redistribution policies are jointly determined. Our model features a large number of heterogeneous regions and skilled and unskilled workers with idiosyncratic migration costs. The calibrated model is able to account for the main features of interstate migration, as well as some qualitative features of the cross-sectional distribution of redistributive policies. We conduct a counterfactual experiment in order to isolate the effect of worker mobility on state-level redistributive policies. We find that migration has induced substantial convergence in tax rates across U.S. states, but no race to the bottom. interestingly, the degree of convergence has been much lower for transfers due to an offsetting tax-base effect. (C) 2010 Elsevier Inc. All rights reserved. C1 [Armenter, Roc] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Ortega, Francesc] Univ Pompeu Fabra, Barcelona, Spain. RP Armenter, R (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM roc.armenter@phil.frb.org NR 34 TC 5 Z9 5 U1 1 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2010 VL 13 IS 2 BP 403 EP 423 DI 10.1016/j.red.2010.02.001 PG 21 WC Economics SC Business & Economics GA 568AI UT WOS:000275492700007 ER PT J AU Cuadra, G Sanchez, JM Sapriza, H AF Cuadra, Gabriel Sanchez, Juan M. Sapriza, Horacio TI Fiscal policy and default risk in emerging markets SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Procyclical fiscal policy; Sovereign default risk; Endogenous borrowing constraints ID SMALL OPEN-ECONOMY; BUSINESS CYCLES; INTEREST-RATES; OPTIMAL MATURITY; DEBT; COUNTRIES; UNCERTAINTY; SPREADS; MODELS; TAX AB Emerging market economies typically exhibit a procyclical fiscal policy: public expenditures rise (fall) in economic expansions (recessions). whereas tax rates rise (fall) in bad (good) times. Additionally, the business cycle of these economies is characterized by countercyclical default risk. In this paper we develop a quantitative dynamic stochastic small open economy model with incomplete markets, endogenous fiscal policy and sovereign default where public expenditures and tax rates are optimally procyclical. The model also accounts for the dynamics of other key macroeconomic variables in emerging economies. (C) 2009 Elsevier Inc. All rights reserved. C1 [Cuadra, Gabriel] Direcc Gen Inv Econ, Banco De Mexico, Mexico. [Sanchez, Juan M.] Fed Reserve Bank Richmond, Richmond, VA USA. [Sapriza, Horacio] Fed Reserve Syst, Board Governors, Washington, DC USA. [Sapriza, Horacio] Rutgers State Univ, Piscataway, NJ 08855 USA. RP Cuadra, G (reprint author), Direcc Gen Inv Econ, Banco De Mexico, Mexico. EM gcuadra@banxico.org.mx; juan.m.sanchez@rich.frb.org; hsapriza@andromeda.rutgers.edu RI Sanchez, Juan/I-5752-2016 OI Sanchez, Juan/0000-0003-0048-9128 NR 50 TC 19 Z9 19 U1 2 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2010 VL 13 IS 2 BP 452 EP 469 DI 10.1016/j.red.2009.07.002 PG 18 WC Economics SC Business & Economics GA 568AI UT WOS:000275492700009 ER PT J AU Rubio-Ramirez, JF Waggoner, DF Zha, T AF Rubio-Ramirez, Juan F. Waggoner, Daniel F. Zha, Tao TI Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID MONETARY-POLICY; COVARIANCE RESTRICTIONS; MODELS; SHOCKS; MACROECONOMICS; NORMALIZATION; FLUCTUATIONS; OUTPUT AB Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide stylized facts for dynamic stochastic general equilibrium (DSGE) models; yet no workable rank conditions to ascertain whether an SVAR is globally identified have been established. Moreover, when nonlinear identifying restrictions are used, no efficient algorithms exist for small-sample estimation and inference. This paper makes four contributions towards filling these important gaps in the literature. First, we establish general rank conditions for global identification of both identified and exactly identified models. These rank conditions are sufficient for general identification and are necessary and sufficient for exact identification. Second, we show that these conditions can be easily implemented and that they apply to a wide class of identifying restrictions, including linear and certain nonlinear restrictions. Third, we show that the rank condition for exactly identified models amounts to a straightforward counting exercise. Fourth, we develop efficient algorithms for small-sample estimation and inference, especially for SVARs with nonlinear restrictions. C1 [Rubio-Ramirez, Juan F.; Waggoner, Daniel F.] Duke Univ, Durham, NC 27706 USA. [Rubio-Ramirez, Juan F.; Waggoner, Daniel F.; Zha, Tao] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Zha, Tao] Emory Univ, Atlanta, GA 30322 USA. RP Rubio-Ramirez, JF (reprint author), Duke Univ, Durham, NC 27706 USA. NR 58 TC 72 Z9 78 U1 2 U2 13 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 APR PY 2010 VL 77 IS 2 BP 665 EP 696 DI 10.1111/j.1467-937X.2009.00578.x PG 32 WC Economics SC Business & Economics GA 558BW UT WOS:000274716300008 ER PT J AU Cox, WM Ruffin, RJ AF Cox, W. Michael Ruffin, Roy J. TI Variety, Globalization, and Social Efficiency SO SOUTHERN ECONOMIC JOURNAL LA English DT Article ID OPTIMUM PRODUCT DIVERSITY; MONOPOLISTIC COMPETITION; INTERNATIONAL-TRADE; RETURNS; MODEL AB The standard formal presentation of the Dixit-Stiglitz-Krugman (DSK) model of monopolistic competition with a constant-elasticity-of-substitution (CES) utility function supposes a sufficient number of firms so that the elasticity of demand facing each variety is approximated by a constant elasticity of substitution. Such a formulation forces economies of scale to be frozen so that firm size never changes. We use a Bertrand-Nash interpretation of the equilibrium that allows the elasticity of demand facing each variety to depend on the number of varieties, thus allowing the gains from globalization to reflect both the increase in variety and the exploitation of economies of scale. We also develop a precise expression for per capita real income with any number of sectors and examine the age-old question of the socially optimal number of varieties. C1 [Cox, W. Michael] So Methodist Univ, ONeil Ctr Global Markets & Freedom, Edwin L Cox Sch Business, Dallas, TX 75205 USA. [Cox, W. Michael] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. [Ruffin, Roy J.] Univ Houston, Dept Econ, Houston, TX 77204 USA. RP Cox, WM (reprint author), So Methodist Univ, ONeil Ctr Global Markets & Freedom, Edwin L Cox Sch Business, 6212 Bishop Blvd, Dallas, TX 75205 USA. EM wmcox@cox.smu.edu; rruffin@uh.edu NR 25 TC 3 Z9 3 U1 1 U2 4 PU UNIV NORTH CAROLINA PI CHAPEL HILL PA SOUTHERN ECONOMIC JOURNAL, CHAPEL HILL, NC 27514 USA SN 0038-4038 J9 SOUTH ECON J JI South. Econ. J. PD APR PY 2010 VL 76 IS 4 BP 1064 EP 1075 DI 10.4284/sej.2010.76.4.1064 PG 12 WC Economics SC Business & Economics GA 589XV UT WOS:000277188400012 ER PT J AU Yi, KM AF Yi, Kei-Mu TI Can Multistage Production Explain the Home Bias in Trade? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID NATIONAL BORDERS MATTER; INTERNATIONAL-TRADE; VERTICAL SPECIALIZATION; EUROPEAN-UNION; WORLD-TRADE; MODEL; CANADA; GROWTH; COSTS; GRAVITY AB A large empirical literature finds that there is too little international trade and too much intranational trade to be rationalized by observed international trade costs, such as tariffs and transport costs. This paper investigates whether a model in which the nature of production can change in response to trade costs a framework with multistage production can better explain the home bias in trade. The calibrated model can explain about two-fifths of the Canada border effect, about two-and-one-half times that of a model with one production stage. The model also explains a significant fraction of Canada-US "backand-forth," or vertical specialization, trade. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Yi, KM (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Kei-Mu.Yi@phil.frb.org NR 44 TC 28 Z9 28 U1 4 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAR PY 2010 VL 100 IS 1 BP 364 EP 393 DI 10.1257/aer.100.1.364 PG 30 WC Economics SC Business & Economics GA 582EW UT WOS:000276580100013 ER PT J AU Farmer, REA Waggoner, DF Zha, T AF Farmer, Roger E. A. Waggoner, Daniel F. Zha, Tao TI Generalizing the Taylor Principle: Comment SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID RATIONAL-EXPECTATIONS MODELS; US MONETARY-POLICY C1 [Farmer, Roger E. A.] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. [Waggoner, Daniel F.; Zha, Tao] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Zha, Tao] Emory Univ, Atlanta, GA 30322 USA. RP Farmer, REA (reprint author), Univ Calif Los Angeles, Dept Econ, 8283 Bunche Hall,Box 951477, Los Angeles, CA 90095 USA. NR 8 TC 10 Z9 10 U1 0 U2 3 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 MAR PY 2010 VL 100 IS 1 BP 608 EP 617 DI 10.1257/aer.100.1.608 PG 10 WC Economics SC Business & Economics GA 582EW UT WOS:000276580100025 ER PT J AU Davig, T Leeper, EM AF Davig, Troy Leeper, Eric M. TI Generalizing the Taylor Principle: Reply SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID MONETARY-POLICY C1 [Davig, Troy] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Leeper, Eric M.] Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. [Leeper, Eric M.] NBER, Cambridge, MA 02138 USA. RP Davig, T (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64198 USA. EM Troy.Davig@kc.frb.org; eleeper@indiana.edu NR 19 TC 1 Z9 1 U1 0 U2 1 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 MAR PY 2010 VL 100 IS 1 BP 618 EP 624 DI 10.1257/aer.100.1.618 PG 7 WC Economics SC Business & Economics GA 582EW UT WOS:000276580100026 ER PT J AU Elsby, MWL Hobijn, B Sahin, A AF Elsby, Michael W. L. Hobijn, Bart Sahin, Ayseguel TI The Labor Market in the Great Recession SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID UNEMPLOYMENT-INSURANCE; DISPLACED WORKERS; CYCLICAL BEHAVIOR; EARNINGS LOSSES; BUSINESS-CYCLE; JOB; DURATION; FLUCTUATIONS; SPELLS; BENEFITS AB From the perspective of a wide range of labor market outcomes, the recession that began in 2007 represents the deepest downturn in the postwar era. Early on, the nature of labor market adjustment displayed a notable resemblance to that observed in past severe downturns. During the latter half of 2009, however, the path of adjustment exhibited important departures from that seen during and after prior deep recessions. Recent data point to two warning signs going forward. First, the record rise in long-term unemployment may yield a persistent residue of long-term unemployed workers with weak search effectiveness. Second, conventional estimates suggest that the extension of Emergency Unemployment Compensation may have led to a modest increase in unemployment. Despite these forces, we conclude that the problems facing the U.S. labor market are unlikely to be as severe as the European unemployment problem of the 1980s. C1 [Elsby, Michael W. L.] Univ Michigan, Ann Arbor, MI 48109 USA. [Hobijn, Bart] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. RP Elsby, MWL (reprint author), Univ Michigan, Ann Arbor, MI 48109 USA. RI Villena, Benjamin/D-6996-2012 OI Villena, Benjamin/0000-0002-2780-0214 NR 112 TC 75 Z9 75 U1 0 U2 15 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 2010 BP 1 EP 69 PG 69 WC Economics SC Business & Economics GA 648KS UT WOS:000281693200001 ER PT J AU Nakov, A Pescatori, A AF Nakov, Anton Pescatori, Andrea TI Oil and the Great Moderation SO ECONOMIC JOURNAL LA English DT Article ID SYSTEMATIC MONETARY-POLICY; BUSINESS-CYCLE; MACROECONOMIC STABILITY; BAYESIAN-APPROACH; PRICE SHOCKS; US ECONOMY; MODELS; INFLATION; BEHAVIOR; ENERGY AB We assess the extent to which the greater US macroeconomic stability since the mid-1980s can be accounted for by changes in oil shocks and the oil elasticity of gross output. We estimate a DSGE model and perform counterfactual simulations. We nest two popular explanations for the Great Moderation: smaller (non-oil\link real shocks and better monetary policy. We find that oil played an important role in the stabilisation. Around half of the reduced volatility of inflation is explained by better monetary policy alone, and 57% of the reduced volatility of GDP growth is attributed to smaller TFP shocks. Oil related effects explain around a third. C1 Fed Reserve Bank Cleveland, Cleveland, OH USA. NR 56 TC 29 Z9 29 U1 2 U2 10 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 2010 VL 120 IS 543 BP 131 EP 156 DI 10.1111/j.1468-0297.2009.02302.x PG 26 WC Economics SC Business & Economics GA 553TC UT WOS:000274388700005 ER PT J AU Burdett, K Smith, E AF Burdett, Ken Smith, Eric TI Price distributions and competition SO ECONOMICS LETTERS LA English DT Article DE Search; Price dispersion; Market leader; Competitive fringe ID DISPERSION; INTERNET; MARKETS; SEARCH; MODEL AB This paper utilizes an equilibrium search model to investigate market structure and price dispersion. In a market with one large firm and a competitive fringe, the large firm offers the highest price. Fringe firms offer a distribution of lower prices. (c) 2009 Elsevier B.V. All rights reserved. C1 [Burdett, Ken] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. [Smith, Eric] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Smith, Eric] Univ Essex, Dept Econ, Colchester CO4 3SQ, Essex, England. RP Burdett, K (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM kennethb@ssc.upenn.edu; esmith@essex.ac.uk NR 13 TC 1 Z9 1 U1 0 U2 1 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD MAR PY 2010 VL 106 IS 3 BP 180 EP 183 DI 10.1016/j.econlet.2009.11.014 PG 4 WC Economics SC Business & Economics GA 572RA UT WOS:000275849300010 ER PT J AU Wheelock, DC AF Wheelock, David C. TI Lessons Learned? Comparing the Federal Reserve's Responses to the Crises of 1929-1933 and 2007-2009 SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID LIQUIDITY AB The financial crisis of 2007-09 is widely viewed as the worst financial disruption since the Great Depression of 1929-33. However, the accompanying economic recession was mild compared with the Great Depression, though severe by postwar standards. Aggressive monetary, fiscal, and financial policies are widely credited with limiting the impact of the recent financial crisis on the broader economy. This article compares the Federal Reserve's responses to the financial crises of 1929-33 and 2007-09, focusing on the effects of the Fed's actions on the composition and size of the Fed balance sheet, the monetary base, and broader monetary aggregates. The Great Depression experience showed that central banks should respond aggressively to financial crises to prevent a collapse of the money stock and price level. The modern Fed appears to have learned this lesson; however, some critics argue that, in focusing on the allocation of credit, the Fed was too slow to increase the monetary base. The Fed's response to the financial crisis has raised new questions about the appropriate role of a lender of last resort and the long-run implications of actions that limit financial losses for individual firms and markets. (JEL E31, E32, E52, E58, N12) C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 31 TC 8 Z9 8 U1 0 U2 12 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2010 VL 92 IS 2 BP 89 EP 107 PG 19 WC Business, Finance; Economics SC Business & Economics GA 570NF UT WOS:000275684300001 ER PT J AU Garrett, TA Kozak, AF Rhine, RM AF Garrett, Thomas A. Kozak, Andrew F. Rhine, Russell M. TI Institutions and Government Growth: A Comparison of the 1890s and the 1930s SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RATIONAL THEORY; PRESSURE GROUPS; SIZE; COMPETITION AB Statistics on the size and growth of the U.S. federal government, in addition to public statements by President Franklin Roosevelt, seem to indicate that the Great Depression was the primary event that caused the dramatic growth in government spending and intervention in the private sector that continues to the present day. Through a comparison of the economic conditions of the 1890s and the 1930s, the authors argue that post-1930 government growth in the United States is not the direct result of the Great Depression, but rather is a result of institutional, legal, and societal changes that began in the late 1800s. Thus, the Great Depression did likely trigger increases ill government spending and regulatory involvement, but historical factors produced the conditions that tended to lend permanence to the growth of government that occurred during the Great Depression. (JEL N41, N42, H2, H5, BI) C1 [Garrett, Thomas A.] Fed Reserve Bank St Louis, St Louis, MO 63102 USA. [Kozak, Andrew F.; Rhine, Russell M.] St Marys Coll Maryland, St Marys City, MD USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 29 TC 1 Z9 1 U1 1 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2010 VL 92 IS 2 BP 109 EP 119 PG 11 WC Business, Finance; Economics SC Business & Economics GA 570NF UT WOS:000275684300002 ER PT J AU Andolfatto, D AF Andolfatto, David TI Fiscal Multipliers in War and in Peace SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Proponents of fiscal stimulus argue that government spending is needed to replace the private spending normally lost during a recession. Estimates of the so-called fiscal multiplier based on wartime episodes are used to support the proposition that a peacetime intervention can "stimulate" the economy in a desirable manner. The author argues that a wartime crisis is fundamentally different from a peacetime economic crisis. What may be desirable in war is not necessarily so in peace. This is demonstrated formally in the context of a simple neoclassical model, which delivers fiscal multipliers consistent with the wartime evidence. The optimal fiscal policy, whether it entails expansion or contraction, is independent of the size of the fiscal multiplier. (JEL E6, E62) 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 9 TC 0 Z9 0 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2010 VL 92 IS 2 BP 121 EP 127 PG 7 WC Business, Finance; Economics SC Business & Economics GA 570NF UT WOS:000275684300003 ER PT J AU Anderson, RG Kliesen, KL AF Anderson, Richard G. Kliesen, Kevin L. TI FOMC Learning and Productivity Growth (1985-2003): A Reading of the Record SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The increasingly rapid productivity growth that began in the 1990s was the defining economic event of the decade and a major topic of debate among Federal Reserve policymakers. A key aspect of the debate was the contrast between information contained in aggregate data, which initially suggested little productivity gain, and anecdotal firm-level evidence, which hinted at the productivity acceleration. The authors revisit this debate from the actual FOMC transcripts. Their study illustrates the process by which policymakers filter incoming data to identify changes in underlying fundamental trends. (JEL E52, E58) C1 [Anderson, Richard G.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. [Kliesen, Kevin L.] Fed Reserve Bank St Louis, Banking Supervis & Regulat Div, St Louis, MO USA. RP Anderson, RG (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 12 TC 3 Z9 3 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2010 VL 92 IS 2 BP 129 EP 153 PG 25 WC Business, Finance; Economics SC Business & Economics GA 570NF UT WOS:000275684300004 ER PT J AU Poole, W AF Poole, William TI CAUSES AND CONSEQUENCES OF THE FINANCIAL CRISIS OF 2007-2009 SO HARVARD JOURNAL OF LAW AND PUBLIC POLICY LA English DT Article C1 [Poole, William] Cato Inst, Washington, DC 20003 USA. [Poole, William] Univ Delaware, Newark, DE 19716 USA. [Poole, William] Fed Reserve Bank, St Louis, MO USA. RP Poole, W (reprint author), Cato Inst, Washington, DC 20003 USA. NR 12 TC 11 Z9 11 U1 0 U2 2 PU HARVARD SOC LAW PUBLIC POLICY PI CAMBRIDGE PA HARVARD LAW SCHOOL, CAMBRIDGE, MA 02138 USA SN 0193-4872 J9 HARVARD J LAW PUBL P JI Harv. J. Law Public Policy PD SPR PY 2010 VL 33 IS 2 BP 421 EP 441 PG 21 WC Law SC Government & Law GA 598GI UT WOS:000277822700004 ER PT J AU Pesenti, P AF Pesenti, Paolo TI Discussion of "The Zero Lower Bound and Monetary Policy in a Global Economy: A Simple Analytical Investigation" SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Editorial Material C1 [Pesenti, Paolo] NBER, Fed Reserve Bank New York, Cambridge, MA 02138 USA. RP Pesenti, P (reprint author), NBER, Fed Reserve Bank New York, Cambridge, MA 02138 USA. NR 3 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 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2010 VL 6 IS 1 BP 135 EP 141 PG 7 WC Business, Finance SC Business & Economics GA 579GK UT WOS:000276356800008 ER PT J AU Levin, A Lopez-Salido, D Nelson, E Yun, T AF Levin, Andrew Lopez-Salido, David Nelson, Edward Yun, Tack TI Limitations on the Effectiveness of Forward Guidance at the Zero Lower Bound SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID OPTIMAL MONETARY-POLICY; FRAMEWORK; PRICES; RULES AB The recent literature on monetary policy in the presence of a zero lower bound on interest rates has shown that forward guidance regarding the path of interest rates can be very effective in preserving macroeconomic stability in the face of a contractionary demand shock; moreover, that literature apparently leaves little scope for any further improvements in stabilization performance via non-traditional monetary policies. In this paper, we characterize optimal policy under commitment in a prototypical New Keynesian model and examine whether those conclusions are sensitive to the specification of the shock process and to the interest elasticity of aggregate demand. Although forward guidance is effective in offsetting natural rate shocks of moderate size and persistence, we find that the macroeconomic outcomes are much less appealing for larger and more persistent shocks, especially when the interest elasticity parameter is set to values widely used in the literature. Thus, while forward guidance could be sufficient for mitigating the effects of a "Great Moderation"-style shock, a combination of forward guidance and other monetary policy measures-such as large-scale asset purchases-might well be called for in responding to a "Great Recession"-style shock. C1 [Levin, Andrew; Lopez-Salido, David; Nelson, Edward; Yun, Tack] Fed Reserve Board, Washington, DC USA. RP Levin, A (reprint author), Fed Reserve Board, Washington, DC USA. EM andrew.levin@frb.gov; david.j.lopez-salido@frb.gov; edward.nelson@frb.gov; tack.yun@frb.gov NR 39 TC 23 Z9 23 U1 2 U2 10 PU ASSOC INTERNATIONAL JOURNAL CENTRAL BANKING PI FRANKFURT PA POSTFACH 16 03 19, FRANKFURT, 60066, GERMANY SN 1815-4654 EI 1815-7556 J9 INT J CENT BANK JI Int. J. Cent. Bank. PD MAR PY 2010 VL 6 IS 1 BP 143 EP 189 PG 47 WC Business, Finance SC Business & Economics GA 579GK UT WOS:000276356800009 ER PT J AU Burke, MA Fournier, GM Prasad, K AF Burke, Mary A. Fournier, Gary M. Prasad, Kislaya TI Geographic variations in a model of physician treatment choice with social interactions SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Geographic variations in medicine; Evolutionary game theory; Interacting particle systems; Social influence; Local interactions; Medical practice guidelines ID PRACTICE GUIDELINES COMMITTEE; ACUTE MYOCARDIAL-INFARCTION; ASSOCIATION TASK-FORCE; SMALL AREA VARIATIONS; ACC/AHA GUIDELINES; REGIONAL-VARIATION; AMERICAN-COLLEGE; HEALTH-CARE; SURGERY; REVISE AB Region-specific norms of behavior are a widespread phenomenon. In the case of medical practice, numerous studies have found that geographic location exerts an inordinate influence on the choice of treatments and procedures. This paper shows how the presence of social influence on treatment decisions can help explain this phenomenon. We construct a theoretical model in which physicians treatment choices depend on patients' characteristics and on the recent choices of nearby peers either because there are local knowledge spillovers or because physicians want to conform to local practice patterns. In this setting, regional differences in the patient mix give rise to geographically divergent treatment patterns the treatment a patient receives depends on where she lives. Investigation of Florida data reveals significant geographic variation in treatment rates consistent with the predictions of our model. Implications for patient welfare are explored. (C) 2009 Elsevier B.V. All rights reserved. C1 [Prasad, Kislaya] Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA. [Burke, Mary A.] Fed Reserve Bank Boston, Boston, MA 02205 USA. [Fournier, Gary M.] Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. RP Prasad, K (reprint author), Univ Maryland, Robert H Smith Sch Business, Van Munching Hall, College Pk, MD 20742 USA. EM kprasad@rhsmith.umd.edu NR 37 TC 4 Z9 4 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD MAR PY 2010 VL 73 IS 3 BP 418 EP 432 DI 10.1016/j.jebo.2009.11.004 PG 15 WC Economics SC Business & Economics GA 576DP UT WOS:000276124800010 ER PT J AU van Zandweghe, W AF van Zandweghe, Willem TI On-the-job search, sticky prices, and persistence SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE On-the-job search; Cost of an employment relationship; Sticky prices; Business fluctuations ID EQUILIBRIUM UNEMPLOYMENT; INFLATION DYNAMICS; BUSINESS-CYCLE; LABOR-MARKET; FLUCTUATIONS; DESTRUCTION; EMPLOYMENT; FRICTIONS; VACANCIES; RIGIDITY AB Models of the monetary transmission mechanism often generate empirically implausible business fluctuations. This paper analyzes the role of on-the-job search in the propagation of monetary shocks in a sticky price model with labor market search frictions. Such frictions induce long-term employment relationships, such that the real marginal cost is determined by real wages and the cost of an employment relationship. On-the-job search opens up an extra channel of employment growth that dampens the response of these two components. Because real marginal cost rigidity induces small price adjustments, on-the-job search gives rise to a strong propagation of monetary shocks that increases output persistence. (C) 2009 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. RP van Zandweghe, W (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 1 Mem Dr, Kansas City, MO 64198 USA. EM willem.vanzandweghe@kc.frb.org NR 30 TC 6 Z9 6 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2010 VL 34 IS 3 BP 437 EP 455 DI 10.1016/j.jedc.2009.10.002 PG 19 WC Economics SC Business & Economics GA 576DI UT WOS:000276124000010 ER PT J AU Anderson, GS AF Anderson, Gary S. TI A reliable and computationally efficient algorithm for imposing the saddle point property in dynamic models SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Linear rational expectations; Blanchard Kahn; Saddle point solution ID MONETARY-POLICY; INTEREST-RATES; TRADE-OFFS; SHIFTS AB This paper describes a set of algorithms for quickly and reliably solving linear rational expectations models. The utility, reliability and speed of these algorithms are a consequence of (1) the algorithm for computing the minimal dimension state space transition matrix for models with arbitrary numbers of lags or leads, (2) the availability of a simple modeling language for characterizing a linear model and (3) the use of the QR Decomposition and Arnoldi type eigenspace calculations. The paper also presents new formulae for computing and manipulating solutions for arbitrary exogenous processes. Published by Elsevier B.V. C1 Fed Reserve Syst, Washington, DC USA. RP Anderson, GS (reprint author), Fed Reserve Syst, 21st & C St NW, Washington, DC USA. EM gary.anderson@frb.gov NR 26 TC 3 Z9 3 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2010 VL 34 IS 3 BP 472 EP 489 DI 10.1016/j.jedc.2009.10.004 PG 18 WC Economics SC Business & Economics GA 576DI UT WOS:000276124000012 ER PT J AU Chaboud, AP Chiquoine, B Hjalmarsson, E Loretan, M AF Chaboud, Alain P. Chiquoine, Benjamin Hjalmarsson, Erik Loretan, Mico TI Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article; Proceedings Paper CT Deutsche Bundesbank Fall Conference CY NOV 10-12, 2005 CL Eltville, GERMANY DE Realized volatility; Integrated volatility; Critical sampling frequency; Market microstructure noise; Government bond markets; Foreign exchange markets; Liquidity; Kernel estimator; Robust estimator; Jumps ID US TREASURY MARKET; MICROSTRUCTURE NOISE; REALIZED VARIANCE; ECONOMETRIC-ANALYSIS; FOREIGN-EXCHANGE; MODELS; INFORMATION; RETURNS; PRICES; JUMPS AB Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. Using the standard realized volatility estimator, we find that one can sample dollar/euro returns as frequently as once every 15 to 20s without contaminating estimates of integrated volatility; 10-year Treasury note returns may be sampled as frequently as once every 2 to 3 min on days without U.S. macroeconomic announcements, and as frequently as once every 40s on announcement days. Using a simple realized kernel estimator, this sampling frequency can be increased to once every 2 to 5s for dollar/euro returns and to about once every 30 to 40s for T-note returns. These sampling frequencies. especially in the case of dollar/euro returns, are much higher than those that are generally recommended in the empirical literature on realized volatility in equity markets. The higher sampling frequencies for dollar/euro and T-note returns likely reflect the superior depth and liquidity of these markets. (C) 2009 Elsevier B.V. All rights reserved. C1 [Loretan, Mico] Int Monetary Fund, INSAN HQ2 04 007, IMF Inst, Washington, DC 20431 USA. [Chaboud, Alain P.; Hjalmarsson, Erik] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. [Chiquoine, Benjamin] Investment Fund Fdn, Cambridge, MA 02138 USA. RP Loretan, M (reprint author), Int Monetary Fund, INSAN HQ2 04 007, IMF Inst, 700 19th St NW, Washington, DC 20431 USA. EM alain.p.chabound@frb.gov; bchiquoine@tiff.org; erik.hjalmarsson@frb.gov; mloretan@imf.org NR 57 TC 4 Z9 6 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 EI 1879-1727 J9 J EMPIR FINANC JI J. Empir. Financ. PD MAR PY 2010 VL 17 IS 2 SI SI BP 212 EP 240 DI 10.1016/j.jempfin.2009.09.003 PG 29 WC Business, Finance; Economics SC Business & Economics GA 576DK UT WOS:000276124200004 ER PT J AU Smith, E AF Smith, Eric TI Sector-Specific Human Capital and the Distribution of Earnings SO JOURNAL OF HUMAN CAPITAL LA English DT Article AB This paper demonstrates the way in which assignment frictions-the limited ability of workers to find jobs in which they have a comparative advantage-affect the level and composition of human capital acquisition as well as the distribution of income. As workers become more likely to find their preferred job, they specialize more. Specialization raises expected income. It also exposes workers to a greater downside loss when the more desired employment opportunities are unavailable. More specialization thereby raises the earnings divide between those who match well and those who do not, which under some conditions leads to greater inequality. C1 [Smith, Eric] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Smith, Eric] Univ Essex, Colchester CO4 3SQ, Essex, England. RP Smith, E (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 25 TC 1 Z9 1 U1 0 U2 2 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 1932-8575 J9 J HUM CAPITAL JI J. Hum. Cap. PD SPR PY 2010 VL 4 IS 1 BP 35 EP 61 DI 10.1086/655467 PG 27 WC Economics SC Business & Economics GA V27QU UT WOS:000208628500002 ER PT J AU Klein, PG Saidenberg, MR AF Klein, Peter G. Saidenberg, Marc R. TI ORGANIZATIONAL STRUCTURE AND THE DIVERSIFICATION DISCOUNT: EVIDENCE FROM COMMERCIAL BANKING SO JOURNAL OF INDUSTRIAL ECONOMICS LA English DT Article ID INTERNAL CAPITAL-MARKETS; CORPORATE DIVERSIFICATION; INEFFICIENT INVESTMENT; RISK-MANAGEMENT; PERFORMANCE; INDUSTRY; CONSOLIDATION; RESTRICTIONS; DEREGULATION; INCENTIVES AB We provide evidence on organizational structure and performance at bank holding companies (BHC's). First, we show that a BHC's member banks benefit from access to internal capital markets. Second, we ask if these benefits are best realized within loosely structured, decentralized organizations or more consolidated, centralized firms. We find that BHC's with many subsidiaries are less profitable and have lower q ratios than similar BHC's with fewer subsidiaries. However, because we study multi-unit firms in a single industry, our results suggest that the diversification discount reported in the corporate finance literature reflects not only industry diversification, but also organizational structure. C1 [Klein, Peter G.] Univ Missouri, Div Appl Social Sci, Columbia, MO 65211 USA. [Saidenberg, Marc R.] Fed Reserve Bank New York, Bank Supervis Grp, New York, NY 10045 USA. RP Klein, PG (reprint author), Univ Missouri, Div Appl Social Sci, 135 Mumford Hall, Columbia, MO 65211 USA. EM pklein@missouri.edu; Marc.Saidenberg@ny.frb.org NR 54 TC 14 Z9 14 U1 1 U2 7 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-1821 J9 J IND ECON JI J. Indust. Econ. PD MAR PY 2010 VL 58 IS 1 BP 127 EP 155 PG 29 WC Business, Finance; Economics SC Business & Economics GA 563BB UT WOS:000275099300006 ER PT J AU Justiniano, A Primiceri, GE Tambalotti, A AF Justiniano, Alejandro Primiceri, Giorgio E. Tambalotti, Andrea TI Investment shocks and business cycles SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE DSGE model; Durable consumption goods; Imperfect competition; Endogenous markups; Bayesian methods ID MONETARY-POLICY; ECONOMIC-FLUCTUATIONS; TECHNOLOGY SHOCKS; AGGREGATE FLUCTUATIONS; NOMINAL RIGIDITIES; KEYNESIAN MODELS; DSGE MODELS; TIME; IMPROVEMENTS; MACROECONOMICS AB The origins of business cycles are still controversial among macroeconomists. This paper contributes to this debate by studying the driving forces of fluctuations in an estimated new neoclassical synthesis model of the U.S. economy. In this model, most of the variability of output and hours at business cycle frequencies is due to shocks to the marginal efficiency of investment. Imperfect competition and, to a lesser extent, technological frictions are the key to their transmission. Although labor supply shocks explain a large fraction of the fluctuations in hours at very low frequencies, they are irrelevant over the business cycle. This finding is important because the microfoundations of these disturbances are widely regarded as unappealing. (C) 2010 Elsevier B.V. All rights reserved. C1 [Primiceri, Giorgio E.] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. [Primiceri, Giorgio E.] CEPR, Evanston, IL 60208 USA. [Primiceri, Giorgio E.] NBER, Evanston, IL 60208 USA. [Justiniano, Alejandro] Fed Reserve Bank Chicago, Chicago, IL USA. [Tambalotti, Andrea] Fed Reserve Bank New York, New York, NY USA. RP Primiceri, GE (reprint author), Northwestern Univ, Dept Econ, 2001 Sheridon Rd, Evanston, IL 60208 USA. EM g-primiceri@northwestern.edu OI Tambalotti, Andrea/0000-0002-9323-2470 NR 54 TC 115 Z9 115 U1 7 U2 40 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 2010 VL 57 IS 2 BP 132 EP 145 DI 10.1016/j.jmoneco.2009.12.008 PG 14 WC Business, Finance; Economics SC Business & Economics GA 569AG UT WOS:000275567600002 ER PT J AU Eusepi, S AF Eusepi, Stefano TI Central Bank Communication and the Liquidity Trap SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE D83; E31; E52; learning; nonlinear dynamics; liquidity traps ID MONETARY-POLICY; RULES; EXPECTATIONS; EQUILIBRIA AB Central bank communication plays an important role in shaping market participants' expectations. This paper studies a simple nonlinear model of monetary policy where agents have incomplete information about the economic environment. It shows that agents' learning and the dynamics of the economy are heavily affected by central bank's transparency about its policy rule. A monetary authority that does not communicate its rule can induce "learning equilibria" where the economy experiences prolonged periods of deflation and slow growth. More generally, small expectational errors can result in complex economic dynamics, inducing welfare-reducing fluctuations. On the contrary, central bank communication helps stabilizing expectations around the inflation target equilibrium. C1 Fed Reserve Bank New York, New York, NY USA. RP Eusepi, S (reprint author), Fed Reserve Bank New York, New York, NY USA. EM stefano.eusepi@ny.frb.org NR 24 TC 5 Z9 5 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 2010 VL 42 IS 2-3 BP 373 EP 397 DI 10.1111/j.1538-4616.2009.00291.x PG 25 WC Business, Finance; Economics SC Business & Economics GA 573CN UT WOS:000275886100007 ER PT J AU Carlson, M AF Carlson, Mark TI Alternatives for Distressed Banks during the Great Depression SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE G21; N22; Great Depression; banking panics; distressed banks ID PROPAGATION; LIQUIDATION; CRISIS AB Using data on individual banks during the Great Depression, I find that institutions that failed during periods in which failures were especially numerous, such as the banking panics, appear to have been at least as financially sound as banks that were able to pursue alternative resolution strategies, such as merging with another institution or suspending and recapitalizing, during less extreme periods. This result suggests that problems associated with having numerous banks in distress simultaneously during the Depression may have exacerbated the number of banks closed and the economic downturn. C1 Fed Reserve, Board Governors, Washington, DC 20551 USA. RP Carlson, M (reprint author), Fed Reserve, Board Governors, 20th & Constitut Ave NW, Washington, DC 20551 USA. EM Mark.A.Carlson@frb.gov NR 34 TC 4 Z9 4 U1 2 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 MAR-APR PY 2010 VL 42 IS 2-3 BP 421 EP 441 DI 10.1111/j.1538-4616.2009.00293.x PG 21 WC Business, Finance; Economics SC Business & Economics GA 573CN UT WOS:000275886100009 ER PT J AU Fernandez, AZ Nikolsko-Rzhevskyy, A AF Fernandez, Adriana Z. Nikolsko-Rzhevskyy, Alex TI The changing nature of the US economic influence in the World SO JOURNAL OF POLICY MODELING LA English DT Article DE Business cycle; Business fluctuations; Decoupling; International business cycles AB We argue that the U.S.-led global recession revealed a change in the nature of the U.S. economic influence over the world, evidenced by the unusual delay between the U.S. downturn and its full manifestation in other economies. To validate our argument we conduct a real-time analysis of the evolution of the U.S. business cycles' influence over other countries' business cycles from 1960 to 2007. Our findings suggest that since the early 1980s. cyclical movements in the U.S. economy affect other economies with a lag, rather than contemporaneously. There seems to be an increasing delay between a U.S. downturn and its full manifestation in other economies, suggesting that the U.S. economic influence is still strong but more delayed than before. Published by Elsevier Inc. on behalf of Society for Policy Modeling C1 [Fernandez, Adriana Z.] Fed Reserve Bank Dallas, Houston, TX 77019 USA. [Nikolsko-Rzhevskyy, Alex] Univ Memphis August 2008, Dept Econ, Memphis, TN 38152 USA. RP Fernandez, AZ (reprint author), Fed Reserve Bank Dallas, 1801 Allen Pkwy, Houston, TX 77019 USA. EM Adriana.Fernandez@dal.frb.org; alex.rzhevskyy@gmail.com NR 6 TC 2 Z9 2 U1 0 U2 0 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0161-8938 J9 J POLICY MODEL JI J. Policy Model. PD MAR-APR PY 2010 VL 32 IS 2 BP 196 EP 209 DI 10.1016/j.jpolmod.2010.02.002 PG 14 WC Economics SC Business & Economics GA 598WT UT WOS:000277871100003 ER PT J AU Leider, S Mobius, MM Rosenblat, T Do, QA AF Leider, Stephen Mobius, Markus M. Rosenblat, Tanya Do, Quoc-Anh TI WHAT DO WE EXPECT FROM OUR FRIENDS? SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID ALTRUISM; PREFERENCES; TRUST; COMPETITION; TESTS AB We conduct a field experiment in a large real-world social network to examine how subjects expect to be treated by their friends and by strangers who make allocation decisions in modified dictator games. Although recipients' beliefs accurately account for the extent to which friends will choose more generous allocations than strangers (i.e., directed altruism), recipients are not able to anticipate individual differences in the baseline altruism of allocators (measured by giving to an unnamed recipient, which is predictive of generosity toward named recipients). Recipients who are direct friends with the allocator, or even recipients with many common friends, are no more accurate in recognizing intrinsically altruistic allocators. Recipient beliefs are significantly less accurate than the predictions of an econometrician who knows the allocator's demographic characteristics and social distance, suggesting recipients do not have information on unobservable characteristics of the allocator. (JEL: C73, C91, D64) C1 [Leider, Stephen] Univ Michigan, Ann Arbor, MI 48109 USA. [Mobius, Markus M.] Harvard Univ, Natl Bur Econ Res, Cambridge, MA 02138 USA. [Rosenblat, Tanya] Iowa State Univ, Fed Reserve Bank Boston, Ames, IA 50011 USA. [Do, Quoc-Anh] Singapore Management Univ, Singapore, Singapore. RP Leider, S (reprint author), Univ Michigan, Ann Arbor, MI 48109 USA. EM leider@bus.umich.edu; mobius@fas.harvard.edu; tanyar@iastate.edu; quocanhdo@smu.edu.sg RI DO, Quoc-Anh/D-1424-2009 NR 27 TC 6 Z9 6 U1 0 U2 12 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD MAR PY 2010 VL 8 IS 1 BP 120 EP 138 PG 19 WC Economics SC Business & Economics GA 552YA UT WOS:000274329900006 ER PT J AU Shan, H AF Shan, Hui TI Property taxes and elderly mobility SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Property tax; Elderly mobility; Property tax relief program ID MIGRATION; IDENTIFICATION; CAPITALIZATION; ELIGIBILITY; INSURANCE; SALIENCE; TAXATION; RATES; MODEL; AGE AB The 2000-2005 housing market boom in the U.S. has caused sharp increases in residential property taxes. Housing-rich but income-poor elderly homeowners often complain about rising tax burdens, and anecdotal evidence suggests that some move to reduce their tax burden. There has been little systematic analysis, however, of the link between property tax levels and the mobility rate of elderly homeowners. This paper investigates this link using household-level panel data from the Health and Retirement Study (HRS) and a newly collected data set on state-provided property tax relief programs. These relief programs generate variation in effective property tax burdens that is not due solely to arguably endogenous local community choices about taxes and expenditure programs. The findings provide evidence suggesting that higher property taxes raise mobility among elderly homeowners. The point estimates from instrumental variable estimation using relief programs to generate instruments suggest that a $100 increase in annual property taxes is associated with a 0.73 percentage point increase in the 2-year mobility rate for homeowners over the age of 50. This is an 8 percent increase from the baseline 2-_year mobility rate of 9 percent. These results are robust to alternative specifications. Published by Elsevier Inc. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Shan, H (reprint author), Fed Reserve Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM hui.shan@frb.gov FU NIA NIH HHS [P01 AG005842, P01 AG005842-20] NR 51 TC 10 Z9 11 U1 6 U2 22 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 2010 VL 67 IS 2 BP 194 EP 205 DI 10.1016/j.jue.2009.08.004 PG 12 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 548ML UT WOS:000273967200003 PM 20161617 ER PT J AU Pope, AT Tollison, RD AF Pope, Adam T. Tollison, Robert D. TI "Rubbin' is racin''': evidence of the Peltzman effect from NASCAR SO PUBLIC CHOICE LA English DT Article DE Nascar; Peltzman effect; Moral hazard; Caution laps ID AUTOMOBILE SAFETY REGULATION AB The Peltzman Effect is a well known and controversial theory in the literature. Studies have struggled to find a dataset that can accurately test for the presence of the effect. We have created a unique dataset and use a natural experiment from the sport of stock car racing to test the theory. Using race-level data from NASCAR events, we find strong evidence that a major safety regulation has led to more on-track accidents and an increased risk to both spectators and pit crew members. C1 [Pope, Adam T.] Fed Reserve Bank Kansas City, Kansas City, MO 64112 USA. [Tollison, Robert D.] Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA. RP Pope, AT (reprint author), Fed Reserve Bank Kansas City, 1 Mem Dr, Kansas City, MO 64112 USA. EM adam.pope@kc.frb.org; rtollis@clemson.edu NR 15 TC 3 Z9 3 U1 0 U2 5 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0048-5829 J9 PUBLIC CHOICE JI Public Choice PD MAR PY 2010 VL 142 IS 3-4 BP 507 EP 513 DI 10.1007/s11127-009-9548-2 PG 7 WC Economics; Political Science SC Business & Economics; Government & Law GA 552WW UT WOS:000274326200026 ER PT J AU Burriel, P Fernandez-Villaverde, J Rubio-Ramirez, JF AF Burriel, Pablo Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. TI MEDEA: a DSGE model for the Spanish economy SO SERIES-JOURNAL OF THE SPANISH ECONOMIC ASSOCIATION LA English DT Article DE DSGE models; Likelihood estimation; Bayesian methods ID TECHNOLOGICAL-CHANGE; MONETARY-POLICY; BUSINESS-CYCLE; LIKELIHOOD AB In this paper, we provide a brief introduction to a new macroeconometric model of the Spanish economy named MEDEA (Modelo de Equilibrio Dinamico de la Economia EspanolA). MEDEA is a dynamic stochastic general equilibrium (DSGE) model that aims to describe the main features of the Spanish economy for policy analysis, counterfactual exercises, and forecasting. MEDEA is built in the tradition of New Keynesian models with real and nominal rigidities, but it also incorporates aspects such as a small open economy framework, an outside monetary authority such as the ECB, and population growth, factors that are important in accounting for aggregate fluctuations in Spain. The model is estimated with Bayesian techniques and data from the last two decades. Beyond describing the properties of the model, we perform different exercises to illustrate the potential of MEDEA, including historical decompositions, long-run and short-run simulations, and counterfactual experiments. C1 [Burriel, Pablo] Banco Espana, Madrid, Spain. [Fernandez-Villaverde, Jesus] Univ Penn, NBER, FEDEA, Philadelphia, PA 19104 USA. [Fernandez-Villaverde, Jesus] CEPR, Philadelphia, PA USA. [Rubio-Ramirez, Juan F.] Duke Univ, Fed Reserve Bank Atlanta, Durham, NC USA. [Rubio-Ramirez, Juan F.] FEDEA, Durham, NC USA. RP Burriel, P (reprint author), Banco Espana, Madrid, Spain. EM pburriel@bde.es NR 39 TC 14 Z9 14 U1 0 U2 4 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 2010 VL 1 IS 1-2 BP 175 EP 243 DI 10.1007/s13209-009-0011-x PG 69 WC Economics SC Business & Economics GA 628ZL UT WOS:000280163600010 ER PT J AU Henderson, J Weiler, S AF Henderson, Jason Weiler, Stephan TI Entrepreneurs and Job Growth: Probing the Boundaries of Time and Space SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE entrepreneurs; job growth; innovation; urbanization; rural ID SPILLOVERS; UNIVERSITY; ECONOMIES; GEOGRAPHY; IMPACT AB Although scholars have long emphasized the importance of entrepreneurs to long-term growth prospects, entrepreneurship often receives less attention by policy makers than traditional industrial recruitment efforts as regional growth engines. The effects of entrepreneurship may be more subtle than the latter approaches, but business creation can have significant effects across both space and time. This article first sketches the important relationship between innovation, entrepreneurship, and growth and then empirically assesses the relationship between entrepreneurship and job growth across U. S. labor market areas and counties. Three key findings emerge. First, entrepreneurship is systematically related to job growth; furthermore, this relationship increases in intensity over time. Second, entrepreneurship has the greatest impact on the county in which it occurs but also generates positive spillovers for job growth in neighboring counties. Finally, the impact of entrepreneurship is greater in denser, more urbanized settings where such businesses can leverage the advantages of a thick marketplace. C1 [Henderson, Jason] Fed Reserve Bank Kansas City, Omaha Branch, Omaha, NE 68102 USA. [Weiler, Stephan] Colorado State Univ, Ft Collins, CO 80523 USA. RP Henderson, J (reprint author), Fed Reserve Bank Kansas City, Omaha Branch, 2201 Farnam St, Omaha, NE 68102 USA. EM jason.henderson@kc.frb.org NR 48 TC 26 Z9 26 U1 2 U2 11 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0891-2424 J9 ECON DEV Q JI Econ. Dev. Q. PD FEB PY 2010 VL 24 IS 1 BP 23 EP 32 DI 10.1177/0891242409350917 PG 10 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA 538TT UT WOS:000273207600003 ER PT J AU Mazumder, B Almond, D Park, K Crimmins, EM Finch, CE AF Mazumder, B. Almond, D. Park, K. Crimmins, E. M. Finch, C. E. TI Lingering prenatal effects of the 1918 influenza pandemic on cardiovascular disease SO JOURNAL OF DEVELOPMENTAL ORIGINS OF HEALTH AND DISEASE LA English DT Article DE 1918 influenza; cardiovascular disease; maternal infection; prenatal ID FETAL-BRAIN DEVELOPMENT; PREGNANT-WOMEN; DUTCH FAMINE; BACTERIAL PNEUMONIA; IMMUNE-RESPONSES; IN-UTERO; EXPOSURE; INFECTION; SCHIZOPHRENIA; OUTCOMES AB Prenatal exposure to the 1918 influenza pandemic (Influenza A, H1N1 subtype) is associated with >= 20% excess cardiovascular disease at 60 to 82 years of age, relative to cohorts born without exposure to the influenza epidemic, either prenatally or postnatally (defined by the quarter of birth), in the 1982-1996 National Health Interview Surveys of the USA. Males showed stronger effects of influenza on increased later heart disease than females. Adult height at World War II enlistment was lower for the 1919 birth cohort than for those born in adjacent years, suggesting growth retardation. Calculations on the prevalence of maternal infections indicate that prenatal exposure to even uncomplicated maternal influenza may have lasting consequences later in life. These findings suggest novel roles for maternal infections in the fetal programming of cardiovascular risk factors that are independent of maternal malnutrition. C1 [Crimmins, E. M.; Finch, C. E.] Univ So Calif, Andrus Gerontol Ctr, Los Angeles, CA 90089 USA. [Mazumder, B.] Fed Reserve Bank Chicago, Chicago, IL USA. [Almond, D.] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Almond, D.] Columbia Univ, SIPA, New York, NY USA. [Park, K.] Univ Chicago, Harris Sch Publ Policy, Chicago, IL 60637 USA. RP Finch, CE (reprint author), Univ So Calif, Andrus Gerontol Ctr, 3715 McClintock Ave, Los Angeles, CA 90089 USA. EM cefinch@usc.edu FU National Institute on Aging [R03 AG023939, P30 AG17265, P01 AG026572]; Ellison Medical Foundation; Ruth Ziegler Fund FX We are grateful for the support extended by the National Institute on Aging (R03 AG023939 to D. A.; P30 AG17265 to E. M. C.; P01 AG026572 to C. E. F.), the Ellison Medical Foundation (C. E. F.) and the Ruth Ziegler Fund (E. M. C. and C. E. F.). Bernard Steinman generously constructed the final graphs. NR 53 TC 40 Z9 40 U1 0 U2 7 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 2040-1744 J9 J DEV ORIG HLTH DIS JI J. Dev. Orig. Health Dis. PD FEB PY 2010 VL 1 IS 1 BP 26 EP 34 DI 10.1017/S2040174409990031 PG 9 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA 755DA UT WOS:000289905700004 PM 20198106 ER PT J AU Gerardi, KS Rosen, HS Willen, PS AF Gerardi, Kristopher S. Rosen, Harvey S. Willen, Paul S. TI The Impact of Deregulation and Financial Innovation on Consumers: The Case of the Mortgage Market SO JOURNAL OF FINANCE LA English DT Article ID CAPITAL-MARKETS; HOMEOWNERSHIP; CONSUMPTION; CONSTRAINTS; INTEGRATION; DEMAND; CHOICE; RISK AB We develop a technique to assess the impact of changes in mortgage markets on households, exploiting an implication of the permanent income hypothesis: The higher a household's expected future income, the higher its desired consumption, ceteris paribus. With perfect credit markets, desired consumption matches actual consumption and current spending forecasts future income. Because credit market imperfections mute this effect, the extent to which house spending predicts future income measures the "imperfectness" of mortgage markets. Using micro-data, we find that since the early 1980s, mortgage markets have become less imperfect in this sense, and securitization has played an important role. C1 [Gerardi, Kristopher S.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Rosen, Harvey S.] Princeton Univ, Princeton, NJ 08544 USA. [Willen, Paul S.] Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Gerardi, KS (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 45 TC 22 Z9 22 U1 2 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD FEB PY 2010 VL 65 IS 1 BP 333 EP 360 DI 10.1111/j.1540-6261.2009.01531.x PG 28 WC Business, Finance; Economics SC Business & Economics GA 543DG UT WOS:000273549900010 ER PT J AU Hjalmarsson, E AF Hjalmarsson, Erik TI Predicting Global Stock Returns SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID INTEGRATED REGRESSORS; EXPECTED RETURNS; EFFICIENT TESTS; TIME-SERIES; PANEL-DATA; PREDICTABILITY; INFERENCE; MODELS; RISK; MARKETS AB I test for stock return predictability in the largest and most comprehensive data set analyzed so far, using four common forecasting variables: the dividend-price (DP) and earnings-price (EP) ratios, the short interest rate, and the term spread. The data contain over 20,000 monthly observations from 40 international markets, including 24 developed and 16 emerging economies. In addition, I develop new. methods for predictive regressions with panel data. Inference based on the standard fixed effects estimator is shown to suffer from severe size distortions in the typical stock return regression, and an alternative robust estimator is proposed. The empirical results indicate that the short interest rate and the term spread are fairly robust predictors of stock returns in developed markets. In contrast, no strong or consistent evidence of predictability is found when considering the EP and DP ratios as predictors. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Hjalmarsson, E (reprint author), Fed Reserve Board, Mail Stop 20, Washington, DC 20551 USA. EM ehjalmar@gmail.com NR 38 TC 51 Z9 51 U1 1 U2 12 PU UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION PI SEATTLE PA C/O OFFICE MANAGER, 115 LEWIS HALL, BOX 353200, SEATTLE, WA 98195-3200 USA SN 0022-1090 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD FEB PY 2010 VL 45 IS 1 BP 49 EP 80 DI 10.1017/S0022109009990469 PG 32 WC Business, Finance; Economics SC Business & Economics GA 583AS UT WOS:000276644200003 ER PT J AU Fernandes, N Lel, U Miller, DP AF Fernandes, Nuno Lel, Ugur Miller, Darius P. TI Escape from New York: The market impact of loosening disclosure requirements SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE 12h-6; SEC registration; Disclosure; Cross-listing ID SARBANES-OXLEY-ACT; ECONOMIC CONSEQUENCES; CORPORATE GOVERNANCE; CROSS-LISTINGS; FOREIGN FIRMS; UNITED-STATES; SECURITIES MARKETS; US; RETURNS; FINANCE AB We examine the first significant deregulation of U.S. disclosure requirements since the passage of the 1933/1934 Exchange and Securities Acts: the 2007 Securities and Exchange Commission (SEC) Rule 12h-6. Rule 12h-6 has made it easier for foreign firms to deregister with the SEC and thereby terminate their U.S. disclosure obligations. We show that the market reacted negatively to the announcement by the SEC that firms from countries with weak disclosure and governance regimes could more easily opt out of the stringent U.S. reporting and legal environment. We also find that since the rule's passage, an unprecedented number of firms have deregistered, and these firms often had been previous targets of U.S. class action securities lawsuits or SEC enforcement actions. Our findings suggest that shareholders of non-U.S firms place significant value on U.S. securities regulations, especially when the home country investor protections are weak. (C) 2009 Elsevier B.V. All rights reserved. C1 [Miller, Darius P.] So Methodist Univ, Edwin L Cox Sch Business, Dallas, TX 75275 USA. [Fernandes, Nuno] IMD Int, CH-1001 Lausanne, Switzerland. [Lel, Ugur] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Miller, DP (reprint author), So Methodist Univ, Edwin L Cox Sch Business, Dallas, TX 75275 USA. EM nuno.fernandes@imd.ch; Ugur.lel@frb.gov; dpmiller@cox.smu.edu RI Miller, Darius/A-9306-2009; nipe, cef/A-4218-2010 NR 63 TC 23 Z9 23 U1 5 U2 19 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD FEB PY 2010 VL 95 IS 2 BP 129 EP 147 DI 10.1016/j.jfineco.2008.12.010 PG 19 WC Business, Finance; Economics SC Business & Economics GA 541QY UT WOS:000273435100001 ER PT J AU Wang, J AF Wang, Jian TI Home bias, exchange rate disconnect, and optimal exchange rate policy SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Home bias; Exchange rate volatility; Exchange rate disconnect; Optimal monetary policy ID OPEN-ECONOMY MODELS; RATE PASS-THROUGH; MONETARY-POLICY; RATE VOLATILITY; BUSINESS CYCLES; INTERNATIONAL EVIDENCE; RATE REGIMES; TRADE; RULES; WELFARE AB This paper examines how much the central bank should adjust the interest rate in response to real exchange rate fluctuations. The paper first demonstrates, in a two-country Dynamic Stochastic General Equilibrium (DSGE) model, that home bias in consumption is important to replicate the exchange rate volatility and exchange rate disconnect documented in the data. When home bias is high, the shock to Uncovered Interest rate Parity (UIP) can substantially drive up exchange rate volatility while leaving the volatility of real macroeconomic variables, such as GDP, almost untouched. The model predicts that the volatility of the real exchange rate relative to that of GDP increases with the extent of home bias. This relation is supported by the data. A second-order accurate solution method is employed to find the optimal operational monetary policy rule. Our model suggests that the monetary authority should not seek to vigorously stabilize exchange rate fluctuations. In particular, when the central bank does not take a strong stance against the inflation rate, exchange rate stabilization may induce substantial welfare loss. The model does not detect welfare gain from international monetary cooperation, which extends Obstfeld and Rogoff's [Obstfeld, M., Rogoff, K., 2002. Global implications of self-oriented national monetary rules, Quarterly Journal of Economics May, 503-535] findings to a DSGE model. (C) 2008 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Wang, J (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM jian.wang@dal.frb.org NR 61 TC 7 Z9 7 U1 1 U2 9 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD FEB PY 2010 VL 29 IS 1 BP 55 EP 78 DI 10.1016/j.jimonfin.2008.12.010 PG 24 WC Business, Finance SC Business & Economics GA 554OG UT WOS:000274443700004 ER PT J AU Nakov, A Pescatori, A AF Nakov, Anton Pescatori, Andrea TI Monetary Policy Trade-Offs with a Dominant Oil Producer SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E31; E32; E52; Q43; OPEC; dominant producer; oil shocks; monetary policy; trade-off ID AGGREGATE MACROECONOMIC BEHAVIOR; BUSINESS-CYCLE; SUPPLY SHOCKS; PRICE SHOCKS; ECONOMY; MODELS; MARKET; WAGE AB We model oil production decisions from optimizing principles rather than assuming exogenous oil price shocks and show that the presence of a dominant oil producer leads to sizable static and dynamic distortions of the production process. Under our calibration, the static distortion costs the U.S. around 1.6% of GDP per year. In addition, the dynamic distortion, reflected in inefficient fluctuations of the oil price markup, generates a trade-off between stabilizing inflation and aligning output with its efficient level. Our model is a step away from discussing the effects of exogenous oil price variations and toward analyzing the implications of the underlying shocks that cause oil prices to change in the first place. C1 [Nakov, Anton] Banco Espana, Div Invest Estudios Monetarios & Financieros, Madrid 28014, Spain. [Pescatori, Andrea] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Nakov, A (reprint author), Banco Espana, Div Invest Estudios Monetarios & Financieros, Alcala 48, Madrid 28014, Spain. EM anton.nakov@bde.es; andrea.pescatori@clev.frb.org NR 31 TC 15 Z9 15 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2010 VL 42 IS 1 BP 1 EP 32 DI 10.1111/j.1538-4616.2009.00276.x PG 32 WC Business, Finance; Economics SC Business & Economics GA 538DT UT WOS:000273165100001 ER PT J AU Kumhof, M Nunes, R Yakadina, I AF Kumhof, Michael Nunes, Ricardo Yakadina, Irina TI Simple Monetary Rules under Fiscal Dominance SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E61; E62; optimal simple policy rules; fiscal dominance ID CRISES; POLICY; MODELS AB This paper asks whether interest rate rules that respond aggressively to inflation, following the Taylor principle, are feasible in countries that suffer from fiscal dominance. We find that if interest rates are allowed to also respond to government debt, they can produce unique equilibria. But such equilibria are associated with extremely volatile inflation. The resulting frequent violations of the zero lower bound make such rules infeasible. Even within the set of feasible rules the welfare optimizing response to inflation is highly negative. The welfare gain from responding to government debt is minimal compared to the gain from eliminating fiscal dominance. C1 [Kumhof, Michael] Int Monetary Fund, Res Dept, Washington, DC 20431 USA. [Nunes, Ricardo] Fed Reserve Board, Washington, DC USA. [Yakadina, Irina] Int Monetary Fund, Fiscal Affairs Dept, Washington, DC 20431 USA. RP Kumhof, M (reprint author), Int Monetary Fund, Res Dept, Washington, DC 20431 USA. EM mkumhof@imf.org; ricardo.p.nunes@frb.gov; iyakadina@imf.org RI nipe, cef/A-4218-2010 NR 24 TC 2 Z9 2 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2010 VL 42 IS 1 BP 63 EP 92 DI 10.1111/j.1538-4616.2009.00278.x PG 30 WC Business, Finance; Economics SC Business & Economics GA 538DT UT WOS:000273165100003 ER PT J AU De Nardi, M French, E Jones, JB AF De Nardi, Mariacristina French, Eric Jones, John B. TI Why Do the Elderly Save? The Role of Medical Expenses SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID LIFE-CYCLE; CONSUMPTION; RETIREMENT; INSURANCE; SAVINGS; WEALTH; HEALTH; DYNAMICS; MOTIVES; MODELS AB This paper constructs a model of saving for retired single people that includes heterogeneity in medical expenses and life expectancies, and bequest motives. We estimate the model using Assets and Health Dynamics of the Oldest Old data and the method of simulated moments. Out-of-pocket medical expenses rise quickly with age and permanent income. The risk of living long and requiring expensive medical care is a key driver of saving for many higher-income elderly. Social insurance programs such as Medicaid rationalize the low asset holdings of the poorest but also benefit the rich by insuring them against high medical expenses at the ends of their lives. C1 [De Nardi, Mariacristina; French, Eric] Fed Reserve Bank Chicago, Chicago, IL USA. [De Nardi, Mariacristina] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Jones, John B.] SUNY Albany, Albany, NY 12222 USA. RP De Nardi, M (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 51 TC 82 Z9 83 U1 3 U2 21 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD FEB PY 2010 VL 118 IS 1 BP 39 EP 75 PG 37 WC Economics SC Business & Economics GA 568AL UT WOS:000275493600002 ER PT J AU Holmes, TJ AF Holmes, Thomas J. TI STRUCTURAL, EXPERIMENTALIST, AND DESCRIPTIVE APPROACHES TO EMPIRICAL WORK IN REGIONAL ECONOMICS* SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID EQUILIBRIUM-MODELS; DYNAMIC-MODELS; CITIES; GEOGRAPHY; TRADE; PRODUCTIVITY; PREFERENCES; LOCATION; OFFICES; SCHOOL AB The three general approaches to empirical work in economics are structural, experimentalist, and descriptive. This paper provides an overview of how empirical work in regional economics fits into these three categories. In particular, I examine a single issue in the field, the nature of agglomeration benefits and the productivity gains from agglomeration, and analyze the advantages and drawbacks of following each of these three empirical approaches. I also discuss potentially fruitful ways empirical work in regional economics might advance. C1 Univ Minnesota, Fed Reserve Bank Minneapolis, Natl Bur Econ Res, Dept Econ, Minneapolis, MN 55455 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, Natl Bur Econ Res, Dept Econ, 4-101 Hanson Hall,1925 4th St S, Minneapolis, MN 55455 USA. EM holmes@umn.edu NR 45 TC 14 Z9 15 U1 3 U2 7 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD FEB PY 2010 VL 50 IS 1 BP 5 EP 22 DI 10.1111/j.1467-9787.2009.00637.x PG 18 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 552AZ UT WOS:000274259200002 ER PT J AU Ioannides, YM Topa, G AF Ioannides, Yannis M. Topa, Giorgio TI NEIGHBORHOOD EFFECTS: ACCOMPLISHMENTS AND LOOKING BEYOND THEM* SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID SOCIAL INTERACTIONS; NETWORKS; IDENTIFICATION; SCHOOL AB The paper addresses the empirical significance of the social context in economic decisions. Decisions of individuals who share spatial and social milieus are likely to be interdependent, and econometric identification of social effects poses intricate data and methodological problems, including dealing with self-selection in spatial and social groups. It uses a simple empirical framework to introduce social interactions effects at different levels of aggregation, and examines estimation problems in linear models, the impact of self-selection and of nonlinearities. It also examines neighborhood effects in job matching and proposes a research agenda that offers new techniques and data sources. C1 [Ioannides, Yannis M.] Tufts Univ, Dept Econ, Medford, MA 02155 USA. [Topa, Giorgio] Fed Reserve Bank New York, New York, NY 10045 USA. RP Ioannides, YM (reprint author), Tufts Univ, Dept Econ, Medford, MA 02155 USA. EM yannis.ioannides@tufts.edu; giorgio.topa@ny.frb.org NR 51 TC 26 Z9 26 U1 0 U2 2 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD FEB PY 2010 VL 50 IS 1 BP 343 EP 362 DI 10.1111/j.1467-9787.2009.00638.x PG 20 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 552AZ UT WOS:000274259200018 ER PT J AU Haughwout, AF AF Haughwout, Andrew F. TI MANAGEMENT OF LARGE CITY REGIONS: DESIGNING EFFICIENT METROPOLITAN FISCAL POLICIES SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID PRODUCTIVITY; CITIES; GROWTH; AREAS AB Metropolitan areas (MSAs) are the location of the great majority of economic activity in the United States, and the largest produce a disproportionate share of output. It is thus critical for the economy's long-term growth that large cities operate efficiently. In this paper, we briefly review the sources of productivity growth in cities. We then discuss the costs and benefits of political decentralization in large MSAs. After documenting the interdependence of the suburbs and central cities in large MSA, we develop a model that embodies many of the empirically verified aspects, including agglomeration economies and public goods. After calibrating the model to actual outcomes in a representative city, we simulate the effects of various kinds of fiscal redistributions. We conclude that, under the model, some kinds of fiscal redistributions can provide benefits in both cities and suburbs. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Haughwout, AF (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM andrew.haughwout@ny.frb.org NR 39 TC 4 Z9 4 U1 1 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD FEB PY 2010 VL 50 IS 1 BP 401 EP 421 DI 10.1111/j.1467-9787.2009.00659.x PG 21 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 552AZ UT WOS:000274259200021 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, Charles T. Fuerst, Timothy S. TI NOMINAL RIGIDITIES, RESIDENTIAL INVESTMENT, AND ADJUSTMENT COSTS SO MACROECONOMIC DYNAMICS LA English DT Article DE Residential investment; Sticky prices; Adjustment costs ID OPTIMAL MONETARY-POLICY; DURABLE GOODS AB Evidence suggests that durable goods and residential housing are more flexibly priced than nondurables and services. Using a standard sticky price general equilibrium model, Barsky, House, and Kimball [American Economic Review 97(3) (2007), 984-998] demonstrate that if durable goods are flexibly priced and nondurables are sticky, then a monetary contraction leads to an expansion in production in the durable sector. This is wildly at odds with the empirical evidence. This paper demonstrates that if three features are added to the model (sticky nominal wages, housing construction adjustment costs, and habit persistence in consumption), it delivers sectoral implications that are broadly consistent with the data. C1 [Fuerst, Timothy S.] Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. [Carlstrom, Charles T.; Fuerst, Timothy S.] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Fuerst, TS (reprint author), Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. EM tfuerst@bgsu.edu NR 11 TC 6 Z9 6 U1 1 U2 2 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD FEB PY 2010 VL 14 IS 1 BP 136 EP 148 DI 10.1017/S136510050909004X PG 13 WC Economics SC Business & Economics GA 552PN UT WOS:000274305800006 ER PT J AU Li, G Schoeni, RF Danziger, S Charles, KK AF Li, Geng Schoeni, Robert F. Danziger, Sheldon Charles, Kerwin Kofi TI New expenditure data in the PSID: comparisons with the CE SO MONTHLY LABOR REVIEW LA English DT Article ID INCOME DYNAMICS; PANEL AB New data in the Panel Study of Income Dynamics (PSID) align closely with corresponding measures from the Consumer Expenditure Survey (CE), for each broad category in the former; imputed total PSID expenditures are very close to total CE expenditures, and cross-sectional life-cycle estimates of household expenditures are similar across the two surveys, both for total expenditures and for the distinct categories C1 [Li, Geng] Fed Reserve Board, Household & Real Estate Finance Sect, Div Res & Stat, Washington, DC USA. [Schoeni, Robert F.] Univ Michigan, Inst Social Res, Ann Arbor, MI USA. [Danziger, Sheldon] Univ Michigan, Gerald R Ford Sch Publ Policy, Ann Arbor, MI 48109 USA. [Charles, Kerwin Kofi] Univ Chicago, Harris Sch Publ Policy Studies, Chicago, IL 60637 USA. RP Li, G (reprint author), Fed Reserve Board, Household & Real Estate Finance Sect, Div Res & Stat, Washington, DC USA. EM Geng.Li@frb.gov NR 12 TC 9 Z9 9 U1 1 U2 5 PU LEGAL BOOKS DEPOT PI LOS ANGELES PA PO BOX 27789, LOS ANGELES, CA 90027 USA SN 0098-1818 J9 MON LABOR REV JI Mon. Labor Rev. PD FEB PY 2010 VL 133 IS 2 BP 29 EP 39 PG 11 WC Industrial Relations & Labor SC Business & Economics GA 629MJ UT WOS:000280202900003 ER PT J AU Hall, SG Hondroyiannis, G Swamy, PAVB Tavlas, GS AF Hall, Stephen G. Hondroyiannis, George Swamy, P. A. V. B. Tavlas, George S. TI The Fisher Effect Puzzle: A Case of Non-Linear Relationship? SO OPEN ECONOMIES REVIEW LA English DT Article DE Fisher equation; Time-varying coefficients; Spurious relationships ID CAUSALITY; TESTS; LAWS AB The Fisher effect specifies a positive, one-for-one relationship between the nominal interest rate and expected inflation. Most recent empirical studies on the Fisher equation, typically based on ordinary least squares and co-integration estimation, found that the equation did not fit various data sets well. However, recent empirical studies showed that this fit improves if the Fisher equation is treated as a non-linear equation. Using U. S. quarterly data, this paper examines whether the results of the previous studies on the Fisher equation arose as a direct consequence of specification errors. We use time-varying coefficient (TVC) estimation, a procedure that allows us to directly confront the unknown functional form problem, specification errors, and spurious relationships. We find strong support for the view that, under TVC estimation, the Fisher equation holds and is no longer a puzzle. C1 [Tavlas, George S.] Bank Greece, Econ Res Dept, Athens 10250, Greece. [Hall, Stephen G.] Univ Leicester, Leicester, Leics, England. [Hondroyiannis, George] Harokopio Univ, Athens, Greece. [Swamy, P. A. V. B.] Fed Reserve Board, Washington, DC USA. RP Tavlas, GS (reprint author), Bank Greece, Econ Res Dept, 21 El Venizelos Ave, Athens 10250, Greece. EM gtavlas@bankofgreece.gr OI Hondroyiannis, George/0000-0002-4021-7517 NR 23 TC 6 Z9 6 U1 0 U2 0 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0923-7992 J9 OPEN ECON REV JI Open Econ. Rev. PD FEB PY 2010 VL 21 IS 1 SI SI BP 91 EP 103 DI 10.1007/s11079-009-9157-1 PG 13 WC Economics SC Business & Economics GA 575NZ UT WOS:000276075400010 ER PT J AU Atkeson, A Chari, VV Kehoe, PJ AF Atkeson, Andrew Chari, Varadarajan V. Kehoe, Patrick J. TI SOPHISTICATED MONETARY POLICIES SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID PRICE-LEVEL; RATIONAL-EXPECTATIONS; STICKY PRICES; FISCAL THEORY; RULE AB In standard monetary policy approaches, interest-rate rules often produce indeterminacy. A sophisticated policy approach does not. Sophisticated policies depend on the history of private actions, government policies, and exogenous events and can differ on and off the equilibrium path. They can uniquely implement any desired competitive equilibrium. When interest rates are used along the equilibrium path, implementation requires regime-switching. These results are robust to imperfect information. Our results imply that the Taylor principle is neither necessary nor sufficient for unique implementation. They also provide a direction for empirical work on monetary policy rules and determinacy. C1 [Atkeson, Andrew] Univ Calif Los Angeles, Fed Reserve Bank Minneapolis, Los Angeles, CA 90024 USA. Univ Calif Los Angeles, Natl Bur Econ Res, Los Angeles, CA 90024 USA. Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Atkeson, A (reprint author), Univ Calif Los Angeles, Fed Reserve Bank Minneapolis, Los Angeles, CA 90024 USA. NR 31 TC 10 Z9 10 U1 1 U2 11 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 FEB PY 2010 VL 125 IS 1 BP 47 EP 89 PG 43 WC Economics SC Business & Economics GA 556XK UT WOS:000274626700002 ER PT J AU Glick, R Taylor, AM AF Glick, Reuven Taylor, Alan M. TI COLLATERAL DAMAGE: TRADE DISRUPTION AND THE ECONOMIC IMPACT OF WAR SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID INTERNATIONAL-TRADE; LIBERAL PEACE; BILATERAL TRADE; CLASSICAL LIBERALS; COMMON CURRENCIES; GRAVITY EQUATION; GOLD STANDARD; CONFLICT; INTERDEPENDENCE; DEMOCRACY AB Conventional wisdom in economic history suggests that conflict between countries can be enormously disruptive of economic activity, especially international trade. We study the effects of war on bilateral trade with available data extending back to 1870. Using the gravity model, we estimate the contemporaneous and lagged effects of wars on the trade of belligerent nations and neutrals, controlling for other determinants of trade, as well as the possible effects of reverse causality. We find large and persistent impacts of wars on trade, national income, and global economic welfare. We also conduct a general equilibrium comparative statics exercise that indicates costs associated with lost trade might be at least as large as the conventionally measured direct costs of war, such as lost human capital, as illustrated by case studies of World Wars I and II. C1 [Glick, Reuven] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Taylor, Alan M.] Univ Calif Davis, Davis, CA 95616 USA. [Taylor, Alan M.] NBER, Cambridge, MA 02138 USA. RP Glick, R (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 89 TC 51 Z9 51 U1 5 U2 17 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD FEB PY 2010 VL 92 IS 1 BP 102 EP 127 DI 10.1162/rest.2009.12023 PG 26 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 549LI UT WOS:000274050100008 ER PT J AU Rich, R Tracy, J AF Rich, Robert Tracy, Joseph TI THE RELATIONSHIPS AMONG EXPECTED INFLATION, DISAGREEMENT, AND UNCERTAINTY: EVIDENCE FROM MATCHED POINT AND DENSITY FORECASTS SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID ECONOMIC PREDICTION; PROPOSAL AB This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationships among expected inflation, disagreement, and uncertainty. We undertake the empirical analysis within a seemingly unrelated regression framework and derive measures of uncertainty using a decomposition proposed by Wallis (2004, 2005) and by drawing on the concept of entropy. The results offer little evidence that disagreement is a useful proxy for uncertainty and mixed evidence that increases in expected inflation are accompanied by heightened uncertainty. Conversely, we document a quantitatively and statistically significant positive association between disagreement and expected inflation. C1 [Rich, Robert; Tracy, Joseph] Fed Reserve Bank New York, New York, NY USA. RP Rich, R (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 14 TC 21 Z9 21 U1 0 U2 5 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD FEB PY 2010 VL 92 IS 1 BP 200 EP 207 DI 10.1162/rest.2009.11167 PG 8 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 549LI UT WOS:000274050100017 ER PT J AU Mehran, H Peristiani, S AF Mehran, Hamid Peristiani, Stavros TI Financial Visibility and the Decision to Go Private SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID FREE CASH FLOW; MANAGEMENT BUYOUTS; AGENCY COSTS; OWNERSHIP; FIRMS; TRANSACTIONS; IMPACT AB A large fraction of the companies that went private between 1990 and 2007 were fairly young public firms, often with the same management team making the crucial restructuring decisions at both the time of the initial public offering (IPO) and the buyout. This article investigates the determinants of the decision to go private over a firm's entire public life cycle. Our evidence reveals that firms with declining growth in analyst coverage, falling institutional ownership, and low stock turnover were more likely to go private and opted to do so sooner. We argue that a primary reason behind the decision of IPO firms to abandon their public listing was a failure to attract a critical mass of financial visibility and investor interest. (JEL G34) C1 [Mehran, Hamid; Peristiani, Stavros] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Peristiani, S (reprint author), Fed Reserve Bank New York, Res & Stat Grp, Main 3,33 Liberty St, New York, NY 10045 USA. EM steve.peristiani@ny.frb.org NR 34 TC 20 Z9 20 U1 4 U2 16 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD FEB PY 2010 VL 23 IS 2 BP 519 EP 547 DI 10.1093/rfs/hhp044 PG 29 WC Business, Finance; Economics SC Business & Economics GA 547MC UT WOS:000273892100003 ER PT J AU Bond, P Goldstein, I Prescott, ES AF Bond, Philip Goldstein, Itay Prescott, Edward Simpson TI Market-Based Corrective Actions SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID STOCK-PRICE; INFORMATION; FIRMS; PERFORMANCE; EFFICIENCY; ACTIVISM; SOCIETY; EQUITY AB Many economic agents take corrective actions based on information inferred from market prices of firms' securities. Examples include directors and activists intervening in the management of firms and bank supervisors taking actions to improve the health of financial institutions. We provide an equilibrium analysis of such situations in light of a key problem: if agents use market prices when deciding on corrective actions, prices adjust to reflect this use and potentially become less revealing. We show that market information and agents' information are complementary, and discuss measures that can increase agents' ability to learn from market prices. (JEL D53, D80, G14, G21, G28, G34) C1 [Bond, Philip] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. [Prescott, Edward Simpson] Fed Reserve Bank Richmond, Richmond, VA USA. RP Bond, P (reprint author), Univ Penn, Wharton Sch, 2300 Steinberg Hall Dietrich Hall,3620 Locust Wal, Philadelphia, PA 19104 USA. EM pbond@wharton.upenn.edu NR 50 TC 41 Z9 41 U1 4 U2 19 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD FEB PY 2010 VL 23 IS 2 BP 781 EP 820 DI 10.1093/rfs/hhp059 PG 40 WC Business, Finance; Economics SC Business & Economics GA 547MC UT WOS:000273892100010 ER PT J AU French, E AF French, Eric BE Bovenberg, L VanSoest, A Zaidi, A TI Innovative Institutions and Products for Retirement Provision in Europe SO AGEING, HEALTH AND PENSIONS IN EUROPE: AN ECONOMIC AND SOCIAL POLICY PERSPECTIVE LA English DT Editorial Material; Book Chapter C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP French, E (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 2 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-23030-734-6 PY 2010 BP 99 EP 101 D2 10.1057/9780230307346 PG 3 WC Economics; Gerontology; Health Policy & Services; Social Issues SC Business & Economics; Geriatrics & Gerontology; Health Care Sciences & Services; Social Issues GA BVK73 UT WOS:000291730200007 ER PT J AU Gurkaynak, RS Sack, B Wright, JH AF Guerkaynak, Refet S. Sack, Brian Wright, Jonathan H. TI The TIPS Yield Curve and Inflation Compensation SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID BOND PRICES; LIQUIDITY; FORECAST; MARKET AB For over ten years, the Treasury has issued index-linked debt. This paper describes the methodology for fitting a smoothed yield curve to these securities that is used at the Federal Reserve Board every day, and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflation compensation to be computed. We discuss the interpretation of inflation compensation, and provide evidence that it is not a pure measure of inflation expectations being distorted by inflation risk premium and liquidity premium components. We attempt to estimate the TIPS liquidity premium and to extract underlying inflation expectations. (JEL E31, E43, H63) C1 [Guerkaynak, Refet S.] Bilkent Univ, Dept Econ, TR-06800 Ankara, Turkey. [Sack, Brian] Fed Reserve Bank New York, New York, NY 10038 USA. [Wright, Jonathan H.] Johns Hopkins Univ, Dept Econ, Baltimore, MD 21202 USA. RP Gurkaynak, RS (reprint author), Bilkent Univ, Dept Econ, TR-06800 Ankara, Turkey. EM refet@bilkent.edu.tr; Brian.Sack@ny.frb.org; wrightj@jhu.edu NR 19 TC 51 Z9 52 U1 1 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2010 VL 2 IS 1 BP 70 EP 92 DI 10.1257/mac.2.1.70 PG 23 WC Economics SC Business & Economics GA 692TD UT WOS:000285177100003 ER PT S AU Luttmer, EGJ AF Luttmer, Erzo G. J. BE Arrow, KJ Bresnahan, TF TI Models of Growth and Firm Heterogeneity SO ANNUAL REVIEW OF ECONOMICS, VOL 2 SE Annual Review of Economics LA English DT Article; Book Chapter DE firm size distribution; organization capital; heterogeneous productivity; selection ID PERFECT INDUSTRY DYNAMICS; TECHNOLOGICAL-CHANGE; SIZE DISTRIBUTION; BUSINESS FIRMS; POWER LAWS; PRODUCTIVITY; EARNINGS; EQUILIBRIUM; INNOVATION; DIFFUSION AB Although employment at individual firms tends to be highly nonstationary, the employment size distribution of all firms in the United States appears to be stationary. It closely resembles a Pareto distribution. There is a lot of entry and exit, mostly of small firms. This review surveys general equilibrium models that can be used to interpret these facts and explores the role of innovation by new and incumbent firms in determining aggregate growth. The existence of a balanced growth path with a stationary employment size distribution depends crucially on assumptions made about the cost of entry. Some type of labor must be essential input in setting up new firms. C1 [Luttmer, Erzo G. J.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Luttmer, Erzo G. J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Luttmer, EGJ (reprint author), Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. EM luttmer@umn.edu NR 81 TC 10 Z9 10 U1 1 U2 13 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4602-7 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2010 VL 2 BP 547 EP 576 DI 10.1146/annurev.economics.102308.124410 PG 30 WC Economics SC Business & Economics GA BUX69 UT WOS:000290636900020 ER PT S AU Adrian, T Shin, HS AF Adrian, Tobias Shin, Hyun Song BE Arrow, KJ Bresnahan, TF TI The Changing Nature of Financial Intermediation and the Financial Crisis of 2007-2009 SO ANNUAL REVIEW OF ECONOMICS, VOL 2 SE Annual Review of Economics LA English DT Article; Book Chapter DE intermediation chains; procyclicality; liquidity facilities; monetary policy AB The current financial crisis has highlighted the changing role of financial institutions and the growing importance of the shadow banking system, which grew on the back of the securitization of assets and the integration of banking with capital market developments. This trend has been most pronounced in the United States but has had a profound influence on the global financial system as a whole. In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are closely tied to the fluctuations in leverage of market-based financial intermediaries. Balance-sheet growth of market-based financial intermediaries provides a window on liquidity in the sense of the availability of credit, whereas financial crises tend to be associated with contractions of balance sheets. We describe the changing nature of financial intermediation in the market-based financial system, chart the course of the recent financial-crisis, and outline the policy responses that have been implemented by the Federal Reserve and other central banks to counter it. C1 [Adrian, Tobias] Fed Reserve Bank New York, New York, NY 10045 USA. [Shin, Hyun Song] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08540 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org; hsshin@princeton.edu OI Adrian, Tobias/0000-0001-9379-9592 NR 22 TC 27 Z9 27 U1 1 U2 31 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4602-7 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2010 VL 2 BP 603 EP 618 DI 10.1146/annurev.economics.102308.124420 PG 16 WC Economics SC Business & Economics GA BUX69 UT WOS:000290636900022 ER PT S AU Holmes, TJ Schmitz, JA AF Holmes, Thomas J. Schmitz, James A., Jr. BE Arrow, KJ Bresnahan, TF TI Competition and Productivity: A Review of Evidence SO ANNUAL REVIEW OF ECONOMICS, VOL 2 SE Annual Review of Economics LA English DT Review; Book Chapter DE monopoly; innovation; market power ID MANAGERIAL INCENTIVES; TRADE LIBERALIZATION; X-EFFICIENCY; LONG-RUN; FIRMS; INDUSTRIES; INNOVATION; WAGES; US; INEFFICIENCY AB Does competition spur productivity? And if so, how does it accomplish this? These have long been regarded as central questions in economics. This article reviews the literature that makes progress toward answering both questions. C1 [Holmes, Thomas J.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Schmitz, James A., Jr.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Holmes, Thomas J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. EM holmes@umn.edu; jas@res.mpls.frb.fed.us NR 68 TC 13 Z9 13 U1 0 U2 9 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0897 USA SN 1941-1383 BN 978-0-8243-4602-7 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2010 VL 2 BP 619 EP 642 DI 10.1146/annurev.economics.102308.124407 PG 24 WC Economics SC Business & Economics GA BUX69 UT WOS:000290636900023 ER PT S AU Jagannathan, R Schaumburg, E Zhou, G AF Jagannathan, Ravi Schaumburg, Ernst Zhou, Guofu BE Lo, AW Merton, RC TI Cross-Sectional Asset Pricing Tests SO ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 2 SE Annual Review of Financial Economics LA English DT Article; Book Chapter DE factor models; stochastic discount factor; asset pricing tests ID MEAN-VARIANCE EFFICIENCY; EXPECTED STOCK RETURNS; CONSUMPTION-BASED EXPLANATION; EQUITY PREMIUM PUZZLE; CONDITIONAL CAPM; GROWTH OPTIONS; EMPIRICAL-EVALUATION; MULTIVARIATE TESTS; GENERALIZED-METHOD; SAMPLE PROPERTIES AB A major problem in finance is to understand why different financial assets earn vastly different returns on average. In this paper, we survey various econometric approaches that have been developed to empirically examine various asset pricing models used to explain the difference in cross section of security returns. The approaches range from regressions to the generalized method of moments, and the associated asset pricing models are both conditional and unconditional. In addition, we review some of the major empirical studies. C1 [Jagannathan, Ravi] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. [Jagannathan, Ravi] NBER, Cambridge, MA 02138 USA. [Schaumburg, Ernst] Fed Reserve Bank New York, New York, NY 10045 USA. [Zhou, Guofu] Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA. RP Jagannathan, R (reprint author), Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. EM rjaganna@kellogg.northwestern.edu; zhou@wustl.edu NR 115 TC 5 Z9 5 U1 7 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 978-0-8243-4802-1 J9 ANNU REV FINANC ECON JI Annu. Rev. Financ. Econ. PY 2010 VL 2 BP 49 EP 74 DI 10.1146/annurev-financial-120209-133954 PG 26 WC Business, Finance; Economics SC Business & Economics GA BSP82 UT WOS:000285329100003 ER PT J AU Dueker, M Assenmacher-Wesche, K AF Dueker, Michael Assenmacher-Wesche, Katrin TI Forecasting macro variables with a Qual VAR business cycle turning point index SO APPLIED ECONOMICS LA English DT Article ID LEADING INDICATORS; TIME-SERIES; MODELS; RECESSIONS; DYNAMICS; POLICY AB One criticism of Vector Autoregression (VAR) forecasting is that macroeconomic variables tend not to behave as linear functions of their own past around business cycle turning points. A large amount of literature therefore focuses on nonlinear forecasting models, such as Markov switching models, which only indirectly capture the relation with turning points. This article investigates a direct approach to using information on turning points from the National Bureau of Economic Research (NBER) chronology to model and forecast macroeconomic data. Our Qual VAR model includes a truncated normal latent business cycle index that is negative during NBER recessions and positive during expansions. We motivate our forecasting exercise by demonstrating that if starting from a linear specification, a truncated normal variable is an omitted variable, then forecasts of the remaining variables will become nonlinear functions of their own past. We apply the Qual VAR model to recursive out-of-sample forecasting and find that the Qual VAR improves on out-of-sample forecasts from a standard VAR. C1 [Dueker, Michael] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Assenmacher-Wesche, Katrin] Swiss Natl Bank, CH-8022 Zurich, Switzerland. RP Dueker, M (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM mdueker@stls.frb.org NR 20 TC 5 Z9 5 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 2010 VL 42 IS 23 BP 2909 EP 2920 AR PII 910357506 DI 10.1080/00036840801964732 PG 12 WC Economics SC Business & Economics GA 646ZC UT WOS:000281583800001 ER PT J AU Hotchkiss, JL Pitts, MM AF Hotchkiss, Julie L. Pitts, M. Melinda TI The demand side of the penalty for intermittent labour market behaviour SO APPLIED ECONOMICS LETTERS LA English DT Article ID EARNINGS; SELECTION; MODEL; WORK AB The purpose of this article is to determine whether there is any empirical evidence for the contribution of employer, or demand-side, determinants of the labour market intermittency penalty. The documented negative relationship between the size of the penalty and the labour market strength is interpreted as evidence that labour market intermittency is viewed as an undesirable characteristic that employers penalize more severely when the labour market is weak. C1 [Hotchkiss, Julie L.; Pitts, M. Melinda] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. [Hotchkiss, Julie L.] Georgia State Univ, Atlanta, GA 30303 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. EM julie.l.hotchkiss@atl.frb.org NR 18 TC 1 Z9 1 U1 0 U2 0 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1350-4851 J9 APPL ECON LETT JI Appl. Econ. Lett. PY 2010 VL 17 IS 6 BP 531 EP 535 AR PII 794512018 DI 10.1080/13504850802167181 PG 5 WC Economics SC Business & Economics GA 593FL UT WOS:000277438100003 ER PT J AU Crowley, MA AF Crowley, Meredith A. TI Split Decisions in Antidumping Cases SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article DE antidumping; imperfect competition; trade policy ID POLICY; CUMULATION; GATT AB This paper provides a rationale for "split decisions" in antidumping cases. A split decision occurs when the U. S. government simultaneously investigates multiple countries for dumping the same product but imposes antidumping duties on only a subset of these countries. In the U. S., 76% of antidumping petitions filed between 1980 and 2004 involved two or more countries accused of dumping the same product. Among these multi-country investigations, roughly 30% concluded with a split decision in the final stage of an investigation. The model in this paper shows that selectively applying antidumping duties against foreign countries that are selling increased quantities of imports at a price below long run average total cost improves the importing country's welfare. Imperfectly competitive firms in different countries face stochastic demand and are subject to capacity constraints. As a result, foreign firms dump when they face weak demand in their own markets. In response to the shift in a foreign country's export supply, the importing country's optimal rent-shifting tariff against the foreign country with weak demand increases while its optimal tariff against other countries falls. This paper suggests an economic rationale behind the differential treatment afforded to different countries accused of dumping. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Crowley, MA (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM mcrowley@frbchi.org NR 31 TC 1 Z9 1 U1 0 U2 6 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 2010 VL 10 IS 1 AR 68 PG 26 WC Economics SC Business & Economics GA 633IS UT WOS:000280495900002 ER PT J AU Ellison, B Lusk, JL Briggeman, B AF Ellison, Brenna Lusk, Jayson L. Briggeman, Brian TI Other-Regarding Behavior and Taxpayer Preferences for Farm Policy SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article DE other-regarding behavior; taxpayer preferences; farm support programs ID CHOICE CONTINGENT VALUATION; COMPETITION; ALTRUISM AB Changes in the structure of agriculture have led some to rethink the purpose and nature of farm support programs, yet taxpayers are often left unheard in this debate. This paper determines how people would vote on particular farm policies and identifies the determinants of support/opposition to farm programs. Our results show the majority of people support farm subsidies, but voting outcomes are sensitive to the costs of the policy and the magnitude of the payouts to farmers. We find people act altruistically toward small farmers and that people are averse to inequality. Furthermore, we found the public's attitude toward maintaining a secure food supply is a significant determinant of support for farm programs. Finally, we found that information about farmers' average incomes and average production levels across different farm sizes had little effect on people's willingness to subsidize small or large farmers. C1 [Ellison, Brenna; Lusk, Jayson L.] Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. [Briggeman, Brian] Fed Reserve Bank Kansas City, Kansas City, KS USA. RP Lusk, JL (reprint author), Oklahoma State Univ, Dept Agr Econ, 411 Ag Hall, Stillwater, OK 74078 USA. EM brenna.ellison@okstate.edu; jayson.lusk@okstate.edu; brian.briggeman@kc.frb.org NR 27 TC 2 Z9 2 U1 1 U2 7 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1682 J9 BE J ECON ANAL POLI JI B E J. Econ. Anal. Policy PY 2010 VL 10 IS 1 AR 96 PG 29 WC Economics SC Business & Economics GA 674IJ UT WOS:000283732600008 ER PT J AU Martinez-Garcia, E AF Martinez-Garcia, Enrique TI A Model of the Exchange Rate with Informational Frictions SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE bilateral exchange rates; informational frictions; price stickiness; bond intermediation ID STICKY PRICE MODELS; MONETARY-POLICY; BUSINESS-CYCLE; FRAMEWORK AB Data for the U.S. and the Euro-zone (12) during the post-Bretton Woods period show that nominal and real exchange rates are more volatile than consumption, very persistent, and highly correlated with each other. Open-economy models with price stickiness and local-currency pricing often require an average duration above 4 quarters to approximate those stylized facts. I argue that limited and asymmetric information introduces a lag in the consumption decisions, and as a result the real exchange rate becomes more volatile to ensure that goods markets clear at all times. Hence, informational frictions can explain the volatility of the real exchange rate without imposing price stickiness above the available estimates (e.g., Gali et al., 2001). I also find that differences in price stickiness across markets weaken the correlation between the nominal exchange rate and the CPI ratio between countries. This can increase the persistence of the real exchange rate, but often by worsening the model along other dimensions (e.g., by lowering the correlation between nominal and real exchange rates). C1 [Martinez-Garcia, Enrique] Fed Reserve Bank Dallas, Dallas, TX USA. RP Martinez-Garcia, E (reprint author), 2200 N Pearl St, Dallas, TX 75201 USA. EM enrique.martinez-garcia@dal.frb.org NR 25 TC 1 Z9 1 U1 0 U2 1 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2010 VL 10 IS 1 AR 2 PG 39 WC Economics SC Business & Economics GA 551HE UT WOS:000274196800001 ER PT J AU Martin, A McAndrews, J AF Martin, Antoine McAndrews, James TI SHOULD THERE BE INTRADAY MONEY MARKETS? SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID SETTLEMENT SYSTEMS; GROSS SETTLEMENT; LIQUIDITY; PAYMENTS; RISK; MODEL AB In this article, we consider the case for an intraday market for reserves. We discuss the separate roles of intraday and overnight reserves and argue that an intraday market could be organized in the same way as the overnight market. We present arguments in favor of and against a market for intraday reserves when the marginal cost of overnight reserves is positive. We also consider how reserves should be supplied when the cost of overnight reserves is zero. In that case, the distinction between overnight and intraday reserves becomes blurred, raising an important question: What is the role of the overnight market? (JEL E44, E58). C1 [Martin, Antoine; McAndrews, James] Fed Reserve Bank New York, New York, NY 10045 USA. RP Martin, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM antoine.martin@ny.frb.org; jamie.mcandrews@ny.frb.org NR 31 TC 3 Z9 3 U1 0 U2 0 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1074-3529 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD JAN PY 2010 VL 28 IS 1 BP 110 EP 122 DI 10.1111/j.1465-7287.2009.00161.x PG 13 WC Economics; Public Administration SC Business & Economics; Public Administration GA 547KY UT WOS:000273887800008 ER PT J AU Nopo, H Chong, A Moro, A AF Nopo, Hugo Chong, Alberto Moro, Andrea BE Nopo, H Chong, A Moro, A TI What Do We Know about Discrimination in Latin America? Very Little! SO DISCRIMINATION IN LATIN AMERICA: AN ECONOMIC PERSPECTIVE LA English DT Article; Book Chapter ID EMPIRICAL-ANALYSIS; RECRUITMENT C1 [Nopo, Hugo; Chong, Alberto] IDB, Bogota, Colombia. [Nopo, Hugo] Middlebury Coll, Middlebury, VT USA. [Nopo, Hugo] Inst Study Lab IZA, Bonn, Germany. [Chong, Alberto] Georgetown Univ, Washington, DC 20057 USA. [Chong, Alberto] Univ Maryland, World Bank, College Pk, MD 20742 USA. [Chong, Alberto] Minist Finance Peru, Lima, Peru. [Moro, Andrea] Vanderbilt Univ, Nashville, TN USA. [Moro, Andrea] Univ Minnesota, Minneapolis, MN 55455 USA. [Moro, Andrea] Fed Reserve Bank New York, New York, NY USA. RP Nopo, H (reprint author), IDB, Bogota, Colombia. NR 25 TC 2 Z9 2 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-8082-6 PY 2010 BP 1 EP 11 D2 10.1596/978-0-8213-7835-9 PG 11 WC Economics SC Business & Economics GA BBO88 UT WOS:000307771700002 ER PT J AU Armah, NA Swanson, NR AF Armah, Nii Ayi Swanson, Norman R. TI Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments SO ECONOMETRIC REVIEWS LA English DT Article DE Diffusion index; Factor; Forecast; Macroeconometrics; Parameter estimation error; Proxy ID DYNAMIC-FACTOR MODEL; NUMBER; INTERVALS AB In economics, common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. For this reason, many authors have used estimated factors in the construction of prediction models. In this article, we begin by surveying the extant literature on diffusion indexes. We then outline a number of approaches to the selection of factor proxies (observed variables that proxy unobserved estimated factors) using the statistics developed in Bai and Ng (2006a,b). Our approach to factor proxy selection is examined via a small Monte Carlo experiment, where evidence supporting our proposed methodology is presented, and via a large set of prediction experiments using the panel dataset of Stock and Watson (2005). One of our main empirical findings is that our osmoothedo approaches to factor proxy selection appear to yield predictions that are often superior not only to a benchmark factor model, but also to simple linear time series models which are generally difficult to beat in forecasting competitions. In some sense, by using our approach to predictive factor proxy selection, one is able to open up the oblack boxo often associated with factor analysis, and to identify actual variables that can serve as primitive building blocks for (prediction) models of a host of macroeconomic variables, and that can also serve as policy instruments, for example. Our findings suggest that important observable variables include various SP500 variables, including stock price indices and dividend series; a 1-year Treasury bond rate; various housing activity variables; industrial production; and exchange rates. C1 [Armah, Nii Ayi; Swanson, Norman R.] Rutgers State Univ, Dept Econ, New Brunswick, NJ 08901 USA. [Swanson, Norman R.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Armah, NA (reprint author), Rutgers State Univ, Dept Econ, 75 Hamilton St, New Brunswick, NJ 08901 USA. EM armah@econ.rutgers.edu FU Rutgers University Research Council FX The authors wish to thank the editors, Esfandiar Maasoumi and Marcelo Medeiros, as well as two anonymous referees for providing numerous useful suggestions on earlier versions of this article. Additionally, a great many thanks are owed to Mark Watson for making the data used in this article available for public consumption. Thanks are also owed to Valentina Corradi, Roger Klein, Serena Ng, and participants at the conference on "Empirical Methods in Macroeconomics and Finance" at Bocconi University in October 2003, where many interesting discussions led to the idea for this article. Swanson thanks the Rutgers University Research Council for financial support. The views expressed in this article are solely our own, and do not necessarily reflect the official positions or policies of the Federal Reserve Bank of Philadelphia or the Federal Reserve System. NR 35 TC 3 Z9 3 U1 2 U2 2 PU TAYLOR & FRANCIS INC PI PHILADELPHIA PA 325 CHESTNUT ST, SUITE 800, PHILADELPHIA, PA 19106 USA SN 0747-4938 J9 ECONOMET REV JI Econom. Rev. PY 2010 VL 29 IS 5-6 BP 476 EP 510 AR PII 926946346 DI 10.1080/07474938.2010.481549 PG 35 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 650MM UT WOS:000281853600002 ER PT J AU Honore, BE Hu, LJ AF Honore, Bo E. Hu, Luojia TI Estimation of a transformation model with truncation, interval observation and time-varying covariates SO ECONOMETRICS JOURNAL LA English DT Article DE Censoring; Time-varying covariates; Transformation models; Truncation ID RANK CORRELATION ESTIMATOR; REGRESSION-MODELS; DURATION MODELS AB Abrevaya (1999b) considered estimation of a transformation model in the presence of left truncation. This paper observes that a cross-sectional version of the statistical model considered in Frederiksen et al. (2007) is a generalization of the model considered by Abrevaya (1999b) and the generalized model can be estimated by a pairwise comparison version of one of the estimators in Frederiksen et al. (2007). Specifically, our generalization will allow for discretized observations of the dependent variable and for piecewise constant time-varying explanatory variables. C1 [Honore, Bo E.] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. [Hu, Luojia] Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. RP Honore, BE (reprint author), Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. EM honore@Princeton.edu FU National Science Foundation; Gregory C. Chow Econometric Research Program at Princeton University FX This research was supported by the National Science Foundation and the Gregory C. Chow Econometric Research Program at Princeton University. We thank seminar participants at Rice University, Universite Paris 1 Pantheon-Sorbonne and the Federal Reserve Bank of Chicago as well as members of Princeton's Microeconometric Reading Group for comments. The opinions expressed here are those of the authors and not necessarily those of the Federal Reserve Bank of Chicago or the Federal Reserve System. NR 18 TC 4 Z9 4 U1 0 U2 2 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1368-4221 J9 ECONOMET J JI Econom. J. PY 2010 VL 13 IS 1 BP 127 EP 144 DI 10.1111/j.1368-423X.2009.00303.x PG 18 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 554RK UT WOS:000274451900005 ER PT J AU Craig, B Jackson, W Thomson, J AF Craig, Ben Jackson, William Thomson, James BE Shane, S TI On SBA-guaranteed lending and economic growth SO ECONOMIC DEVELOPMENT THROUGH ENTREPRENEURSHIP: GOVERNMENT, UNIVERSITY AND BUSINESS LINKAGES SE New Horizons in Entrepreneurship LA English DT Article; Book Chapter C1 [Craig, Ben; Thomson, James] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. [Jackson, William] Univ N Carolina, Chapel Hill, NC USA. RP Craig, B (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 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 978-1-84376-855-5 J9 NEW HORIZ ENTREP PY 2010 BP 127 EP 150 PG 24 WC Business; Management SC Business & Economics GA BRX42 UT WOS:000283848100012 ER PT J AU Butler, A AF Butler, Alison BE Garnett, RF Olsen, EK Starr, M TI The illusion of objectivity Implications for teaching economics SO ECONOMIC PLURALISM SE Routledge Frontiers of Political Economy LA English DT Article; Book Chapter ID PEDAGOGY C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Butler, A (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 44 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-87181-2 J9 ROUTL FRONT POLIT EC PY 2010 VL 122 BP 236 EP 249 PG 14 WC Economics SC Business & Economics GA BNB93 UT WOS:000274102100018 ER PT J AU Martinez-Garcia, E Sondergaard, J AF Martinez-Garcia, Enrique Sondergaard, Jens BE Calcagnini, G Saltari, E TI Investment and Trade Patterns in a Sticky-Price, Open-Economy Model SO ECONOMICS OF IMPERFECT MARKETS: THE EFFECTS OF MARKET IMPERFECTIONS ON ECONOMIC DECISION-MAKING SE Contributions to Economics LA English DT Proceedings Paper CT International Conference on Economics of Imperfect Markets - Their Interaction and the Consequences for Economic Theory and Policy CY MAY 16-17, 2008 CL Univ di Roma, Rome, ITALY SP Sapienza Univ Rome, Univ Rome Tor Vergata, Univ Urbino, Catholic Univ Piacenza, Minist Univ Res HO Univ di Roma ID MONETARY-POLICY; DYNAMICS; UNCERTAINTY; VOLATILITY AB This paper explores a two-country DSGE model with sticky prices a la Calvo (1983) and local-currency pricing. We analyze the investment decision in the presence of adjustment costs of two types, i.e., capital adjustment costs (CAC) and investment adjustment costs (IAC). We compare the investment and trade patterns with adjustment costs against those of a model without adjustment costs and with (quasi-) flexible prices. We show that having adjustment costs results into more volatile consumption and net exports series, and less volatile investment. We document three important facts on US trade dynamics: (1) the S-shaped cross-correlation between real GDP and the real net exports share, (2) the J-curve between terms of trade and net exports, and (3) the weak and S-shaped cross-correlation between real GDP and terms of trade. We find that adding adjustment costs tends to reduce the model's ability to match these stylized facts. Nominal rigidities cannot account for these features either. C1 [Martinez-Garcia, Enrique] Fed Reserve Bank Dallas, 2200 N Pearl Strt, Dallas, TX 75201 USA. [Sondergaard, Jens] Bank England, Monetary Assessment & Strategy Div, Monetary Anal, London, UK, England. RP Martinez-Garcia, E (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl Strt, Dallas, TX 75201 USA. EM enrique.martinez-garcia@dal.frb.org; jens.sondergaard@bankofengland.co.uk FU Federal Reserve Bank of Dallas; Bank of England FX We would like to thank Mark Astley and Mark Wynne for their encouragement, and Roman Sustek, Finn Kydland and Carlos Zarazanga for many helpful discussions. We also acknowledge the support of the Federal Reserve Bank of Dallas and the Bank of England. However,the views expressed in this chapters do not necessarily reflect those of the Federal Reserve Bank of Dallas, the Federal Reserve System or the Bank of England.All errors are ours alone. NR 18 TC 0 Z9 0 U1 0 U2 1 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES SN 1431-1933 J9 CONTRIB ECON PY 2010 BP 183 EP + DI 10.1007/978-3-7908-2131-4_10 PG 3 WC Economics SC Business & Economics GA BNH32 UT WOS:000274558200010 ER PT J AU Humphrey, TM AF Humphrey, Thomas M. BE Blaug, M Lloyd, P TI Marshallian cross diagrams SO FAMOUS FIGURES AND DIAGRAMS IN ECONOMICS LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Richmond, VA USA. RP Humphrey, TM (reprint author), Fed Reserve Bank Richmond, Richmond, VA USA. NR 8 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 978-1-84844-160-6 PY 2010 BP 29 EP 37 PG 9 WC Economics SC Business & Economics GA BZF52 UT WOS:000301366400002 ER PT J AU Humphrey, TM AF Humphrey, Thomas M. BE Blaug, M Lloyd, P TI Intertemporal utility maximization - the Fisher diagram SO FAMOUS FIGURES AND DIAGRAMS IN ECONOMICS LA English DT Article; Book Chapter C1 Fed Reserve Bank Richmond, Richmond, VA USA. RP Humphrey, TM (reprint author), Fed Reserve Bank Richmond, Richmond, VA USA. NR 4 TC 1 Z9 1 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84844-160-6 PY 2010 BP 421 EP 425 PG 5 WC Economics SC Business & Economics GA BZF52 UT WOS:000301366400056 ER PT J AU Engemann, KM Wall, HJ AF Engemann, Kristie M. Wall, Howard J. TI The Effects of Recessions Across Demographic Groups SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The burdens of a recession are not spread evenly across demographic groups. As the public and media noticed, from the start of the current recession in December 2007 through June 2009 men accounted for more than three-quarters of net job losses. Other differences have garnered less attention but are just as interesting. During the same period, the employment of single people fell at more than twice the rate that it did for married people and the decline for black workers was one and a half times that for white workers. To provide a more complete understanding of the effect of recessions, this paper examines the different effects of this and previous recessions across a range of demographic categories: sex, marital status, race, age, and education level. C1 [Engemann, Kristie M.; Wall, Howard J.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Engemann, KM (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 8 TC 14 Z9 14 U1 2 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2010 VL 92 IS 1 BP 1 EP 26 PG 26 WC Business, Finance; Economics SC Business & Economics GA 711DU UT WOS:000286568100002 ER PT J AU Kolesnikova, NA AF Kolesnikova, Natalia A. TI Community Colleges and Economic Mobility SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID LABOR-MARKET RETURNS; 2-YEAR AB This paper examines the role of community colleges in the U.S. higher education system and their advantages and shortcomings. In particular, it discusses the population of community college students and economic returns to community college education for various demographic groups. It offers new evidence on the returns to an associate's degree. Furthermore, the paper uses data from the National Survey of College Graduates to compare educational objectives, progress, and labor market outcomes of individuals who start their postsecondary education at community colleges with those who start at four-year colleges. Particular attention is paid to the Federal Reserve's Eighth District, the geographic area served by the Federal Reserve Bank of St. Louis. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Kolesnikova, NA (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 13 TC 1 Z9 1 U1 3 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2010 VL 92 IS 1 BP 27 EP 53 PG 27 WC Business, Finance; Economics SC Business & Economics GA 711DU UT WOS:000286568100003 ER PT J AU Sengupta, R AF Sengupta, Rajdeep TI Alt-A: The Forgotten Segment of the Mortgage Market SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB This study presents a brief overview of the Alt-A mortgage market with the goal of outlining broad trends in the different borrower and mortgage characteristics of Alt-A market originations between 2000 and 2006. The paper also documents the default patterns of Alt-A mortgages in terms of the various borrower and mortgage characteristics over this period. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Sengupta, R (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 11 TC 4 Z9 4 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2010 VL 92 IS 1 BP 55 EP 71 PG 17 WC Business, Finance; Economics SC Business & Economics GA 711DU UT WOS:000286568100004 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI The Relationship Between the Daily and Policy-Relevant Liquidity Effects SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID OPEN MARKET OPERATIONS; FEDERAL-FUNDS MARKET; MONETARY-POLICY; INTEREST RATES; MODEL; LAG AB The phrase "liquidity effect" was introduced by Milton Friedman (1969) to describe the first of three effects on interest rates caused by an exogenous change in the money supply. The lack of empirical support for the liquidity effect using monthly and quarterly monetary and reserve aggregates data led Hamilton (1997) to suggest that more convincing evidence of the liquidity effect could be obtained with daily data-the daily liquidity effect. This paper investigates the implications of the daily liquidity effect for Friedman's liquidity effect using a more comprehensive model of the Federal Reserve's daily operating procedure than has been previously used in the literature. The evidence indicates that it is no easier to find convincing evidence of a Friedman liquidity effect using daily data than it has been with lower-frequency monthly and quarterly data. 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 24 TC 1 Z9 1 U1 1 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2010 VL 92 IS 1 BP 73 EP 87 PG 15 WC Business, Finance; Economics SC Business & Economics GA 711DU UT WOS:000286568100005 ER PT J AU Nieto, MJ AF Nieto, Maria J. BE Gup, BE TI A single financial market and multiple safety-net regulators: the case of the European Union SO FINANCIAL AND ECONOMIC CRISES: AN INTERNATIONAL PERSPECTIVE LA English DT Article; Book Chapter C1 [Nieto, Maria J.] Int Monetary Fund, Washington, DC 20431 USA. RP Nieto, MJ (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 2 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 978-1-84844-666-3 PY 2010 BP 157 EP 173 PG 17 WC Business, Finance; Economics SC Business & Economics GA BZC10 UT WOS:000301069200010 ER PT J AU Rosen, RJ AF Rosen, Richard J. BE Bliss, RR Kaufman, GG TI Too Much Right Can Make a Wrong: Setting the Stage for the US Financial Crisis SO FINANCIAL INSTITUTIONS AND MARKETS: THE FINANCIAL CRISIS: AN EARLY RETROSPECTIVE LA English DT Article; Book Chapter ID MUTUAL FUND FLOWS; INVESTOR PSYCHOLOGY; CEO OVERCONFIDENCE; MARKETS; INATTENTION; LIQUIDITY; BEHAVIOR; POLICY; MONEY AB The financial crisis that started in 2007 exposed a number of flaws in the financial system. Many of these flaws were associated with financial instruments that were issued by the shadow banking system, especially securitized assets. The volume and complexity of securitized assets grew rapidly during the run-up to the financial crisis that began in 2007. This chapter discusses how the financial crisis can be viewed as a possible but logical outcome of a system where investors are overconfident, busy, and investing other peoples' money and intermediaries are set up to take advantage of investors' tendencies. The investor-intermediary risk cycle in this crisis is common to other crises. However, there are a number of factors that may have made the 2007 crisis more severe. Among them are the length of the precrisis period, the shift from financial intermediaries to the shadow banking system, the increasing interconnectedness among financial firms, and the increased leverage at some financial firms. C1 [Rosen, Richard J.] Fed Reserve Bank Chicago, Chicago, IL 60690 USA. [Rosen, Richard J.] Indiana Univ, Kelley Sch Business, Dept Finance, Bloomington, IN 47405 USA. [Rosen, Richard J.] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA. [Rosen, Richard J.] Georgetown Univ, Sch Business, Dept Finance, Washington, DC 20057 USA. [Rosen, Richard J.] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Rosen, RJ (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60690 USA. NR 55 TC 1 Z9 1 U1 1 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-11736-5 PY 2010 BP 37 EP 69 D2 10.1057/9780230117365 PG 33 WC Business, Finance; Economics SC Business & Economics GA BVQ73 UT WOS:000292306200002 ER PT J AU Valverde, SC AF Carbo Valverde, Santiago BE Bliss, RR Kaufman, GG TI Financial Crisis and Regulation: The Case of Spain SO FINANCIAL INSTITUTIONS AND MARKETS: THE FINANCIAL CRISIS: AN EARLY RETROSPECTIVE LA English DT Article; Book Chapter AB There have been a number of heterogeneous and, in some cases, opposing views of how the reform of the present international financial architecture should be tackled. This chapter discusses and reassesses the principal challenges and proposals for the reform of international financial regulation, commenting upon some specific lessons for the Spanish case from recent empirical evidence. From an international perspective, consensus is broadest that the most appropriate way to avoid systemic risk escaping from the perimeter of regulation and generating shadow banking is coordination at the national/international level and prompt corrective action, which in the EU has led to a combination of both microprudential and macroprudential policies (contained in the Larosiere Report). From a national perspective, the chapter provides empirical evidence suggesting the existence of a relation ship between excessive credit expansion in the years prior to the crisis and the current problems of asset impairment. It can be observed that the greater demands of prudential supervision and the dynamic provisions of the Bank of Spain have so far been able to attenuate only part of the effects of asset impairment. Nevertheless, some further adjustment is still required, in the framework of the orderly restructuring of the banking sector, and this is highly likely to generate an intensive process of financial consolidation. C1 [Carbo Valverde, Santiago] Univ Granada, Sch Business & Econ, E-18071 Granada, Spain. [Carbo Valverde, Santiago] Spanish Savings Banks Res Fdn Funcas, Barcelona, Spain. [Carbo Valverde, Santiago] Fed Reserve Bank Chicago, Chicago, IL USA. RP Valverde, SC (reprint author), Univ Granada, Sch Business & Econ, E-18071 Granada, Spain. NR 19 TC 0 Z9 0 U1 1 U2 5 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-11736-5 PY 2010 BP 127 EP 145 D2 10.1057/9780230117365 PG 19 WC Business, Finance; Economics SC Business & Economics GA BVQ73 UT WOS:000292306200005 ER PT J AU Kaufman, GG AF Kaufman, George G. BE Bliss, RR Kaufman, GG TI Basel II Has Been a Costly Distraction on the Road to Minimizing the Societal Cost of Bank Failures and Financial Crises SO FINANCIAL INSTITUTIONS AND MARKETS: THE FINANCIAL CRISIS: AN EARLY RETROSPECTIVE LA English DT Article; Book Chapter C1 [Kaufman, George G.] Loyola Univ Chicago, Chicago, IL 60660 USA. [Kaufman, George G.] Fed Reserve Bank Chicago, Chicago, IL USA. [Kaufman, George G.] Western Finance Assoc, Evanston, IL USA. [Kaufman, George G.] Midwest Finance Assoc, Kearney, NE 68849 USA. [Kaufman, George G.] N Amer Econ & Finance Assoc, Salt Lake City, UT USA. [Kaufman, George G.] Shadow Financial Regulatory Comm, Washington, DC USA. RP Kaufman, GG (reprint author), Loyola Univ Chicago, Chicago, IL 60660 USA. NR 9 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-11736-5 PY 2010 BP 147 EP 156 D2 10.1057/9780230117365 PG 10 WC Business, Finance; Economics SC Business & Economics GA BVQ73 UT WOS:000292306200006 ER PT J AU Chakravorti, S Gunther, JW Moore, RR AF Chakravorti, Sujit Gunther, Jeffery W. Moore, Robert R. BE Bliss, RR Kaufman, GG TI Universal Access, Cost Recovery, and Payment Services SO FINANCIAL INSTITUTIONS AND MARKETS: THE FINANCIAL CRISIS: AN EARLY RETROSPECTIVE LA English DT Article; Book Chapter AB We suggest a subtle, yet far-reaching, tension in the objectives specified by the Monetary Control Act of 1980 (MCA) for the Federal Reserve's role in providing retail payment services, such as check processing. Specifically, we argue that the requirement of an overall cost-revenue match, coupled with the goal of ensuring equitable access on a universal basis, partially shifted the burden of cost recovery from high-cost to low-cost service points during the MCA's early years, thereby allowing private-sector competitors to enter the low-cost segment of the market and undercut the relatively uniform prices charged by the Fed. To illustrate this conflict, we develop a voter model for what begins as a monopoly setting in which a regulatory regime that establishes a uniform price irrespective of cost differences, and restricts total profits to zero, initially dominates through majority rule both deregulation and regulation that sets price equal to cost on a bank-by-bank basis. Uniform pricing is dropped in this model once cream skimming has subsumed half the market. These results help illumine the Federal Reserve's experience in retail payments under the MCA, particularly the movement over time to a less uniform fee structure for check processing. C1 [Chakravorti, Sujit] Fed Reserve Bank Chicago, Financial Markets Grp, Chicago, IL 60690 USA. [Chakravorti, Sujit] Chicago Fed, Chicago, IL USA. [Chakravorti, Sujit] Dallas Fed, Dallas, TX USA. [Chakravorti, Sujit] Fed Reserve Syst, Washington, DC USA. [Chakravorti, Sujit] KPMG, Amstelveen, Netherlands. [Gunther, Jeffery W.; Moore, Robert R.] Fed Reserve Bank Dallas, Financial Ind Studies Dept, Dallas, TX USA. [Moore, Robert R.] Tulane Univ, New Orleans, LA 70118 USA. RP Chakravorti, S (reprint author), Fed Reserve Bank Chicago, Financial Markets Grp, Chicago, IL 60690 USA. NR 12 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-11736-5 PY 2010 BP 225 EP 240 D2 10.1057/9780230117365 PG 16 WC Business, Finance; Economics SC Business & Economics GA BVQ73 UT WOS:000292306200010 ER PT J AU Judson, R Porter, R AF Judson, Ruth Porter, Richard BE Bliss, RR Kaufman, GG TI Estimating the Volume of Counterfeit US Currency in Circulation Worldwide: Data and Extrapolation SO FINANCIAL INSTITUTIONS AND MARKETS: THE FINANCIAL CRISIS: AN EARLY RETROSPECTIVE LA English DT Article; Book Chapter AB The incidence of currency counterfeiting and the possible total stock of counterfeits in circulation are popular topics of speculation and discussion in the press and are of substantial practical interest to the U.S. Treasury and the U.S. Secret Service. This chapter assembles data from Federal Reserve and U.S. Secret Service sources and presents a range of estimates for the number of counterfeits in circulation. In addition, the chapter presents figures on counterfeit passing activity by denomination, location, and method of production. The chapter has two main conclusions: first, the stock of counterfeits in the world as a whole is likely on the order of 1 or fewer per 10,000 genuine notes in both piece and value terms; second, losses to the U.S. public from the most commonly used note, the $20, are relatively small, and are miniscule when counterfeit notes of reasonable quality are considered. C1 [Judson, Ruth] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. [Judson, Ruth] US Treasury Fed Reserve Program, Washington, DC USA. [Porter, Richard] Fed Reserve Syst, Board Governors, Washington, DC USA. RP Judson, R (reprint author), Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. NR 16 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-11736-5 PY 2010 BP 241 EP 268 D2 10.1057/9780230117365 PG 28 WC Business, Finance; Economics SC Business & Economics GA BVQ73 UT WOS:000292306200011 ER PT J AU Ackert, LF Church, BK Ely, K AF Ackert, Lucy F. Church, Bryan K. Ely, Kirsten BE Bruce, B TI Weak and strong individual forecasts: additional experimental evidence SO HANDBOOK OF BEHAVIORAL FINANCE LA English DT Article; Book Chapter ID HERD BEHAVIOR C1 [Ackert, Lucy F.] Kennesaw State Univ, Michael J Coles Coll Business, Kennesaw, GA 30144 USA. [Ackert, Lucy F.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. [Ely, Kirsten] Sonoma State Univ, Sch Business & Econ, Rohnert Pk, CA USA. RP Ackert, LF (reprint author), Kennesaw State Univ, Michael J Coles Coll Business, Kennesaw, GA 30144 USA. NR 10 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 978-1-84844-651-9 PY 2010 BP 287 EP 300 PG 14 WC Business; Business, Finance SC Business & Economics GA BZC21 UT WOS:000301075600016 ER PT S AU Curcuru, S Heaton, J Lucas, D Moore, D AF Curcuru, Stephanie Heaton, John Lucas, Deborah Moore, Damien BE AitSahalia, Y Hansen, LP TI Heterogeneity and Portfolio Choice: Theory and Evidence SO HANDBOOK OF FINANCIAL ECONOMETRICS: TOOLS AND TECHNIQUES, VOL 1 SE Handbooks in Finance LA English DT Article; Book Chapter DE portfolio allocation; investor heterogeneity; non-tradable risk; business risk; labor income risk; household allocations ID LIFE-CYCLE; OPTIMAL CONSUMPTION; EQUITY PREMIUM; RISK-AVERSION; STOCK-MARKET; LIQUIDITY CONSTRAINTS; BORROWING CONSTRAINTS; HOUSEHOLD PORTFOLIO; INCOMPLETE MARKETS; TRANSACTION COSTS AB In this chapter, we summarize and add to the evidence on the large and systematic differences in portfolio composition across individuals with varying characteristics and evaluate some of the theories that have been proposed in terms of their ability to account for these differences. Variation in background risk exposure-from sources such as labor and entrepreneurial income or real estate holdings and from factors such as transaction costs, borrowing constraints, restricted pension investments, and life-cycle considerations-can explain some but not all aspects of the observed cross-sectional variation in portfolio holdings in a traditional utility maximizing framework. In particular, fixed costs and life-cycle considerations appear necessary to explain the lack of stock market participation by young and less affluent households. Remaining challenges for quantitative theories include the apparent lack of diversification in some unconstrained individual portfolios and nonparticipation in the stock market by some households with significant financial wealth. C1 [Curcuru, Stephanie] Fed Reserve Board Governors, Washington, DC USA. [Heaton, John] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA. [Heaton, John; Lucas, Deborah] NBER, Cambridge, MA 02138 USA. [Lucas, Deborah] Northwestern Univ, Kellogg Sch Management, Evanston, IL USA. [Moore, Damien] Congress Budget Off, Washington, DC USA. RP Curcuru, S (reprint author), Fed Reserve Board Governors, Washington, DC USA. NR 133 TC 4 Z9 4 U1 0 U2 2 PU ELSEVIER NORTH HOLLAND PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1568-4997 BN 9780-0-80-92984-2 J9 HANDB FINANC PY 2010 BP 337 EP 382 DI 10.1016/B978-0-444-50897-3.50009-2 PG 46 WC Business, Finance; Economics SC Business & Economics GA BEO82 UT WOS:000317603900006 ER PT S AU Jagannathan, R Skoulakis, G Wang, ZY AF Jagannathan, Ravi Skoulakis, Georgios Wang, Zhenyu BE AitSahalia, Y Hansen, LP TI The Analysis of the Cross-Section of Security Returns SO HANDBOOK OF FINANCIAL ECONOMETRICS, VOL 2: APPLICATIONS SE Handbooks in Finance LA English DT Article; Book Chapter DE factor models; risk premium estimator; two-pass cross-sectional regression; generalized method of moments ID ASSET-PRICING-MODELS; EXPECTED STOCK RETURNS; CONSISTENT COVARIANCE-MATRIX; MEAN-VARIANCE EFFICIENCY; SIZE-RELATED ANOMALIES; GENERALIZED-METHOD; MULTIVARIATE TESTS; PORTFOLIO EFFICIENCY; SPECIFICATION ERRORS; EMPIRICAL-EVIDENCE AB In this chapter, we offer a comprehensive review of econometric methods used to study the cross-sectional variation of asset returns. The analysis proceeds in a factor asset pricing model framework. We describe three prominent approaches: the cross-sectional regression (CSR) method, the maximum likelihood (ML) method, and the generalized method of moments (GMM). In the context of the CSR method, we review the two-pass procedure of Fama and MacBeth, show how to use security characteristics to test a factor model, and also discuss the N-consistency of the risk premium estimator. In the context of the ML method and under the assumption of multivariate normality, we present tests of factor models with nontraded as well as traded factors. Finally, in the context of the GMM, we show how one can test factor models using either the beta or the stochastic discount factor representation and also discuss how to analyze conditional factor models. C1 [Jagannathan, Ravi] Northwestern Univ, Kellogg Sch Management, Dept Finance, Evanston, IL 60208 USA. [Jagannathan, Ravi] NBER, Cambridge, MA 02138 USA. [Skoulakis, Georgios] Univ Maryland, Dept Finance, RH Smith Sch Business, College Pk, MD 20742 USA. [Wang, Zhenyu] Fed Reserve Bank New York, New York, NY 10045 USA. RP Jagannathan, R (reprint author), Northwestern Univ, Kellogg Sch Management, Dept Finance, Evanston, IL 60208 USA. NR 94 TC 4 Z9 4 U1 4 U2 7 PU ELSEVIER NORTH HOLLAND PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1568-4997 BN 978-0-444-53549-8 J9 HANDB FINANC PY 2010 BP 73 EP 134 DI 10.1016/B978-0-444-53548-1.50004-0 PG 62 WC Business, Finance; Economics SC Business & Economics GA BER13 UT WOS:000317839300003 ER PT J AU Mishkin, F AF Mishkin, Frederic BA Bowmaker, SW BF Bowmaker, SW TI Money and banking SO HEART OF TEACHING ECONOMICS: LESSONS FROM LEADING MINDS LA English DT Article; Book Chapter C1 [Mishkin, Frederic] Columbia Univ, New York, NY 10027 USA. [Mishkin, Frederic] Univ Chicago, Chicago, IL 60637 USA. [Mishkin, Frederic] Fed Reserve Bank New York, New York, NY USA. RP Mishkin, F (reprint author), Columbias Grad Sch Business, New York, NY 10027 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 978-1-84844-790-5 PY 2010 BP 375 EP 392 PG 18 WC Economics SC Business & Economics GA BZE68 UT WOS:000301266300023 ER PT B AU Iacoviello, M AF Iacoviello, Matteo BE DeBandt, O Knetsch, T Penalosa, J Zollino, F TI Housing in DSGE Models: Findings and New Directions SO HOUSING MARKETS IN EUROPE: A MACROECONOMIC PERSPECTIVE LA English DT Proceedings Paper CT Conference on Macroeconomics of Housing Markets CY DEC 03-04, 2009 CL Paris, FRANCE DE Housing markets; housing prices; Bayesian estimation; DSGE models ID BUSINESS-CYCLE AB The goal of this chapter is to make the case that it is time for macroeconomists to restore the imbalance between the practical and empirical relevance of housing for macroeconomics on the one hand, and the treatment that macroeconomic models devote to housing on the other. After discussing a few stylized facts regarding the macroeconomic importance of housing markets, the chapter presents key results from the lacoviello and Neri's (2010) DSGE model with housing, a model that is increasingly used in quantitative monetary policy analysis. Directions for further research are then suggested, focusing on the role of financial intermediation, the determinants of house prices and their persistence, the role of economic policy to stabilize house prices and the link between housing and labour markets. C1 [Iacoviello, Matteo] Fed Reserve Board, Div Int Finance, Washington, DC USA. EM matteo.iacoviello@frb.gov NR 28 TC 7 Z9 7 U1 0 U2 2 PU SPRINGER-VERLAG BERLIN PI BERLIN PA HEIDELBERGER PLATZ 3, D-14197 BERLIN, GERMANY BN 978-3-642-15339-6 PY 2010 BP 3 EP 16 DI 10.1007/978-3-642-15340-2_1 PG 14 WC Economics SC Business & Economics GA BYS93 UT WOS:000300025200001 ER PT J AU Trimbur, TM AF Trimbur, Thomas M. TI Stochastic level shifts and outliers and the dynamics of oil price movements SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Band-pass filter; Cycle; Non-Gaussian; Robust signal extraction; Trend estimation; Unobserved components ID ECONOMIC TIME-SERIES; CYCLES; MACROECONOMY; TRENDS AB Oil prices clearly play an important role in the macroeconomy. The dynamics of oil prices have, however, been difficult to pin down because of the frequent occurrence of large shocks. In this paper, we propose a time series model with heavy-tailed disturbances to analyze the dynamics of the oil price. The model has the form of a generalized local linear trend, and we show that it successfully captures outliers and level shifts as empirical regularities in the oil price, including known historical price shocks. Further, the results of a forecast exercise are given, and we study extensions that examine the effect of the GDP cycle on the oil price. Published by Elsevier B.V. on behalf of International Institute of Forecasters. C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Trimbur, TM (reprint author), Fed Reserve Board, Div Res & Stat, 20th & C St,NW Stop 82, Washington, DC 20551 USA. EM Thomas.M.Trimbur@frb.gov NR 12 TC 2 Z9 2 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD JAN-MAR PY 2010 VL 26 IS 1 BP 162 EP 179 DI 10.1016/j.ijforecast.2009.02.003 PG 18 WC Economics; Management SC Business & Economics GA 558UZ UT WOS:000274774700015 ER PT J AU Wang, Z AF Wang, Zhu TI Market structure and payment card pricing: What drives the interchange? SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article DE Payment cards; Market structure; Interchange fee ID SYSTEMS; FEES AB This paper provides a new theory to explain empirical puzzles regarding payment card interchange fees. Our model departs from the existing two-sided market theories by arguing that the extensive margin of card usage is less important in a mature card market. Instead, we focus on card issuer entry, elastic consumer demand and the role of card transaction value. Our analysis suggests that card networks demand higher interchange fees to maximize member issuers' profits as card payments become more efficient and convenient. At equilibrium, consumer rewards and card transaction values increase with interchange fees, while consumer surplus and merchant profits may not. Based on the theoretical framework, we discuss pros and cons of policy interventions. (C) 2009 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. RP Wang, Z (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 1 Mem Dr, Kansas City, MO 64198 USA. EM zhu.wang@kc.frb.org NR 22 TC 9 Z9 9 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-7187 J9 INT J IND ORGAN JI Int. J. Ind. Organ. PD JAN PY 2010 VL 28 IS 1 BP 86 EP 98 DI 10.1016/j.ijindorg.2009.07.001 PG 13 WC Economics SC Business & Economics GA 547WV UT WOS:000273921300009 ER PT J AU Manuszak, MD AF Manuszak, Mark D. TI Predicting the impact of upstream mergers on downstream markets with an application to the retail gasoline industry SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article DE Upstream and downstream competition; Merger analysis; Differentiated products oligopoly; Retail gasoline industry; Petroleum industry ID DIFFERENTIATED INDUSTRIES; PRODUCT DIFFERENTIATION; VERTICAL RELATIONSHIPS; COMPETITION; MANUFACTURERS; PRICES AB This paper presents an empirical model of oligopolistic supply and demand that reflects divisions between downstream retailers and upstream suppliers in order to evaluate the potential effects of upstream mergers. The demand model allows for downstream product differentiation, while the supply model allows upstream firms to inherit market power from their affiliated retailers. The supply and demand models are jointly estimated using data on the retail gasoline industry for the Hawaiian islands in the 1990s. A number of hypothetical upstream mergers in the Hawaiian retail gasoline industry are simulated to evaluate the effects of the mergers on market outcomes and welfare. Various scenarios with post-merger cost savings are also considered. Published by Elsevier B.V. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Manuszak, MD (reprint author), Fed Reserve Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM mark.d.manuszak@frb.gov NR 27 TC 6 Z9 6 U1 0 U2 4 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 JAN PY 2010 VL 28 IS 1 BP 99 EP 111 DI 10.1016/j.ijindorg.2009.07.002 PG 13 WC Economics SC Business & Economics GA 547WV UT WOS:000273921300010 ER PT J AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. TI AVERAGING FORECASTS FROM VARs WITH UNCERTAIN INSTABILITIES SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article; Proceedings Paper CT Workshop on Model Uncertainty and Macroeconomics CY JUN 27-28, 2006 CL Wellington, NEW ZEALAND SP Australian Natl Univ, Ctr Appl Macroecon Anal, Reserve Bank New Zealand ID POLICY ANALYSIS; INTEREST-RATES; COMBINATION; INFLATION; MODELS AB Recent work suggests VAR models of output. Inflation. and interest rates may be prone to Instabilities In the face of such instabilities, a variety of estimation of forecasting, methods might be used to improve the accuracy of forecasts from a VAR The uncertainty Inherent in any single representation of instability could mean that combining, forecasts from a range of approaches will improve forecast accuracy Focusing on models of US output, prices, and interest rates. fills paper examines the effectiveness of combining various models of Instability in Improving VAR forecasts made with real-time data Copyright (C) 2009 John Wiley & Sons. Ltd C1 [Clark, Todd E.] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. [McCracken, Michael W.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 1 Mem Dr, Kansas City, MO 64198 USA. RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 37 TC 34 Z9 34 U1 1 U2 4 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD JAN-FEB PY 2010 VL 25 IS 1 SI SI BP 5 EP 29 DI 10.1002/jae.1127 PG 25 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 553FL UT WOS:000274351400002 ER PT J AU Justiniano, A Preston, B AF Justiniano, Alejandro Preston, Bruce TI MONETARY POLICY AND UNCERTAINTY IN AN EMPIRICAL SMALL OPEN-ECONOMY MODEL SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article; Proceedings Paper CT Workshop on Model Uncertainty and Macroeconomics CY JUN 27-28, 2006 CL Wellington, NEW ZEALAND SP Australian Natl Univ, Ctr Appl Macroecon Anal, Reserve Bank New Zealand ID STICKY-PRICE MODELS; PASS-THROUGH AB This paper explores optimal policy design in an estimated model of three small open economies Australia, Canada and New Zealand Within a class of generalized Taylor rules. we show that to stabilize a weighted objective of output consumer price inflation and nominal interest variation optimal policy does not respond to the nominal exchange. This is despite the presence of local currency pricing and due, in large part, to observed exchange rate disconnect in these economies Optimal policies that account for the uncertainty of model estimates, as captured by the parameters posterior distribution, similarly exhibit a lack of exchange rate response. In contrast to Bramard (1967), the presence of parameter uncertainty can lead to more or less aggressive policy responses, depending on the model at hand. (C) 2009 John Wiley & Sons. Ltd C1 [Preston, Bruce] Columbia Univ, Dept Econ, New York, NY 10027 USA. [Justiniano, Alejandro] Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL USA. [Preston, Bruce] NBER, Cambridge, MA 02138 USA. [Preston, Bruce] Australian Natl Univ, Ctr Appl Macroecon Anal, Canberra, ACT, Australia. RP Preston, B (reprint author), Columbia Univ, Dept Econ, New York, NY 10027 USA. NR 48 TC 48 Z9 48 U1 0 U2 8 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 JAN-FEB PY 2010 VL 25 IS 1 SI SI BP 93 EP 128 DI 10.1002/jae.1153 PG 36 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 553FL UT WOS:000274351400006 ER PT J AU Edge, RM Laubach, T Williams, JC AF Edge, Rochelle M. Laubach, Thomas Williams, John C. TI WELFARE-MAXIMIZING MONETARY POLICY UNDER PARAMETER UNCERTAINTY SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article; Proceedings Paper CT Workshop on Model Uncertainty and Macroeconomics CY JUN 27-28, 2006 CL Wellington, NEW ZEALAND SP Australian Natl Univ, Ctr Appl Macroecon Anal, Reserve Bank New Zealand ID STICKY PRICES; MODEL AB This paper examines welfare-maximizing monetary policy in an estimated micro-founded general equilibrium model of the US economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences and technology implies uncertainty about the model's dynamics, utility-based welfare criterion and the natural rates of output and interest that would prevent absent nominal rigidities. We estimate the degree of uncertainty regarding natural rates due to parameter uncertainty. We find the optimal Taylor rules under parameter uncertainty respond less to the output gap and more to price inflation than would be optimal absent parameter uncertainty. We also show that policy rules that focus solely on stablilizing wages and prices yield welfare outcomes very close to the first-best. (C) 2009 John Wiley & Sons. Ltd C1 [Williams, John C.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. [Edge, Rochelle M.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Laubach, Thomas] Goethe Univ Frankfurt, D-6000 Frankfurt, Germany. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, MS 1130,101 Market St, San Francisco, CA 94105 USA. RI Williams, John/A-8226-2009 NR 20 TC 4 Z9 4 U1 0 U2 2 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD JAN-FEB PY 2010 VL 25 IS 1 SI SI BP 129 EP 143 DI 10.1002/jae.1136 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 553FL UT WOS:000274351400007 ER PT J AU Lubik, TA Surico, P AF Lubik, Thomas A. Surico, Paolo TI THE LUCAS CRITIQUE AND THE STABILITY OF EMPIRICAL MODELS SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article; Proceedings Paper CT Workshop on Model Uncertainty and Macroeconomics CY JUN 27-28, 2006 CL Wellington, NEW ZEALAND SP Australian Natl Univ, Ctr Appl Macroecon Anal, Reserve Bank New Zealand ID MONETARY-POLICY MODELS; STRUCTURAL-CHANGE AB This paper reconsiders the empirical relevance of the Lucas critique using a DSGE sticky price model in which I weak central bank response to inflation generates equilibrium indeterminacy The model is calibrated to capture the magnitude the historical shift in the Federal Reserve's policy rule. Using Monte Carlo simulations and a backward-looking model of aggregate supply and demand, we find that shifts in the policy rule induce breaks in both the reduced-form coefficients and the reduced-form error variances. When the instability of the reduced-form error variances is accounted for, the Lucas critique is found to be empirically relevant. Copyright (C) 2009 John Wiley & Sons. Ltd C1 [Lubik, Thomas A.] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23218 USA. [Surico, Paolo] London Business Sch, London NW1 4SA, England. RP Lubik, TA (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23218 USA. RI Surico, Paolo/G-7283-2014 NR 30 TC 6 Z9 6 U1 1 U2 7 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 JAN-FEB PY 2010 VL 25 IS 1 SI SI BP 177 EP 194 DI 10.1002/jae.1129 PG 18 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 553FL UT WOS:000274351400009 ER PT J AU Ackert, LF Church, BK Tkac, PA AF Ackert, Lucy F. Church, Bryan K. Tkac, Paula A. TI An Experimental Examination of Heuristic-Based Decision Making in a Financial Setting SO JOURNAL OF BEHAVIORAL FINANCE LA English DT Article DE Heuristics; Financial decisions; Mutual funds; Financial education ID ACQUISITION; PERFORMANCE; INVESTMENT; BEHAVIOR; EXPERTS; SKILL AB This paper reports the results of an experiment designed to examine information acquisition and evaluation in a financial setting, predicting mutual fund performance. We compare behavior across four distinct subject pools to provide insight into how training, knowledge, and experience affect decision making. We manipulate the decision environment by first increasing the time constraint and then increasing the decision cost. Although we find differences in behavior across subject pools, subjects' performance is similar. Outcomes are similar across the distinct subject pools, despite significant differences in financial education. C1 [Ackert, Lucy F.] Kennesaw State Univ, Dept Econ & Finance, Michael J Coles Coll Business, Kennesaw, GA 30144 USA. [Tkac, Paula A.] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Ackert, LF (reprint author), Kennesaw State Univ, Dept Econ & Finance, Michael J Coles Coll Business, 1000 Chastain Rd, Kennesaw, GA 30144 USA. EM lackert@kennesaw.edu NR 24 TC 2 Z9 2 U1 3 U2 3 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1542-7560 J9 J BEHAV FINANC JI J. Behav. Financ. PY 2010 VL 11 IS 3 BP 135 EP 149 AR PII 926490680 DI 10.1080/15427560.2010.507155 PG 15 WC Business, Finance; Economics SC Business & Economics GA 647HH UT WOS:000281608600001 ER PT J AU Korniotis, GM AF Korniotis, George M. TI Estimating Panel Models With Internal and External Habit Formation SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Asset pricing; Bias correction; Instrumental variables; Spatial and dynamic effects; US state consumption ID COVARIANCE-MATRIX ESTIMATION; PERMANENT INCOME HYPOTHESIS; ASSET PRICES; INTERTEMPORAL SUBSTITUTION; LIQUIDITY CONSTRAINTS; GROWTH EMPIRICS; CONSUMPTION; CONSISTENT; AUTOCORRELATION; DURABILITY AB A new bias-corrected estimator is developed for dynamic panel model with both fixed and spatial effects. The estimator is asymptotically unbiased, normally distributed, and it has good finite sample properties (low finite sample bias and root mean squared error). Applying the estimator to annual consumption data for the continental U.S. states shows that state consumption growth is not significantly affected by its own (lagged) consumption growth. However, it is affected by lagged consumption growth of nearby states. These results support external habit formation model, which have been used to explain the behavior of U.S. stock returns. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Risk Anal Sect, Washington, DC 20551 USA. RP Korniotis, GM (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Risk Anal Sect, Mail Stop 91,20th St & Constitut Ave NW, Washington, DC 20551 USA. EM George.M.Korniotis@frb.gov NR 47 TC 29 Z9 29 U1 1 U2 7 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 2010 VL 28 IS 1 BP 145 EP 158 DI 10.1198/jbes.2009.08041 PG 14 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 542RL UT WOS:000273512600011 ER PT J AU Kim, SH Kollmann, R Kim, J AF Kim, Sunghyun Henry Kollmann, Robert Kim, Jinill TI Solving the incomplete market model with aggregate uncertainty using a perturbation method SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Heterogeneous agents; Occasionally binding inequality constraints; Barrier method ID HETEROGENEITY AB We use a perturbation method to solve the incomplete markets model with aggregate uncertainty described in den Haan et al. [Computational suite of models with heterogeneous agents: incomplete markets and model uncertainty. journal of Economic Dynamics & Control, this issue]. To apply that method, we use a "barrier method" to replace the original problem with occasionally binding inequality constraints by one with only equality constraints. We replace the structure with a continuum of agents by a setting in which a single infinitesimal agent faces prices generated by a representative agent economy. We also solve a model variant with a large (but finite) number of agents. Our perturbation-based method is much simpler and faster than other methods. (C) 2009 Elsevier B.V. All rights reserved. C1 [Kollmann, Robert] Univ Libre Bruxelles, ECARES, B-1050 Brussels, Belgium. [Kim, Sunghyun Henry] Suffolk Univ, Dept Econ, Boston, MA 02108 USA. [Kollmann, Robert] Univ Paris 12, F-94010 Creteil, France. [Kim, Jinill] Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP Kollmann, R (reprint author), Univ Libre Bruxelles, ECARES, CP 114,50 Av FD Roosevelt, B-1050 Brussels, Belgium. EM henry.kim@suffolk.edu; robert_kollmann@yahoo.com; jinill.Kim@frb.gov NR 10 TC 12 Z9 12 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JAN PY 2010 VL 34 IS 1 BP 50 EP 58 DI 10.1016/j.jedc.2008.11.011 PG 9 WC Economics SC Business & Economics GA 531AN UT WOS:000272635200006 ER PT J AU Wright, R AF Wright, Randall TI A uniqueness proof for monetary steady state SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Monetary equilibrium; Uniqueness ID SEARCH EQUILIBRIUM; MONEY; PRICES; POLICY; MODEL; BANKING AB The framework in Lagos and Wright (2005) [20] combining decentralized and centralized markets is used extensively in monetary economics. Much is known about that model, but there is a loose end: only under special assumptions about bargaining power or decentralized market preferences has it been shown that the monetary steady state is unique. For general decentralized market utility and bargaining, I prove uniqueness for generic parameters with fiat money, and for all parameters with commodity money. As a corollary, I get monotone comparative statics. (C) 2009 Elsevier Inc. All rights reserved. C1 [Wright, Randall] Univ Wisconsin, Madison, WI 53706 USA. [Wright, Randall] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Wright, R (reprint author), Univ Wisconsin, Granger Hall,975 Univ Ave, Madison, WI 53706 USA. EM rwright@bus.wisc.edu NR 31 TC 19 Z9 19 U1 6 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD JAN PY 2010 VL 145 IS 1 BP 382 EP 391 DI 10.1016/j.jet.2009.11.004 PG 10 WC Economics SC Business & Economics GA 560VE UT WOS:000274931000016 ER PT J AU Balduzzi, P Robotti, C AF Balduzzi, Pierluigi Robotti, Cesare TI Asset pricing models and economic risk premia: A decomposition SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Economic factor; Risk premium; Pricing kernel; Maximum-correlation portfolio ID CROSS-SECTION; EXPECTED RETURNS; STOCK RETURNS; CONSUMPTION; ARBITRAGE; TESTS; PORTFOLIOS; BOUNDS; CAPM AB The risk premia of linear factor models on economic (non-traded) risk factors can be decomposed into: i) the premium on maximum-correlation portfolios mimicking the factors; ii) (minus) the covariance between the non-traded components of the pricing kernel and the factors: and iii) (minus) the mispricing of the maximum-correlation portfolios. For a given set of assets available for investment, the first component is the same across models and is typically estimated with little bias and high precision. We conclude that the premia on maximum-correlation portfolios are appealing alternatives to the risk premia of linear factor models, with the dividend yield being the only economic factor significantly priced. (C) 2009 Elsevier B.V. All rights reserved. C1 [Robotti, Cesare] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Balduzzi, Pierluigi] Boston Coll, Chestnut Hill, MA 02167 USA. RP Robotti, C (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Cesare.Robotti@atl.frb.org NR 35 TC 2 Z9 2 U1 2 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 EI 1879-1727 J9 J EMPIR FINANC JI J. Empir. Financ. PD JAN PY 2010 VL 17 IS 1 BP 54 EP 80 DI 10.1016/j.jempfin.2009.09.009 PG 27 WC Business, Finance; Economics SC Business & Economics GA 547RZ UT WOS:000273908200004 ER PT J AU Jochmann, M Koop, G Potter, SM AF Jochmann, Markus Koop, Gary Potter, Simon M. TI Modeling the dynamics of inflation compensation SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Inflation compensation; Bayesian; Nonlinear time series; State space model AB This paper investigates the relationship between short-term and long-term inflation expectations using daily data on inflation compensation derived from the term structure of real and nominal interest rates. We use a flexible econometric model which allows us to uncover this relationship in a data-based manner. We relate our findings to the issue of whether inflation expectations are anchored, unmoored or contained. Our empirical results indicate no support for either unmoored or firmly anchored inflation expectations. Most evidence indicates that inflation expectations are contained. (C) 2009 Elsevier B.V. All rights reserved. C1 [Jochmann, Markus; Koop, Gary] Univ Strathclyde, Dept Econ, Glasgow G1 1XQ, Lanark, Scotland. [Potter, Simon M.] Fed Reserve Bank New York, New York, NY USA. RP Koop, G (reprint author), Univ Strathclyde, Dept Econ, Glasgow G1 1XQ, Lanark, Scotland. EM Markus.Jochmann@strath.ac.uk; Gary.Koop@strath.ac.uk; Simon.Potter@ny.frb.org OI Koop, Gary/0000-0002-6091-378X NR 15 TC 5 Z9 5 U1 1 U2 2 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 2010 VL 17 IS 1 BP 157 EP 167 DI 10.1016/j.jempfin.2009.08.002 PG 11 WC Business, Finance; Economics SC Business & Economics GA 547RZ UT WOS:000273908200009 ER PT J AU Curcuru, SE Dvorak, T Warnock, FE AF Curcuru, Stephanie E. Dvorak, Tomas Warnock, Francis E. TI Decomposing the US external returns differential SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article; Proceedings Paper CT Conference onTheoretical or Empirical International Macro-Finance CY APR 24-25, 2008 CL London, ENGLAND SP Int Monetary Fund, UK Econ & Social Res Council, World Econ & Finance Res Programme DE Returns differential; Timing effect ID BORDER EQUITY FLOWS; PERFORMANCE-MEASUREMENT; DOMESTIC INVESTORS; FOREIGN INVESTORS; CAPITAL CONTROLS; MARKETS; DETERMINANTS; INVESTMENT; DYNAMICS AB We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor timing of foreign investors-caused primarily by deliberate trading, not a lack of portfolio rebalancing-contributes positively to the U.S. external returns differential. We find no evidence that the poor timing is driven by mechanical reserve accumulation by emerging market countries; rather, it is driven almost entirely by the poor timing of rich, developed (mainly European) countries. Finally, while poor foreign timing appears to be persistent across subsamples, other terms in our decomposition (the composition and return effects and U.S. timing abroad), as well as the overall differential, are sometimes negative, sometimes positive, and usually indistinguishable from zero. (C) 2009 Elsevier B.V. All rights reserved. C1 [Warnock, Francis E.] Univ Virginia, Darden Grad Sch Business, Charlottesville, VA 22906 USA. [Curcuru, Stephanie E.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [Dvorak, Tomas] Union Coll, Schenectady, NY 12308 USA. [Warnock, Francis E.] Trinity Coll Dublin, Inst Int Integrat Studies, Dublin, Ireland. [Warnock, Francis E.] Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX 75201 USA. [Warnock, Francis E.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Warnock, FE (reprint author), Univ Virginia, Darden Grad Sch Business, Charlottesville, VA 22906 USA. EM warnockf@darden.virginia.edu NR 37 TC 6 Z9 6 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD JAN PY 2010 VL 80 IS 1 SI SI BP 22 EP 32 DI 10.1016/j.jinteco.2009.06.005 PG 11 WC Economics SC Business & Economics GA 551OS UT WOS:000274219500003 ER PT J AU Bordo, MD Haubrich, JG AF Bordo, Michael D. Haubrich, Joseph G. TI Credit crises, money and contractions: An historical view SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY APR 17-18, 2009 CL Univ Rochester, Simon Sch Business, Rochester, NY HO Univ Rochester, Simon Sch Business DE Credit; Monetary policy; Business cycles ID GENERAL EQUILIBRIUM-ANALYSIS; GREAT-DEPRESSION; BUSINESS FLUCTUATIONS; UNITED-STATES; AGENCY COSTS; NET WORTH; CYCLES; POLICIES; PORTFOLIO; MARKETS AB The relatively infrequent nature of major credit distress events makes an historical approach particularly useful. Using a combination of historical narrative and econometric techniques, we identify major periods of credit distress from 1875 to 2007, examine the extent to which credit distress arises as part of the transmission of monetary policy, and document the subsequent effect on output. Using turning points defined by the Harding-Pagan algorithm, we identify and compare the timing, duration, amplitude and co-movement of cycles in money, credit and output. Regressions show that financial distress events exacerbate business cycle downturns both in the 19th and 20th centuries and that a confluence of such events makes recessions even worse. (C) 2009 Elsevier B.V. All rights reserved. C1 [Haubrich, Joseph G.] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. [Bordo, Michael D.] NBER, Cambridge, MA 02138 USA. [Bordo, Michael D.] Rutgers State Univ, Piscataway, NJ 08855 USA. RP Haubrich, JG (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387,1455 E 6th St, Cleveland, OH 44101 USA. EM jhaubrich@clev.frb.org NR 73 TC 24 Z9 25 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 JAN PY 2010 VL 57 IS 1 BP 1 EP 18 DI 10.1016/j.jmoneco.2009.10.015 PG 18 WC Business, Finance; Economics SC Business & Economics GA 558QL UT WOS:000274759600001 ER PT J AU Keister, T AF Keister, Todd TI Comment on: "A model of a systemic bank run" by Harald Uhlig SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID LIQUIDITY C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Keister, T (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM todd.keister@ny.frb.org RI Keister, Todd/B-5951-2008 NR 11 TC 0 Z9 0 U1 2 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2010 VL 57 IS 1 BP 97 EP 100 DI 10.1016/j.jmoneco.2009.11.002 PG 4 WC Business, Finance; Economics SC Business & Economics GA 558QL UT WOS:000274759600010 ER PT J AU Doms, M Lewis, E Robb, A AF Doms, Mark Lewis, Ethan Robb, Alicia TI Local labor force education, new business characteristics, and firm performance SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Startup firms; Entrepreneurship; Labor supply ID ENTREPRENEURSHIP; CITIES; GROWTH; AGGLOMERATION; TECHNOLOGY; INEQUALITY; WORKERS; SKILLS; WAGES AB It is often asserted that a highly educated workforce is vital to improving the competitive position of American businesses, especially by boosting entrepreneurship. To examine this contention, we use population Census data and a new panel data of startup firms, to examine how the education and skill level of the local labor force are related to the creation and success of new businesses, This paper studies relationship between education, entrepreneurship, and businesses outcomes, and considers simultaneously both the education of the entrepreneur and of the workforce where the entrepreneurs operate their businesses. Consistent with this simultaneous focus, our initial results indicate that more educated entrepreneurs tend to be located in metropolitan areas with more educated workforces. Moreover, highly educated areas have above average entrepreneurship rates. Finally, the level of education of entrepreneurs is strongly related to positive business outcomes, especially for college graduates compared to those with less than a four-year degree. Published by Elsevier Inc. C1 [Doms, Mark] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Lewis, Ethan] Dartmouth Coll, Hanover, NH 03755 USA. [Robb, Alicia] Kauffman Fdn, Santa Cruz, CA USA. [Robb, Alicia] Univ Calif Santa Cruz, Santa Cruz, CA 95064 USA. RP Doms, M (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM mdoms@doc.gov; ethan.g.lewis@dartmouth.edu; arobb@ucsc.edu NR 57 TC 25 Z9 25 U1 4 U2 24 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 2010 VL 67 IS 1 BP 61 EP 77 DI 10.1016/j.jue.2009.10.002 PG 17 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 531CJ UT WOS:000272640000005 ER PT J AU Chen, H Gompers, P Kovner, A Lerner, J AF Chen, Henry Gompers, Paul Kovner, Anna Lerner, Josh TI Buy local? The geography of venture capital SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Entrepreneurship; Performance measurement; Start-ups; Private equity; Localization ID INNOVATION; COMPANIES; FIRMS AB We document geographic concentration by both venture capital firms and venture capital-financed companies in three metropolitan areas: San Francisco, Boston, and New York. We find that venture capital firms locate in regions with high success rates of venture capital-backed investments. Geography is also significantly related to outcomes. Venture capital firms based in locales that are venture capital centers outperform. regardless of the stage of the investment. This outperformance arises from outsized performance outside of the venture capital firms' office locations, including in peripheral locations. If the goal of state and local policy makers is to encourage venture capital investment, outperformance of non-local investments suggests that policy makers might want to mitigate costs associated with established venture capitalists investing in their geographies rather than encouraging the establishment of new venture capital firms. (C) 2009 Elsevier Inc. All rights reserved. C1 [Kovner, Anna] Fed Reserve Bank New York, New York, NY USA. [Chen, Henry] NYU, New York, NY 10003 USA. [Gompers, Paul; Lerner, Josh] Harvard Univ, Cambridge, MA 02138 USA. [Gompers, Paul; Lerner, Josh] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Kovner, A (reprint author), Fed Reserve Bank New York, New York, NY USA. EM Anna.Kovner@ny.frb.org NR 36 TC 37 Z9 41 U1 3 U2 40 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD JAN PY 2010 VL 67 IS 1 SI SI BP 90 EP 102 DI 10.1016/j.jue.2009.09.013 PG 13 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 531CJ UT WOS:000272640000007 ER PT J AU Crowley, MA AF Crowley, Meredith A. BE Bagwell, KW Bermann, GA Mavroidis, PC TI Why Are Safeguards Needed in a Trade Agreement? SO LAW AND ECONOMICS OF CONTINGENT PROTECTION IN INTERNATIONAL TRADE LA English DT Article; Book Chapter ID DECLINING INDUSTRIES; PROTECTION C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Crowley, MA (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 29 TC 2 Z9 2 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-76907-5 PY 2010 BP 379 EP 400 PG 22 WC Law SC Government & Law GA BDM25 UT WOS:000313795700020 ER PT J AU Fuster, A Meier, S AF Fuster, Andreas Meier, Stephan TI Another Hidden Cost of Incentives: The Detrimental Effect on Norm Enforcement SO MANAGEMENT SCIENCE LA English DT Article DE public goods; prosocial behavior; norm enforcement; hidden cost of incentives; experimental economics ID ALTRUISTIC PUNISHMENT; MOTIVATION; COOPERATION; PREFERENCES; RECIPROCITY; ECONOMICS; EMOTIONS; FAIRNESS; BEHAVIOR; MONETARY AB Monetary incentives, such as subsidies or bonuses, are often considered as a way to foster contributions to public goods in society and firms. This paper investigates experimentally the effect of private contribution incentives in the presence of a norm enforcement mechanism. Norm enforcement through peer punishment has been shown to be effective in raising contributions by itself. We test whether and how (centrally provided) private incentives interact with (decentralized) punishment, both of which affect subjects' monetary payoffs. The results of our experiment show that private incentives for contributors can reduce the effectiveness of the norm enforcement mechanism: Free riders are punished less harshly in the treatment with incentives, and as a consequence, average contributions to the public good are no higher than without incentives. This finding ties to and extends previous research on settings in which monetary incentives may fail to have the desired effect. C1 [Fuster, Andreas] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. [Fuster, Andreas; Meier, Stephan] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Meier, Stephan] Columbia Univ, Grad Sch Business, New York, NY 10027 USA. RP Fuster, A (reprint author), Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. EM afuster@fas.harvard.edu; sm3087@columbia.edu NR 53 TC 30 Z9 30 U1 3 U2 43 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 JAN PY 2010 VL 56 IS 1 BP 57 EP 70 DI 10.1287/mnsc.1090.1081 PG 14 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 543OQ UT WOS:000273588400005 ER PT J AU Rudebusch, GD AF Rudebusch, Glenn D. TI MACRO-FINANCE MODELS OF INTEREST RATES AND THE ECONOMY SO MANCHESTER SCHOOL LA English DT Article ID TERM-STRUCTURE DYNAMICS; MONETARY-POLICY; YIELD CURVE; BOND YIELDS; MACRO FACTORS; NO-ARBITRAGE; RISK; CONSUMPTION; BEHAVIOR; PREMIUM AB During the past decade, much new research has combined elements of finance, monetary economics and macroeconomics in order to study the relationship between the term structure of interest rates and the economy. In this survey, I describe three different strands of such interdisciplinary macro-finance term structure research. The first adds macroeconomic variables and structure to a canonical arbitrage-free finance representation of the yield curve. The second examines bond pricing and bond risk premiums in a canonical macroeconomic dynamic stochastic general equilibrium model. The third develops a new class of arbitrage-free term structure models that are empirically tractable and well suited to macro-finance investigations. 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 77 TC 9 Z9 9 U1 0 U2 6 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1463-6786 J9 MANCH SCH JI Manch. Sch. PY 2010 VL 78 SU 1 BP 25 EP 52 DI 10.1111/j.1467-9957.2010.02198.x PG 28 WC Economics SC Business & Economics GA 635OU UT WOS:000280665900002 ER PT J AU Ryan, RW Holland, DS Herrera, GE AF Ryan, Richard W. Holland, Daniel S. Herrera, Guillermo E. TI Bioeconomic Equilibrium in a Bait-Constrained Fishery SO MARINE RESOURCE ECONOMICS LA English DT Article DE Fisheries; bioeconomic; ecosystem-based management; predator-prey; bait; lobster; herring ID EXPLOITATION; STOCKS AB Despite a growing call for ecosystem-based fishery management, most fisheries are managed independently with little attention paid to linkages such as competition for resources and predator-prey relationships. As the predator-prey modeling literature has shown, such linkages can substantially alter the outcomes of management strategies from those predicted by models naive to these linkages. In this article, we explore the implications of a linkage between fisheries due to an artificial predator-prey relationship: the use of one harvested species as an input to the harvest technology in another primary fishery whose biological productivity is also positively affected by ban consumption. These anthropogenic, technological, and biological linkages between the fisheries alter both the open-access and rent-maximizing equilibria of the primary. fishery. Furthermore, shifts in economic, technological, or biological parameters of either fishery can have significantly different impacts on the bioeconomic equilibria than those predicted by a traditional single-species model. C1 [Ryan, Richard W.] Fed Reserve Bank Boston, Boston, MA 02205 USA. [Holland, Daniel S.] Gulf Maine Res Inst, Portland, ME 04101 USA. [Herrera, Guillermo E.] Bowdoin Coll, Dept Econ, Brunswick, ME 04011 USA. RP Ryan, RW (reprint author), Fed Reserve Bank Boston, POB 55882, Boston, MA 02205 USA. EM richard.w.ryan@gmail.com; dan.holland@noaa.gov; gherrera@bowdoin.edu OI Holland, Daniel/0000-0002-4493-859X FU National Science Foundation [0709527] FX Funding for this research was provided by the National Science Foundation, Coupled Natural and Human Systems Program, Award #0709527. NR 16 TC 6 Z9 6 U1 1 U2 3 PU MRE FOUNDATION, INC PI KINGSTON PA PO BOX 1828, KINGSTON, RI 02881 USA SN 0738-1360 J9 MAR RESOUR ECON JI Mar. Resour. Econ. PY 2010 VL 25 IS 3 BP 281 EP 293 PG 13 WC Economics; Environmental Studies; Fisheries SC Business & Economics; Environmental Sciences & Ecology; Fisheries GA 664XD UT WOS:000282996400003 ER PT S AU Williams, JC AF Williams, John C. BE Reichlin, L West, KD TI The Zero Lower Bound: Lessons from the Past Decade SO NBER INTERNATIONAL SEMINAR ON MACROECONOMICS 2009 SE NBER International Seminar on Macroeconomics LA English DT Proceedings Paper CT 32nd International Seminar on Macroeconomics CY JUN 12-13, 2009 CL Cent Bank Cyprus, CYPRUS SP NBER HO Cent Bank Cyprus ID MONETARY-POLICY C1 [Williams, John C.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RI Reichlin, Lucrezia/J-9024-2015 NR 17 TC 0 Z9 0 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 1932-8796 BN 978-0-226-70749-5 J9 NBER INT SEM MAC PY 2010 VL 6 BP 367 EP 375 PG 9 WC Economics SC Business & Economics GA BQH63 UT WOS:000281026600011 ER PT S AU Foote, C Gerardi, K Goette, L Willen, P AF Foote, Christopher Gerardi, Kristopher Goette, Lorenz Willen, Paul BE Acemoglu, D Rogoff, K Woodford, M TI Reducing Foreclosures: No Easy Answers SO NBER MACROECONOMICS ANNUAL 2009 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter C1 [Foote, Christopher; Willen, Paul] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Gerardi, Kristopher] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Goette, Lorenz] Univ Lausanne, CH-1015 Lausanne, Switzerland. [Willen, Paul] NBER, Cambridge, MA 02138 USA. RP Foote, C (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 30 TC 11 Z9 11 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00209-5 J9 NBER MACROECON ANNU PY 2010 VL 24 BP 89 EP 138 PG 50 WC Economics SC Business & Economics GA BOX33 UT WOS:000277914900004 ER PT S AU Ashcraft, AB Holmstrom, B AF Ashcraft, Adam B. Holmstrom, Bengt BE Acemoglu, D Rogoff, K Woodford, M TI The Credit Rating Crisis Comment SO NBER MACROECONOMICS ANNUAL 2009 SE NBER Macroeconomics Annual LA English DT Editorial Material; Book Chapter C1 [Ashcraft, Adam B.] Fed Reserve Bank New York, New York, NY 10045 USA. [Holmstrom, Bengt] MIT, Cambridge, MA 02139 USA. [Holmstrom, Bengt] NBER, Cambridge, MA 02138 USA. RP Ashcraft, AB (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 13 TC 0 Z9 0 U1 0 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00209-5 J9 NBER MACROECON ANNU PY 2010 VL 24 BP 209 EP + PG 13 WC Economics SC Business & Economics GA BOX33 UT WOS:000277914900008 ER PT S AU Guvenen, F Kuruscu, B AF Guvenen, Fatih Kuruscu, Burhanettin BE Acemoglu, D Rogoff, K Woodford, M TI A Quantitative Analysis of the Evolution of the US Wage Distribution, 1970-2000 SO NBER MACROECONOMICS ANNUAL 2009 SE NBER Macroeconomics Annual LA English DT Article; Book Chapter ID LIFE-CYCLE; TECHNICAL CHANGE; UNITED-STATES; LABOR-MARKET; INEQUALITY; EARNINGS; INCOME; SKILL; CONSUMPTION; DEMAND C1 [Guvenen, Fatih] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Guvenen, Fatih] NBER, Cambridge, MA 02138 USA. [Kuruscu, Burhanettin] Univ Texas Austin, Austin, TX 78712 USA. RP Guvenen, F (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. NR 46 TC 12 Z9 12 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00209-5 J9 NBER MACROECON ANNU PY 2010 VL 24 BP 227 EP 276 PG 50 WC Economics SC Business & Economics GA BOX33 UT WOS:000277914900010 ER PT S AU Fisher, JDM Schmitt-Grohe, S AF Fisher, Jonas D. M. Schmitt-Grohe, Stephanie BE Acemoglu, D Rogoff, K Woodford, M TI Letting Different Views about Business Cycles Compete Comment SO NBER MACROECONOMICS ANNUAL 2009 SE NBER Macroeconomics Annual LA English DT Editorial Material; Book Chapter ID AGGREGATE FLUCTUATIONS; TECHNOLOGICAL-CHANGE; INVESTMENT; SHOCKS; NEWS C1 [Fisher, Jonas D. M.] Fed Reserve Bank Chicago, Chicago, IL USA. [Schmitt-Grohe, Stephanie] Columbia Univ, New York, NY 10027 USA. [Schmitt-Grohe, Stephanie] NBER, Cambridge, MA 02138 USA. RP Fisher, JDM (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 24 TC 4 Z9 4 U1 0 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 0889-3365 BN 978-0-226-00209-5 J9 NBER MACROECON ANNU PY 2010 VL 24 BP 457 EP 489 PG 33 WC Economics SC Business & Economics GA BOX33 UT WOS:000277914900017 ER PT J AU Handorf, WC AF Handorf, William C. BE Mitchell, LE Wilmarth, AE TI Lessons from 2008 US bank failures SO PANIC OF 2008: CAUSES, CONSEQUENCES AND IMPLICATIONS FOR REFORM LA English DT Article; Book Chapter C1 [Handorf, William C.] George Washington Univ, Sch Business, Washington, DC USA. [Handorf, William C.] Fed Reserve Bank Richmond, Baltimore Branch Board Directors, Richmond, VA USA. RP Handorf, WC (reprint author), Fed Home Loan Bank Atlanta, Atlanta, GA 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 978-1-84980-261-1 PY 2010 BP 169 EP 176 PG 8 WC Business, Finance; Law SC Business & Economics; Government & Law GA BZI67 UT WOS:000301722900008 ER PT J AU Love, DA Smith, PA AF Love, David A. Smith, Paul A. BE Micocci, M Gregoriou, GN Masala, BG TI Pension Risk and Household Saving over the Life Cycle SO PENSION FUND RISK MANAGEMENT: FINANCIAL AND ACTUARIAL MODELING SE Chapman & Hall-CRC Finance Series LA English DT Article; Book Chapter ID RETIREMENT; WEALTH; LIABILITIES; CONSUMPTION AB DEFINED BENEFIT (DB) PENSION freezes in large healthy firms such as Verizon and IBM, as well as terminations of plans in the struggling steel and airline industries, highlight the fact that these traditional pensions cannot be viewed as risk-free from the employee's perspective. In this chapter, we develop an empirical dynamic programming framework to investigate household saving decisions in a simple life cycle model with DB pensions subject to the risk of being frozen. The model incorporates important sources of uncertainty facing households, including asset returns, employment, wages, and mortality, as well as pension freezes. Applying a compensating variation measure of household welfare, we find that pension freezes reduce welfare by about $6000 for individuals with a high school degree and about $2000 for individuals with a college degree. We close by highlighting a few important issues to be addressed in future work, including a more realistic labor supply decision and the effects of alternative market-clearing conditions in the labor market. C1 [Love, David A.] Williams Coll, Dept Econ, Williamstown, MA 01267 USA. [Smith, Paul A.] Fed Reserve Board, Res & Stat Div, Washington, DC USA. RP Love, DA (reprint author), Williams Coll, Dept Econ, Williamstown, MA 01267 USA. NR 31 TC 0 Z9 0 U1 1 U2 1 PU CRC PRESS-TAYLOR & FRANCIS GROUP PI BOCA RATON PA 6000 BROKEN SOUND PARKWAY NW, STE 300, BOCA RATON, FL 33487-2742 USA BN 978-1-4398-1754-4 J9 CH CRC FINANC SER PY 2010 BP 549 EP 578 D2 10.1201/9781439817544 PG 30 WC Business, Finance; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA BSQ17 UT WOS:000285376000022 ER PT J AU Krueger, D Perri, F Pistaferri, L Violante, GL AF Krueger, Dirk Perri, Fabrizio Pistaferri, Luigi Violante, Giovanni L. TI Cross-sectional facts for macroeconomists SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Wages; Income; Consumption; Wealth; Long-run trends in inequality; Life-cycle inequality; Inequality over the business cycle; Government redistribution; Estimation of earnings dynamics ID INEQUALITY; WEALTH AB This article provides an introduction to the special issue of the Review of Economic Dynamics on "Cross-Sectional Facts for Macroeconomists". The issue documents, for nine countries, the level and the evolution, over time and over the life cycle, of several dimensions of economic inequality, including wages, labor earnings, income, consumption, and wealth. After describing the motivation and the common methodology underlying this empirical project, we discuss selected results, with an emphasis on cross-country comparisons. Most, but not all, countries experienced substantial increases in wages and earnings inequality, over the last three decades. While the trend in the skill premium differed widely across countries, the experience premium rose and the gender premium fell virtually everywhere. At a higher frequency, earnings inequality appears to be strongly counter-cyclical. In all countries, government redistribution through taxes and transfers reduced the level, the trend and the cyclical fluctuations in income inequality. The rise in income inequality was stronger at the bottom of the distribution. Consumption inequality increased less than disposable income inequality, and tracked the latter much more closely at the top than at the bottom of the distribution. Measuring the age-profile of inequality is challenging because of the interplay of time and cohort effects. (C) 2009 Elsevier Inc. All rights reserved. C1 [Violante, Giovanni L.] NYU, New York, NY 10003 USA. [Krueger, Dirk] Univ Penn, Philadelphia, PA 19104 USA. [Perri, Fabrizio] Univ Minnesota, Minneapolis, MN 55455 USA. [Pistaferri, Luigi] Stanford Univ, Stanford, CA 94305 USA. [Krueger, Dirk; Perri, Fabrizio; Pistaferri, Luigi; Violante, Giovanni L.] NBER, Cambridge, MA 02138 USA. [Perri, Fabrizio] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Violante, GL (reprint author), NYU, New York, NY 10003 USA. EM dkrueger@ssc.upenn.edu; fperri@umn.edu; pista@stanford.edu; glv2@nyu.edu RI Violante, Giovanni/F-1872-2017 NR 13 TC 29 Z9 29 U1 0 U2 8 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 2010 VL 13 IS 1 BP 1 EP 14 DI 10.1016/j.red.2009.12.001 PG 14 WC Economics SC Business & Economics GA 545RO UT WOS:000273754300001 ER PT J AU Heathcote, J Perri, F Violante, GL AF Heathcote, Jonathan Perri, Fabrizio Violante, Giovanni L. TI Unequal we stand: An empirical analysis of economic inequality in the United States, 1967-2006 SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Consumption, income, and wealth inequality; Inequality over the life cycle; Wage dynamics ID WAGE INEQUALITY; INCOME INEQUALITY; LIFE-CYCLE; CONSUMPTION INEQUALITY; COVARIANCE STRUCTURE; EARNINGS INEQUALITY; FAMILY INCOME; LABOR-MARKET; INSURANCE; TRENDS AB We conduct a systematic empirical study of cross-sectional inequality in the United States, integrating data from the Current Population Survey, the Panel Study of Income Dynamics, the Consumer Expenditure Survey, and the Survey of Consumer Finances. In order to understand how different dimensions of inequality are related via choices, markets, and institutions, we follow the mapping suggested by the household budget constraint from individual wages to individual earnings, to household earnings, to disposable income, and, ultimately, to consumption and wealth. We document a continuous and sizable increase in wage inequality over the sample period. Changes in the distribution of hours worked sharpen the rise in earnings inequality before 1982, but mitigate its increase thereafter. Taxes and transfers compress the level of income inequality, especially at the bottom of the distribution, but have little effect on the overall trend. Finally, access to financial markets has limited both the level and growth of consumption inequality. (C) 2009 Elsevier Inc. All rights reserved. C1 [Heathcote, Jonathan; Perri, Fabrizio] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. [Perri, Fabrizio] Univ Minnesota, Minneapolis, MN 55455 USA. [Violante, Giovanni L.] NYU, New York, NY 10003 USA. [Perri, Fabrizio; Violante, Giovanni L.] NBER, Cambridge, MA 02138 USA. RP Heathcote, J (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. EM heathcote@minneapolisfed.org; fperri@umn.edu; glv2@nyu.edu RI Violante, Giovanni/F-1872-2017 NR 81 TC 124 Z9 124 U1 4 U2 56 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 2010 VL 13 IS 1 BP 15 EP 51 DI 10.1016/j.red.2009.10.010 PG 37 WC Economics SC Business & Economics GA 545RO UT WOS:000273754300002 ER PT J AU Chakravorti, S AF Chakravorti, Sujit TI Externalities in Payment Card Networks: Theory and Evidence SO REVIEW OF NETWORK ECONOMICS LA English DT Article DE retail payments; payment networks; externalities ID 2-SIDED MARKETS; CREDIT CARDS; INTERCHANGE FEES; COMPETITION; SYSTEMS; ECONOMICS; CASH AB Payment cards continue to replace cash and checks in advanced economies. Along with the growth of payment card transactions has come greater scrutiny by public authorities of certain payment network rules along with the level of certain fees. This article reviews the growing payment card literature and discusses the impact of several regulatory interventions on card adoption, usage, and social welfare. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Chakravorti, S (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. NR 59 TC 0 Z9 0 U1 1 U2 3 PU CONCEPT ECONOMICS PI KINGSTON PA CANBERRA OFFICE, 27 JARDINE STREET, PO BOX 5430, KINGSTON, 00000, AUSTRALIA SN 1446-9022 J9 REV NETW ECON JI Rev. Netw. Econ. PY 2010 VL 9 IS 2 PG 27 WC Economics SC Business & Economics GA 633EV UT WOS:000280483300003 ER PT J AU Crowe, M Rysman, M Stavins, J AF Crowe, Marianne Rysman, Marc Stavins, Joanna TI Mobile Payments at the Retail Point of Sale in the United States: Prospects for Adoption SO REVIEW OF NETWORK ECONOMICS LA English DT Article DE mobile payments; mobile banking; contactless; NFC; SMS ID COMPATIBILITY; COMPETITION; MARKETS AB Although mobile payments are increasingly used in some countries, they have not been adopted widely in the United States so far, despite their potential to add value for consumers and streamline the payments system. we summarize short-term and long-term benefits from mobile payments, and analyze the economic framework of that market. Both demand-side and supply-side barriers contribute tot he lack of adoption of mobile payments. We contrast mobile payments at the retail point of sale in the U.S. with other countries' experiences and with examples of successful payment innovation in the U.S. Conditions that have facilitated some success in other countries and in other U.S. innovations are not present in the mobile payments market. On the demand side, consumers and merchants are well served by the current card system and face a low expected benefit-cost ratio, at least in the short run. On the supply side, low market concentration and strong competitive forces of banks and mobile carriers make coordination of standards difficult. Furthermore, mobile payments are characterized by a network effects problem: consumers will not demand them until they know that enough merchants accept them, and merchants will not implement the technology until a critical mass of consumers justifies the cost of doing so. We present some policy recommendations that the Federal Reserve should consider. C1 [Crowe, Marianne; Stavins, Joanna] Fed Reserve Bank Boston, Boston, MA 02210 USA. [Rysman, Marc] Boston Univ, Boston, MA 02215 USA. RP Crowe, M (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 33 TC 1 Z9 1 U1 7 U2 33 PU CONCEPT ECONOMICS PI KINGSTON PA CANBERRA OFFICE, 27 JARDINE STREET, PO BOX 5430, KINGSTON, 00000, AUSTRALIA SN 1446-9022 J9 REV NETW ECON JI Rev. Netw. Econ. PY 2010 VL 9 IS 4 DI 10.2202/1446-9022.1236 PG 30 WC Economics SC Business & Economics GA 693RO UT WOS:000285243300002 ER PT B AU Mishkin, FS AF Mishkin, Frederic S. BE Wieland, V TI WILL MONETARY POLICY BECOME MORE OF A SCIENCE? SO SCIENCE AND PRACTICE OF MONETARY POLICY TODAY: THE DEUTSCHE BANK PRIZE IN FINANCIAL ECONOMICS 2007 LA English DT Proceedings Paper CT Scientific Symposium on the Theory and Practice of Monetary Policy Today CY OCT 04, 2007 CL Frankfurt, GERMANY ID FEDERAL-RESERVE-BOARD; GREAT-DEPRESSION; STICKY PRICES; UNITED-STATES; MODEL UNCERTAINTY; LOW-INFLATION; INFORMATION; RULES; MONEY; MACROECONOMICS C1 [Mishkin, Frederic S.] Fed Reserve Board, Washington, DC USA. EM fsm3@columbia.edu NR 117 TC 1 Z9 1 U1 1 U2 7 PU SPRINGER-VERLAG BERLIN PI BERLIN PA HEIDELBERGER PLATZ 3, D-14197 BERLIN, GERMANY BN 978-3-642-02952-3 PY 2010 BP 81 EP 103 DI 10.1007/978-3-642-02953-0_6 PG 23 WC Business, Finance; Economics SC Business & Economics GA BNH92 UT WOS:000274609800006 ER PT J AU Bernal, L Hampton, H AF Bernal, Luisa Hampton, Heather BE NgangjohHodu, Y Matambalya, FAST TI Agricultural safeguard measures in the context of the Economic Partnership Agreements SO TRADE RELATIONS BETWEEN THE EU AND AFRICA: DEVELOPMENT, CHALLENGES AND OPTIONS BEYOND THE COTONOU AGREEMENT SE Routledge Studies in Development Economics LA English DT Article; Book Chapter C1 [Bernal, Luisa] Permanent Mission Venezuela UN, Geneva, Switzerland. [Hampton, Heather] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Hampton, Heather] South Ctr Trade Dev Programme, Geneva, Switzerland. NR 47 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-86452-4 J9 ROUTL STUD DEV ECON PY 2010 VL 76 BP 151 EP 184 PG 34 WC Economics SC Business & Economics GA BNB37 UT WOS:000274061500011 ER PT B AU Solow, R AF Solow, Robert BE Aronson, JR Parmet, HL Thornton, RJ TI Equilibrium and Disequilibrium Growth: a Comment on a Comment SO VARIATIONS IN ECONOMIC ANALYSIS: ESSAYS IN HONOR OF ELI SCHWARTZ LA English DT Editorial Material; Book Chapter C1 [Solow, Robert] Fed Reserve Bank Boston, Board Directors, Boston, MA USA. [Solow, Robert] MIT, Cambridge, MA 02139 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES BN 978-1-4419-1181-0 PY 2010 BP 71 EP 74 DI 10.1007/978-1-4419-1182-7_7 D2 10.1007/978-1-4419-1182-7 PG 4 WC Economics SC Business & Economics GA BMP99 UT WOS:000273320100006 ER PT J AU Crowley, M Howse, R AF Crowley, Meredith Howse, Robert TI US-Stainless Steel (Mexico) SO WORLD TRADE REVIEW LA English DT Article ID LAW AB The US Mexico Stainless-Steel dispute presents two interesting questions. First, what role does and should stare decisis (precedent) play in the WTO dispute-resolution system ? Second, are there circumstances under which exceptional methodologies, i.e. 'zeroing', can better achieve the stated objectives of the agreement than the standard methodologies explicitly stated in the agreement? We argue that the institutional structure and foundational norms of the WTO imply the need for Panels to be bound by the prior decisions of the Appellate Body. Our economic analysis describes the costs and benefits of legal systems with and without precedent. Regarding methodology, we argue that any analysis of the suitability of a methodology (i.e. 'zeroing') must be undertaken jointly with an analysis of the underlying objective of the agreement (i.e. remedying injury). We conclude that, under limited circumstances, the 'zeroing' methodology is more effective at remedying injury than the ordinary methodology outlined in the Anti-Dumping Agreement. C1 [Crowley, Meredith] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Howse, Robert] NYU, Sch Law, New York, NY 10003 USA. RP Crowley, M (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle, Chicago, IL 60604 USA. EM Crowley.meredith@gmail.com NR 17 TC 6 Z9 6 U1 1 U2 5 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA EDINBURGH BLDG, SHAFTESBURY RD, CB2 8RU CAMBRIDGE, ENGLAND SN 1474-7456 J9 WORLD TRADE REV JI World Trade Rev. PD JAN PY 2010 VL 9 IS 1 BP 117 EP 150 DI 10.1017/S1474745609990279 PG 34 WC Economics; International Relations; Law SC Business & Economics; International Relations; Government & Law GA 586BO UT WOS:000276876100006 ER PT J AU Cooper, R Willis, JL AF Cooper, Russell Willis, Jonathan L. TI A Comment on the Economics of Labor Adjustment: Mind the Gap: Evidence from a Monte Carlo Experiment: Reply SO AMERICAN ECONOMIC REVIEW LA English DT Article ID DYNAMICS C1 [Cooper, Russell] Univ Texas Austin, Dept Econ, Austin, TX 78712 USA. [Cooper, Russell] European Univ Inst, Dept Econ, I-50133 Florence, Italy. [Willis, Jonathan L.] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Cooper, R (reprint author), Univ Texas Austin, Dept Econ, BRB 2-102A, Austin, TX 78712 USA. EM cooper@eco.utexas.edu; jonathan.willis@kc.frb.org NR 7 TC 1 Z9 1 U1 1 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2009 VL 99 IS 5 BP 2267 EP 2276 DI 10.1257/aer.99.5.2267 PG 10 WC Economics SC Business & Economics GA 535NQ UT WOS:000272977300028 ER PT J AU Henderson, J AF Henderson, Jason TI Crisis in US Financial Markets-Spillover and Recovery Prospects in Rural America: Discussion SO AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS LA English DT Article; Proceedings Paper CT Annual Meeting of the Allied-Social-Science-Associations CY JAN 03-05, 2009 CL San Francisco, CA SP Allied Social Sci Assoc C1 Fed Reserve Bank Kansas City, Kansas City, MO USA. RP Henderson, J (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO USA. NR 1 TC 0 Z9 0 U1 2 U2 7 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0002-9092 J9 AM J AGR ECON JI Am. J. Agr. Econ. PD DEC PY 2009 VL 91 IS 5 BP 1209 EP 1210 DI 10.1111/j.1467-8276.2009.01285.x PG 2 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 522BN UT WOS:000271972800007 ER PT J AU Toler, S Briggeman, BC Lusk, JL Adams, DC AF Toler, Stephen Briggeman, Brian C. Lusk, Jayson L. Adams, Damian C. TI Fairness, Farmers Markets, and Local Production SO AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS LA English DT Article; Proceedings Paper CT Annual Meeting of the Allied-Social-Science-Associations CY JAN 03-05, 2009 CL San Francisco, CA SP Allied Social Sci Assoc ID PREFERENCES; FOODS C1 [Toler, Stephen; Lusk, Jayson L.; Adams, Damian C.] Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. [Briggeman, Brian C.] Fed Reserve Bank Kansas City, Kansas City, MO USA. RP Toler, S (reprint author), Oklahoma State Univ, Dept Agr Econ, Stillwater, OK 74078 USA. NR 15 TC 35 Z9 35 U1 1 U2 28 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0002-9092 J9 AM J AGR ECON JI Am. J. Agr. Econ. PD DEC PY 2009 VL 91 IS 5 BP 1272 EP 1278 DI 10.1111/j.1467-8276.2009.01296.x PG 7 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 522BN UT WOS:000271972800018 ER PT J AU Briggeman, BC Gunderson, MA Gloy, BA AF Briggeman, Brian C. Gunderson, Michael A. Gloy, Brent A. TI The Financial Health of Agricultural Lenders SO AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS LA English DT Article; Proceedings Paper CT Annual Meeting of the Agricultural-and-Applied-Economics-Association CY AUG, 2009 CL Milwaukee, WI SP Agr & Appl Econ Assoc ID CURRENT INCOME; FARM; SECTOR C1 [Briggeman, Brian C.] Fed Reserve Bank Kansas City, Kansas City, MO USA. [Gunderson, Michael A.] Univ Florida, Dept Food & Resource Econ, Gainesville, FL 32611 USA. [Gloy, Brent A.] Cornell Univ, Dept Appl Econ & Management, Ithaca, NY 14853 USA. RP Briggeman, BC (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO USA. NR 14 TC 3 Z9 3 U1 0 U2 8 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0002-9092 J9 AM J AGR ECON JI Am. J. Agr. Econ. PD DEC PY 2009 VL 91 IS 5 BP 1406 EP 1413 DI 10.1111/j.1467-8276.2009.01356.x PG 8 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 522BN UT WOS:000271972800041 ER PT J AU Aizenman, J Glick, R AF Aizenman, Joshua Glick, Reuven TI Sovereign Wealth Funds: Stylized Facts about their Determinants and Governance SO INTERNATIONAL FINANCE LA English DT Article AB Concerns about the implications of foreign investments by sovereign wealth funds (SWFs) stem in large part from apprehensions about the objectives and governance quality of these institutions. This paper contributes to a better understanding of the stylized facts of SWFs by providing a statistical analysis of a range of characteristics of SWFs, including the motivation for their establishment as well as their size, governance and effect on reserve management behaviour. Specifically, it estimates what factors foster the establishment of SWFs as well as affect their size. It also investigates the extent to which the governance and transparency of individual SWFs correlate with domestic and global governance practices. Lastly, it analyses how asset accumulation by SWFs may affect central bank holdings of official reserves. C1 [Glick, Reuven] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. [Aizenman, Joshua] Univ Calif Santa Cruz, Santa Cruz, CA 95064 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 NR 26 TC 9 Z9 9 U1 0 U2 5 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1367-0271 J9 INT FINANC JI Int. Financ. PD WIN PY 2009 VL 12 IS 3 BP 351 EP 386 DI 10.1111/j.1468-2362.2009.01249.x PG 36 WC Business, Finance; Economics SC Business & Economics GA 536CG UT WOS:000273019200003 ER PT J AU Adrian, T Shin, HS AF Adrian, Tobias Shin, Hyun Song TI Prices and Quantities in the Monetary Policy Transmission Mechanism SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article; Proceedings Paper CT Conference on Provision and Pricing of Liquidity Insurance CY JUN 11, 2009 CL Fed Reserve Bank New York, New York, NY HO Fed Reserve Bank New York AB Central banks have a variety of tools for implementing monetary policy, but the tool that has received the most attention in the literature has been the overnight interest rate. The financial crisis that erupted in the summer of 2007 has refocused attention on other channels of monetary policy, notably the transmission of policy through the supply of credit and overall conditions in the capital markets. In 2008, the Federal Reserve put into place various lender-of-last-resort programs under section 13(3) of the Federal Reserve Act in order to cushion the strains on financial intermediaries' balance sheets and thereby target the unusually wide spreads in a variety of credit markets. While classic monetary policy targets a price (for example, the federal funds rate), the liquidity facilities affect balance-sheet quantities. The financial crisis forcefully demonstrated that the collapse of the financial sector's balance-sheet capacity can have powerful adverse effects on the real economy. We reexamine the distinctions between prices and quantities in monetary policy transmission. C1 [Adrian, Tobias] Fed Reserve Bank New York, New York, NY 10045 USA. [Shin, Hyun Song] Princeton Univ, Princeton, NJ 08544 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM tobias.adrian@ny.frb; hsshin@princeton.edu NR 9 TC 6 Z9 6 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 DEC PY 2009 VL 5 IS 4 BP 131 EP 142 PG 12 WC Business, Finance SC Business & Economics GA 539YG UT WOS:000273294800008 ER PT J AU Chu, CS Lehnert, A Passmore, W AF Chu, Chenghuan Sean Lehnert, Andreas Passmore, Wayne TI Strategic Trading in Multiple Assets and the Effects on Market Volatility SO INTERNATIONAL JOURNAL OF CENTRAL BANKING LA English DT Article ID IMPERFECT COMPETITION AB We study government policies designed to increase liquidity by extending government guarantees to fundamentally illiquid assets. We characterize the effects of such policies on equilibrium price dynamics, trading strategies, and welfare. We build on the strategic trading framework of Brunnermeier and Pedersen (2005) and Carlin, Lobo, and Viswanathan (2007) by adding multiple assets and by modeling all agents' utility functions. The assets in our model differ in their fundamental liquidity, i.e., the price reaction of the nonstrategic (or "retail") traders to amounts sold by the strategic traders. Nonstrategic traders are willing to accept greater amounts of the more liquid asset with less short-term price reaction. These additions allow us to consider the welfare implications of, for example, shifting some assets from the illiquid category to the liquid category, a proxy for government guarantees on a risky asset. As in other models of this type, the strategic players "predate" on each other when one becomes distressed and is forced to liquidate its holdings. As others have shown, the more liquid the asset, the cheaper it is to predate on a distressed firm. Our model features an additional channel between liquidity and predation: because of the cross-elasiticies of demand across assets, firms can create liquidity in one asset by shorting a complementary asset. We find that when firms begin with larger endowments in highly liquid assets, forced liquidation of those assets tends to result in higher price volatility than would otherwise be the case. For plausible parameter ranges, such a policy also results in lower welfare for the nonstrategic traders. This finding suggests that market interventions designed to alleviate illiquidity in particular asset markets may instead unintentionally exacerbate price volatility. C1 [Chu, Chenghuan Sean; Lehnert, Andreas; Passmore, Wayne] Fed Reserve Board, Washington, DC USA. RP Chu, CS (reprint author), Fed Reserve Board, Washington, DC USA. EM sean.chu@frb.gov; andreas.lehnert@frb.gov; wayne.passmore@frb.gov RI Lehnert, Andreas/H-1692-2012 NR 6 TC 3 Z9 3 U1 0 U2 12 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 2009 VL 5 IS 4 BP 143 EP 172 PG 30 WC Business, Finance SC Business & Economics GA 539YG UT WOS:000273294800009 ER PT J AU Wright, JH Zhou, H AF Wright, Jonathan H. Zhou, Hao TI Bond risk premia and realized jump risk SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Bond return predictability; Expectations hypothesis; Countercyclical risk premia; Realized jump risk; Unspanned factors ID MARKET MICROSTRUCTURE NOISE; TERM STRUCTURE; VOLATILITY; REGRESSIONS; RATES; FORECASTS; MODELS AB We find that augmenting a regression of excess bond returns on the term structure of forward rates with an estimate of the mean realized jump size almost doubles the R(2), of the forecasting regression. The return predictability from augmenting with the jump mean easily dominates that offered by augmenting with options-implied volatility and realized volatility from high-frequency data. In out-of-sample forecasting exercises, inclusion of the jump mean can reduce the root mean square prediction error by up to 40%. The incremental return predictability captured by the realized jump mean largely accounts for the counter-cyclical movements in bond risk premia. This result is consistent with the setting of an incomplete market in which the conditional distribution of excess bond returns is affected by a jump risk factor that does not lie in the span of the term structure of yields. (c) 2009 Elsevier B.V. All rights reserved. C1 [Wright, Jonathan H.] Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA. [Zhou, Hao] Fed Reserve Board, Risk Anal Sect, Washington, DC 20551 USA. RP Wright, JH (reprint author), Johns Hopkins Univ, Dept Econ, Baltimore, MD 21218 USA. EM wrightj@jhu.edu; hao.zhou@frb.gov NR 27 TC 28 Z9 28 U1 3 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD DEC PY 2009 VL 33 IS 12 BP 2333 EP 2345 DI 10.1016/j.jbankfin.2009.06.010 PG 13 WC Business, Finance; Economics SC Business & Economics GA 511LG UT WOS:000271166000016 ER PT J AU Pykhtin, M AF Pykhtin, Michael TI Modeling credit exposure for collateralized counterparties SO JOURNAL OF CREDIT RISK LA English DT Article AB Modeling the credit exposure of a financial institution to a counterparty usually, requires a Monte Carlo simulation of values of the trades in the portfolio at future time points. For collateralized counterparties, collateral at ally simulation time point depends on the portfolio value at an earlier time point because of the margin period of risk. Thus, in order to simulate collateralized exposure at a single (primary) time point, one needs to simulate the trade values at two time points: the primary and the look-back, resulting in a doubling of the total simulation time. In this paper we present a semi-analytical method for calculating expected exposure for collateralized counterparties that does not require the simulation of the trade values at the took-back time points. This method can be easily implemented with an existing system that simulates uncollateralized exposure, without a noticeable increase in the simulation time. Potential applications of the method include the pricing and hedging of counterparty credit risk and the calculation of economic and regulatory capital. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Pykhtin, M (reprint author), Fed Reserve Board, Mail Stop 1813,20th St & Constitut Ave NW, Washington, DC 20551 USA. EM michael.v.pykhtin@frb.gov NR 12 TC 4 Z9 4 U1 0 U2 3 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6619 J9 J CREDIT RISK JI J. Credit Risk PD WIN PY 2009 VL 5 IS 4 BP 3 EP 27 PG 25 WC Business, Finance SC Business & Economics GA 561ZV UT WOS:000275019500002 ER PT J AU Rosenberg, JV Traub, LG AF Rosenberg, Joshua V. Traub, Leah G. TI Price Discovery in the Foreign Currency Futures and Spot Market SO JOURNAL OF DERIVATIVES LA English DT Article ID EXCHANGE-RATE DYNAMICS; LIQUIDITY; INFORMATION; QUOTES; TRADES; STOCK; TRANSPARENCY; INVENTORIES; ARBITRAGE; DIRECTION AB In this article, the authors investigate shifts in foreign exchange price discovery between the spot and futures market as these markets evolve. Their evidence suggests that the amount of information revealed through currency futures trading in 1996 is much greater than one would expect based on relative market size. Using data from 2006, the authors obtain quite different results that can potentially be explained by increases in spot market transparency. In particular, the authors find that in their more recent sample the spot market has the dominant information share. C1 [Rosenberg, Joshua V.] Fed Reserve Bank New York, New York, NY 10045 USA. [Traub, Leah G.] Lord Abbett & Co LLC, Jersey City, NJ USA. RP Rosenberg, JV (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM joshua.rosenberg@ny.frb.org; ltraub@lordabbett.com NR 46 TC 12 Z9 12 U1 2 U2 13 PU INST INVESTOR INC PI NEW YORK PA 225 PARK AVE SOUTH, NEW YORK, NY 10003 USA SN 1074-1240 J9 J DERIV JI J. Deriv. PD WIN PY 2009 VL 17 IS 2 BP 7 EP 25 DI 10.3905/JOD.2009.17.2.007 PG 19 WC Business, Finance SC Business & Economics GA 529QC UT WOS:000272531300001 ER PT J AU Guo, JT Lansing, KJ AF Guo, Jang-Ting Lansing, Kevin J. TI Capital-labor substitution and equilibrium indeterminacy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Capital-labor substitution; Equilibrium indeterminacy; Capital utilization; Real business cycles; Sunspots ID CES PRODUCTION-FUNCTIONS; INCREASING RETURNS; BUSINESS CYCLES; SCALE; MODELS AB This paper examines the quantitative relationship between the elasticity of capital-labor substitution in production and the conditions needed for equilibrium indeterminacy (and belief-driven fluctuations) in a one-sector growth model. With variable capital utilization, the substitution elasticity has little quantitative impact on the minimum degree of increasing returns needed for indeterminacy. However, when capital utilization is constant, a below-unity substitution elasticity sharply raises the minimum degree of increasing returns because it imposes a higher effective adjustment cost on labor hours. Overall, our results show that empirically-plausible departures from the Cobb-Douglas production specification can make indeterminacy more difficult to achieve. (C) 2009 Elsevier B.V. All rights reserved. C1 [Lansing, Kevin J.] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94120 USA. [Guo, Jang-Ting] Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, Res Dept, POB 7702, San Francisco, CA 94120 USA. EM guojt@ucr.edu; kevin.j.lansing@sf.frb.org NR 16 TC 11 Z9 11 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2009 VL 33 IS 12 BP 1991 EP 2000 DI 10.1016/j.jedc.2009.06.004 PG 10 WC Economics SC Business & Economics GA 526BM UT WOS:000272262500004 ER PT J AU Mayer, C Pence, K Sherlund, SM AF Mayer, Christopher Pence, Karen Sherlund, Shane M. TI The Rise in Mortgage Defaults SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article C1 [Mayer, Christopher] Columbia Business Sch, New York, NY USA. [Mayer, Christopher] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Pence, Karen; Sherlund, Shane M.] Fed Reserve Board, Household & Real Estate Finance Sect, Washington, DC USA. RP Mayer, C (reprint author), Columbia Business Sch, New York, NY USA. EM cm310@columbia.edu; Karen.Pence@frb.gov; Shane.M.Sherlund@frb.gov NR 34 TC 139 Z9 141 U1 2 U2 29 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD WIN PY 2009 VL 23 IS 1 BP 27 EP 50 DI 10.1257/jep.23.1.27 PG 24 WC Economics SC Business & Economics GA 414SY UT WOS:000263886700002 ER PT J AU DeLong, JB Magin, K AF DeLong, J. Bradford Magin, Konstantin TI The US Equity Return Premium: Past, Present, and Future SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID RISK-FREE RATE; HABIT FORMATION; ASSET PRICES; STOCK-MARKET; PUZZLE; AVERSION C1 [DeLong, J. Bradford] Univ Calif Berkeley, Berkeley, CA 94720 USA. [DeLong, J. Bradford] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP DeLong, JB (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM delong@econ.berkeley.edu; magin@berkeley.edu NR 58 TC 14 Z9 14 U1 1 U2 7 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD WIN PY 2009 VL 23 IS 1 BP 193 EP 208 DI 10.1257/jep.23.1.193 PG 16 WC Economics SC Business & Economics GA 414SY UT WOS:000263886700009 ER PT J AU Chiquoine, B Hjalmarsson, E AF Chiquoine, Benjamin Hjalmarsson, Erik TI Jackknifing stock return predictions SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Bias correction; Jackknifing; Predictive regression; Stock return predictability ID INTEGRATED REGRESSORS; EQUITY PREMIUM; MODELS; PREDICTABILITY; INFERENCE; PRICES; SAMPLE; RATIOS; TESTS; BIAS AB We show that the general bias-reducing technique of jackknifing can be successfully applied to stock return predictability regressions. Compared to standard OLS estimation, the jackknifing procedure delivers virtually unbiased estimates with mean squared errors that generally dominate those of the OLS estimates. The jackknifing method is very general, as well as simple to implement, and can be applied to models with multiple predictors and overlapping observations. Unlike most previous work on inference in predictive regressions, no specific assumptions regarding the data generating process for the predictors are required. A set of Monte Carlo experiments show that the method works well in finite samples and the empirical section finds that out-of-sample forecasts based on the jackknife estimates tend to outperform those based on the plain OLS estimates. The improved forecast ability also translates into economically relevant welfare gains for an investor who uses the predictive regression, with jackknife estimates, to time the market. Published by Elsevier B.V. C1 [Hjalmarsson, Erik] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. [Chiquoine, Benjamin] Investment Fund Fdn, Cambridge, MA 02138 USA. RP Hjalmarsson, E (reprint author), Fed Reserve Board, Div Int Finance, Mail Stop 20, Washington, DC 20551 USA. EM erik.hjalmarsson@frb.gov NR 19 TC 8 Z9 9 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 J9 J EMPIR FINANC JI J. Empir. Financ. PD DEC PY 2009 VL 16 IS 5 BP 793 EP 803 DI 10.1016/j.jempfin.2009.07.003 PG 11 WC Business, Finance; Economics SC Business & Economics GA 519VF UT WOS:000271796400007 ER PT J AU Plosser, CI AF Plosser, Charles I. TI Financial Econometrics, Financial Innovation, and Financial Stability SO JOURNAL OF FINANCIAL ECONOMETRICS LA English DT Article; Proceedings Paper CT 1st Conference of the Society-for-Financial-Econometrics CY JUN 04-06, 2008 CL NYU Stern Sch Business, New York, NY SP Soc Financial Econometr HO NYU Stern Sch Business AB Innovation in financial markets, spurred to a significant extent by developments in finance theory and financial econometrics, has played a critical role in spurring economic growth. However, the current turmoil in financial markets raises fundamental questions about the nature of financial innovation and the role of policymakers in maintaining financial stability. This paper explores these questions, focusing on the complexities of modeling financial risk and the potential trade-off between policies aimed at combating short-run financial instability on the one hand and the potential financial market distortions and moral hazard that can result from such policies on the other. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Plosser, CI (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. EM charles.plosser@phil.frb.org NR 0 TC 0 Z9 0 U1 1 U2 8 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1479-8409 J9 J FINANC ECONOMET JI J. Financ. Econom. PD WIN PY 2009 VL 7 IS 1 BP 3 EP 11 DI 10.1093/jjfinec/nbn014 PG 9 WC Business, Finance; Economics SC Business & Economics GA 386RR UT WOS:000261900800002 ER PT J AU DeYoung, R Evanoff, DD Molyneux, P AF DeYoung, Robert Evanoff, Douglas D. Molyneux, Philip TI Mergers and Acquisitions of Financial Institutions: A Review of the Post-2000 Literature SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article; Proceedings Paper CT Conference on mergers and Acquisitions of Financial Institutions CY NOV 30-DEC 01, 2007 CL Fed Deposit Insurance Corp Seidman Ctr, Arlington, VA HO Fed Deposit Insurance Corp Seidman Ctr DE Banks; Financial institutions; Literature review; Mergers and acquisitions ID BORDER BANK MERGERS; M-AND-AS; MANAGERIAL INCENTIVES; SHAREHOLDER WEALTH; EUROPEAN BANKING; TECHNOLOGICAL-PROGRESS; GEOGRAPHIC EXPANSION; PERFORMANCE CHANGES; MARKET POWER; INDUSTRY AB This paper provides a review of the recent financial institution mergers and acquisition (M&A) literature covering over 150 studies. Several robust themes emerge in the post-2000 literature. North American bank mergers are (or can be) efficiency improving, although the event-study literature presents a mixed picture regarding stockholder wealth creation. In contrast, European bank mergers appear to have resulted in both efficiency gains and stockholder value enhancement. There is robust evidence linking high CEO compensation to merger activity and strong implications that deals can be motivated by the desire to obtain 'too-big-to-fail' status and reap the associated subsidies. Evidence on the impact of both geographic and product diversification via merger is mixed. There is growing evidence that financial institution M&As can adversely impact certain types of borrowers, depositors, and other external stakeholders. C1 [DeYoung, Robert] Univ Kansas, Lawrence, KS 66045 USA. [Evanoff, Douglas D.] Fed Reserve Bank Chicago, Chicago, IL USA. [Molyneux, Philip] Bangor Univ, Bangor, Gwynedd, Wales. RP DeYoung, R (reprint author), Univ Kansas, Lawrence, KS 66045 USA. EM rdeyoung@ku.edu NR 180 TC 54 Z9 54 U1 7 U2 68 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD DEC PY 2009 VL 36 IS 2-3 BP 87 EP 110 DI 10.1007/s10693-009-0066-7 PG 24 WC Business, Finance SC Business & Economics GA 504AL UT WOS:000270584800002 ER PT J AU Craig, BR Dinger, V AF Craig, Ben R. Dinger, Valeriya TI Bank Mergers and the Dynamics of Deposit Interest Rates SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article; Proceedings Paper CT Conference on mergers and Acquisitions of Financial Institutions CY NOV 30-DEC 01, 2007 CL Fed Deposit Insurance Corp Seidman Ctr, Arlington, VA HO Fed Deposit Insurance Corp Seidman Ctr DE Deposit rate dynamics; Bank mergers; Deposit rate rigidity ID SAMPLE SELECTION; MARKET; INDUSTRY; CONSUMERS; RIGIDITY; COSTS; MONEY AB Despite extensive research interest in the last decade, the banking literature has not reached a consensus on the impact of bank mergers on deposit rates. In particular, results on the dynamics of deposit rates surrounding bank mergers vary substantially across studies. In this paper, we aim for a comprehensive empirical analysis of a bank merger's impact on deposit rate dynamics. We base the analysis on a unique dataset comprising deposit rates of 624 US banks with a monthly frequency for the time period 1997-2006. These data are matched with individual bank and local market characteristics and the complete list of bank mergers in the US. The data allow us to track the dynamics of bank mergers while controlling for the rigidity of the deposit rates and for a range of merger, bank, and local market features. An innovation of our work is the introduction of an econometric approach for estimating the change of the deposit rates given their rigidity. C1 [Dinger, Valeriya] Univ Bonn, D-53113 Bonn, Germany. [Craig, Ben R.] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. [Craig, Ben R.] Deutsch Bundesbank, Frankfurt, Germany. RP Dinger, V (reprint author), Univ Bonn, Lennestr 37, D-53113 Bonn, Germany. EM valeriya.dinger@uni-bonn.de NR 33 TC 10 Z9 10 U1 0 U2 7 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD DEC PY 2009 VL 36 IS 2-3 BP 111 EP 133 DI 10.1007/s10693-008-0042-7 PG 23 WC Business, Finance SC Business & Economics GA 504AL UT WOS:000270584800003 ER PT J AU Correa, R AF Correa, Ricardo TI Cross-Border Bank Acquisitions: Is there a Performance Effect? SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article; Proceedings Paper CT Conference on mergers and Acquisitions of Financial Institutions CY NOV 30-DEC 01, 2007 CL Fed Deposit Insurance Corp Seidman Ctr, Arlington, VA HO Fed Deposit Insurance Corp Seidman Ctr DE Mergers and acquisitions; Performance; International banking ID INTERNATIONAL EVIDENCE; MERGERS; FOREIGN; OWNERSHIP; INDUSTRY; CONSOLIDATION; EXPANSION; PATTERNS; MARKETS AB This paper uses a unique database that includes deal and bank balance sheet information for 220 cross-border acquisitions between 1996 and 2003 to analyze the characteristics and performance effects of international takeovers on target banks. A discrete choice estimation shows that banks are more likely to get acquired in a cross-border deal if they are large, bad performers, in a small country, and when the banking sector is concentrated. Post-acquisition performance for target banks does not improve in the first 2 years relative to domestically-owned financial institutions. This result is explained by a decrease in the banks' net interest margin in developed countries and an increase in overhead costs in emerging economies. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Correa, R (reprint author), Fed Reserve Syst, Board Governors, 20th St & C St NW,Mailstop 44, Washington, DC 20551 USA. EM ricardo.correa@frb.gov NR 49 TC 10 Z9 10 U1 2 U2 11 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD DEC PY 2009 VL 36 IS 2-3 BP 169 EP 197 DI 10.1007/s10693-008-0043-6 PG 29 WC Business, Finance SC Business & Economics GA 504AL UT WOS:000270584800008 ER PT J AU Brewer, E AF Brewer, Elijah, III TI Comments on Cross-border Bank Acquisitions: Is there a Performance Effect? SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Editorial Material ID MERGER PREMIUMS C1 [Brewer, Elijah, III] Depaul Univ, Dept Finance, DePaul Ctr, Chicago, IL 60604 USA. [Brewer, Elijah, III] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. RP Brewer, E (reprint author), Depaul Univ, Dept Finance, DePaul Ctr, Suite 6100,1 E Jackson Blvd, Chicago, IL 60604 USA. EM ebreweri@depaul.edu NR 8 TC 0 Z9 0 U1 0 U2 0 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD DEC PY 2009 VL 36 IS 2-3 BP 199 EP 202 DI 10.1007/s10693-009-0067-6 PG 4 WC Business, Finance SC Business & Economics GA 504AL UT WOS:000270584800009 ER PT J AU Adams, RM AF Adams, Robert M. TI Which Credit Unions Are Acquired? A Comment SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Editorial Material C1 Fed Reserve Board, Washington, DC 20551 USA. RP Adams, RM (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM robert.m.adams@frb.gov NR 2 TC 1 Z9 1 U1 0 U2 0 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0920-8550 J9 J FINANC SERV RES JI J. Financ. Serv. Res. PD DEC PY 2009 VL 36 IS 2-3 BP 253 EP 254 DI 10.1007/s10693-009-0068-5 PG 2 WC Business, Finance SC Business & Economics GA 504AL UT WOS:000270584800013 ER PT J AU Dwyer, GP Tkac, P AF Dwyer, Gerald P. Tkac, Paula TI The financial crisis of 2008 in fixed-income markets SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT Conference on Global Financial Crisis - Causes, Threats and Opportunities CY APR 06, 2009 CL Warwick Univ Business Sch, Warwick, ENGLAND HO Warwick Univ Business Sch DE Financial crisis; Contagion; Collateralized debt obligations; ABX; Money market funds AB We explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008. The drivers of the financial turmoil and the Financial Crisis of 2008 were heterogeneous securities that were hard to value. These securities created concerns about counterparty risk and ultimately created Substantial uncertainty. The problems spread in ways that were hard to see in advance. The run on prime money market funds in September 2008 and the effects on commercial paper were an important aspect of the crisis itself and are discussed in some detail. (C) 2009 Elsevier Ltd. All rights reserved. C1 [Dwyer, Gerald P.] Fed Reserve Bank Atlanta, Ctr Financial Innovat & Stabil, Atlanta, GA 30309 USA. [Dwyer, Gerald P.] Univ Carlos III Madrid, Dept Econ Empresa, Madrid 28903, Spain. [Tkac, Paula] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Dwyer, GP (reprint author), Fed Reserve Bank Atlanta, Ctr Financial Innovat & Stabil, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM gerald.p.dwyer@atl.frb.org NR 32 TC 27 Z9 29 U1 1 U2 12 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 2009 VL 28 IS 8 BP 1293 EP 1316 DI 10.1016/j.jimonfin.2009.08.007 PG 24 WC Business, Finance SC Business & Economics GA 536VG UT WOS:000273071400003 ER PT J AU Evans, CL Marshall, DA AF Evans, Charles L. Marshall, David A. TI Fundamental Economic Shocks and the Macroeconomy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE C32; E32; E52; business cycles; identification; impulse responses; vector autoregression ID UNITED-STATES DATA; MONETARY-POLICY; BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; VECTOR AUTOREGRESSIONS; INTEREST-RATES; TIME; RETURNS; DISTURBANCES; DETERMINANTS AB We ask how macroeconomic and financial variables respond to empirical measures of shocks to technology, labor supply, and monetary policy. These three shocks account for the preponderance of output, productivity, and price fluctuations. Only technology shocks have a permanent impact on economic activity. Labor inputs have little initial response to technology shocks. Monetary policy has a small response to technology shocks but "leans against the wind" in response to the more cyclical labor supply shock. This shock has the biggest impact on interest rates. Stock prices respond to all three shocks. Other empirical implications of our approach are discussed. C1 [Evans, Charles L.; Marshall, David A.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Evans, CL (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM charles.l.evans@chi.frb.org; david.marshall@chi.frb.org NR 65 TC 2 Z9 2 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 DEC PY 2009 VL 41 IS 8 BP 1515 EP 1555 DI 10.1111/j.1538-4616.2009.00271.x PG 41 WC Business, Finance; Economics SC Business & Economics GA 516EE UT WOS:000271523800001 ER PT J AU Bullard, J Schaling, E AF Bullard, James Schaling, Eric TI Monetary Policy, Determinacy, and Learnability in a Two-Block World Economy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E58; E61; F31; F41; indeterminacy; learning; monetary policy rules; new open economy macroeconomics; exchange rate regimes; second-generation policy coordination ID INSTRUMENT RULES; RATIONAL-EXPECTATIONS AB We study how determinacy and learnability of worldwide rational expectations equilibrium may be affected by monetary policy in a simple, two-country, New Keynesian framework under both fixed and flexible exchange rates. We find that open economy considerations may alter conditions for determinacy and learnability relative to closed economy analyses and that new concerns can arise in the analysis of classic topics such as the desirability of exchange rate targeting and monetary policy cooperation. C1 [Bullard, James] Fed Reserve Bank St Louis, St Louis, MO USA. [Schaling, Eric] Wits Business Sch, Johannesburg, South Africa. [Schaling, Eric] Univ St Andrews, CDMA, St Andrews KY16 9AJ, Fife, Scotland. [Schaling, Eric] Tilburg Univ, Ctr Econ Res, Tilburg, Netherlands. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM bullard@stls.frb.org; eric.schaling@gmail.com RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 30 TC 15 Z9 15 U1 2 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 DEC PY 2009 VL 41 IS 8 BP 1585 EP 1612 DI 10.1111/j.1538-4616.2009.00268.x PG 28 WC Business, Finance; Economics SC Business & Economics GA 516EE UT WOS:000271523800003 ER PT J AU Chib, S Ergashev, B AF Chib, Siddhartha Ergashev, Bakhodir TI Analysis of Multifactor Affine Yield Curve Models SO JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION LA English DT Article DE Bayesian analysis; Forecasting; Kalman filtering; Markov chain Monte Carlo; Metropolis-Hastings algorithm; No-arbitrage condition; Simulated annealing; Square root filter; Tailored proposal density; Term structure; Zero-coupon bond ID TERM STRUCTURE DYNAMICS; STOCHASTIC VOLATILITY; MARGINAL LIKELIHOOD; INFERENCE; OUTPUT AB In finance and economics much work has been done on the theoretical modeling and statistical estimation of the yield curve, defined as the relationship between -1/tau logp(t)(tau) and tau, where p(t)(tau) is the time t price of a zero-coupon bond with payoff I at maturity date t + tau. Of considerable current interest are models of the yield curve in which a collection of observed and latent factors determine the market price of factor risks, the stochastic discount factor, and the arbitrage-free bond prices. The model is particularly interesting from a statistical perspective, because the yields are complicated nonlinear functions of the underlying parameters (e.g., those appearing in the evolution dynamics of the factors and those appearing in the model of the factor risks). This nonlinearity tends to produce a likelihood function that is multimodal. In this article we revisit the question of how such models should be fit from the Bayesian viewpoint. Key aspects of the inferential framework include (a) a prior on the parameters of the model that is motivated by economic considerations, in particular, those involving the slope of the implied yield curve; (b) posterior simulation of the parameters in ways to improve the efficiency of the MCMC output, for example, through sampling of the parameters marginalized over the factors and tailoring of the proposal densities in the Metropolis-Hastings steps using information about the mode and curvature of the current target based on the output of a simulating annealing algorithm; and (c) measures to mitigate numerical instabilities in the fitting through reparameterizations and square root filtering recursions. We apply the techniques to explain the monthly yields on nine U.S. Treasury Bills (with maturities ranging from 1 month to 120 months) over the period January 1986-December 2005. The model contains three factors, one latent and two observed. We also consider the problem of predicting the nine yields for each month of 2006. We show that the (multi-step-ahead) prediction regions properly bracket the actual yields in those months, thus highlighting the practical value of the fitted model. C1 [Chib, Siddhartha] Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA. [Ergashev, Bakhodir] Fed Reserve Bank Richmond, Charlotte Branch, Charlotte, NC 28230 USA. RP Chib, S (reprint author), Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA. EM chib@wustl.edu; bakhodir.ergashev@rich.frb.org NR 22 TC 22 Z9 22 U1 1 U2 6 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0162-1459 J9 J AM STAT ASSOC JI J. Am. Stat. Assoc. PD DEC PY 2009 VL 104 IS 488 BP 1324 EP 1337 DI 10.1198/jasa.2009.ap08029 PG 14 WC Statistics & Probability SC Mathematics GA 548VB UT WOS:000273995500005 ER PT J AU Johnson, KW Li, G AF Johnson, Kathleen W. Li, Geng TI Household liability data in the Consumer Expenditure Survey SO MONTHLY LABOR REVIEW LA English DT Article AB Liability data from the Consumer Expenditure Survey (CE), the Survey of Consumer Finances, and an analogous aggregate measure show that the major types of household debt balances and payments are measured reasonably well in the CE; thus, CE data may be used to examine household debt and its relation to household economic decisions C1 [Johnson, Kathleen W.; Li, Geng] Fed Reserve Syst, Div Res & Stat, Board Governors, Washington, DC USA. RP Johnson, KW (reprint author), Fed Reserve Syst, Div Res & Stat, Board Governors, Washington, DC USA. EM kathleen.w.johnson@frb.gov; geng.li@frb.gov NR 5 TC 3 Z9 3 U1 0 U2 0 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 DEC PY 2009 VL 132 IS 12 BP 18 EP 27 PG 10 WC Industrial Relations & Labor SC Business & Economics GA 629MH UT WOS:000280202700002 ER PT J AU Coulibaly, B Li, G AF Coulibaly, Brahima Li, Geng TI Choice of Mortgage Contracts: Evidence from the Survey of Consumer Finances SO REAL ESTATE ECONOMICS LA English DT Article ID ADJUSTABLE-RATE MORTGAGES; INDEX-LINKED MORTGAGES; RISK; BORROWERS; ARM AB This study revisits the empirical question of the determinants of the choice between fixed-and adjustable-rate mortgages using data from the Survey of Consumer Finances that overcome some of the data limitations in previous studies. The results from a logit model of mortgage choice indicate that pricing variables and affordability are important considerations. We also find that factors, such as mobility expectations, income volatility and attitudes toward financial risk largely influence mortgage choice, with more risk-averse borrowers preferring fixed-rate mortgages. For households that are less risk averse, the mortgage type choice decision is less sensitive to pricing variables and income volatility, and affordability factors are not significant. These findings provide empirical support that underscores the importance of attitudes toward risks in mortgage choice. C1 [Coulibaly, Brahima; Li, Geng] Fed Reserve Board, Washington, DC 20551 USA. RP Coulibaly, B (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM brahima.coulibaly@frb.gov; Geng.Li@frb.gov NR 17 TC 16 Z9 16 U1 1 U2 9 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD WIN PY 2009 VL 37 IS 4 BP 659 EP 673 DI 10.1111/j.1540-6229.2009.00259.x PG 15 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 542UU UT WOS:000273524800004 ER PT J AU Jimenez, G Lopez, JA Saurina, J AF Jimenez, Gabriel Lopez, Jose A. Saurina, Jesus TI Empirical Analysis of Corporate Credit Lines SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE E32; G18; M21 ID LOAN COMMITMENT CONTRACTS; LENDING RELATIONSHIPS; RELATIONSHIP BANKING; LIQUIDITY; MARKET; DETERMINANTS; RISK AB Since bank credit lines are a major source of corporate funding, we examine the determinants of their usage with a comprehensive database of Spanish corporate credit lines. A line's default status is a key factor driving its usage, which increases as firm financial conditions worsen. Firms with prior defaults access their credit lines less, suggesting that bank monitoring influences firms' usage decisions. Line usage has an aging effect that causes it to decrease by roughly 10% per year of its life. Lender characteristics, such as the length of a firm's banking relationships, as well as macroeconomic conditions, affect usage decisions. C1 [Lopez, Jose A.] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. [Jimenez, Gabriel; Saurina, Jesus] Banco Espana, Madrid, Spain. RP Lopez, JA (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St,MS1130, San Francisco, CA 94105 USA. EM jose.a.lopez@sf.frb.org NR 33 TC 31 Z9 31 U1 2 U2 14 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD DEC PY 2009 VL 22 IS 12 BP 5069 EP 5098 DI 10.1093/rfs/hhp061 PG 30 WC Business, Finance; Economics SC Business & Economics GA 523KC UT WOS:000272071000007 ER PT J AU Zhang, BY Zhou, H Zhu, HB AF Zhang, Benjamin Yibin Zhou, Hao Zhu, Haibin TI Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE G12; G13; C14 ID MARKET MICROSTRUCTURE NOISE; OPTIMAL CAPITAL STRUCTURE; CORPORATE YIELD SPREADS; TERM STRUCTURE; STOCHASTIC VOLATILITY; RATING ANNOUNCEMENTS; EMPIRICAL-ANALYSIS; REALIZED VARIANCE; CONTINGENT CLAIMS; BOND YIELDS AB This paper attempts to explain the credit default swap (CDS) premium, using a novel approach to identify the volatility and jump risks of individual firms from high-frequency equity prices. Our empirical results suggest that the volatility risk alone predicts 48% of the variation in CDS spread levels, whereas the jump risk alone forecasts 19%. After controlling for credit ratings, macroeconomic conditions, and firms' balance sheet information, we can explain 73% of the total variation. We calibrate a Merton-type structural model with stochastic volatility and jumps, which can help to match credit spreads after controlling for the historical default rates. Simulation evidence suggests that the high-frequency-based volatility measures can help to explain the credit spreads, above and beyond what is already captured by the true leverage ratio. C1 [Zhou, Hao] Fed Reserve Board, Washington, DC 20551 USA. RP Zhou, H (reprint author), Fed Reserve Board, Mail Stop 91, Washington, DC 20551 USA. EM hao.zhou@frb.gov NR 63 TC 101 Z9 101 U1 5 U2 23 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 DEC PY 2009 VL 22 IS 12 BP 5099 EP 5131 DI 10.1093/rfs/hhp004 PG 33 WC Business, Finance; Economics SC Business & Economics GA 523KC UT WOS:000272071000008 ER PT J AU Mandelman, FS Montes-Rojas, GV AF Mandelman, Federico S. Montes-Rojas, Gabriel V. TI Is Self-employment and Micro-entrepreneurship a Desired Outcome? SO WORLD DEVELOPMENT LA English DT Article DE Latin America; Argentina; micro-firms; self-employment; business cycles ID EMPIRICAL-ANALYSIS; TRANSITIONS; MEXICO AB This paper links employment dynamics to the business cycle in Argentina and examines the self-employed sector We evaluate whether this sector resembles the industrialized Countries view, where it is characterized as being creative and dynamic, or the dualistic view. where it is seen its stagnant and Unproductive We Study transition patterns from salaried positions and unemployment. and the evolution of the sector in the period of analysis We found a clear segmentation. Own-account workers (accounting for over two-thirds of the self-employed) show characteristics similar to what is predicted by the dualistic view; while self-employed with employees resembles the industrialized countries view. (C) 2009 Elsevier Ltd All rights reserved C1 [Mandelman, Federico S.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Montes-Rojas, Gabriel V.] City Univ London, London, England. RP Mandelman, FS (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. RI Montes-Rojas, Gabriel/M-4750-2015 OI Montes-Rojas, Gabriel/0000-0002-8447-4929 NR 26 TC 15 Z9 15 U1 1 U2 11 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0305-750X J9 WORLD DEV JI World Dev. PD DEC PY 2009 VL 37 IS 12 BP 1914 EP 1925 DI 10.1016/j.worlddev.2009.05.005 PG 12 WC Economics; Planning & Development SC Business & Economics; Public Administration GA 528HP UT WOS:000272434300008 ER PT J AU Haughwout, AF Inman, RP AF Haughwout, Andrew F. Inman, Robert P. TI How Should Suburbs Help Their Central Cities? Growth- and Welfare-Enhancing Intrametropolitan Fiscal Distributions SO ANNALS OF THE AMERICAN ACADEMY OF POLITICAL AND SOCIAL SCIENCE LA English DT Article DE taxes; metropolitan areas; public finance; federalism ID ECONOMIC-GROWTH; URBAN DIVERSITY; PRODUCTIVITY; INFRASTRUCTURE; FIRMS; STATE; LIFE AB Cities are the location of die great majority of economic activity in the United States and produce a disproportionate share Of Output. It is thus critical for the economy's long-term growth that cities operate efficiently. In this article, the authors review the basic determinants of output growth, with a focus on productivity growth in cities. The authors then explore the effects of a particular distortion in politically fragmented metropolitan areas. After documenting die interdependence of the suburbs and central city of a metropolitan area, the authors develop a model that embodies many of the empirically verified aspects, including agglomeration economies and public goods. After calibrating the model to outcomes for Philadelphia, the authors use it to simulate various policy changes. The authors conclude that, under the model, some kinds of fiscal redistributions can provide benefits in both cities and suburbs. C1 [Haughwout, Andrew F.] Fed Reserve Bank New York, Microecon & Reg Studies Grp, New York, NY 10045 USA. [Inman, Robert P.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. [Inman, Robert P.] Penn Law Sch, Philadelphia, PA USA. [Inman, Robert P.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Haughwout, AF (reprint author), Fed Reserve Bank New York, Microecon & Reg Studies Grp, New York, NY 10045 USA. NR 25 TC 0 Z9 0 U1 1 U2 5 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0002-7162 J9 ANN AM ACAD POLIT SS JI Ann. Am. Acad. Polit. Soc. Sci. PD NOV PY 2009 VL 626 BP 39 EP 52 DI 10.1177/0002716209343556 PG 14 WC Political Science; Social Sciences, Interdisciplinary SC Government & Law; Social Sciences - Other Topics GA 509QB UT WOS:000271032000004 ER PT J AU Voith, RP Wachter, SM AF Voith, Richard P. Wachter, Susan M. TI Urban Growth and Housing Affordability: The Conflict SO ANNALS OF THE AMERICAN ACADEMY OF POLITICAL AND SOCIAL SCIENCE LA English DT Article DE affordability; home prices; cap rates; rents; urban growth; urban decline; housing AB This article addresses the potential conflict between urban growth and housing affordability. The pervasive urban decline of the past, in which two-thirds of America's thirty largest cities as of 1970 declined in population, has been replaced with urban growth. Two-thirds of these same cities have since resumed growing, but affordability challenges arise in many newly growing cities. The authors address the forces, both internal and external, driving urban "turnarounds" and the potential consequences for housing affordability. C1 [Voith, Richard P.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Wachter, Susan M.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. NR 6 TC 2 Z9 2 U1 0 U2 4 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0002-7162 J9 ANN AM ACAD POLIT SS JI Ann. Am. Acad. Polit. Soc. Sci. PD NOV PY 2009 VL 626 BP 112 EP 131 DI 10.1177/0002716209344839 PG 20 WC Political Science; Social Sciences, Interdisciplinary SC Government & Law; Social Sciences - Other Topics GA 509QB UT WOS:000271032000008 ER PT J AU Garriga, C Sanchez-Losada, F AF Garriga, Carlos Sanchez-Losada, Fernando TI Indirect taxation and the welfare effects of altruism on the optimal fiscal policy SO ECONOMIC MODELLING LA English DT Article DE Optimal taxation; Altruism; Dynamic general equilibrium ID CAPITAL INCOME; WEALTH; GROWTH AB This paper analyzes the welfare effects of altruism on the optimal fiscal policy. The existence of positive bequests links present and future generations in the economy. We show that these altruistic links provide a new role for indirect taxation (consumption and estate taxes) with important welfare implications. We use three different altruistic approaches (warm-glow, dynastic, and family) to illustrate how the presence of bequests in the budget constraint of the donee gives the government the ability to use indirect taxation to mimic lump-sum taxes and to implement the first-best outcome in the long-run. This channel is not present in economies without altruism, such as the infinite-lived consumer economy or the overlapping generations economy, where long-run welfare is suboptimal and indirect taxation is irrelevant. (C) 2009 Elsevier B.V. All rights reserved. C1 [Sanchez-Losada, Fernando] Univ Barcelona, Dept Teor Econ, Barcelona 08034, Spain. [Garriga, Carlos] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Sanchez-Losada, F (reprint author), Univ Barcelona, Dept Teor Econ, Diagonal 690, Barcelona 08034, Spain. EM Carlos.Garriga@stls.frb.org; fernando.sanchezlosada@ub.edu RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 24 TC 0 Z9 0 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0264-9993 J9 ECON MODEL JI Econ. Model. PD NOV PY 2009 VL 26 IS 6 BP 1365 EP 1374 DI 10.1016/j.econmod.2009.07.001 PG 10 WC Economics SC Business & Economics GA 504VR UT WOS:000270646400022 ER PT J AU Signorello, G Englin, J Longhorn, A De Salvo, M AF Signorello, Giovanni Englin, Jeffrey Longhorn, Adam De Salvo, Maria TI Modeling the Demand for Sicilian Regional Parks: A Compound Poisson Approach SO ENVIRONMENTAL & RESOURCE ECONOMICS LA English DT Article; Proceedings Paper CT 3rd World Congress of the Environmental and Resource Economists CY JUL, 2006 CL Kyoto, JAPAN DE Incomplete demand system; Compound poisson; Count model; Travel cost ID ENDOGENOUS STRATIFICATION; RECREATION DEMAND; TRUNCATION; SYSTEM AB This analysis examines the demand for a system of regional parks in Sicily (Italy). The analysis utilizes conventional count data methods that do not account for correlation across parks as well as a new model that allows for cross-site correlation and dispersion. In this model, the degree of dispersion and cross-site correlation is shown to evolve as individual grow older. Older individuals exhibit less dispersion and/or cross-site correlation. C1 [Signorello, Giovanni; De Salvo, Maria] Univ Catania, Dept Agr Econ & Resource Valuat DISEAE, Environm Valuat Lab ENVALAB, I-95123 Catania, Italy. [Englin, Jeffrey] Univ Nevada, Dept Resource Econ, Reno, NV 89557 USA. [Longhorn, Adam] Fed Reserve Bank, Washington, DC USA. RP Signorello, G (reprint author), Univ Catania, Dept Agr Econ & Resource Valuat DISEAE, Environm Valuat Lab ENVALAB, Via Santa Sofia 98, I-95123 Catania, Italy. EM g.signorello@unict.it; englin@unr.edu; mdesalvo@unict.it RI DE SALVO, MARIA/F-6460-2014; Signorello, Giovanni/L-7627-2015 OI DE SALVO, MARIA/0000-0001-6328-7254; Signorello, Giovanni/0000-0002-5140-4975 NR 11 TC 5 Z9 5 U1 0 U2 8 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0924-6460 J9 ENVIRON RESOUR ECON JI Environ. Resour. Econ. PD NOV PY 2009 VL 44 IS 3 BP 327 EP 335 DI 10.1007/s10640-009-9288-2 PG 9 WC Economics; Environmental Studies SC Business & Economics; Environmental Sciences & Ecology GA 515CY UT WOS:000271445400002 ER PT J AU Christoffel, K Kuester, K Linzert, T AF Christoffel, Kai Kuester, Keith Linzert, Tobias TI The role of labor markets for euro area monetary policy SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Labor market; Wage rigidity; Bargaining; Bayesian estimation ID BAYESIAN DSGE APPROACH; BUSINESS CYCLES; UNEMPLOYMENT FLUCTUATIONS; JOB DESTRUCTION; STICKY PRICES; MODEL; FRICTIONS; SEARCH; SHOCKS; US AB In this paper, we explore the role of labor markets for monetary policy in the euro area in a New Keynesian model in which labor markets are characterized by search and matching frictions. We first investigate to which extent a more flexible labor market would alter the business cycle behavior and the transmission of monetary policy. We find that while a lower degree of wage rigidity makes monetary policy more effective, i.e. a monetary policy shock transmits faster onto inflation, the importance of other labor market rigidities for the transmission of shocks is rather limited. Second, having estimated the model by Bayesian techniques we analyze to which extent labor market shocks, Such as disturbances in the vacancy posting process, shocks to the separation rate and variations in bargaining power are important determinants of business cycle fluctuations. Our results point primarily towards disturbances in the bargaining process as a significant contributor to inflation and Output fluctuations. In sum, the paper Supports current central bank practice which appears to put considerable effort into monitoring euro area wage dynamics and which appears to treat some of the other labor market information as less important for monetary policy. (C) 2009 Elsevier B.V. All rights reserved. C1 [Christoffel, Kai; Linzert, Tobias] European Cent Bank, D-60311 Frankfurt, Germany. [Kuester, Keith] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Christoffel, K (reprint author), European Cent Bank, Kaiserstr 29, D-60311 Frankfurt, Germany. EM kai.christoffel@ecb.europa.eu; keith.kuester@phil.frb.org; tobias.linzert@ecb.europa.eu NR 44 TC 41 Z9 41 U1 0 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD NOV PY 2009 VL 53 IS 8 BP 908 EP 936 DI 10.1016/j.euroecorev.2009.04.007 PG 29 WC Economics SC Business & Economics GA 535GQ UT WOS:000272955700003 ER PT J AU Cohen, JP Coughlin, CC Ott, LS AF Cohen, Jeffrey P. Coughlin, Cletus C. Ott, Lesli S. TI Auctions as a Vehicle to Reduce Airport Delays and Achieve Value Capture SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID UNCERTAINTY; CHOICE AB Congestion at airports imposes large costs on airlines and their passengers. A key reason for congestion is that an airline schedules its flights without regard to the costs imposed on other airlines and their passengers. As a result, during some time intervals, airlines schedule more Rights to and from an airport than that airport can accommodate and flights are delayed. This paper explores how a specific market-based proposal by the Federal Aviation Administration (FAA), which includes the use of auctions to determine the right to arrive or depart in a specific time interval at airports in the New York City area, might be used as part of a strategy to mitigate delays and congestion. By explaining the underlying economic theory and key arguments with minimal technical jargon, the paper allows those with little formal training in economics to understand the fundamental issues associated with the FAA's controversial proposal. Moreover, the basics of the proposed auction process, known as a combinatorial auction, and value capture are also explained. C1 [Cohen, Jeffrey P.] Univ Hartford, Barney Sch Business, Hartford, CT 06117 USA. [Coughlin, Cletus C.; Ott, Lesli S.] Fed Reserve Bank St Louis, St Louis, MO USA. [Cohen, Jeffrey P.] Lincoln Inst Land Policy, Lincoln, NE USA. RP Cohen, JP (reprint author), Univ Hartford, Barney Sch Business, Hartford, CT 06117 USA. RI Coughlin, Cletus/K-6860-2016; OI Coughlin, Cletus/0000-0002-8304-2796; Cohen, Jeffrey/0000-0001-5467-7584 NR 25 TC 2 Z9 2 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2009 VL 91 IS 6 BP 569 EP 587 PG 19 WC Business, Finance; Economics SC Business & Economics GA 530OS UT WOS:000272602800001 ER PT J AU Anderson, RG Gascon, CS AF Anderson, Richard G. Gascon, Charles S. TI The Commercial Paper Market, the Fed, and the 2007-2009 Financial Crisis SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Since its inception in the early nineteenth century, the U.S. commercial paper market has grown to become a key source of short-term funding for major businesses, with issuance averaging over $100 billion per day. in the fall of 2008, the commercial paper market achieved national prominence when increasing market stress caused some to fear that, given its size and importance, the market's failure would sharply worsen the recession. The Department of the Treasury and Federal Reserve enacted programs targeted at providing credit and liquidity to restore investor confidence. The authors review the history of the commercial paper market, describe its structure and key relationships to money market mutual funds, and present a detailed discussion of the crisis in the market, including the resulting Federal Reserve programs. C1 [Anderson, Richard G.; Gascon, Charles S.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Anderson, RG (reprint author), Aston Univ, Sch Business, Birmingham B4 7ET, W Midlands, England. RI Gascon, Charles/L-8119-2016 OI Gascon, Charles/0000-0002-6129-5741 NR 30 TC 13 Z9 13 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 NOV-DEC PY 2009 VL 91 IS 6 BP 589 EP 612 PG 24 WC Business, Finance; Economics SC Business & Economics GA 530OS UT WOS:000272602800002 ER PT J AU Black, DA Kolesnikova, NA Taylor, LJ AF Black, Dan A. Kolesnikova, Natalia A. Taylor, Lowell J. TI Local Price Variation and Labor Supply Behavior SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID LIFE; MIGRATION; QUALITY AB In standard economic theory, labor supply decisions depend on the complete set of prices: wages and the prices of relevant consumption goods. Nonetheless, most theoretical and empirical work in labor supply studies ignore prices other than wages. We address the question of whether the common practice of ignoring local price variation in labor supply studies is as innocuous as generally assumed. We describe a simple model to demonstrate that the effects of wage and nonlabor income on labor supply typically differ by location. In particular, we show that the derivative of the labor supply with respect to nonlabor income is independent of price only when the labor supply takes a form based on an implausible separability condition. Empirical evidence demonstrates that the effect of price on labor supply is not a simple "up-or-down shift" that would be required to meet the separability condition in our key proposition. C1 [Black, Dan A.] Univ Chicago, Harris Sch, Chicago, IL 60637 USA. [Kolesnikova, Natalia A.] Fed Reserve Bank St Louis, St Louis, MO USA. [Taylor, Lowell J.] Carnegie Mellon Univ, Heinz Coll, Pittsburgh, PA 15213 USA. RP Black, DA (reprint author), Univ Chicago, Harris Sch, Chicago, IL 60637 USA. NR 12 TC 1 Z9 1 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 NOV-DEC PY 2009 VL 91 IS 6 BP 613 EP 625 PG 13 WC Business, Finance; Economics SC Business & Economics GA 530OS UT WOS:000272602800003 ER PT J AU Boldrin, M Peralta-Alva, A AF Boldrin, Michele Peralta-Alva, Adrian TI What Happened to the US Stock Market? Accounting for the Past 50 Years SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INFORMATION-TECHNOLOGY REVOLUTION; DIVIDENDS AB The extreme volatility of stock market values has been the subject of a large body of literature. Previous research focused on the short run because of a widespread belief that in the long run the market reverts to well-established fundamentals. The authors' research suggests this belief should be questioned. First, they show actual dividends cannot account for the secular trends of stock market values. They then consider a more comprehensive measure of capital income, which displays large secular fluctuations that roughly coincide with changes in stock market trends. Under perfect foresight, however, this measure fails to properly account for stock market movements. The authors thus abandon the perfect foresight assumption and instead assume that forecasts of future capital income are performed using a distributed lag equation and information available up to the forecasting period only. They find that standard asset-pricing theory can be reconciled with the secular trends in the stock market. This study, nevertheless, leaves open an important puzzle for asset-pricing theory: The market value of U.S. corporations was much lower than the replacement cost of corporate tangible assets from the mid-1970s to the mid-1980s. C1 [Boldrin, Michele] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Peralta-Alva, Adrian] Fed Reserve Bank St Louis, St Louis, MO USA. RP Boldrin, M (reprint author), Washington Univ, Dept Econ, St Louis, MO 63130 USA. NR 11 TC 0 Z9 0 U1 2 U2 9 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 2009 VL 91 IS 6 BP 627 EP 646 PG 20 WC Business, Finance; Economics SC Business & Economics GA 530OS UT WOS:000272602800004 ER PT J AU Tempelman, JH AF Tempelman, Jerry H. TI Will the Federal Reserve Monetize US Government Debt? SO FINANCIAL ANALYSTS JOURNAL LA English DT Article C1 [Tempelman, Jerry H.] Fed Reserve Bank New York, New York, NY USA. NR 6 TC 0 Z9 0 U1 0 U2 3 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 NOV-DEC PY 2009 VL 65 IS 6 BP 24 EP 27 DI 10.2469/faj.v65.n6.5 PG 4 WC Business, Finance SC Business & Economics GA V16WG UT WOS:000207899100005 ER PT J AU Barnichon, R AF Barnichon, Regis TI The Optimal Level of Reserves for Low-Income Countries: Self-Insurance against External Shocks SO IMF STAFF PAPERS LA English DT Article ID PRECAUTIONARY SAVINGS; CONSUMPTION AB This paper develops an analytical framework that helps to quantify the optimal level of international reserves for a small open economy with limited access to foreign capital and subject to natural disasters or terms-of-trade shocks. International reserves allow the country to relieve balance of payments pressures caused by external shocks and to avoid large fluctuations in imports. The paper calibrates the model to two regions-the Caribbean and the Sahel region in sub-Saharan Africa-and assesses the sensitivity of the results. The conclusion is that popular rules of thumb, such as maintaining reserves equivalent to three months of imports, only give imprecise benchmarks. [JEL F30, F31, F32] IMF Staff Papers (2009) 56, 852-875. doi: 10.1057/imfsp.2009.15; published online 7 July 2009 C1 Int Monetary Fund, Fed Reserve Board, Washington, DC 20431 USA. RP Barnichon, R (reprint author), Int Monetary Fund, Fed Reserve Board, 700 19th St NW, Washington, DC 20431 USA. RI Barnichon, Regis/B-4650-2013 OI Barnichon, Regis/0000-0003-3967-1453 NR 21 TC 2 Z9 2 U1 0 U2 7 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 1020-7635 J9 IMF STAFF PAPERS JI IMF Staff Pap. PD NOV PY 2009 VL 56 IS 4 BP 852 EP 875 DI 10.1057/imfsp.2009.15 PG 24 WC Business, Finance; Economics SC Business & Economics GA 514XW UT WOS:000271431100006 ER PT J AU Armantier, O Treich, N AF Armantier, Olivier Treich, Nicolas TI SUBJECTIVE PROBABILITIES IN GAMES: AN APPLICATION TO THE OVERBIDDING PUZZLE SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID QUANTAL RESPONSE EQUILIBRIUM; 1ST PRICE AUCTIONS; NORMAL-FORM GAMES; 1ST-PRICE AUCTIONS; ELICITED BELIEFS; MISBEHAVIOR; RISK; EXPECTATIONS; FREQUENCY; AVERSION AB This article illustrates how the joint elicitation of subjective probabilities and preferences may help us understand behavior in games. We conduct an experiment to test whether biased probabilistic beliefs may explain overbidding in first-price auctions. The experimental outcomes indicate that subjects underestimate their probability of winning the auction, and indeed overbid. When provided with feedback on the precision of their predictions, subjects learn to make better predictions, and to curb significantly overbidding. The structural estimation of different behavioral models suggests that biased probabilistic beliefs are a driving force behind overbidding, and that risk aversion plays a lesser role than previously believed. C1 [Armantier, Olivier] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. Univ Montreal, CIRANO, Montreal, PQ H3C 3J7, Canada. CIREQ, Quebec City, PQ, Canada. Toulouse Sch Econ, LERNA, INRA, Toulouse, France. RP Armantier, O (reprint author), Fed Reserve Bank New York, Res Dept, 33 Liberty St, New York, NY 10045 USA. EM olivier.armantier@ny.frb.org NR 63 TC 16 Z9 16 U1 3 U2 13 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2009 VL 50 IS 4 BP 1079 EP 1102 PG 24 WC Economics SC Business & Economics GA 511SQ UT WOS:000271187900003 ER PT J AU Hatchondo, JC Martinez, L Sapriza, H AF Hatchondo, Juan Carlos Martinez, Leonardo Sapriza, Horacio TI HETEROGENEOUS BORROWERS IN QUANTITATIVE MODELS OF SOVEREIGN DEFAULT SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID INTEREST-RATES; CONSUMER BANKRUPTCY; EMERGING ECONOMIES; BUSINESS CYCLES; DEBT; CREDIT; RISK; UNCERTAINTY; COUNTRIES; MARKETS AB We extend the model used in recent quantitative studies of sovereign default, allowing policymakers of different types to stochastically alternate in power. We show that a default episode may be triggered by a change in the type of policymaker in office, and that such a default is likely to occur only if there is enough political stability and if policymakers encounter poor economic conditions. Under high political stability, political turnover enables the model to generate a weaker correlation between economic conditions and default decisions, a higher and more volatile spread, and lower borrowing levels after a default episode. C1 [Martinez, Leonardo] Int Monetary Fund, IMF Inst, Washington, DC 20431 USA. Fed Reserve Bank Richmond, Richmond, VA USA. Rutgers State Univ, Piscataway, NJ 08855 USA. RP Martinez, L (reprint author), Int Monetary Fund, IMF Inst, 700 19th St NW, Washington, DC 20431 USA. EM leo14627@gmail.com NR 60 TC 11 Z9 11 U1 0 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0020-6598 EI 1468-2354 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2009 VL 50 IS 4 BP 1129 EP 1151 PG 23 WC Economics SC Business & Economics GA 511SQ UT WOS:000271187900005 ER PT J AU Fang, L Rogerson, R AF Fang, Lei Rogerson, Richard TI POLICY ANALYSIS IN A MATCHING MODEL WITH INTENSIVE AND EXTENSIVE MARGINS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID LABOR-MARKET; SEARCH; ENTRY AB The large differences in hours of work across rich countries reflect large differences in both employment to population ratios and hours per worker. We imbed the canonical model of labor supply into a matching model to produce a model with operative intensive and extensive margins, and assess the implications of several policies for changes along the two margins. Tax and transfer policies lead to decreases along both margins, whereas regulations that increase the cost of creating or maintaining a job may lead to decreases in employment, but necessarily lead to increases in hours per worker. C1 [Rogerson, Richard] Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Rogerson, R (reprint author), Arizona State Univ, Dept Econ, Main Campus,POB 873806, Tempe, AZ 85287 USA. EM Richard.Rogerson@asu.edu NR 19 TC 6 Z9 6 U1 0 U2 2 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2009 VL 50 IS 4 BP 1153 EP 1168 PG 16 WC Economics SC Business & Economics GA 511SQ UT WOS:000271187900006 ER PT J AU Huang, X Zhou, H Zhu, HB AF Huang, Xin Zhou, Hao Zhu, Haibin TI A framework for assessing the systemic risk of major financial institutions SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Systemic risk; Stress testing; Portfolio credit risk; Credit default swap; High-frequency data ID EXPECTED SHORTFALL; EMPIRICAL-ANALYSIS; CORPORATE; MARKET; MODELS; BONDS AB In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks and forecasted asset return correlations. Importantly, using realized correlations estimated from high-frequency equity return data can significantly improve the accuracy of forecasted correlations. Our stress testing methodology, using an integrated micro-macro model, takes into account dynamic linkages between the health of major US banks and macro-financial conditions. Our results suggest that the theoretical insurance premium that would be charged to protect against losses that equal or exceed 15% of total liabilities of 12 major US financial firms stood at $110 billion in March 2008 and had a projected upper bound of $250 billion in July 2008. (C) 2009 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 USA. [Zhu, Haibin] Bank Int Settlements, 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@bis.org NR 48 TC 105 Z9 108 U1 8 U2 52 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 NOV PY 2009 VL 33 IS 11 BP 2036 EP 2049 DI 10.1016/j.jbankfin.2009.05.017 PG 14 WC Business, Finance; Economics SC Business & Economics GA 513SM UT WOS:000271343700009 ER PT J AU Hjalmarsson, E Hjalmarsson, R AF Hjalmarsson, Erik Hjalmarsson, Randi TI Efficiency in housing markets: Which home buyers know how to discount? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Housing markets; Market efficiency; Cooperative housing ID RANDOM-WALK; PRICES; HOLDINGS; MODEL AB We test for efficiency in the Swedish co-op market by examining the negative relationship between the sales price and the present value of future monthly payments or 'rents'. If the co-op housing market is efficient, the present value of co-op rental payments due to underlying debt obligations of the cooperative should be fully reflected in the sales price. However, a one hundred kronor increase in the present value of future rents only leads to an approximately 75 kronor reduction in the sales price. These inefficiencies are larger at the lower end of the housing market and in poorer, less educated regions and appear to reflect both liquidity constraints and the existence of more 'sophisticated' buyers in higher educated areas. Overall, our findings suggest that there is some systematic failure to properly discount the future stream of rent payments relative to the up front sales price. Published by Elsevier B.V. C1 [Hjalmarsson, Erik] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. [Hjalmarsson, Randi] Univ Maryland, Sch Publ Policy, College Pk, MD 20742 USA. RP Hjalmarsson, E (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, 20th & C St, Washington, DC 20551 USA. EM erik.hjalmarsson@frb.gov; rhjalmar@umd.edu NR 27 TC 7 Z9 7 U1 2 U2 11 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 NOV PY 2009 VL 33 IS 11 BP 2150 EP 2163 DI 10.1016/j.jbankfin.2009.05.014 PG 14 WC Business, Finance; Economics SC Business & Economics GA 513SM UT WOS:000271343700020 ER PT J AU Robertson, R Kumar, A Dutkowsky, DH AF Robertson, Raymond Kumar, Anil Dutkowsky, Donald H. TI Purchasing Power Parity and aggregation bias for a developing country: The case of Mexico SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE Purchasing Power Parity (PPP); Aggregation bias; Mexico ID REAL EXCHANGE-RATE; HETEROGENEOUS PANELS; UNIT-ROOT; ONE PRICE; PPP; REGRESSION; INFERENCE; PUZZLE; TESTS; LAW AB This paper investigates long-run Purchasing Power Parity (PPP) between the US and Mexico. We use a panel of disaggregated price data between the US and Mexico with a long time series to look at two types of aggregation bias. The first is examined in Imbs et al. - which we refer to as estimator aggregation bias - and the second is put forth by Broda and Weinstein - hereafter, data aggregation bias. The findings indicate substantial estimator aggregation bias and data aggregation bias. Although estimates using aggregate data and imposing homogeneous coefficients provide little evidence of PPP, findings with disaggregated data and heterogeneous coefficient estimators offer strong support. The results also suggest the presence of small-sample bias as examined in Chen and Engel, but with little effect on the qualitative results. Tradable goods and non-tradable goods show little distinction in convergence rates. Estimated half-lives are lower under flexible than fixed exchange rates and indicate rapid convergence during the Mexican peso crisis. (C) 2008 Elsevier B.V. All rights reserved C1 [Robertson, Raymond] Macalester Coll, Dept Econ, St Paul, MN 55105 USA. [Kumar, Anil] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. [Dutkowsky, Donald H.] Syracuse Univ, Maxwell Sch Citizenship & Publ Affairs, Dept Econ, Syracuse, NY 13244 USA. RP Robertson, R (reprint author), Macalester Coll, Dept Econ, 1600 Grand Ave, St Paul, MN 55105 USA. EM robertson@macalester.edu; Anil.Kumar@dal.frb.org; dondutk@maxwell.syr.edu NR 26 TC 7 Z9 7 U1 2 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD NOV PY 2009 VL 90 IS 2 BP 237 EP 243 DI 10.1016/j.jdeveco.2008.11.009 PG 7 WC Economics SC Business & Economics GA 487LA UT WOS:000269274500007 ER PT J AU Ohanian, LE Prescott, EC Stokey, NL AF Ohanian, Lee E. Prescott, Edward C. Stokey, Nancy L. TI Introduction to dynamic general equilibrium SO JOURNAL OF ECONOMIC THEORY LA English DT Editorial Material DE Macroeconomics; Dynamic general equilibrium ID INFLATION; COSTS AB This introduces the symposium on dynamic general equilibrium. (C) 2009 Elsevier Inc. All rights reserved. C1 [Stokey, Nancy L.] Univ Chicago, Dept Econ, Chicago, IL 60637 USA. [Ohanian, Lee E.] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. [Prescott, Edward C.] Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. [Prescott, Edward C.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. RP Stokey, NL (reprint author), Univ Chicago, Dept Econ, 1126 E 59th St, Chicago, IL 60637 USA. EM ohanian@econ.ucla.edu; edward.prescott@asu.edu; nstokey@uchicago.edu NR 32 TC 1 Z9 1 U1 1 U2 8 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 2009 VL 144 IS 6 BP 2235 EP 2246 DI 10.1016/j.jet.2009.09.001 PG 12 WC Economics SC Business & Economics GA 539IS UT WOS:000273248200001 ER PT J AU Ohanian, LE AF Ohanian, Lee E. TI What, or who, started the great depression? SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Great Depression; Herbert Hoover; Unionization; Deflation ID EMPLOYMENT; WORKWEEK; WAGES; LABOR AB Herbert Hoover. I develop a theory of labor market failure for the Depression based on Hoover's industrial labor program that provided industry with protection from unions in return for keeping nominal wages fixed. I find that the theory accounts for much of the depth of the Depression and for the asymmetry of the depression across sectors. The theory also can reconcile why deflation/low nominal spending apparently had such large real effects during the 1930s, but not during other periods of significant deflation. (C) 2009 Elsevier Inc. All rights reserved. C1 [Ohanian, Lee E.] Univ Calif Los Angeles, Los Angeles, CA 90024 USA. [Ohanian, Lee E.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Ohanian, LE (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. EM ohanian@econ.ucla.edu NR 46 TC 23 Z9 23 U1 1 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2009 VL 144 IS 6 BP 2310 EP 2335 DI 10.1016/j.jet.2009.10.007 PG 26 WC Economics SC Business & Economics GA 539IS UT WOS:000273248200006 ER PT J AU Kocherlakota, N Phelan, C AF Kocherlakota, Narayana Phelan, Christopher TI On the robustness of laissez-faire SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Mechanism design; Robustness ID PRIVATE INFORMATION AB This paper considers a model economy in which agents are privately informed about their type: their endowments of various goods and their preferences over these goods. While preference orderings over observable choices are allowed to be correlated with an agent's private type, we assume that the planner/government is both uncertain about the nature of this joint distribution and unable to choose among multiple equilibria of any given social mechanism. We model the planner/government as having a maxmin objective in the face of this uncertainty. Our main theorem is as follows: Once we allow for this kind of uncertainty and assume no wealth effects in preferences, the uniquely optimal social contract is laissez-faire, in which agents trade in unfettered markets with no government intervention of any kind. (C) 2008 Elsevier Inc. All rights reserved. C1 [Kocherlakota, Narayana; Phelan, Christopher] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Kocherlakota, Narayana; Phelan, Christopher] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Kocherlakota, Narayana] NBER, Cambridge, MA 02138 USA. RP Phelan, C (reprint author), Univ Minnesota, Dept Econ, 1925 4th St S,4-101 Hanson Hall, Minneapolis, MN 55455 USA. EM cphelan@umn.edu NR 9 TC 7 Z9 7 U1 0 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2009 VL 144 IS 6 BP 2372 EP 2387 DI 10.1016/j.jet.2008.09.004 PG 16 WC Economics SC Business & Economics GA 539IS UT WOS:000273248200009 ER PT J AU McGrattan, ER Prescott, EC AF McGrattan, Ellen R. Prescott, Edward C. TI Openness, technology capital, and development SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Openness; Foreign direct investment ID TRADE AB In this paper, we extend the growth model to include firm-specific technology capital and use it to assess the gains from opening to foreign direct investment. A firm's technology capital is its unique know-how from investing in research and development, brands, and organization capital. Technology capital is distinguished from other forms of capital in that a firm can use it simultaneously in multiple domestic and foreign locations. A country can exploit foreign technology capital by permitting direct investment by foreign multinationals. In both steady-state and transitional analyses, the extended growth model predicts large gains to being open. (C) 2008 Elsevier Inc. All rights reserved. C1 [McGrattan, Ellen R.; Prescott, Edward C.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. [McGrattan, Ellen R.] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Prescott, Edward C.] Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM erm@ellen.mpls.frb.fed.us NR 14 TC 32 Z9 32 U1 4 U2 16 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2009 VL 144 IS 6 BP 2454 EP 2476 DI 10.1016/j.jet.2008.05.012 PG 23 WC Economics SC Business & Economics GA 539IS UT WOS:000273248200013 ER PT J AU Berger, D Chaboud, A Hjalmarsson, E AF Berger, David Chaboud, Alain Hjalmarsson, Erik TI What drives volatility persistence in the foreign exchange market? SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Volatility persistence; High-frequency data; Realized volatility; Long memory; Exchange rates ID LONG-RANGE DEPENDENCE; ORDER FLOW; SEMIPARAMETRIC ESTIMATION; TRADING VOLUME; RATE DYNAMICS; TIME-SERIES; REGRESSION; MEMORY; MODEL AB We propose a new empirical specification of volatility that links volatility to the information flow, measured as the order flow in the market, and to the price sensitivity to that information. The time-varying market sensitivity to information is estimated from high-frequency data, and movements in volatilitycanthereforebedirectlyrelated to movements in order flow and market sensitivity. Empirically, the model explains a large share of the long-run variation involatility. Importantly, the time variation in the market's sensitivity to information is atleast as relevant in explaining the persistence of volatility as the rate of information arrival itself. This may be evidence of a link between changes over time in the aggregate behavior of market participants and the time-series properties of realized volatility. Published by Elsevier B.V. C1 [Chaboud, Alain; Hjalmarsson, Erik] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. [Berger, David] Yale Univ, Dept Econ, New Haven, CT 06520 USA. RP Hjalmarsson, E (reprint author), Fed Reserve Board, Div Int Finance, Mail Stop 20, Washington, DC 20551 USA. EM erik.hjalmarsson@frb.gov NR 35 TC 24 Z9 25 U1 4 U2 16 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD NOV PY 2009 VL 94 IS 2 BP 192 EP 213 DI 10.1016/j.jfineco.2008.10.006 PG 22 WC Business, Finance; Economics SC Business & Economics GA 558FE UT WOS:000274725600002 ER PT J AU Anderson, EW Ghysels, E Juergens, JL AF Anderson, Evan W. Ghysels, Eric Juergens, Jennifer L. TI The impact of risk and uncertainty on expected returns SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Conditional volatility; Model uncertainty; Disagreement; Factor models ID ROBUST PORTFOLIO RULES; STOCK RETURNS; CROSS-SECTION; MODEL MISSPECIFICATION; ASSET RETURNS; VOLATILITY; MARKET; HETEROSKEDASTICITY; EXPECTATIONS; ESTIMATORS AB We study asset pricing in economies featuring both risk and uncertainty. In our empirical analysis, we measure risk via return volatility and uncertainty via the degree of disagreement of professional forecasters, attributing different weights to each forecaster. We empirically model the typical risk-return trade-off and augment these models with our measure of uncertainty. We find stronger empirical evidence for an uncertainty-return trade-off than for the traditional risk-return trade-off. Finally, we investigate the performance of a two-factor model with risk and uncertainty in the cross section. (C) 2009 Elsevier B.V. All rights reserved. C1 [Anderson, Evan W.] No Illinois Univ, Dept Econ, De Kalb, IL 60115 USA. [Ghysels, Eric] Univ N Carolina, Dept Finance, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA. [Ghysels, Eric] Univ N Carolina, Dept Econ, Chapel Hill, NC 27599 USA. [Ghysels, Eric] Fed Reserve Bank New York, Res Dept, New York, NY USA. [Juergens, Jennifer L.] Univ Texas Austin, Red McCombs Sch Business, Dept Finance, Austin, TX 78712 USA. RP Anderson, EW (reprint author), No Illinois Univ, Dept Econ, Zulauf 515, De Kalb, IL 60115 USA. EM ewanderson@niu.edu NR 60 TC 48 Z9 48 U1 2 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 NOV PY 2009 VL 94 IS 2 BP 233 EP 263 DI 10.1016/j.jfineco.2008.11.001 PG 31 WC Business, Finance; Economics SC Business & Economics GA 558FE UT WOS:000274725600004 ER PT J AU Gust, C Leduc, S Sheets, N AF Gust, Christopher Leduc, Sylvain Sheets, Nathan TI The adjustment of global external balances: Does partial exchange-rate pass-through to trade prices matter? SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Exchange-rate pass-through; Trade prices; Trade balance ID OPEN-ECONOMY; RATE PERSISTENCE; CURRENT ACCOUNT; MODELS; US; DEFICIT; SHOCKS; POLICY AB This paper assesses whether partial exchange-rate pass-through to trade prices has important implications for the prospective adjustment of global external imbalances. To address this question, we develop and estimate an open-economy DSCE model in which pass-through is incomplete due to the presence of local currency pricing, distribution services, and a variable demand elasticity that leads to fluctuations in optimal markups. We find that the overall magnitude of trade adjustment is similar in a low and high pass-through environment with more adjustment in a low pass-through world occurring through movements in the terms of trade rather than real trade flows and through a larger response of the exchange rate. Published by Elsevier B.V. C1 [Gust, Christopher; Sheets, Nathan] Fed Reserve Board, Washington, DC 20551 USA. [Leduc, Sylvain] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Gust, C (reprint author), Fed Reserve Board, 20th & C St, Washington, DC 20551 USA. EM christopher.j.gust@frb.gov; sylvain.leduc@sf.frb.org; nathan.sheets@frb.gov NR 40 TC 6 Z9 6 U1 0 U2 4 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 NOV PY 2009 VL 79 IS 2 BP 173 EP 185 DI 10.1016/j.jinteco.2009.08.002 PG 13 WC Economics SC Business & Economics GA 520LD UT WOS:000271844900001 ER PT J AU Dwyer, GP AF Dwyer, Gerald P. TI Introduction to conference volume on money and monetary policy SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Editorial Material C1 [Dwyer, Gerald P.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30039 USA. [Dwyer, Gerald P.] Univ Carlos III Madrid, Dept Econ Empresa, Madrid 28903, Spain. RP Dwyer, GP (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30039 USA. EM jerry@jerrydwyer.com NR 4 TC 0 Z9 0 U1 0 U2 2 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD NOV PY 2009 VL 28 IS 7 BP 1083 EP 1085 DI 10.1016/j.jimonfin.2009.06.004 PG 3 WC Business, Finance SC Business & Economics GA 513QE UT WOS:000271337200001 ER PT J AU Dwyer, GP Fisher, M AF Dwyer, Gerald P. Fisher, Mark TI Inflation and monetary regimes SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Money and inflation; Inflation; Quantity theory ID QUANTITY THEORY; MONEY; OUTPUT AB Correlations of inflation with the growth rate of money increase when data are averaged over longer time periods. Correlations of inflation with the growth of money also are higher when high inflation as well as low-inflation countries are included in the analysis. We show that serial correlation in the underlying inflation rate ties these two observations together and explains them. We present evidence that averaging increases the correlation of inflation and money growth in more when the underlying inflation rate has higher serial correlation. (C) 2009 Elsevier Ltd. All rights reserved. C1 [Dwyer, Gerald P.] Fed Reserve Bank Atlanta, Ctr Financial Innovat & Stabil, Atlanta, GA 30309 USA. [Dwyer, Gerald P.] Univ Carlos III Madrid, Dept Econ Empresa, Madrid 28903, Spain. [Fisher, Mark] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Dwyer, GP (reprint author), Fed Reserve Bank Atlanta, Ctr Financial Innovat & Stabil, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM jerry@jerrydwyer.com NR 15 TC 1 Z9 1 U1 0 U2 3 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD NOV PY 2009 VL 28 IS 7 BP 1221 EP 1241 DI 10.1016/j.jimonfin.2009.06.011 PG 21 WC Business, Finance SC Business & Economics GA 513QE UT WOS:000271337200009 ER PT J AU Bergin, PR Glick, R AF Bergin, Paul R. Glick, Reuven TI Endogenous tradability and some macroeconomic implications SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Nontraded goods; Trade cost; Heterogeneity; Relative prices ID EXCHANGE-RATE FLUCTUATIONS; TRADE COSTS; REAL; PRODUCTIVITY; RATES; FIRMS AB While nontraded goods play an important role in many open economy macroeconomic models, these models have difficulty explaining the low volatility in the relative price of nontraded goods. In contrast to macroeconomic convention. this paper argues that the share of nontraded goods is endogenous, a time-varying product of macroeconomic shocks and trade costs that are heterogeneous across goods. A simple open economy model demonstrates that trade cost heterogeneity and a time-varying margin of tradedness dramatically reduces the volatility of nontraded prices. This also reduces the ability of real exchange rate adjustments to dampen current account imbalances. Published by Elsevier B.V. C1 [Glick, Reuven] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 96105 USA. [Bergin, Paul R.] Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. [Bergin, Paul R.] NBER, Cambridge, MA 02138 USA. RP Glick, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA 96105 USA. EM reuven.glick@sf.frb.org NR 20 TC 6 Z9 6 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2009 VL 56 IS 8 BP 1086 EP 1095 DI 10.1016/j.jmoneco.2009.10.001 PG 10 WC Business, Finance; Economics SC Business & Economics GA 557DO UT WOS:000274649400005 ER PT J AU Chambers, M Garriga, C Schlagenhauf, DE AF Chambers, Matthew Garriga, Carlos Schlagenhauf, Don E. TI Housing policy and the progressivity of income taxation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Incomplete markets; Heterogeneous consumers ID TAX; HOMEOWNERSHIP AB Most countries have tax provisions and subsidies to promote homeownership. These provisions generate an asymmetry in the tax treatment of owner- and rental-occupied housing, which affects the incentives to supply tenant-occupied housing. This paper analyzes the quantitative importance of the interaction of these provisions with the progressivity of income taxation in the context of an overlapping generations model with housing and rental markets. The model replicates the key facts observed in the economy, as well as distributional patterns of ownership, house size, and landlord behavior. The model suggests that the progressivity of income taxation can amplify or mitigate the effects of the asymmetries with important implications for housing tenure, housing consumption, portfolio reallocations, and welfare that differ from those reported in the literature. (C) 2009 Elsevier B.V. All rights reserved. C1 [Schlagenhauf, Don E.] Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. [Chambers, Matthew] Towson Univ, Dept Econ, Towson, MD 21252 USA. [Garriga, Carlos] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Schlagenhauf, DE (reprint author), Florida State Univ, Dept Econ, 246 Bellamy Bldg, Tallahassee, FL 32306 USA. EM dschlage@mailer.fsu.edu RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 13 TC 7 Z9 7 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2009 VL 56 IS 8 BP 1116 EP 1134 DI 10.1016/j.jmoneco.2009.10.007 PG 19 WC Business, Finance; Economics SC Business & Economics GA 557DO UT WOS:000274649400010 ER PT J AU Manuszak, MD Moul, CC AF Manuszak, Mark D. Moul, Charles C. TI HOW FAR FOR A BUCK? TAX DIFFERENCES AND THE LOCATION OF RETAIL GASOLINE ACTIVITY IN SOUTHEAST CHICAGOLAND SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID COMPETITION; MARKETS; PRICES; INDUSTRIES; ENTRY AB We exploit variation in gasoline and cigarettes taxes in adjacent political jurisdictions for northern Illinois and Indiana to examine consumers' trade-off between prices and travel. We develop a model that relates activity in the retail gasoline industry around the tax borders to consumer locations. Our results indicate that the willingness of a typical Chicagoland consumer to travel an additional mile to buy gasoline corresponds to about $0.065 to $0.084 per gallon. According to our estimates, the observed area of Chicago, the jurisdiction with the highest taxes, is missing approximately 40% of the capacity that would exist were taxes equalized. C1 [Manuszak, Mark D.] Fed Reserve Board Governors, Washington, DC USA. [Moul, Charles C.] Miami Univ, Oxford, OH 45056 USA. RP Manuszak, MD (reprint author), Fed Reserve Board Governors, Washington, DC USA. NR 21 TC 10 Z9 10 U1 0 U2 4 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD NOV PY 2009 VL 91 IS 4 BP 744 EP 765 DI 10.1162/rest.91.4.744 PG 22 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 512MV UT WOS:000271254500006 ER PT J AU Adams, RM Johnson, RL Pilloff, SJ AF Adams, Robert M. Johnson, Richard L. Pilloff, Steven J. TI Market Structure after Horizontal Mergers: Evidence from the Banking Industry SO REVIEW OF INDUSTRIAL ORGANIZATION LA English DT Article DE Antitrust policy; Competition; Market structure; Banking industry mergers ID CONSOLIDATION; EFFICIENCY; DYNAMICS AB Antitrust agencies use measures of market structure to evaluate the likely competitive effects of proposed mergers, but little is known about how measures of market structure change over time, particularly after consummation of mergers and acquisitions. This paper analyzes the changes in market structure 3 and 5 years after mergers in the US banking industry. Our analysis suggests that concentration decreases and the number of banks increases in banking markets where mergers resulted in high concentration levels. In markets where the level of concentration changed by a relatively large amount, our findings are more ambiguous, as the level of concentration decreases, but no effect is found on the number of competitors. C1 [Adams, Robert M.] Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. [Johnson, Richard L.] US Dept Justice, Antitrust Div, Washington, DC 20530 USA. [Pilloff, Steven J.] George Mason Univ, Sch Management, Fairfax, VA 22030 USA. RP Adams, RM (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM Robert.M.Adams@frb.gov; Richard.Johnson2@usdoj.gov; spilloff@gmu.edu NR 20 TC 3 Z9 3 U1 1 U2 8 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0889-938X J9 REV IND ORGAN JI Rev. Ind. Organ. PD NOV PY 2009 VL 35 IS 3 BP 217 EP 231 DI 10.1007/s11151-009-9217-0 PG 15 WC Economics; Management SC Business & Economics GA 515WR UT WOS:000271504100001 ER PT J AU Mackowiak, B Moench, E Wiederholt, M AF Mackowiak, Bartosz Moench, Emanuel Wiederholt, Mirko TI Sectoral price data and models of price setting SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT SNB/JME Conference on Incomplete Information and Monetary Policy CY DEC 12-13, 2008 CL Gerzensee Study Ctr, Gerzensee, SWITZERLAND SP SNB, JME HO Gerzensee Study Ctr DE Bayesian dynamic factor model; Calvo model; Menu cost; Sticky information; Rational inattention ID STICKY PRICES; MONETARY-POLICY; RATIONAL INATTENTION; PHILLIPS-CURVE; TIME-SERIES; INDICATORS; INDEXES AB In the median sector, 100 percent of the long-run response of the sectoral price index to a sector-specific shock occurs in the month of the shock. The standard Calvo model and the standard sticky-information model can match this finding only under extreme assumptions concerning the profit-maximizing price. The rational-inattention model of Mackowiak and Wiederholt [2009a. Optimal sticky prices under rational inattention. American Economic Review 99, 769-803] can match this finding without an extreme assumption concerning the profit-maximizing price. Furthermore, there is little variation across sectors in the speed of response of sectoral price indexes to sector-specific shocks. The rational-inattention model matches this finding, while the Calvo model predicts too much cross-sectional variation. (C) 2009 Elsevier B.V. All rights reserved. C1 [Wiederholt, Mirko] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. [Mackowiak, Bartosz] European Cent Bank, Frankfurt, Germany. [Mackowiak, Bartosz] CEPR, Mainz, Germany. [Moench, Emanuel] Fed Reserve Bank New York, New York, NY USA. RP Wiederholt, M (reprint author), Northwestern Univ, Dept Econ, 2001 Sheridan Rd, Evanston, IL 60208 USA. EM m-wiederholt@northwestern.edu NR 31 TC 12 Z9 12 U1 1 U2 25 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT 15 PY 2009 VL 56 BP S78 EP S99 DI 10.1016/j.jmoneco.2009.06.012 PG 22 WC Business, Finance; Economics SC Business & Economics GA 513PU UT WOS:000271336100006 ER PT J AU Garrett, TA AF Garrett, Thomas A. TI WAR AND PESTILENCE AS LABOR MARKET SHOCKS: US MANUFACTURING WAGE GROWTH 1914-1919 SO ECONOMIC INQUIRY LA English DT Article ID UNITED-STATES; BLACK-DEATH; INFLUENZA; PRODUCTIVITY; IMMIGRATION; MORTALITY; IMPACT AB This paper explores the effect of mortalities from the 1918 influenza pandemic and World War I on wage growth in the manufacturing sector of U.S. states and cities from 1914-1919. The hypothesis is that both events decreased manufacturing labor supply, thereby initially increasing the marginal product of labor and wages. The results reveal that states and cities having had greater influenza mortalities experienced higher wage growth-roughly 2-3 percentage points for a 10% change in per capita mortalities. World War I combat mortalities also had a positive, but smaller, effect on wage growth. (JEL N62, N32, N92, I12). C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. EM garrett@stls.frb.org NR 37 TC 4 Z9 4 U1 0 U2 7 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD OCT PY 2009 VL 47 IS 4 BP 711 EP 725 DI 10.1111/j.1465-7295.2008.00137.x PG 15 WC Economics SC Business & Economics GA 509ZF UT WOS:000271057100008 ER PT J AU Hale, G Arteta, C AF Hale, Galina Arteta, Carlos TI Currency crises and foreign credit in emerging markets: Credit crunch or demand effect? SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Currency crises; Credit rationing; Balance-sheet effects; Credit constraints ID EXCHANGE-RATE; MONETARY-POLICY; BANKING CRISES; DEBT CRISES; FUNDAMENTALS; CONSTRAINTS; COUNTRIES; COSTS; LOANS AB Currency crises of the past decade highlighted the importance of balance-sheet effects of large devaluations. Currency crisis literature identified a decline in credit as one of the channels through which such crises affect real economic activity. We find empirical evidence of the existence of this channel and quantify its extent and persistence: controlling for a host of fundamentals, we find a decline in foreign credit to emerging market private firms of about 25 percent in the first year following large depreciations. This decline is especially large in the first five months, is less pronounced in the second year, and disappears entirely by the third year. We show that only about a quarter of the initial decline in credit could be attributed to the "credit crunch," while the rest of the decline is due to contracting demand. After six months, however, most of the credit decline could be attributed to supply effects. Published by Elsevier B.V. C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS1130, San Francisco, CA 94105 USA. EM galina.b.hale@sf.frb.org OI Hale, Galina/0000-0002-5604-9730 NR 44 TC 5 Z9 6 U1 2 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD OCT PY 2009 VL 53 IS 7 BP 758 EP 774 DI 10.1016/j.euroecorev.2009.03.001 PG 17 WC Economics SC Business & Economics GA 514AD UT WOS:000271364800003 ER PT J AU Pesaran, MH Schuermann, T Smith, LV AF Pesaran, M. Hashem Schuermann, Til Smith, L. Vanessa TI Forecasting economic and financial variables with global VARs SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Forecasting using GVAR; Structural breaks and forecasting; Average forecasts across models and windows; Financial and macroeconomic forecasts AB This paper considers the problem of forecasting economic and financial variables across a large number of countries in the global economy. To this end a global vector autoregressive (GVAR) model, previously estimated by Dees, di Mauro, Pesaran, and Smith (2007) and Dees, Holly, Pesaran, and Smith (2007) over the period 1979Q1-2003Q4, is used to generate out-of-sample forecasts one and four quarters ahead for real output, inflation, real equity prices, exchange rates and interest rates over the period 2004Q1-2005Q4. Forecasts are obtained for 134 variables from 26 regions, which are made up of 33 countries and cover about 90% of the world output. The forecasts are compared to typical benchmarks: univariate autoregressive and random walk models. Building on the forecast combination literature, the effects of model and estimation uncertainty on forecast outcomes are examined by pooling forecasts obtained from different GVAR models estimated over alternative sample periods. Given the size of the modelling problem, and the heterogeneity of the economies considered - industrialised, emerging, and less developed countries - as well as the very real likelihood of possibly multiple structural breaks, averaging forecasts across both models and windows makes a significant difference. Indeed, the double-averaged GVAR forecasts perform better than the benchmark competitors, especially for output, inflation and real equity prices. (C) 2009 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. C1 [Smith, L. Vanessa] Univ Cambridge, Judge Business Sch, CFAP, Cambridge CB2 1AG, England. [Schuermann, Til] Fed Reserve Bank New York, New York, NY USA. [Pesaran, M. Hashem] Univ So Calif, Dept Econ, Los Angeles, CA 90089 USA. [Pesaran, M. Hashem; Schuermann, Til; Smith, L. Vanessa] Univ Cambridge, CIMF, Cambridge CB2 1TN, England. [Pesaran, M. Hashem] Univ Cambridge, Fac Econ, Cambridge CB2 1TN, England. RP Smith, LV (reprint author), Univ Cambridge, Judge Business Sch, CFAP, Trumpington St, Cambridge CB2 1AG, England. EM v.smith@cerf.cam.ac.uk NR 27 TC 44 Z9 44 U1 0 U2 17 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD OCT-DEC PY 2009 VL 25 IS 4 BP 642 EP 675 DI 10.1016/j.ijforecast.2009.08.007 PG 34 WC Economics; Management SC Business & Economics GA 519CI UT WOS:000271742200002 ER PT J AU Pesaran, AH Schuermann, T Smith, LV AF Pesaran, A. Hashem Schuermann, Til Smith, L. Vanessa TI Rejoinder to comments on forecasting economic and financial variables with global VARs SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Editorial Material ID MODEL; RISK C1 [Smith, L. Vanessa] Univ Cambridge, Judge Business Sch, CFAP, Cambridge CB2 1AG, England. [Pesaran, A. Hashem] Univ Cambridge, Fac Econ, Cambridge CB2 1AG, England. [Pesaran, A. Hashem; Schuermann, Til; Smith, L. Vanessa] Univ Cambridge, CIMF, Cambridge CB2 1AG, England. [Pesaran, A. Hashem] Univ So Calif, Dept Econ, Los Angeles, CA 90089 USA. [Schuermann, Til] Fed Reserve Bank New York, New York, NY USA. [Schuermann, Til] Wharton Financial Inst Ctr, Philadelphia, PA USA. RP Smith, LV (reprint author), Univ Cambridge, Judge Business Sch, CFAP, Trurnpington Steet, Cambridge CB2 1AG, England. EM v.smith@cerf.cam.ac.uk NR 12 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD OCT-DEC PY 2009 VL 25 IS 4 BP 703 EP 715 DI 10.1016/j.ijforecast.2009.09.001 PG 13 WC Economics; Management SC Business & Economics GA 519CI UT WOS:000271742200010 ER PT J AU Hirasuna, DP Hansen, SB AF Hirasuna, Donald P. Hansen, Susan B. TI Is Social Science Research Useful to State Legislators? SO INTERNATIONAL REGIONAL SCIENCE REVIEW LA English DT Article DE legislation; advocacy; policy networks; social science research AB We examine whether social science research can influence state legislation and elaborate on why social scientists may sometimes fail to have an impact. To begin, we construct a simple model of the policy process in which social scientists supply research to legislators, which they then use to fashion bills into law. Next, we discuss the risks that may prevent achievement of this depiction and how legislators, other policy groups, and social scientists themselves may act to compromise the process. Afterward, we offer actions that may enhance the chances that research will be used by legislators. C1 [Hirasuna, Donald P.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Hansen, Susan B.] Univ Pittsburgh, Dept Polit Sci, Pittsburgh, PA 15260 USA. RP Hirasuna, DP (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN USA. EM Donald.Hirasuna@house.mn; sbhansen+@pitt.edu NR 32 TC 2 Z9 2 U1 1 U2 3 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0160-0176 J9 INT REGIONAL SCI REV JI Int. Reg. Sci. Rev. PD OCT PY 2009 VL 32 IS 4 BP 429 EP 444 DI 10.1177/0160017609341380 PG 16 WC Environmental Studies; Planning & Development; Urban Studies SC Environmental Sciences & Ecology; Public Administration; Urban Studies GA 511TO UT WOS:000271191900002 ER PT J AU Aruoba, SB Diebold, FX Scotti, C AF Aruoba, S. Boragan Diebold, Francis X. Scotti, Chiara TI Real-Time Measurement of Business Conditions SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Business cycle; Contraction; Dynamic factor model; Expansion; Macroeconomic forecasting; Recession; State space model; Turning point ID CYCLES; VARIABLES; SERIES; INDEX AB We construct a framework for measuring economic activity at high frequency. potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the framework in a prototype empirical example and a simulation study calibrated to the example. C1 [Aruoba, S. Boragan] Univ Maryland, Dept Econ, College Pk, MD 20742 USA. [Diebold, Francis X.] Univ Penn, Dept Econ Finance & Stat, Philadelphia, PA 19104 USA. [Scotti, Chiara] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Aruoba, SB (reprint author), Univ Maryland, Dept Econ, College Pk, MD 20742 USA. EM aruoba@econ.umd.edu; fdiebold@sas.upenn.edu; chiara.scotti@frb.gov NR 34 TC 83 Z9 83 U1 0 U2 13 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT PY 2009 VL 27 IS 4 BP 417 EP 427 DI 10.1198/jbes.2009.07205 PG 11 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 511WA UT WOS:000271200800001 ER PT J AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. TI Tests of Equal Predictive Ability With Real-Time Data SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Causality; Forecasting; Mean square error; Prediction ID SAMPLE TESTS; DATA SET; FORECASTS; ACCURACY; MACROECONOMISTS; ANNOUNCEMENTS; INFLATION; INFERENCE; MODELS; OUTPUT AB This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multistep predictions from both nonnested and nested linear regression models. In contrast to earlier work in the literature, our asymptotics take account of the real-time, revised nature of the data. Monte Carlo simulations indicate that our asymptotic approximations yield reasonable size and power properties in most circumstances. The paper Concludes with an examination of the real-time predictive content of various measures of economic activity for inflation. This article has supplementary material online. C1 [Clark, Todd E.] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. [McCracken, Michael W.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 1 Mem Dr, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org; michael.w.mccracken@stls.frb.org RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 27 TC 25 Z9 25 U1 2 U2 6 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT PY 2009 VL 27 IS 4 BP 441 EP 454 DI 10.1198/jbes.2009.07204 PG 14 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 511WA UT WOS:000271200800003 ER PT J AU Rudebusch, GD Williams, JC AF Rudebusch, Glenn D. Williams, John C. TI Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Probability forecasts; Real-time; Yield spread ID LEADING INDICATORS; OUTPUT; US AB For over two decades. researchers have provided evidence that the yield curve, specifically the spread between long- and short-term interest rates, contains useful information for signaling future recessions. Despite these findings, forecasters appear to have generally placed too little weight on the yield spread when projecting declines in the aggregate economy. Indeed, we show that professional forecasters are worse at predicting recessions a few quarters ahead than a simple real-time forecasting model that is based on the yield spread. This relative forecast power of the yield curve remains a puzzle. The appendix is included online as supplementary material. C1 [Rudebusch, Glenn D.; Williams, John C.] Fed Reserve Bank San Francisco, San Francisco, CA 94563 USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94563 USA. EM Glenn.Rudebusch@sf.frb.org; John.C.Williams@sf.frb.org RI Williams, John/A-8226-2009 NR 33 TC 43 Z9 44 U1 0 U2 17 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD OCT PY 2009 VL 27 IS 4 BP 492 EP 503 DI 10.1198/jbes.2009.07213 PG 12 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 511WA UT WOS:000271200800007 ER PT J AU Warnock, FE Warnock, VC AF Warnock, Francis E. Warnock, Veronica Cacdac TI International capital flows and US interest rates SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Treasury bond yields; Japan; China; Petrodollars ID EXCHANGE-RATE DYNAMICS AB Foreign purchases of U.S. government bonds have an economically large and statistically significant impact on long-term interest rates. While the dramatic reductions in both long-term inflation expectations and the volatility of long rates contributed much to the decline of long rates in the 1990s, more recently foreign flows have become important. Controlling for various factors, we estimate that absent the substantial foreign inflows into U.S. government bonds the 10-year Treasury yield Would be 80 basis points higher. Our results are robust to a number of alternative specifications. (C) 2009 Elsevier Ltd, All rights reserved. C1 [Warnock, Francis E.; Warnock, Veronica Cacdac] Univ Virginia, Darden Business Sch, Batten Inst, Charlottesville, VA 22906 USA. [Warnock, Francis E.] Trinity Coll Dublin, Inst Int Integrat Studies, Dublin, Ireland. [Warnock, Francis E.] NBER, Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Cambridge, MA 02138 USA. RP Warnock, FE (reprint author), Univ Virginia, Darden Business Sch, Batten Inst, POB 6550, Charlottesville, VA 22906 USA. EM warnockf@darden.virginia.edu; warnockm@darden.virginia.edu NR 33 TC 49 Z9 49 U1 0 U2 14 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 2009 VL 28 IS 6 BP 903 EP 919 DI 10.1016/j.jimonfin.2009.03.002 PG 17 WC Business, Finance SC Business & Economics GA 496RB UT WOS:000269992000001 ER PT J AU Roberds, W Schreft, SL AF Roberds, William Schreft, Stacey L. TI Data breaches and identity theft SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Identity theft; Identity fraud; Data breach; Fraud; Money; Search ID MONEY; PRIVACY; CREDIT AB An environment is analyzed in which agents join clubs (payment networks) in order to facilitate trade. The networks compile personal identifying data (PID) so as to match transactors to transactions histories. Technological limitations cause the networks' data management practices to impact each other's incidence and costs of identity theft. Too much data collection and too little security arise in equilibrium with noncooperative networks compared to the efficient allocation. A number of potential remedies are analyzed: (1) reallocations of data-breach costs, (2) mandated security levels, and (3) mandated limits on the amount of data collected. Published by Elsevier B.V. C1 [Roberds, William] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Schreft, Stacey L.] Mutual Fund Res Ctr LLC, Overland Pk, KS 66210 USA. RP Roberds, W (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM william.roberds@atl.frb.org; sschreft@mutualfundstore.com NR 43 TC 5 Z9 5 U1 1 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 OCT PY 2009 VL 56 IS 7 BP 918 EP 929 DI 10.1016/j.jmoneco.2009.09.003 PG 12 WC Business, Finance; Economics SC Business & Economics GA 527KG UT WOS:000272365400002 ER PT J AU Alvarez-Parra, F Sanchez, JM AF Alvarez-Parra, Fernando Sanchez, Juan M. TI Unemployment insurance with a hidden labor market SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Unemployment insurance; Hidden labor markets; Recursive contracts ID MORAL HAZARD; INFORMATION; ECONOMY AB We consider the problem of optimal unemployment insurance (UI) in a repeated moral hazard framework. Unlike existing literature, unemployed individuals can secretly participate in a hidden labor market. This extension modifies the standard problem in three dimensions. First, it imposes an endogenous lower bound for the lifetime utility that a contract can deliver. Second, it breaks the identity between unemployment payments and consumption. And third, it hardens the encouragement of search effort. The optimal unemployment insurance system in an economy with a hidden labor market is simple, with an initial phase in which payments are relatively flat during unemployment and with no payments for long-term unemployed individuals. This scheme differs substantially from the one prescribed without a hidden labor market and resembles unemployment protection programs in many countries. (C) 2009 Elsevier B.V. All rights reserved. C1 [Sanchez, Juan M.] Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Sanchez, JM (reprint author), Fed Reserve Bank Richmond, 701 E Byrd St,22nd Floor, Richmond, VA 23219 USA. EM fealvare@bcv.org.ve; juan.m.sanchez@rich.frb.org RI Sanchez, Juan/I-5752-2016 OI Sanchez, Juan/0000-0003-0048-9128 NR 22 TC 6 Z9 6 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2009 VL 56 IS 7 BP 954 EP 967 DI 10.1016/j.jmoneco.2009.09.006 PG 14 WC Business, Finance; Economics SC Business & Economics GA 527KG UT WOS:000272365400004 ER PT J AU Goldberg, L Tille, C AF Goldberg, Linda Tille, Cedric TI Macroeconomic interdependence and the international role of the dollar SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Exchange rate; Pass-through; Center-periphery; Invoicing; Monetary policy ID RATE PASS-THROUGH; MONETARY-POLICY; PRICES AB The U.S. dollar holds a dominant place in the invoicing of international trade. In addition to a direct role for most U.S. exports and imports, it plays a global role for trade flows outside the United States. Using a simple center-periphery model, we show that this global role magnifies the exposure of periphery countries to the U.S.'s monetary policy even when trade flows with the U.S. are limited. This generates gains from coordinated monetary policy, as U.S. policy leads to inefficient movements in intra-periphery relative prices. Despite this inefficiency, flexible exchange rates remain valuable. (C) 2009 Elsevier B.V. All rights reserved. C1 [Goldberg, Linda] Fed Reserve Bank New York, New York, NY 10045 USA. [Goldberg, Linda] NBER, Cambridge, MA 02138 USA. [Tille, Cedric] Geneva Grad Inst Int & Dev Studies, Geneva, Switzerland. RP Goldberg, L (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM linda.goldberg@ny.frb.org; cedric.tille@graduateinstitute.ch NR 12 TC 12 Z9 12 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2009 VL 56 IS 7 BP 990 EP 1003 DI 10.1016/j.jmoneco.2009.09.008 PG 14 WC Business, Finance; Economics SC Business & Economics GA 527KG UT WOS:000272365400007 ER PT J AU Carlstrom, CT Fuerst, TS Paustian, M AF Carlstrom, Charles T. Fuerst, Timothy S. Paustian, Matthias TI Monetary policy shocks, Choleski identification, and DNK models SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Choleski identification; Vector auto regression; Dynamic new keynesian model ID FRICTIONS; PRICE; VARS AB A popular identifying assumption in structural VAR studies is that the monetary policy shock does not affect macroeconomic variables contemporaneously. We examine the consequences of using this identification strategy when the data-generating process is a basic Dynamic New Keynesian (DNK) model but without these assumed time delays. The principle conclusion is that the standard Choleski assumption can severely distort the impulse response functions, producing price puzzles and muted responses of inflation and the output gap to monetary shocks. (C) 2009 Elsevier B.V. All rights reserved. C1 [Fuerst, Timothy S.] Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. [Carlstrom, Charles T.; Fuerst, Timothy S.] Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. [Paustian, Matthias] Bank England, London EC2R 8AH, England. RP Fuerst, TS (reprint author), Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. EM charles.t.carlstrom@clev.frb.org; tfuerst@bgsu.edu; matthias.paustian@bankofengland.co.uk NR 15 TC 20 Z9 20 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2009 VL 56 IS 7 BP 1014 EP 1021 DI 10.1016/j.jmoneco.2009.09.009 PG 8 WC Business, Finance; Economics SC Business & Economics GA 527KG UT WOS:000272365400009 ER PT J AU Engelhardt, GV Kumar, A AF Engelhardt, Gary V. Kumar, Anil TI The repeal of the retirement earnings test and the labor supply of older men SO JOURNAL OF PENSION ECONOMICS & FINANCE LA English DT Article ID FIXED COSTS; HEALTH; ELIMINATION; WEALTH; WAGES; WORK; RUN; AGE AB This paper examines the impact of the Senior Citizens Freedom to Work Act of 2000, which abolished the Social Security retirement earnings test for those aged 65-69, on the labor supply of older men using data from the 1996-2004 waves of the Health and Retirement Study (HRS). We use the fine structure of the 2000 Act to develop a new measure of exposure to the earnings test that varies across calendar years both by month and year of birth. We find that much, if not all, of the labor-supply response occurred for sub-groups of men who, either because of high mortality risk, high rates of pure time preference, or liquidity constraints, may have found the actuarial adjustment built into the earnings test relatively disadvantageous, particularly the lesser educated. C1 [Engelhardt, Gary V.] Syracuse Univ, Dept Econ, Maxwell Sch Citizenship & Publ Affairs, Syracuse, NY 13244 USA. [Kumar, Anil] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. RP Engelhardt, GV (reprint author), Syracuse Univ, Dept Econ, Maxwell Sch Citizenship & Publ Affairs, Syracuse, NY 13244 USA. EM gvengelh@maxwell.syr.edu; anil.kumar@dal.frb.org NR 36 TC 9 Z9 9 U1 0 U2 8 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 OCT PY 2009 VL 8 IS 4 BP 429 EP 450 DI 10.1017/S1474747208003892 PG 22 WC Business, Finance; Economics SC Business & Economics GA 509UP UT WOS:000271044300002 ER PT J AU Nunes, R AF Nunes, Ricardo TI On the Epidemiological Microfoundations of Sticky Information* SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article DE D84; E31 ID INFLATION-EXPECTATIONS; PHILLIPS-CURVE; DYNAMICS AB We estimate and compare two models in which households periodically update their expectations. The first model assumes that households update their expectations towards survey measures. In the second model, households update their expectations towards rational expectations (RE). While the literature has used these specifications indistinguishably, we argue that there are important differences. The two models imply different updating probabilities, and the data seem to prefer the second one. We then analyse the properties of both models in terms of mean expectations, median expectations, and a measure of disagreement among households. The model with periodical updates towards RE also seems to fit the data better along these dimensions. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Nunes, R (reprint author), Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM ricardo.p.nunes@frb.gov RI nipe, cef/A-4218-2010 NR 20 TC 6 Z9 6 U1 1 U2 4 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0305-9049 J9 OXFORD B ECON STAT JI Oxf. Bull. Econ. Stat. PD OCT PY 2009 VL 71 IS 5 BP 643 EP 657 DI 10.1111/j.1468-0084.2009.00560.x PG 15 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 483JA UT WOS:000268959000003 ER PT J AU Cooper, R Willis, JL AF Cooper, Russell Willis, Jonathan L. TI The cost of labor adjustment: Inferences from the gap SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Aggregate employment; Employment; Adjustment costs ID INVESTMENT DYNAMICS; BUSINESS-CYCLE; DEMAND; REPLACEMENT AB This paper studies the aggregate implications of micro-level labor adjustment costs. Caballero and Engel [Caballero, R., Engel, E., 1993. Microeconomic adjustment hazards and aggregate dynamics. Quarterly Journal of Economics 108, 313-358] find a dependence of aggregate employment growth on the cross sectional distribution of "employment gaps." This paper uses those results as moments in an indirect inference procedure to infer the underlying labor adjustment costs. We specify a dynamic optimization problem at the plant level, allowing for both convex and non-convex adjustment costs. Consistent with evidence at the micro level, our findings indicate that non-convex adjustment costs are necessary to match these aggregate moments. Published by Elsevier Inc. C1 [Willis, Jonathan L.] Fed Reserve Bank Kansas City, Res Dept, Kansas City, MO USA. [Cooper, Russell] Univ Texas Austin, Dept Econ, Austin, TX 78712 USA. RP Willis, JL (reprint author), Fed Reserve Bank Kansas City, Res Dept, 925 Grand Blvd, Kansas City, MO USA. EM cooper@eco.utexas.edu; jonathan.willis@kc.frb.org NR 24 TC 12 Z9 12 U1 4 U2 8 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 2009 VL 12 IS 4 BP 632 EP 647 DI 10.1016/j.red.2008.12.001 PG 16 WC Economics SC Business & Economics GA 574VL UT WOS:000276022200005 ER PT J AU Adrian, T Westerfield, MM AF Adrian, Tobias Westerfield, Mark M. TI Disagreement and Learning in a Dynamic Contracting Model SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE D03; D86 ID PRINCIPAL-AGENT PROBLEM; TRADE AB We present a dynamic contracting model in which the principal and agent disagree about the resolution of uncertainty, and we illustrate the contract design in an application with Bayesian learning. The disagreement creates gains from trade that the principal realizes by transferring payment to states that the agent considers relatively more likely, changing incentives. The interaction between incentive provision and learning creates an intertemporal source of "disagreement risk" that alters optimal risk sharing. There is an endogenous regime shift between economies with small and large belief differences, and an early shock to beliefs can lead to large persistent differences in variable pay even after beliefs have converged. Under risk-neutrality, "selling the firm" to the agent does not implement the first-best because it precludes state-contingent trades. C1 [Adrian, Tobias] Fed Reserve Bank New York, New York, NY 10045 USA. [Westerfield, Mark M.] Univ So Calif, Los Angeles, CA 90089 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org OI Adrian, Tobias/0000-0001-9379-9592 NR 30 TC 12 Z9 13 U1 1 U2 14 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD OCT PY 2009 VL 22 IS 10 BP 3873 EP 3906 DI 10.1093/rfs/hhn115 PG 34 WC Business, Finance; Economics SC Business & Economics GA 496UE UT WOS:000270003700002 ER PT J AU Hall, SG Hondroyiannis, G Swamy, PAVB Tavlas, GS AF Hall, Stephen G. Hondroyiannis, George Swamy, P. A. V. B. Tavlas, G. S. TI The New Keynesian Phillips Curve and Lagged Inflation: A Case of Spurious Correlation? SO SOUTHERN ECONOMIC JOURNAL LA English DT Article ID MONETARY-POLICY; MODELS; UNCERTAINTY; CAUSALITY; DYNAMICS; TESTS; LAWS AB The New Keynesian Phillips Curve (NKPC) specifics a relationship between inflation and a forcing variable and the current period's expectation of future inflation. Most empirical estimates of the NKPC, typically based on generalized method of moments (GMM) estimation, have found a significant role for lagged inflation, producing a "hybrid" NKPC. Using U.S. quarterly data, this article examines whether the role of lagged inflation in the NKPC might be due to the spurious outcome of specification biases. Like previous investigators, we employ GMM estimation and, like those investigators, we find a significant effect for lagged inflation. We also use time varying coefficient (TVC) estimation, a procedure that produces consistency under a variety of sources of misspecification. Using two separate measures of expected inflation, we find strong support for the view that, tinder TVC estimation, the coefficient on expected inflation is near unity and that the role of lagged inflation in the NKPC is spurious. C1 [Tavlas, G. S.] Bank Greece, Econ Res Dept, Athens 10250, Greece. [Hall, Stephen G.] Univ Leicester, Leicester LE1 7RH, Leics, England. [Hall, Stephen G.] Bank Greece, Leicester LE1 7RH, Leics, England. [Hondroyiannis, George] Harokopio Univ, Athens 10250, Greece. [Swamy, P. A. V. B.] Fed Reserve Board, Kingstowne, VA 22315 USA. RP Tavlas, GS (reprint author), Bank Greece, Econ Res Dept, 21 El Venizelos Ave, Athens 10250, Greece. EM s.g.hall@le.ac.uk; ghondroyiannis@bankofgreece.gr; swamyparavastu@hotmail.com; GTavlas@bankofgreece.gr OI Hondroyiannis, George/0000-0002-4021-7517 NR 40 TC 7 Z9 7 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0038-4038 EI 2325-8012 J9 SOUTH ECON J JI South. Econ. J. PD OCT PY 2009 VL 76 IS 2 BP 467 EP 481 DI 10.4284/sej.2009.76.2.467 PG 15 WC Economics SC Business & Economics GA 511NY UT WOS:000271173700010 ER PT J AU Chetty, R Looney, A Kroft, K AF Chetty, Raj Looney, Adam Kroft, Kory TI Salience and Taxation: Theory and Evidence SO AMERICAN ECONOMIC REVIEW LA English DT Article ID ECONOMICS; ELASTICITY; INCOME AB Using two strategies, we show that consumers underreact to taxes that are not salient. First, using a field experiment in a grocery store, we find that posting tax-inclusive price tags reduces demand by 8 percent. Second, increases in taxes included in posted prices reduce alcohol consumption more than increases in taxes applied at the register. We develop a theoretical framework for applied welfare analysis that accommodates salience effects and other optimization failures. The simple formulas we derive imply that the economic incidence of a tax depends on its statutory incidence, and that even policies that induce no change in behavior can create efficiency losses. (JEL C93, D12, H25, H71) C1 [Chetty, Raj; Kroft, Kory] Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA. [Looney, Adam] Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Chetty, R (reprint author), Univ Calif Berkeley, Dept Econ, 549 Evans Hall, 3880, Berkeley, CA 94720 USA. EM chetty@econ.berkeley.edu; adam.looney@frb.gov; kroft@econ.berkeley.edu NR 47 TC 267 Z9 267 U1 14 U2 74 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2009 VL 99 IS 4 BP 1145 EP 1177 DI 10.1257/aer.99.4.1145 PG 33 WC Economics SC Business & Economics GA 502SN UT WOS:000270480500003 ER PT J AU Del Negro, M Schorfheide, F AF Del Negro, Marco Schorfheide, Frank TI Monetary Policy Analysis with Potentially Misspecified Models SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INFLATION PERSISTENCE; KEYNESIAN MODELS; DSGE MODELS; UNCERTAINTY; FIT; FLUCTUATIONS; RULES; TIME; PRICES; SHOCKS AB Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs, and treatment of the deviations from the cross-equation restrictions. Using post-1982 US data, we study the robustness of the policy prescriptions from a state-of-the-art DSGE model with respect to two approaches to model misspecification pursued in the recent literature: (i) adding shocks to the DSGE model and/or generalizing the processes followed by these shocks; and (ii) explicit modeling of deviations from cross-equation restrictions (DSGE-VAR). (JEL C51, E13, E43, E52, E58) C1 [Del Negro, Marco] Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. [Schorfheide, Frank] Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. RP Del Negro, M (reprint author), Fed Reserve Bank New York, Res Dept, 33 Liberty St, New York, NY 10045 USA. EM marco.delnegro@ny.frb.org; schorf@ssc.upenn.edu NR 55 TC 19 Z9 20 U1 1 U2 14 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2009 VL 99 IS 4 BP 1415 EP 1450 DI 10.1257/aer.99.4.1415 PG 36 WC Economics SC Business & Economics GA 502SN UT WOS:000270480500013 ER PT J AU Ennis, HM Keister, T AF Ennis, Huberto M. Keister, Todd TI Bank Runs and Institutions: The Perils of Intervention SO AMERICAN ECONOMIC REVIEW LA English DT Article ID DEPOSIT INSURANCE; EQUILIBRIUM; LIQUIDITY; CRISES; CONVERTIBILITY; PROBABILITY; INFORMATION; SUSPENSION; DEPRESSION; FAILURES C1 [Ennis, Huberto M.] Univ Carlos III Madrid, Madrid 28903, Spain. [Ennis, Huberto M.] Fed Reserve Bank Richmond, Richmond, VA USA. [Keister, Todd] Fed Reserve Bank New York, New York, NY 10045 USA. RP Ennis, HM (reprint author), Univ Carlos III Madrid, Calle Madrid 126, Madrid 28903, Spain. EM hennis@eco.uc3m.es; todd.keister@ny.frb.org RI Keister, Todd/B-5951-2008 NR 29 TC 35 Z9 35 U1 8 U2 17 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2009 VL 99 IS 4 BP 1588 EP 1607 DI 10.1257/aer.99.4.1588 PG 20 WC Economics SC Business & Economics GA 502SN UT WOS:000270480500019 ER PT J AU Cohen-Cole, E Durlauf, S Fagan, J Nagin, D AF Cohen-Cole, Ethan Durlauf, Steven Fagan, Jeffrey Nagin, Daniel TI Model Uncertainty and the Deterrent Effect of Capital Punishment SO AMERICAN LAW AND ECONOMICS REVIEW LA English DT Article ID REGRESSION-MODELS; GROWTH; EHRLICH,I; DEATH; LIFE AB The reintroduction of capital punishment in 1976 that ended the four-year moratorium on executions generated by the Supreme Court in the 1972 decision Furman v. Georgia has permitted researchers to employ state-level heterogeneity in the use of capital punishment to study deterrent effects. However, no scholarly consensus exists as to their magnitude. A key reason that this has occurred is that the use of alternative models across studies produces differing estimates of the deterrent effect. Because differences across models are not well motivated by theory, the deterrence literature is plagued by model uncertainty. We argue that the analysis of deterrent effects should explicitly recognize the presence of model uncertainty in drawing inferences. We describe methods for addressing model uncertainty and apply them to understand the disparate findings between two major studies in the deterrence literature, finding that evidence of deterrent effects appears, while not nonexistent, weak. C1 [Durlauf, Steven] Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. [Cohen-Cole, Ethan] Fed Reserve Bank Boston, Boston, MA USA. [Fagan, Jeffrey] Columbia Univ, Sch Law, New York, NY 10027 USA. [Nagin, Daniel] Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. RP Durlauf, S (reprint author), Univ Wisconsin, Dept Econ, 1180 Observ Dr, Madison, WI 53706 USA. EM sdurlauf@ssc.wisc.edu RI DURLAUF, Steven/H-4965-2016 NR 46 TC 19 Z9 19 U1 2 U2 4 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 1465-7252 J9 AM LAW ECON REV JI Am. Law Econ. Rev. PD FAL PY 2009 VL 11 IS 2 BP 335 EP 369 DI 10.1093/aler/ahn001 PG 35 WC Economics; Law SC Business & Economics; Government & Law GA 550FZ UT WOS:000274115000003 ER PT J AU Williams, JC AF Williams, John C. TI Heeding Daedalus: Optimal Inflation and the Zero Lower Bound SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID NOMINAL INTEREST-RATES; MONETARY-POLICY; WELFARE COST; EXPECTATIONS AB This paper reexamines the implications for monetary policy of the zero lower bound on nominal interest rates in light of recent experience. The ZLB contributed little to the sharp output declines in many economies in 2008, but it is a significant factor slowing recovery. Model simulations imply that an additional 4 percentage points of rate cuts would have limited the rise in the U.S. unemployment rate and would bring unemployment and inflation more quickly to steady-state values, but the ZLB precludes these actions, at a cost of $1.8 trillion in forgone U.S. output over four years. If recent events presage a shift to a significantly more adverse macroeconomic climate, then 2 percent steady-state inflation may provide an inadequate buffer against the ZLB, assuming a standard Taylor rule. Stronger countercyclical fiscal policy or alternative monetary policy strategies could mitigate the ZLB's effects, but even with such policies an inflation target of 1 percent or lower could entail significant costs. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. RI Williams, John/A-8226-2009 NR 53 TC 17 Z9 19 U1 1 U2 6 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 FAL PY 2009 IS 2 BP 1 EP 49 PG 49 WC Economics SC Business & Economics GA 583AW UT WOS:000276644600002 ER PT J AU Agarwal, S Gabaix, X Driscoll, JC Laibson, D AF Agarwal, Sumit Gabaix, Xavier Driscoll, John C. Laibson, David TI The Age of Reason: Financial Decisions over the Life Cycle and Implications for Regulation SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID PREVALENCE; ECONOMICS; DEMENTIA; MARKET; CONSUMPTION; INFORMATION; CONTRACTS; MEMORY AB Many consumers make poor financial choices, and older adults are particularly vulnerable to such errors. About half of the population between ages 80 and 89 have a medical diagnosis of substantial cognitive impairment. We study life-cycle patterns in financial mistakes using a proprietary database with information on 10 types of credit transactions. Financial mistakes include suboptimal use of credit card balance transfer offers and excess interest rate and fee payments. In a cross section of prime borrowers, middle-aged adults made fewer financial mistakes than either younger or older adults. We conclude that financial mistakes follow a U-shaped pattern, with the cost-minimizing performance occurring around age 53. We analyze nine regulatory strategies that may help individuals avoid financial mistakes. We discuss laissez-faire, disclosure, nudges, financial "driver's licenses," advance directives, fiduciaries, asset safe harbors, and ex post and ex ante regulatory oversight. Finally, we pose seven questions for future research on cognitive limitations and associated policy responses. C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL USA. [Gabaix, Xavier] NYU, New York, NY 10003 USA. [Laibson, David] Harvard Univ, Cambridge, MA 02138 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. RI Agarwal, Sumit/F-4836-2012 NR 76 TC 106 Z9 106 U1 9 U2 46 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 2009 IS 2 BP 51 EP 117 PG 67 WC Economics SC Business & Economics GA 583AW UT WOS:000276644600003 ER PT J AU Hobijn, B Sahin, A AF Hobijn, Bart Sahin, Ayseguel TI Job-finding and separation rates in the OECD SO ECONOMICS LETTERS LA English DT Article DE Labor markets; Worker flows ID UNEMPLOYMENT; EQUILIBRIUM; EUROPE AB We provide a set of comparable estimates of average monthly job-finding and separation rates for over 20 OECD countries that can be used for the cross-country analysis of labor markets. (C) 2009 Elsevier B.V. All rights reserved. C1 [Sahin, Ayseguel] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [Hobijn, Bart] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Sahin, A (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 13 Liberty St,3rd Floor, New York, NY 10045 USA. EM aysegul.sahin@ny.frb.org RI Villena, Benjamin/D-6996-2012 OI Villena, Benjamin/0000-0002-2780-0214 NR 16 TC 27 Z9 27 U1 2 U2 11 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 2009 VL 104 IS 3 BP 107 EP 111 DI 10.1016/j.econlet.2009.04.013 PG 5 WC Economics SC Business & Economics GA 477NR UT WOS:000268526300001 ER PT J AU Bullard, J Neely, CJ Wheelock, DC AF Bullard, James Neely, Christopher J. Wheelock, David C. TI Systemic Risk and the Financial Crisis: A Primer SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID CENTRAL BANKING AB How did problems in a relatively small portion of the home mortgage market trigger the most severe financial crisis in the United States since the Great Depression? Several developments played a role, including the proliferation of complex mortgage-backed securities and derivatives with highly opaque structures, high leverage, and inadequate risk management. These, in turn, created systemic risk-that is, the risk that a triggering event, such as the failure of a large financial firm, will seriously impair financial markets and harm the broader economy. This article examines the role of systemic risk in the recent financial crisis. Systemic concerns prompted the Federal Reserve and U.S. Department of the Treasury to act to prevent the bankruptcy of several large financial firms in 2008. The authors explain why the failures of financial firms are more likely to pose systemic risks than the failures of nonfinancial firms and discuss possible remedies for such risks. They conclude that the economy could benefit from reforms that reduce systemic risks, Such as the creation of an improved regime for resolving failures of large financial firms. (JEL E44, E58, G01, G21, G28) C1 [Bullard, James; Neely, Christopher J.; Wheelock, David C.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Neely, Christopher/I-5749-2016; Wheelock, David/I-5757-2016; Bullard, James/L-8120-2016 OI Neely, Christopher/0000-0003-2852-9419; Wheelock, David/0000-0002-2702-8164; Bullard, James/0000-0002-1142-6803 NR 49 TC 19 Z9 19 U1 5 U2 23 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 2009 VL 91 IS 5 BP 403 EP 417 PG 15 WC Business, Finance; Economics SC Business & Economics GA 497HM UT WOS:000270049500002 ER PT J AU Wheelock, DC Wohar, ME AF Wheelock, David C. Wohar, Mark E. TI Can the Term Spread Predict Output Growth and Recessions? A Survey of the Literature SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID YIELD CURVE; ECONOMIC-ACTIVITY; INTEREST-RATES; UNITED-STATES; US RECESSIONS; GDP GROWTH; INFLATION; POWER; PERSISTENCE; INDICATORS AB This article surveys recent research on the usefulness of the term spread (i.e., the difference between the yields on long-term and short-term Treasury securities) for predicting changes in economic activity. Most studies use linear regression techniques to forecast changes in output or dichotomous choice models to forecast recessions. Others use time-varying parameter models, such as Markov-switching models and smooth transition models, to account for structural changes or other nonlinearities. Many studies find that the term spread predicts output growth and recessions up to one year in advance, but several also find its usefulness varies across countries and over time. In particular, many studies find that the ability of the term spread to forecast output growth has diminished in recent years, although it remains a reliable predictor of recessions. (JEL C53, E37, E43) C1 [Wheelock, David C.] Fed Reserve Bank St Louis, St Louis, MO USA. [Wohar, Mark E.] Univ Nebraska, Omaha, NE 68182 USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 60 TC 43 Z9 45 U1 2 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 SEP-OCT PY 2009 VL 91 IS 5 BP 419 EP 440 PG 22 WC Business, Finance; Economics SC Business & Economics GA 497HM UT WOS:000270049500003 ER PT J AU Blavy, R Juvenal, L AF Blavy, Rodolphe Juvenal, Luciana TI Mexico's Integration into NAFTA Markets: A View from Sectoral Real Exchange Rates SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PURCHASING-POWER-PARITY; UNIT-ROOT TESTS; ONE PRICE; THRESHOLD COINTEGRATION; MEAN-REVERSION; LAW; ADJUSTMENT; ARBITRAGE; MODELS; INFERENCE AB The authors use a threshold autoregressive model to confirm the presence of nonlinearities in sectoral real exchange rate dynamics across Mexico, Canada, and the United States for the periods before and after the North American Free Trade Agreement (NAFTA). Although trade liberalization is associated with reduced transaction costs and lower relative price differentials among countries, the authors find, by using estimated threshold bands, that Mexico still faces higher transaction costs than its developed counterparts. Other determinants of transaction costs are distance and nominal exchange rate volatility. The authors' results show that the half-lives of sectoral real exchange rate shocks, calculated by Monte Carlo integration, imply much faster adjustment in the post-NAFTA period. (JEL F31, F36, F41) C1 [Blavy, Rodolphe] Int Monetary Fund, Washington, DC 20431 USA. [Juvenal, Luciana] Fed Reserve Bank St Louis, St Louis, MO USA. RP Blavy, R (reprint author), Int Monetary Fund, Washington, DC 20431 USA. NR 26 TC 1 Z9 1 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2009 VL 91 IS 5 BP 441 EP 464 PG 24 WC Business, Finance; Economics SC Business & Economics GA 497HM UT WOS:000270049500004 ER PT J AU Amstad, M Fischer, AM AF Amstad, Marlene Fischer, Andreas M. TI Do Macroeconomic Announcements Move Inflation Forecasts? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RATE PASS-THROUGH; MONETARY-POLICY; EURO AREA; PRICES; MODEL AB This paper presents an empirical strategy that bridges the gap between event studies and macroeconomic forecasts based on common-factor models. Event studies examine the response of financial variables to a market-sensitive "surprise" component using a narrow event window. The authors argue that these features-narrow event window and surprise component-can be easily embedded in common-factor models that study the real-time impact of macroeconomic announcements on key policy variables such as inflation or gross domestic product growth. Demonstrative applications are provided for Swiss inflation that show that (i) the communication of monetary policy announcements generates an asymmetric response for inflation forecasts, (ii) the pass-through effect of import price releases on inflation forecasts is weak, and (iii) macroeconomic releases of real and nominal variables generate nonsynchronized effects for inflation forecasts. (JEL E37, E52, E58) C1 [Fischer, Andreas M.] Fed Reserve Bank Dallas, Globalizat & Monetary Policy Inst, Dallas, TX USA. RP Amstad, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 22 TC 1 Z9 1 U1 2 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2009 VL 91 IS 5 BP 507 EP 518 PG 12 WC Business, Finance; Economics SC Business & Economics GA 521PS UT WOS:000271934900002 ER PT J AU Ciciretti, R Dwyer, GP Hasan, I AF Ciciretti, Rocco Dwyer, Gerald P. Hasan, Iftekhar TI Investment Analysts' Forecasts of Earnings SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The literature on investment analysts' forecasts of firms' earnings and their forecast errors is enormous. This paper summarizes the evidence on the distribution of analysts' forecasts and forecast errors using data for all U.S. firms from 1990 to 2004. The evidence indicates substantial asymmetry of earnings, earning forecasts, and forecast errors. There is strong support for average and median earning forecasts being higher than actual earnings a year before the earnings announcement. Such differences between earnings and forecasts also exist across time periods and industries. A month before the earnings announcement, the mean and median differences are small. (JEL G17, C53) C1 [Ciciretti, Rocco] Univ Roma Tor Vergata, SEFeMEQ Dept, Rome, Italy. [Dwyer, Gerald P.] Fed Reserve Bank Atlanta, Ctr Financial Innovat & Stabil, Atlanta, GA USA. [Dwyer, Gerald P.] Univ Carlos III Madrid, Madrid, Spain. [Hasan, Iftekhar] NYU, Stern Sch Business, Berkley Ctr Entrepreneurial Studies, New York, NY 10003 USA. [Hasan, Iftekhar] Rensselaer Polytech Inst, Troy, NY 12181 USA. RP Ciciretti, R (reprint author), Univ Roma Tor Vergata, SEFeMEQ Dept, Rome, Italy. OI CICIRETTI, ROCCO/0000-0001-9813-9171 NR 13 TC 1 Z9 1 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 SEP-OCT PY 2009 VL 91 IS 5 BP 545 EP 567 PG 23 WC Business, Finance; Economics SC Business & Economics GA 521PS UT WOS:000271934900004 ER PT J AU Azzimonti, M Sarte, PD Soares, J AF Azzimonti, Marina Sarte, Pierre-Daniel Soares, Jorge TI Distortionary taxes and public investment when government promises are not enforceable SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Public investment; Commitment; Time consistency; Discretion; Ramsey; Markov-perfect ID NEOCLASSICAL GROWTH-MODEL; OPTIMAL FISCAL-POLICY; OPTIMAL TAXATION; PRODUCTIVITY; INFRASTRUCTURE; WELFARE AB We characterize the optimal financing of productive public capital and compute the welfare loss from being unable to commit to the Ramsey policy. Because this calculation ultimately relies on numerical approximations, we contrast alternative approaches. While perturbation and linear quadratic methods deliver accurate steady states, the latter can yield misleading policy implications during transitions. We find that moving from a regime with commitment to one with discretion implies only a small welfare loss. Although Markov-perfect consumption falls noticeably short of its Ramsey counterpart in steady-state, consumption under discretion is higher in the short-run which largely offsets this long-run loss. (C) 2009 Elsevier B.V. All rights reserved. C1 [Sarte, Pierre-Daniel] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. [Azzimonti, Marina] Univ Texas Austin, Austin, TX 78712 USA. [Soares, Jorge] Univ Delaware, Newark, DE 19716 USA. RP Sarte, PD (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM pierre.sarte@rich.frb.org RI nipe, cef/A-4218-2010 NR 29 TC 8 Z9 8 U1 0 U2 8 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 SEP PY 2009 VL 33 IS 9 BP 1662 EP 1681 DI 10.1016/j.jedc.2009.03.003 PG 20 WC Economics SC Business & Economics GA 484GM UT WOS:000269032000004 ER PT J AU Balla, E Johnson, ND AF Balla, Eliana Johnson, Noel D. TI Fiscal Crisis and Institutional Change in the Ottoman Empire and France SO JOURNAL OF ECONOMIC HISTORY LA English DT Article ID ANCIEN-REGIME; MIDDLE-EAST; COMMITMENT; FINANCES; ORIGINS; EUROPE; STATE; WAGES; LAW AB Why is it that some countries adopted growth enhancing institutions earlier than others during the early modem period? We address this question through a comparative study of the evolution of French and Ottoman fiscal institutions. During the sixteenth century, both countries made extensive use of tax farming to collect revenue, however, uncertain property rights caused by fiscal pressure led to different paths of institutional change in each state. In France, tax collectors successfully overcame the collective action costs of imposing constraint on the king. In the Ottoman Empire, tax collectors faced prohibitive transaction costs to organizing in a similar manner. C1 [Balla, Eliana] Fed Reserve Bank Richmond, Baltimore Off, Baltimore, MD 21201 USA. [Johnson, Noel D.] George Mason Univ, Dept Econ, Fairfax, VA 22030 USA. RP Balla, E (reprint author), Fed Reserve Bank Richmond, Baltimore Off, 502 S Sharp St, Baltimore, MD 21201 USA. EM eliana.balla@rich.frb.org; njohnsoL@gmu.edu NR 77 TC 8 Z9 8 U1 1 U2 6 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD SEP PY 2009 VL 69 IS 3 BP 809 EP 845 PG 37 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 493BN UT WOS:000269708200007 ER PT J AU Farmer, REA Waggoner, DF Zha, T AF Farmer, Roger E. A. Waggoner, Daniel F. Zha, Tao TI Understanding Markov-switching rational expectations models SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Stability; Non-linearity; Unique equilibrium; Cross-regime indeterminacy; Expectations formation; Necessary and sufficient conditions ID US MONETARY-POLICY; INDETERMINACY; EQUILIBRIA; STABILITY AB We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models and we develop an algorithm to check these conditions in practice. We use three examples, based on the new-Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov-switching with forward looking rational expectations models and allows an applied researcher to construct the likelihood function for models in this class over a parameter space that includes a determinate region and an indeterminate region. (C) 2009 Elsevier Inc. All rights reserved. C1 [Zha, Tao] Fed Reserve Bank Atlanta, Div Res, Atlanta, GA 30309 USA. [Farmer, Roger E. A.] Univ Calif Los Angeles, Los Angeles, CA 90024 USA. [Zha, Tao] Emory Univ, Atlanta, GA 30322 USA. RP Zha, T (reprint author), Fed Reserve Bank Atlanta, Div Res, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM tzha@earthlink.net NR 20 TC 32 Z9 32 U1 0 U2 8 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 2009 VL 144 IS 5 BP 1849 EP 1867 DI 10.1016/j.jet.2009.05.004 PG 19 WC Economics SC Business & Economics GA 491PY UT WOS:000269592700001 ER PT J AU Ennis, HM Keister, T AF Ennis, Huberto M. Keister, Todd TI Run equilibria in the Green-Lin model of financial intermediation SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Bank runs; Implementation; Private information; Multiple equilibria; Correlated types ID BANK RUNS; LIQUIDITY AB We study the Green-Lin model of financial intermediation [E.J. Green, P. Lin, Implementing efficient allocations in a model of financial intermediation, J. Econ. Theory 109 (2003) 1-23] under a more general specification of the distribution of types across agents. We derive the efficient allocation in closed form. We show that, in some cases, the intermediary cannot uniquely implement the efficient allocation using a direct revelation mechanism. In these cases, the mechanism also admits an equilibrium in which some (but not all) agents "run" on the intermediary and withdraw their funds regardless of their true liquidity needs. In other words, self-fulfilling runs can arise in a generalized Green-Lin model and these runs are necessarily partial, with only some agents participating. (C) 2009 Elsevier Inc. All rights reserved. C1 [Keister, Todd] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [Ennis, Huberto M.] Univ Carlos III Madrid, Dept Econ, Madrid 28903, Spain. [Ennis, Huberto M.] Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. RP Keister, T (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM hennis@eco.uc3m.es; todd.keister@ny.frb.org RI Keister, Todd/B-5951-2008 NR 11 TC 20 Z9 21 U1 6 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 SEP PY 2009 VL 144 IS 5 BP 1996 EP 2020 DI 10.1016/j.jet.2009.05.001 PG 25 WC Economics SC Business & Economics GA 491PY UT WOS:000269592700007 ER PT J AU Gompers, P Kovner, A Lerner, J AF Gompers, Paul Kovner, Anna Lerner, Josh TI Specialization and Success: Evidence from Venture Capital SO JOURNAL OF ECONOMICS & MANAGEMENT STRATEGY LA English DT Article ID INEFFICIENT INVESTMENT; PERFORMANCE; MARKETS AB This paper examines how organizational structure affects behavior and outcomes, studying the performance of different types of venture capital organizations. We find a strong positive relationship between the degree of specialization by individual venture capitalists at a firm and its success. When the individual investment professionals are highly specialized themselves, the marginal effect of increasing overall firm specialization is much weaker. The poorer performance by generalists appears to be due to both an inefficient allocation of funding across industries and poor selection of investments within industries. Venture capital organizations with more experience tend to outperform those with less experience. C1 [Gompers, Paul; Lerner, Josh] Harvard Univ, Sch Business, Entrepreneurship Unit, Boston, MA 02163 USA. [Lerner, Josh] Harvard Univ, Sch Business, Finance Unit, Boston, MA 02163 USA. [Kovner, Anna] Fed Reserve Bank New York, New York, NY 10045 USA. RP Gompers, P (reprint author), Harvard Univ, Sch Business, Entrepreneurship Unit, Soldiers Field Rd, Boston, MA 02163 USA. EM pgompers@hbs.edu; Anna.Kovner@ny.frb.org; josh@hbs.edu NR 15 TC 54 Z9 54 U1 5 U2 34 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1058-6407 J9 J ECON MANAGE STRAT JI J. Econ. Manage. Strategy PD FAL PY 2009 VL 18 IS 3 BP 817 EP 844 PG 28 WC Economics; Management SC Business & Economics GA 474GN UT WOS:000268270700007 ER PT J AU Adrian, T Franzoni, F AF Adrian, Tobias Franzoni, Francesco TI Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Beta; CAPM; Kalman filter; Anomalies; Value premium ID MARKET-EFFICIENCY; TERM STRUCTURE; CROSS-SECTION; STOCK RETURNS; RISK PREMIA; TESTS; COVARIANCES; MODEL; VOLATILITY AB We amend the conditional CAPM to allow for unobservable long-run changes in risk factor loadings. In this environment, investors rationally "learn" the long-run level of factor loadings from the observation of realized returns. As a consequence of this assumption, we model conditional betas using the Kalman filter. Because of its focus on low-frequency variation in betas, our approach circumvents recent criticisms of the conditional CAPM. When tested on portfolios sorted by size and book-to-market, our learning-augmented conditional CAPM passes the specification tests. (C) 2009 Elsevier B.V. All rights reserved. C1 [Franzoni, Francesco] Univ Lugano, Swiss Finance Inst, CH-6904 Lugano, Switzerland. [Adrian, Tobias] Fed Reserve Bank New York, New York, NY 10045 USA. RP Franzoni, F (reprint author), Univ Lugano, Swiss Finance Inst, Via Buffi 13, CH-6904 Lugano, Switzerland. EM tobias.adrian@ny.frb.org; francesco.franzoni@unisi.ch OI Adrian, Tobias/0000-0001-9379-9592 NR 37 TC 14 Z9 16 U1 2 U2 17 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 EI 1879-1727 J9 J EMPIR FINANC JI J. Empir. Financ. PD SEP PY 2009 VL 16 IS 4 BP 537 EP 556 DI 10.1016/j.jempfin.2009.02.003 PG 20 WC Business, Finance; Economics SC Business & Economics GA 483BJ UT WOS:000268936500002 ER PT J AU Sarkar, A Zhang, LJ AF Sarkar, Asani Zhang, Lingjia TI Time varying consumption covariance and dynamics of the equity premium: Evidence from the G7 countries SO JOURNAL OF EMPIRICAL FINANCE LA English DT Article DE Equity premium; Consumption; Time-varying; Correlation; Covariance; G7 countries ID STOCK RETURNS; EXPECTED RETURNS; INTEREST-RATES; TERM STRUCTURE; ASSET RETURNS; RISK; VOLATILITY; INCOME; EXPECTATIONS; BEHAVIOR AB We examine implications of time-varying correlation and covariance between excess equity returns and consumption growth for the equity premium of the G7 countries. We find that the correlation and covariance are higher when there is a negative shock to labor income and a positive shock to returns. The combined effect is that the correlation and covariance are countercyclical and so is the equity premium. We test asset pricing models with time-varying consumption risk and find that the conditional price of risk is generally positive. These results survive several robustness checks. Our results highlight the importance of labor income for understanding dynamics of the equity premium. Published by Elsevier B.V. C1 [Sarkar, Asani] Fed Reserve Bank New York, New York, NY USA. RP Sarkar, A (reprint author), 33 Liberty St, New York, NY 10045 USA. EM asani.sarkar@ny.frb.org NR 45 TC 1 Z9 1 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5398 J9 J EMPIR FINANC JI J. Empir. Financ. PD SEP PY 2009 VL 16 IS 4 BP 613 EP 631 DI 10.1016/j.jempfin.2009.05.004 PG 19 WC Business, Finance; Economics SC Business & Economics GA 483BJ UT WOS:000268936500007 ER PT J AU Borzekowski, R AF Borzekowski, Ron TI Measuring the cost impact of hospital information systems: 1987-1994 SO JOURNAL OF HEALTH ECONOMICS LA English DT Article DE Information systems; Cost; Productivity; Hospitals ID CARE; ORGANIZATION; TECHNOLOGY AB This study measures the impact of information technology (IT) use on hospital operating costs during the late 1980s and early 1990s. Using a proprietary eight-year panel dataset (1987-1994) that catalogues application-level automation for the complete census of the 3000 U.S. hospitals with more than 100 beds, this study finds that both financial/administrative and clinical IT systems at the most thoroughly automated hospitals are associated with declining costs three and five years after adoption. At the application level, declining costs are associated with the adoption of some of the newest technologies, including systems designed for cost management, the administration of managed care contracts, and for both financial and clinical decision support. The association of cost declines with lagged IT as well as the cost patterns at the less automated hospitals both provide some evidence of learning effects. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Borzekowski, R (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM ron.borzekowski@frb.gov FU National Bureau of Economic Research; Stanford Computer Industry Project FX The views expressed in this paper are those of the author and do not necessarily reflect those of the Board of Governors or the staff of the Federal Reserve System. 1 am grateful to Frank Wolak, Doug Bernheim, Mark McClellan and Tim Bresnahan for their guidance. Thanks as well to the editor, two anonymous referees and Will White for comments and feedback and to the seminar participants at Stanford and at the 2002 AEA meetings for their input. Funding for the data for this work was graciously provided by the National Bureau of Economic Research and the Stanford Computer Industry Project. In particular, special thanks to Shirley Tessler, Jeffrey Geppert, and Ronda Burginger for their assistance. NR 31 TC 24 Z9 24 U1 1 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6296 J9 J HEALTH ECON JI J. Health Econ. PD SEP PY 2009 VL 28 IS 5 BP 938 EP 949 DI 10.1016/j.jhealeco.2009.06.004 PG 12 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA 518HM UT WOS:000271681700003 PM 19699542 ER PT J AU Diewert, WE Nakamura, AO Nakamura, LI AF Diewert, W. Erwin Nakamura, Alice O. Nakamura, Leonard I. TI The housing bubble and a new approach to accounting for housing in a CPI SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Housing bubble; Owner occupied housing; User cost; Rental equivalency; Opportunity cost; Repeat sales; Hedonic approach ID CONSUMER PRICE-INDEX; DEPRECIATION; COSTS AB Over the course of the recent house price bubble in the United States. the price of homes rose rapidly from 1999 Q4 to 2005 Q4 (11.3% annually as measured by the Case-Shiller index, and 8.4% annually as measured by the Federal Housing Financing Agency) but slowly as measured by owner equivalent rents (3.4%), so measured core inflation remained relatively docile during this period, since only rents are used to measure inflation for housing services in the United States. Over the last several decades, the US Bureau of Labor Statistics (BLS) has experimented with both rental equivalence and user cost approaches for accounting for owner occupied housing (OOH) services in the CPI. We explain the basics of these approaches, and outline the BLS experiences with using them. This assessment leads us to conclude that the time has come to try a new approach: the opportunity cost approach. We argue this approach has advantages over both the conventional rental equivalence and user cost approaches, though it embeds components of the measures for both those approaches and builds solidly on the research of Verbrugge and others at the BLS. Also, we take up empirical issues that must be faced regardless of which of the approaches discussed is adopted. We explain how the repeat-sales and various hedonic regression methods can be placed in a common framework, thereby facilitating understanding of the properties of and the tradeoffs between the methods. We also consider measurement complications that arise because the land and structure components of properties depreciate at different rates. (C) 2009 Elsevier Inc. All rights reserved. C1 [Diewert, W. Erwin] Univ British Columbia, Dept Econ, Vancouver, BC V6T 1Z1, Canada. [Nakamura, Alice O.] Univ Alberta, Sch Business, Edmonton, AB T6G 2R6, Canada. [Nakamura, Leonard I.] Philadelphia Fed Reserve Bank, Res Dept, Philadelphia, PA 19106 USA. RP Diewert, WE (reprint author), Univ British Columbia, Dept Econ, Vancouver, BC V6T 1Z1, Canada. EM diewert@econ.ubc.ca; alice.nakamura@ualberta.ca; Leonard.Nakamura@phil.frb.org NR 65 TC 9 Z9 9 U1 4 U2 18 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 EI 1096-0791 J9 J HOUS ECON JI J. Hous. Econ. PD SEP PY 2009 VL 18 IS 3 BP 156 EP 171 DI 10.1016/j.jhe.2009.07.008 PG 16 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 513BP UT WOS:000271297300002 ER PT J AU Acosta, PA Lartey, EKK Mandelman, FS AF Acosta, Pablo A. Lartey, Emmanuel K. K. Mandelman, Federico S. TI Remittances and the Dutch disease SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Dutch disease; Real exchange rate; Remittances ID REAL EXCHANGE-RATE; SMALL OPEN-ECONOMY; EQUILIBRIUM-MODELS; BUSINESS CYCLES; MONETARY-POLICY; SHOCKS; MIGRATION AB Using data for El Salvador and Bayesian techniques, we develop and estimate a two-sector dynamic stochastic general equilibrium model to analyze the effects of remittances on emerging market economies. We find that, whether altruistically motivated or otherwise, an increase in remittance flows leads to a decline in labor supply and an increase in consumption demand that is biased toward non-tradables. The higher non-tradable prices serve as incentive for an expansion of that sector, culminating in reallocation of labor away from the tradable sector - a phenomenon known as the Dutch disease. Quantitative results also indicate that remittances improve the welfare of households because they smooth income flows and increase consumption and leisure levels. A BVAR analysis provides results that are consistent with the dynamics of the model. (C) 2009 Elsevier B.V. All rights reserved. C1 [Mandelman, Federico S.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Acosta, Pablo A.] World Bank, Washington, DC 20433 USA. [Lartey, Emmanuel K. K.] Calif State Univ Fullerton, Dept Econ, Fullerton, CA 92834 USA. RP Mandelman, FS (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM pacosta@worldbank.org; elartey@fullerton.edu; Federico.Mandelman@atl.frb.org NR 33 TC 48 Z9 49 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 2009 VL 79 IS 1 BP 102 EP 116 DI 10.1016/j.jinteco.2009.06.007 PG 15 WC Economics SC Business & Economics GA 513XT UT WOS:000271358200009 ER PT J AU Hatchondo, JC Martinez, L AF Hatchondo, Juan Carlos Martinez, Leonardo TI Long-duration bonds and sovereign defaults SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Sovereign default; Endogenous borrowing constraints; Bond duration; Debt dilution; Markov Perfect equilibrium ID EMERGING ECONOMIES; BUSINESS CYCLES; INTEREST-RATES; DEBT; RISK; COUNTRIES; BANKING; CREDIT; CRISES AB This paper extends the baseline framework used in recent quantitative studies of sovereign default by assuming that the government can borrow using long-duration bonds. This contrasts with previous studies, which assume the government can borrow using bonds that mature after one quarter. We show that, when we assume that the government issues bonds with a duration similar to the average duration of sovereign bonds in emerging economies, the model generates an interest rate that is substantially higher and more volatile than the one obtained assuming one-quarter bonds. This narrows the gap between the predictions of the model and the data, which indicates that the introduction of long-duration bonds may be a useful tool for future research about emerging economies. Our analysis is also relevant for the study of other credit markets. (C) 2009 International Monetary Fund. Published by Elsevier B.V. All rights reserved. C1 [Martinez, Leonardo] Int Monetary Fund, IMF Inst, Washington, DC 20431 USA. [Hatchondo, Juan Carlos; Martinez, Leonardo] Fed Reserve Bank Richmond, Richmond, VA USA. RP Martinez, L (reprint author), Int Monetary Fund, IMF Inst, 700 19th St NW, Washington, DC 20431 USA. EM juanCarlos.Hatchondo@rich.frb.org; leo14627@gmail.com NR 61 TC 27 Z9 27 U1 0 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 2009 VL 79 IS 1 BP 117 EP 125 DI 10.1016/j.jinteco.2009.07.002 PG 9 WC Economics SC Business & Economics GA 513XT UT WOS:000271358200010 ER PT J AU Hale, G AF Hale, Galina TI Review of China's Financial Transition at a Crossroads SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Book Review C1 [Hale, Galina] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94105 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, Res Dept, 101 Market St, San Francisco, CA 94105 USA. EM Galina.b.hale@sf.frb.org NR 3 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD SEP PY 2009 VL 79 IS 1 BP 171 EP 172 DI 10.1016/j.jinteco.2009.05.002 PG 2 WC Economics SC Business & Economics GA 513XT UT WOS:000271358200015 ER PT J AU Gavin, WT Kemme, DM AF Gavin, William T. Kemme, David M. TI Using extraneous information to analyze monetary policy in transition economies SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Transition economy; Monetary transmission mechanisms; Structural VAR; Mixed estimation AB Empirical macroeconomics is plagued by small sample size and large idiosyncratic variation. This problem is especially severe in the case of the transition economies. We utilize a mixed-estimation method incorporating prior information from OECD country data to estimate the parameters of a reduced-form transition economy model. An exactly identified structural VAR model is constructed to analyze monetary policy in the transition economies. The OECD information increases the precision of the impulse response functions in the transition economies. The method provides a systematic way to analyze monetary policy in the transition economies where data availability is limited. (C) 2008 Elsevier Ltd. All rights reserved. C1 [Gavin, William T.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Kemme, David M.] Univ Memphis, Dept Econ, Memphis, TN 38152 USA. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM gavin@stls.frb.org NR 21 TC 7 Z9 7 U1 0 U2 5 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD SEP PY 2009 VL 28 IS 5 BP 868 EP 879 DI 10.1016/j.jimonfin.2008.09.005 PG 12 WC Business, Finance SC Business & Economics GA 459MZ UT WOS:000267108300009 ER PT J AU Campbell, SD Davis, MA Gallin, J Martin, RF AF Campbell, Sean D. Davis, Morris A. Gallin, Joshua Martin, Robert F. TI What moves housing markets: A variance decomposition of the rent-price ratio SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Rent-price ratio; House prices; Housing rents; Interest rates ID STOCK RETURNS; DIVIDENDS; MODELS; TERMS AB We apply the dynamic Gordon growth model to the housing market in 23 US metropolitan areas, the four Census regions, and the nation from 1975 to 2007. The model allows the rent-price ratio at each date to be split into the expected present discounted values of rent growth, real interest rates, and a housing premium over real rates. We show that housing premia are variable and forecastable and account for a significant fraction of rent-price ratio volatility at the national and local levels, and that covariances among the three components damp fluctuations in rent-price ratios. Thus, explanations of house-price dynamics that focus only on interest rate movements and ignore these covariances can be misleading. These results are similar to those found for stocks and bonds. (C) 2009 Elsevier Inc. All rights reserved. C1 [Davis, Morris A.] Univ Wisconsin, Wisconsin Sch Business, Dept Real Estate & Urban Land Econ, Madison, WI 53706 USA. [Campbell, Sean D.; Gallin, Joshua; Martin, Robert F.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Davis, MA (reprint author), Univ Wisconsin, Wisconsin Sch Business, Dept Real Estate & Urban Land Econ, 5261 Grainger Hall,975 Univ Ave, Madison, WI 53706 USA. EM mdavis@bus.wisc.edu NR 33 TC 54 Z9 55 U1 9 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 EI 1095-9068 J9 J URBAN ECON JI J. Urban Econ. PD SEP PY 2009 VL 66 IS 2 BP 90 EP 102 DI 10.1016/j.jue.2009.06.002 PG 13 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 482ON UT WOS:000268898700002 ER PT J AU Fugazza, C Guidolin, M Nicodano, G AF Fugazza, Carolina Guidolin, Massimo Nicodano, Giovanna TI Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value SO REAL ESTATE ECONOMICS LA English DT Article ID LIFETIME PORTFOLIO SELECTION; STOCK RETURN PREDICTABILITY; ASSET-ALLOCATION; MODEL; UNCERTAINTY; PERFORMANCE; MARKETS AB Welfare gains to long-horizon investors may derive from time diversification that exploits nonzero intertemporal return correlations associated with predictable returns. Real estate may thus become more desirable if its returns are negatively serially correlated. While it could be important for long-horizon investors, time diversification has been mostly investigated in asset menus without real estate and focusing on in-sample experiments. This article evaluates, ex post, the out-of-sample gains from diversification when equity real estate investment trusts (REITs) belong to the investment opportunity set. We find that diversification into REITs increases both the Sharpe ratio and the certainty equivalent of wealth for all investment horizons and for both classical and Bayesian (who account for parameter uncertainty) investors. The increases in Sharpe ratios are often statistically significant. However, the out-of-sample average Sharpe ratio and realized expected utility of long-horizon portfolios are frequently lower than that of a one-period portfolio, which casts doubt on the value of time diversification. C1 [Fugazza, Carolina] Univ Turin, I-10024 Moncalieri, Italy. [Fugazza, Carolina] CeRPCCA, I-10024 Moncalieri, Italy. [Guidolin, Massimo] Univ Manchester, Manchester Business Sch, Manchester M13 9PL, Lancs, England. [Guidolin, Massimo] Fed Reserve Bank St Louis, Manchester M13 9PL, Lancs, England. [Nicodano, Giovanna] CeRP CCA, Netspar, Italy. [Nicodano, Giovanna] Univ Turin, I-10134 Turin, Italy. RP Fugazza, C (reprint author), Univ Turin, I-10024 Moncalieri, Italy. EM fugazza@cerp.unito.it; Massimo.Guidolin@stls.frb.org; Giovanna.Nicodano@unito.it OI FUGAZZA, Carolina/0000-0003-0900-983X NR 46 TC 7 Z9 7 U1 2 U2 16 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD FAL PY 2009 VL 37 IS 3 BP 341 EP 381 PG 41 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 489AO UT WOS:000269392000001 ER PT J AU Kan, R Robotti, C AF Kan, Raymond Robotti, Cesare TI Model Comparison Using the Hansen-Jagannathan Distance SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID CONSISTENT COVARIANCE-MATRIX; ASSET PRICING-MODELS; CROSS-SECTION; SPECIFICATION ERRORS; GENERALIZED-METHOD; STOCK RETURNS; RISK; HETEROSKEDASTICITY; SELECTION; TESTS AB Although it is of interest to test whether or not a particular asset pricing model is literally true, a more useful task for empirical researchers is to determine how wrong a model is and to compare the performance of competing asset pricing models. In this paper, we propose a new methodology to test whether or not two competing linear asset pricing models have the same Hansen-Jagannathan distance. We show that the asymptotic distribution of the test statistic depends on whether the competing models are correctly specified or misspecified, and on whether the competing models are nested or non-nested. In addition, given the increasing interest in misspecified models, we propose a simple methodology for computing the standard errors of the estimated stochastic discount factor parameters that are robust to model misspecification. Using monthly data on 25 size and book-to-market ranked portfolios and the one-month T-bill, we show that the commonly used returns and factors are, for the most part, too noisy for us to conclude that one model is superior to the other models in terms of Hansen-Jagannathan distance. Specifically, there is little evidence that conditional and intertemporal capital asset pricing model (CAPM)-type specifications outperform the simple unconditional CAPM, In addition, we show that many of the macroeconomic factors commonly used in the literature are no longer priced once potential model misspecification is taken into account. C1 [Kan, Raymond] Univ Toronto, Joseph L Rotman Sch Management, Toronto, ON M5S 3E6, Canada. [Robotti, Cesare] Fed Reserve Bank Atlanta, Atlanta, GA 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 NR 33 TC 28 Z9 28 U1 0 U2 11 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD SEP PY 2009 VL 22 IS 9 BP 3449 EP 3490 DI 10.1093/rfs/hhn094 PG 42 WC Business, Finance; Economics SC Business & Economics GA 494GN UT WOS:000269799900004 ER PT J AU Corrado, C Hulten, C Sichel, D AF Corrado, Carol Hulten, Charles Sichel, Daniel TI INTANGIBLE CAPITAL AND US ECONOMIC GROWTH SO REVIEW OF INCOME AND WEALTH LA English DT Article ID STOCK MARKETS VALUATION; R-AND-D; INFORMATION TECHNOLOGY; PRODUCTIVITY; INVESTMENT; COUNTRIES AB Published macroeconomic data traditionally exclude most intangible investment from measured GDP. This situation is beginning to change, but our estimates suggest that as much as $800 billion is still excluded from U.S. published data (as of 2003), and that this leads to the exclusion of more than $3 trillion of business intangible capital stock. To assess the importance of this omission, we add intangible capital to the standard sources-of-growth framework used by the BLS, and find that the inclusion of our list of intangible assets makes a significant difference in the observed patterns of U.S. economic growth. The rate of change of output per worker increases more rapidly when intangibles are counted as capital, and capital deepening becomes the unambiguously dominant source of growth in labor productivity. The role of multifactor productivity is correspondingly diminished, and labor's income share is found to have decreased significantly over the last 50 years. C1 [Corrado, Carol] Conf Board, Econ Programs, New York, NY 10022 USA. [Hulten, Charles] Univ Maryland, College Pk, MD 20742 USA. [Hulten, Charles] NBER, Cambridge, MA 02138 USA. [Sichel, Daniel] Fed Reserve Board, Washington, DC USA. RP Corrado, C (reprint author), Conf Board, Econ Programs, 845 3rd Ave, New York, NY 10022 USA. EM carol.corrado@conference-board.org NR 66 TC 105 Z9 105 U1 2 U2 19 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0034-6586 J9 REV INCOME WEALTH JI Rev. Income Wealth PD SEP PY 2009 VL 55 IS 3 BP 661 EP 685 PG 25 WC Economics SC Business & Economics GA 486JF UT WOS:000269191500003 ER PT J AU Gruber, J Kamin, S AF Gruber, Joseph Kamin, Steven TI Do Differences in Financial Development Explain the Global Pattern of Current Account Imbalances? SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article AB Building on the panel-regression approach of Chinn and Prasad (2003) and Gruber and Kamin (2007), we assess whether differences in financial development can explain the large developing-country surpluses or large US deficits. We find little evidence to support these hypotheses. We also assess whether differences in asset returns, an alternative measure of the attractiveness of financial assets, can explain the international pattern of capital flows. Lower bond yields have been generally associated with larger current account deficits in industrial countries. However, US bond yields have not been significantly lower than those in other industrial economies, suggesting that US financial assets have not been unusually attractive. We consider an alternative hypothesis that spending in the United States was uniquely responsive to lower costs of capital. However, we found this hypothesis also to be weak, as household saving rates have declined throughout the industrial economies. C1 [Gruber, Joseph; Kamin, Steven] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Kamin, S (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM steven.kamin@frb.gov NR 23 TC 19 Z9 19 U1 0 U2 4 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 SEP PY 2009 VL 17 IS 4 SI SI BP 667 EP 688 DI 10.1111/j.1467-9396.2009.00842.x PG 22 WC Economics SC Business & Economics GA V16BQ UT WOS:000207845500003 ER PT J AU Spiegel, MM AF Spiegel, Mark M. TI Monetary and Financial Integration in the EMU: Push or Pull? SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article AB This paper examines the channels through which monetary union increased financial integration, using panel data on bilateral international commercial bank claims from 1998-2006. I decompose the increase in claims into three channels: a "borrower effect," as a country's EMU membership may leave its borrowers more creditworthy in the eyes of foreign lenders; a " creditor effect," as membership in a monetary union may increase the attractiveness of a nation's commercial banks as intermediaries, perhaps through increased scale economies or through an improved regulatory environment after the advent of monetary union; and a "pairwise effect," as joint membership in a monetary union increases the quality of intermediation between borrowers and creditors when both are in the union. Isolating these three channels through a series of difference-in-differences specifications, I find that the pairwise effect is the primary source of increased financial integration. This result is robust to a number of sensitivity exercises. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM Mark.Spiegel@sf.frb.org NR 26 TC 19 Z9 19 U1 0 U2 3 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 SEP PY 2009 VL 17 IS 4 SI SI BP 751 EP 776 DI 10.1111/j.1467-9396.2009.00847.x PG 26 WC Economics SC Business & Economics GA V16BQ UT WOS:000207845500007 ER PT J AU Aizenman, J Glick, R AF Aizenman, Joshua Glick, Reuven TI Sterilization, Monetary Policy, and Global Financial Integration SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article AB This paper investigates the changing pattern and efficacy of sterilization within emerging market countries as they liberalize markets and integrate with the world economy. We estimate the marginal propensity to sterilize foreign asset accumulation associated with net balance of payments inflows, across countries, and over time. We find that the extent of sterilization of foreign reserve inflows has risen in recent years to varying degrees in Asia as well as in Latin America, consistent with greater concerns about the potential inflationary impact of reserve inflows. We also find that sterilization depends on the composition of balance of payments inflows. C1 [Aizenman, Joshua] Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. [Glick, Reuven] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 96105 USA. RP Aizenman, J (reprint author), Univ Calif Santa Cruz, Dept Econ, E2, Santa Cruz, CA 95064 USA. EM jaizen@ucsc.edu; reuven.glick@sf.frb.org NR 19 TC 22 Z9 23 U1 0 U2 5 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0965-7576 J9 REV INT ECON JI Rev. Int. Econ. PD SEP PY 2009 VL 17 IS 4 SI SI BP 777 EP 801 DI 10.1111/j.1467-9396.2009.00848.x PG 25 WC Economics SC Business & Economics GA V16BQ UT WOS:000207845500008 ER PT J AU Veltri, SC Cavanagh, G AF Veltri, Stephen C. Cavanagh, Greg TI Payments SO BUSINESS LAWYER LA English DT Article C1 [Veltri, Stephen C.] Ohio No Univ, Ada, OH 45810 USA. [Cavanagh, Greg] Fed Reserve Bank New York, New York, NY USA. RP Veltri, SC (reprint author), Ohio No Univ, Ada, OH 45810 USA. NR 8 TC 3 Z9 3 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 2009 VL 64 IS 4 BP 1199 EP 1218 PG 20 WC Law SC Government & Law GA 506UZ UT WOS:000270803200011 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI DO IMMIGRANTS WORK IN RISKIER JOBS? SO DEMOGRAPHY LA English DT Article ID FATAL OCCUPATIONAL INJURIES; UNITED-STATES; EARNINGS; COMPENSATION; BORN; ASSIMILATION; WEALTH; HEALTH AB Recent media and government reports suggest that immigrants are more likely to hold jobs with poor working conditions than U.S.-born workers, perhaps because immigrants work in jobs that "natives don't want. "Despite this widespread view, earlier studies have not found immigrants to be in riskier jobs than natives. This study combines individual-level data from the 2003-2005 American Community Survey with Bureau of Labor Statistics data on work-related injuries and fatalities to take afresh look at whether foreign-born workers are employed in more dangerous jobs. The results indicate that immigrants are in fact more likely, to work in risky jobs than U.S.-born workers, partly due to differences in average characteristics, such as immigrants 'lower English-language ability and educational attainment. C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Orrenius, Pia M.; Zavodny, Madeline] IZA, Dallas, TX 75201 USA. [Zavodny, Madeline] Agnes Scott Coll, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM pia.orrenius@dal.frb.org NR 44 TC 59 Z9 59 U1 1 U2 9 PU POPULATION ASSOC AMER PI WASHINGTON PA 1722 N ST NW, WASHINGTON, DC 20036 USA SN 0070-3370 J9 DEMOGRAPHY JI Demography PD AUG PY 2009 VL 46 IS 3 BP 535 EP 551 PG 17 WC Demography SC Demography GA 495WJ UT WOS:000269925600006 PM 19771943 ER PT J AU Armantier, O Treich, N AF Armantier, Olivier Treich, Nicolas TI Star-shaped probability weighting functions and overbidding in first-price auctions SO ECONOMICS LETTERS LA English DT Article DE Probability weighting function; Auctions; Overbidding; Non-expected utility; Risk aversion ID DEPENDENT EXPECTED UTILITY; RISK-AVERSION; PROSPECT-THEORY; AXIOMATIZATION; UNCERTAINTY; ATTITUDES AB There is a debate about whether risk aversion is the main source of overbidding in a first-price independent private values auction. As an alternative, we adopt a non-expected utility framework, and identify an interpretable property on the probability weighting function which always induces overbidding. (C) 2009 Elsevier B.V. All rights reserved. C1 [Treich, Nicolas] LERNA INRA, Toulouse Sch Econ, F-31042 Toulouse, France. [Armantier, Olivier] Fed Reserve Bank New York, New York, NY USA. [Armantier, Olivier] Univ Montreal, Montreal, PQ H3C 3J7, Canada. [Armantier, Olivier] CIRANO, Montreal, PQ, Canada. [Armantier, Olivier] CIREQ, Montreal, PQ, Canada. RP Treich, N (reprint author), LERNA INRA, Toulouse Sch Econ, 21 All Brienne, F-31042 Toulouse, France. EM ntreich@toulouse.inra.fr NR 26 TC 6 Z9 6 U1 1 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD AUG PY 2009 VL 104 IS 2 BP 83 EP 85 DI 10.1016/j.econlet.2009.04.016 PG 3 WC Economics SC Business & Economics GA 476LQ UT WOS:000268442900011 ER PT J AU Chambers, M Garriga, C Schlagenhauf, DE AF Chambers, Matthew Garriga, Carlos Schlagenhauf, Don E. TI ACCOUNTING FOR CHANGES IN THE HOMEOWNERSHIP RATE SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID MODEL; PORTFOLIO; CHOICE; TAXES AB This article accounts for the boom in homeownership from 1994 to 2005 by examining the roles of demographic changes and mortgage innovations. To measure the impact of these factors, we construct a quantitative general equilibrium overlapping generation model with housing. In the long-run, mortgage innovation accounts for between 56 and 70% of the increase whereas demographics account for a much smaller portion. We test this result by considering changes in mortgages after 1940. We find that the introduction of the conventional fixed rate mortgage accounts for at least 50% of the observed increase in homeownership during that period. C1 [Schlagenhauf, Don E.] Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. Towson Univ, Towson, MD USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Schlagenhauf, DE (reprint author), Florida State Univ, Dept Econ, 246 Bellamy Bldg, Tallahassee, FL 32306 USA. EM dschlage@mailer.fsu.edu RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 29 TC 37 Z9 38 U1 0 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2009 VL 50 IS 3 BP 677 EP 726 PG 50 WC Economics SC Business & Economics GA 468PM UT WOS:000267831500001 ER PT J AU Koop, G Potter, SM AF Koop, Gary Potter, Simon M. TI PRIOR ELICITATION IN MULTIPLE CHANGE-POINT MODELS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID STRUCTURAL BREAKS; TIME-SERIES; BAYESIAN-ANALYSIS; INFERENCE AB This article discusses Bayesian inference in change-point models. The main existing approaches treat all change-points equally, a priori, using either a Uniform prior or an informative hierarchical prior. Both approaches assume a known number of change-points. Some undesirable properties of these approaches are discussed. We develop a new Uniform prior that allows some of the change-points to occur out of sample. This prior has desirable properties, can be interpreted as "noninformative," and treats the number of change-points as unknown. Artificial and real data exercises show how these different priors can have a substantial impact on estimation and prediction. C1 [Koop, Gary] Univ Strathclyde, Dept Econ, Glasgow G4 0GE, Lanark, Scotland. Fed Reserve Bank New York, New York, NY 10045 USA. RP Koop, G (reprint author), Univ Strathclyde, Dept Econ, Sir William Duncan Bldg,130 Rottenrow, Glasgow G4 0GE, Lanark, Scotland. EM Gary.Koop@strath.ac.uk OI Koop, Gary/0000-0002-6091-378X NR 22 TC 11 Z9 11 U1 0 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2009 VL 50 IS 3 BP 751 EP 772 PG 22 WC Economics SC Business & Economics GA 468PM UT WOS:000267831500003 ER PT J AU Bethencourt, C Rios-Rull, JV AF Bethencourt, Carlos Rios-Rull, Jose-Victor TI ON THE LIVING ARRANGEMENTS OF ELDERLY WIDOWS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID UNITED-STATES; YOUNG MEN; CORESIDENCE; INDEPENDENCE; INCOMES; GROWTH; WOMEN; LIFE AB Between 1970 and 1990, the share of elderly widows living alone grew by 23.2% in the United States, whereas those living with their children decreased by a similar amount. We pose a variety of models for determining the living arrangements in which living together increases consumption because of economies of scale and may also provide utility directly. We estimate these models using the 1970 data and obtain an excellent fit. The estimated models predict that changes in the incomes of both the widow and her offspring generate three-quarters of the increase in the number of widows living alone. C1 [Rios-Rull, Jose-Victor] Univ Minnesota, Dept Econ, Fed Reserve Bank Minneapolis, CEPR,NBER, Minneapolis, MN 55455 USA. Univ La Laguna, CAERP, E-38207 San Cristobal la Laguna, Spain. Univ Penn, Philadelphia, PA 19104 USA. RP Rios-Rull, JV (reprint author), Univ Minnesota, Dept Econ, Fed Reserve Bank Minneapolis, CEPR,NBER, 1035 Heller Hall,271-19th Ave S, Minneapolis, MN 55455 USA. EM vr0j@umn.edu NR 28 TC 7 Z9 7 U1 0 U2 5 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2009 VL 50 IS 3 BP 773 EP 801 PG 29 WC Economics SC Business & Economics GA 468PM UT WOS:000267831500004 ER PT J AU Alessandria, G AF Alessandria, George TI CONSUMER SEARCH, PRICE DISPERSION, AND INTERNATIONAL RELATIVE PRICE FLUCTUATIONS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID REAL EXCHANGE-RATES; TO-MARKET; BUSINESS-CYCLE; UNITED-STATES; EQUILIBRIUM; MODEL; INFLATION; CONSUMPTION; PERSISTENCE; BORDER AB This article develops a model of consumer search consistent with the evidence of substantial price dispersion and time spent shopping within countries to study international deviations from the law of one price (LOP) and relative price fluctuations. Search frictions lead firms to price discriminate across markets based on the opportunity cost of search, which depends on the local wage. With productivity and taste shocks estimated from the data, deviations from the LOP are as volatile and persistent as in the data. Fluctuations in relative wages, real exchange rates, and the terms of trade are also consistent with the data. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Alessandria, G (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM george.alessandria@phil.frb.org NR 52 TC 18 Z9 18 U1 2 U2 10 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2009 VL 50 IS 3 BP 803 EP 829 PG 27 WC Economics SC Business & Economics GA 468PM UT WOS:000267831500005 ER PT J AU Boldrin, M Levine, DK AF Boldrin, Michele Levine, David K. TI MARKET SIZE AND INTELLECTUAL PROPERTY PROTECTION SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID INNOVATION; PATENTS; GROWTH AB Intellectual property (IP) protection involves a trade-off between the undesirability of monopoly and the desirable encouragement of creation and innovation. Optimal policy depends on the relative strength of these two forces. We give a quantitative assessment of current IP policies. We focus particularly on the scale of the market, showing that as it increases, due either to growth or to the expansion of trade, IP protection should be reduced. C1 [Boldrin, Michele] Washington Univ, Dept Econ, Fed Reserve Bank St Louis, St Louis, MO 63130 USA. NBER, Cambridge, MA 02138 USA. RP Boldrin, M (reprint author), Washington Univ, Dept Econ, Fed Reserve Bank St Louis, St Louis, MO 63130 USA. EM mboldrin@artsci.wustl.edu NR 26 TC 11 Z9 11 U1 1 U2 5 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2009 VL 50 IS 3 BP 855 EP 881 PG 27 WC Economics SC Business & Economics GA 468PM UT WOS:000267831500007 ER PT J AU Keister, T AF Keister, Todd TI EXPECTATIONS AND CONTAGION IN SELF-FULFILLING CURRENCY ATTACKS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID UNIQUE EQUILIBRIUM; MULTIPLE EQUILIBRIA; FINANCIAL CONTAGION; CRISES; MODEL; INFORMATION; SUNSPOTS; WEALTH; POLICY; GAMES AB Self-fulfilling expectations are commonly believed to play an important role in the transmission of currency crises across countries. Formal models of contagion based on multiple equilibria, however, have been criticized for failing to explain basic patterns observed in the data; these criticisms have been taken as evidence against the self-fulfilling view. This article argues that the importance of self-fulfilling beliefs is not so easily dismissed. A slightly richer model, based on the incomplete-information framework of Morris and Shin (American Economic Review 88 (1998), 587-97), can generate contagion due to self-fulfilling beliefs while placing restrictions on observable variables that are broadly consistent with the empirical evidence. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Keister, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM todd.keister@ny.frb.org RI Keister, Todd/B-5951-2008 NR 32 TC 5 Z9 5 U1 1 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2009 VL 50 IS 3 BP 991 EP 1012 PG 22 WC Economics SC Business & Economics GA 468PM UT WOS:000267831500012 ER PT J AU Garratt, R Keister, T AF Garratt, Rod Keister, Todd TI Bank runs as coordination failures: An experimental study SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Experimental coordination games; Banking panics; Bayesian updating; Demand deposits ID PANICS; GAMES; EQUILIBRIUM; INFORMATION; LIQUIDITY; MODEL AB We use experimental methods to investigate what factors contribute to breakdowns in coordination among a bank's depositors. Subjects in our experiment decide whether to leave their money deposited in a bank or withdraw it early; a bank run occurs when there are too many early withdrawals. We explore the effects of adding uncertainty about fundamental withdrawal demand and of changing the number of opportunities subjects have to withdraw. Our results show that (i) bank runs are rare when fundamental withdrawal demand is known but occur frequently when it is stochastic, and (ii) subjects are more likely to withdraw when given multiple opportunities to do so than when presented with a single decision. For the multiple-opportunity case, we evaluate individual withdrawal decisions according to a set of simple cutoff rules. We find that the cutoff rule corresponding to the payoff-dominant equilibrium of the game, which involves Bayesian updating of probabilities, explains subject behavior better than other rules. Published by Elsevier B.V. C1 [Keister, Todd] Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. [Garratt, Rod] Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. RP Keister, T (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St, New York, NY 10045 USA. EM garratt@econ.ucsb.edu; todd.keister@ny.frb.org RI Keister, Todd/B-5951-2008 NR 24 TC 17 Z9 18 U1 7 U2 16 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 2009 VL 71 IS 2 BP 300 EP 317 DI 10.1016/j.jebo.2009.03.009 PG 18 WC Economics SC Business & Economics GA 470SJ UT WOS:000267999900017 ER PT J AU Dennis, R Leitemo, K Soderstrom, U AF Dennis, Richard Leitemo, Kai Soderstrom, Ulf TI Methods for robust control SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Robust control; Misspecification; Optimal policy ID RATIONAL-EXPECTATIONS AB Robust control allows policymakers to formulate policies that guard against model misspecification. The principal tools used to solve robust control problems are state-space methods [see Hansen, LP., Sargent T.J., 2008. Robustness. Princeton University Press; Giordani, R, Soderlind, P., 2004. Solution of macromodels with Hansen-Sargent robust policies: some extensions. journal of Economic Dynamics and Control 28 (12), 2367-2397]. In this paper we show that the structural-form methods developed by Dennis [2007. Optimal policy rules in rational-expectations models: new solution algorithms. Macroeconomic Dynamics 11 (1), 31-55] to solve control problems with rational expectations can also be applied to robust control problems, with the advantage that they bypass the task, often onerous, of having to express the reference model in state-space form. in addition, we show how to implement two different timing assumptions with distinct implications for the robust policy and the economy. We apply our methods to a New Keynesian Dynamic Stochastic General Equilibrium model and find that robustness has important effects on policy and the economy. (C) 2009 Elsevier B.V. All rights reserved. C1 [Dennis, Richard] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. [Leitemo, Kai] Norwegian Sch Management BI, Trondheim, Norway. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. EM richard.dennis@sf.frb.org; kai.leitemo@bi.no; ulf.soderstrom@riksbank.se NR 13 TC 8 Z9 8 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD AUG PY 2009 VL 33 IS 8 BP 1604 EP 1616 DI 10.1016/j.jedc.2009.02.011 PG 13 WC Economics SC Business & Economics GA 461LW UT WOS:000267269500006 ER PT J AU Hale, G Santos, JAC AF Hale, Galina Santos, Joao A. C. TI Do banks price their informational monopoly? SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Informational rents; Loan spreads; Bond IPOs; Bond spreads; Bank relationships ID LENDING RELATIONSHIPS; SYNDICATED LOANS; BOND MARKET; DEBT; REPUTATION; ASYMMETRY; PRIVATE; RATINGS; CREDIT; CHOICE AB Theory suggests that banks' private information lets them hold up borrowers for higher interest rates. Since new information about a firm is revealed at the time of its bond IPO, it follows that banks will be forced to adjust their loan interest rates downwards after firms undertake their bond IPO. We test this hypothesis and find that firms are able to borrow at lower interest rates after their bond IPO. Importantly, firms that get their first credit rating at the time of their bond IPO benefit from larger interest rate savings than those that already had a credit rating. These findings provide support for the hypothesis that banks price their informational monopoly. We also find that it is costly for firms to enter the public bond market. Published by Elsevier B.V. C1 [Santos, Joao A. C.] Fed Reserve Bank New York, New York, NY 10045 USA. [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Santos, JAC (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM joao.santos@ny.frb.org RI nipe, cef/A-4218-2010; OI Hale, Galina/0000-0002-5604-9730; santos, joao/0000-0002-6002-5969 NR 30 TC 27 Z9 27 U1 2 U2 20 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 AUG PY 2009 VL 93 IS 2 BP 185 EP 206 DI 10.1016/j.jfineco.2008.08.003 PG 22 WC Business, Finance; Economics SC Business & Economics GA 486AK UT WOS:000269167500002 ER PT J AU Kahn, CM Roberds, W AF Kahn, Charles M. Roberds, William TI Payments Settlement: Tiering in Private and Public Systems SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E42; G21; payment systems; limited enforcement; settlement risk; tiering ID LIQUIDITY; RISK AB What are the benefits provided by a payment system ? What are the trade-offs in public versus private payment systems and in restricted versus open payments arrangements ? Modern payment systems encompass a variety of institutional designs with varying degrees of counterparty protection. We develop a framework that allows for an examination and comparison of payment systems, and specification of conditions leading to their adoption. We relate these conditions to the design of present large-value payment systems (Fedwire, CHIPS, TARGET, etc.). C1 [Kahn, Charles M.] Univ Illinois, Dept Finance, Chicago, IL 60680 USA. [Roberds, William] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Kahn, CM (reprint author), Univ Illinois, Dept Finance, Chicago, IL 60680 USA. EM c-kahn@uiuc.edu; william.roberds@atl.frb.org NR 31 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 2009 VL 41 IS 5 BP 855 EP 884 DI 10.1111/j.1538-4616.2009.00236.x PG 30 WC Business, Finance; Economics SC Business & Economics GA 471KW UT WOS:000268057600003 ER PT J AU Dennis, R AF Dennis, Richard TI Consumption Habits in a New Keynesian Business Cycle Model SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E52; E58; habit formation; business cycles ID MONETARY-POLICY; GROWTH; PUZZLE AB Consumption habits have become an integral component in new Keynesian models. However, consumption habits can be modeled in a host of different ways and this diversity is reflected in the literature. I examine whether different approaches to modeling consumption habits have important implications for business cycle behavior. Using a standard New Keynesian business cycle model, I show that, to a first-order log-approximation, the consumption Euler equation associated with the additive functional form for habit formation encompasses the multiplicative function form. Empirically, I show that whether consumption habits are internal or external has little effect on the model's business cycle characteristics. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM richard.dennis@sf.frb.org NR 18 TC 16 Z9 16 U1 4 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 AUG PY 2009 VL 41 IS 5 BP 1015 EP 1030 DI 10.1111/j.1538-4616.2009.00242.x PG 16 WC Business, Finance; Economics SC Business & Economics GA 471KW UT WOS:000268057600009 ER PT J AU Velde, FR AF Velde, Francois R. TI Chronicle of a Deflation Unforetold SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID MONETARY-POLICY; PHILLIPS-CURVE; TIME-SERIES; RATIONALITY; PERSISTENCE; SYSTEM; MODEL AB Suppose that the nominal money supply could be cut literally overnight. What would happen to prices, wages, and output? Such an experiment was carried out three times in France in 1724, resulting in a cumulative 45 percent cut. Prices adjusted instantaneously and fully on the foreign exchange market. Prices of commodities and of manufactured goods and industrial wages fell slowly, over many months, and not by the full amount of the nominal reduction. The industrial sector experienced a contraction of 30 percent. When the government changed course and increased the nominal money supply overnight by 20 percent, prices responded more, and industry rebounded. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Velde, FR (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 53 TC 9 Z9 9 U1 0 U2 9 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 AUG PY 2009 VL 117 IS 4 BP 591 EP 634 PG 44 WC Economics SC Business & Economics GA 482QS UT WOS:000268904400001 ER PT J AU Figura, A AF Figura, Andrew TI Explaining cyclical movements in employment: Creative-destruction or changes in utilization? SO LABOUR ECONOMICS LA English DT Article DE Cyclical employment changes; Permanent and temporary employment changes ID WAGES; UNEMPLOYMENT; LAYOFFS; WORKERS; DEMAND AB An important step in understanding why employment fluctuates cyclically is determining the relative importance of cyclical movements in permanent and temporary plant-level employment changes. If movements in permanent employment changes are important, then recessions are times when the destruction of job-specific capital picks up and/or investment in new job capital slows. If movements in temporary employment changes are important, then employment fluctuations are related to the temporary movement of workers across activities (e.g. from work to home production or search and back again) as the relative costs/benefits of these activities change. I estimate that in the manufacturing sector temporary employment changes account for nearly 60% of the change in employment growth over the cycle. However, if permanent employment changes create and destroy more capital than temporary employment changes, then their economic consequences would be relatively greater. The correlation between gross permanent employment changes and capital intensity across industries supports the hypothesis that permanent employment changes do create and destroy more capital than temporary employment changes. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Figura, A (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 80, Washington, DC 20551 USA. EM jfigura@frb.gov NR 26 TC 1 Z9 1 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5371 J9 LABOUR ECON JI Labour Econ. PD AUG PY 2009 VL 16 IS 4 BP 429 EP 439 DI 10.1016/j.labeco.2008.12.005 PG 11 WC Economics SC Business & Economics GA 459LO UT WOS:000267104100008 ER PT J AU Bikbov, R Chernov, M AF Bikbov, Ruslan Chernov, Mikhail TI Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options SO MANAGEMENT SCIENCE LA English DT Article DE economics; econometrics; finance; asset pricing; simulation; statistical analysis ID TERM-STRUCTURE MODELS; MICROSTRUCTURE NOISE; REALIZED VARIANCE; KALMAN FILTER; RISK PREMIA; MARKET; SPECIFICATION; DERIVATIVES; FORECASTS; PRICES AB Unspanned stochastic volatility (USV) refers to the inability of bonds to replicate volatility-sensitive derivative securities. Affine term structure models require special restrictions on the parameters to exhibit USV. We use a joint Eurodollar futures and options data set to estimate affine three-factor models with and without USV restrictions. The unrestricted model captures prices of futures and options well. Option pricing errors are much larger in the USV model. The USV model is rejected in favor of the unrestricted model based on the likelihood ratio and Wald tests. We use the implications of the unrestricted model as a benchmark for understanding the extant evidence that favors USV. Specifically, we replicate extant tests in samples simulated from the unrestricted model. We show that none of the existing findings contradict the model without USV restrictions. C1 [Bikbov, Ruslan] Fed Reserve Board, Washington, DC 20551 USA. [Chernov, Mikhail] London Business Sch, London NW1 4SA, England. [Chernov, Mikhail] CEPR, London NW1 4SA, England. RP Bikbov, R (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM ruslan.bikbov@frb.gov; mchernov@london.edu NR 45 TC 4 Z9 4 U1 1 U2 11 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 AUG PY 2009 VL 55 IS 8 BP 1292 EP 1305 DI 10.1287/mnsc.1090.1020 PG 14 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 481KY UT WOS:000268811000003 ER PT J AU Contessi, S De Pace, P AF Contessi, Silvio De Pace, Pierangelo TI Do European capital flows comove? SO NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE LA English DT Article DE Capital flows volatility; Foreign direct investment; Foreign portfolio investment; Uniform spacings; Group effects AB We study the cross-section correlations of net, total, and disaggregated capital flows for the major source and recipient European Union countries. We seek evidence of changes in these correlations since the introduction of the euro to understand whether the European Union can be considered a unique entity with regard to its international capital flows. We make use of Ng's (2006) "uniform spacing" methodology to rank cross-section correlations and to shed light on potential common factors driving international capital flows. We find that a common factor structure is suitable for equity flows disaggregated by sign but not for net and total flows. We only find mixed evidence that correlations between types of flows have changed since the introduction of the euro. (C) 2009 Elsevier Inc. All rights reserved. C1 [De Pace, Pierangelo] Johns Hopkins Univ, Baltimore, MD 21218 USA. [Contessi, Silvio] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP De Pace, P (reprint author), Johns Hopkins Univ, 3400 N Charles St, Baltimore, MD 21218 USA. EM pierangelo.depace@jhu.edu NR 22 TC 2 Z9 2 U1 1 U2 5 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 1062-9408 J9 N AM J ECON FINANC JI N. Am. Econ. Financ. PD AUG PY 2009 VL 20 IS 2 BP 145 EP 161 DI 10.1016/j.najef.2009.02.002 PG 17 WC Business, Finance; Economics SC Business & Economics GA V18WF UT WOS:000208034200005 ER PT J AU Thomas, CP Marquez, J Fahle, S AF Thomas, Charles P. Marquez, Jaime Fahle, Sean TI MEASURES OF INTERNATIONAL RELATIVE PRICES FOR CHINA AND THE USA SO PACIFIC ECONOMIC REVIEW LA English DT Article ID ELASTICITIES; INCOME AB In this paper we assemble a measure of international relative prices to gauge the average amount by which prices in China and the USA differ from the prices of their trading partners. Our estimated weighted average of relative prices for China and the USA are the first to use the significantly revised purchasing power parities embodied in the price data from the World Bank's World Development Indicators. Our analysis reveals several findings of interest. First, interactions between the structure of trade and the levels of relative prices are sufficiently important to induce divergences between the weighted average of relative prices and conventional real effective exchange-rate indexes. Second, revisions embodied in World Development Indicators price data generally lower the estimate of US international relative prices. Third, net exports are inversely related to the estimate of US international relative price, but, for China, the correlation is positive. Estimating this correlation for other countries reveals no systematic pattern related to the level of development alone. Fourth, unlike previous work, using our price measures we find that an increase in US prices relative to Chinese prices raises the share of China's exports to the USA. Finally, there is a distinct possibility of eliminating the long-standing differential in income elasticities of US trade in empirical applications. C1 [Thomas, Charles P.; Marquez, Jaime; Fahle, Sean] Fed Reserve Board, Washington, DC 20551 USA. RP Marquez, J (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM jaime.marquez@frb.gov NR 25 TC 3 Z9 3 U1 0 U2 7 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1361-374X J9 PAC ECON REV JI Pac. Econ. Rev. PD AUG PY 2009 VL 14 IS 3 BP 376 EP 397 DI 10.1111/j.1468-0106.2009.00456.x PG 22 WC Economics SC Business & Economics GA 476TB UT WOS:000268466900006 ER PT J AU Garriga, C Sanchez-Losada, F AF Garriga, Carlos Sanchez-Losada, Fernando TI Estate taxation with warm-glow altruism SO PORTUGUESE ECONOMIC JOURNAL LA English DT Article DE Optimal taxation; Altruism; Dynamic general equilibrium ID INTERGENERATIONAL TRANSFERS; ACCUMULATION; WEALTH AB This article examines the properties of the optimal fiscal policy in an economy with warm-glow altruism (utility interdependence) and heterogeneous individuals. We propose a new efficiency concept, D-efficiency, that considers an implicit constraint in the act of giving: Donors cannot bequeath to donees more than their existing resources. Considering this constraint, we show that the market equilibrium is not socially efficient. The efficient level of bequest transfers can be implemented by the market with estate and labor-income subsidies and a capital-income tax. In the absence of lump-sum taxation, the government faces a trade-off between minimizing distortions and eliminating external effects. The implied tax policy differs from Pigovian taxation since the government's ability to correct the external effects is limited. Finally, we show that the efficiency-equity trade-off does not affect the qualitative features of the optimal distortionary fiscal policy. C1 [Sanchez-Losada, Fernando] Univ Barcelona, Dept Teoria Econ, Barcelona 08034, Spain. [Garriga, Carlos] Fed Reserve Bank, Div Res, St Louis, MO USA. RP Sanchez-Losada, F (reprint author), Univ Barcelona, Dept Teoria Econ, Diagonal 690, Barcelona 08034, Spain. EM fernando.sanchezlosada@ub.edu RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 19 TC 1 Z9 1 U1 0 U2 7 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1617-982X J9 PORT ECON J JI Port. Econ. J. PD AUG PY 2009 VL 8 IS 2 BP 99 EP 118 DI 10.1007/s10258-009-0040-1 PG 20 WC Economics SC Business & Economics GA 482BM UT WOS:000268858600002 ER PT J AU Alvarez, F Atkeson, A Edmond, C AF Alvarez, Fernando Atkeson, Andrew Edmond, Chris TI SLUGGISH RESPONSES OF PRICES AND INFLATION TO MONETARY SHOCKS IN AN INVENTORY MODEL OF MONEY DEMAND SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID RATIONAL-EXPECTATIONS; INTEREST-RATES; TRANSACTIONS DEMAND; EXCHANGE-RATES; DYNAMICS; MARKET; OUTPUT; COSTS; STATE; CONTRACTS AB We examine the responses of prices and inflation to monetary shocks in an inventory-theoretic model of money demand. We show that the price level responds sluggishly to an exogenous increase in the money stock because the dynamics of households' money inventories leads to a partially offsetting endogenous reduction in velocity. We also show that inflation responds sluggishly to an exogenous increase in the nominal interest rate because changes in monetary policy affect the real interest rate. In a quantitative example, we show that this nominal sluggishness is substantial and persistent if inventories in the model are calibrated to match U. S. households' holdings of M2. C1 [Alvarez, Fernando] Univ Chicago, Chicago, IL 60637 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ Calif Los Angeles, Los Angeles, CA 90024 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. NYU, New York, NY 10003 USA. Univ Melbourne, Melbourne, Vic 3010, Australia. RP Alvarez, F (reprint author), Univ Chicago, Chicago, IL 60637 USA. RI Edmond, Chris/B-7028-2012; OI Edmond, Chris/0000-0002-4621-8406 NR 49 TC 12 Z9 12 U1 0 U2 9 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 2009 VL 124 IS 3 BP 911 EP 967 PG 57 WC Economics SC Business & Economics GA 492WJ UT WOS:000269692900001 ER PT J AU Gagnon, E AF Gagnon, Etienne TI PRICE SETTING DURING LOW AND HIGH INFLATION: EVIDENCE FROM MEXICO SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID MENU COSTS; ADJUSTMENT; RIGIDITY; FACTS AB This paper provides new insight into the relationship between inflation and the setting of individual prices by examining a large data set of Mexican consumer prices covering episodes of both low and high inflation. When the annual rate of inflation is low (below 10%-15%), the frequency of price changes comoves weakly with inflation because movements in the frequency of price decreases and increases partly offset each other. In contrast, the average magnitude of price changes correlates strongly with inflation because it is sensitive to movements in the relative shares of price increases and decreases. When inflation rises beyond 10%-15%, few price decreases are observed and both the frequency and average magnitude are important determinants of inflation. I show that a menu-cost model with idiosyncratic technology shocks predicts the average frequency and magnitude of price changes well over a range of inflation similar to that experienced by Mexico. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Gagnon, E (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 24 TC 41 Z9 41 U1 0 U2 8 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD AUG PY 2009 VL 124 IS 3 BP 1221 EP 1263 PG 43 WC Economics SC Business & Economics GA 492WJ UT WOS:000269692900008 ER PT J AU Sullivan, D von Wachter, T AF Sullivan, Daniel von Wachter, Till TI JOB DISPLACEMENT AND MORTALITY: AN ANALYSIS USING ADMINISTRATIVE DATA SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID HEALTH; WORKERS; UNEMPLOYMENT; INSURANCE; EARNINGS; CAREERS; LOSSES; MODELS; IMPACT; DEATH AB We use administrative data on the quarterly employment and earnings of Pennsylvanian workers in the 1970s and 1980s matched to Social Security Administration death records covering 1980-2006 to estimate the effects of job displacement on mortality. We find that for high-seniority male workers, mortality rates in the year after displacement are 50%-100% higher than would otherwise have been expected. The effect on mortality hazards declines sharply over time, but even twenty years after displacement, we estimate a 10%-15% increase in annual death hazards. If such increases were sustained indefinitely, they would imply a loss in life expectancy of 1.0-1.5 years for a worker displaced at age forty. We show that these results are not due to selective displacement of less healthy workers or to unstable industries or firms offering less healthy work environments. We also show that workers with larger losses in earnings tend to suffer greater increases in mortality. This correlation remains when we examine predicted earnings declines based on losses in industry, firm, or firm-size wage premiums. C1 [Sullivan, Daniel] Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. Columbia Univ, Dept Econ, New York, NY 10027 USA. NBER, Cambridge, MA 02138 USA. RP Sullivan, D (reprint author), Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. NR 47 TC 172 Z9 172 U1 5 U2 24 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD AUG PY 2009 VL 124 IS 3 BP 1265 EP 1306 PG 42 WC Economics SC Business & Economics GA 492WJ UT WOS:000269692900009 ER PT J AU Lee, SJ AF Lee, Seung Jung TI How Information Quality of Macro Aggregates Affects Sovereign Risk: An Empirical Investigation SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article AB This paper looks at the relationship between data quality of macro aggregates and the repayment ratio for debt payments due in a given year after a country defaults. We find empirical evidence that good information of macro aggregates reduces sovereign risk by enhancing the repayment ratio conditional on default, while having an insignificant effect on the default probability. The estimation accounts for selection bias by using a cross-country panel data of 69 developing countries for 1989-2002. Careful consideration is taken to establish information quality of macro aggregates as an exogenous institutional variable. Results are robust to controlling for various governance factors, income levels, and regional factors, etc. Linking information quality to creditors' bargaining power is more consistent with our findings than linking poor information quality to information asymmetry. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Lee, SJ (reprint author), Fed Reserve Syst, Board Governors, 21st St & Constitut Ave NW, Washington, DC 20551 USA. EM seung.j.lee@frb.gov NR 26 TC 5 Z9 5 U1 0 U2 2 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0965-7576 J9 REV INT ECON JI Rev. Int. Econ. PD AUG PY 2009 VL 17 IS 3 BP 510 EP 532 DI 10.1111/j.1467-9396.2009.00814.x PG 23 WC Economics SC Business & Economics GA V16BN UT WOS:000207845200008 ER PT J AU McGranahan, L AF McGranahan, Leslie TI The widow's offering: Inheritance, family structure, and the charitable gifts of women SO EXPLORATIONS IN ECONOMIC HISTORY LA English DT Article DE Charitable bequests; Bequests; Altruism; Gender differences; Charitable giving; Blinder-Oaxaca decomposition ID GENDER DIFFERENCES AB Researchers and commentators have compared men and women's charitable giving patterns and have concluded that one sex was more generous than the other. Most research based on modern data has found women to be more philanthropic than men. In this article, I compare charitable donations of unmarried men and women in a sample of wills from 17th Century England. I find that men are more likely to make donations than women and make larger average donations. This difference in giving can be explained by differences in wealth and family structure and should not be ascribed to differences in charitable impulses. (C) 2009 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP McGranahan, L (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM Leslie.McGranahan@chi.frb.org NR 22 TC 5 Z9 5 U1 1 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0014-4983 J9 EXPLOR ECON HIST JI Explor. Econ. Hist. PD JUL PY 2009 VL 46 IS 3 BP 356 EP 367 DI 10.1016/j.eeh.2009.04.001 PG 12 WC Economics; History Of Social Sciences SC Business & Economics; Social Sciences - Other Topics GA 466CD UT WOS:000267637300006 ER PT J AU Bullard, J AF Bullard, James TI President's Welcome SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material ID MONETARY-POLICY C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM james.b.bullard@stls.frb.org RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 4 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2009 VL 91 IS 4 BP 179 EP 180 PG 2 WC Business, Finance; Economics SC Business & Economics GA 474GC UT WOS:000268269600001 ER PT J AU Anderson, RG AF Anderson, Richard G. TI Projecting Potential Growth: Issues and Measurement Proceedings of the Thirty-Third Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis Introduction SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Anderson, RG (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM richard.g.anderson@stls.frb.org NR 0 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2009 VL 91 IS 4 BP 181 EP 185 PG 5 WC Business, Finance; Economics SC Business & Economics GA 474GC UT WOS:000268269600002 ER PT J AU Basu, S Fernald, JG AF Basu, Susanto Fernald, John G. TI What Do We Know (And Not Know) About Potential Output? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 33rd Annual Economic Policy Conference of the Federal-Reserve-Bank-of-St-Louis CY OCT 20-21, 2008 CL St Louis, MO SP Fed Reserve Bank St Louis ID BUSINESS CYCLES; INFORMATION TECHNOLOGY; CYCLICAL UNEMPLOYMENT; INDIVISIBLE LABOR; SECTORAL SHIFTS; ECONOMIC-GROWTH; PRODUCTIVITY; RESURGENCE; SHOCKS; COST AB Potential Output is an important concept in economics. Policymakers Often use a one-sector neoclassical model to think about long-run growth, and they often assume that potential Output is a smooth series in the short run-approximated by a medium- or long-run estimate. But in both the short and the long run, the one-sector model falls short empirically, reflecting the importance of rapid technological change in producing investment goods: and few, if any, modern macroeconomic models would imply that, at business cycle frequencies, potential Output is a smooth Series. Discussing these points allows the authors to discuss a range of other issues that are less well understood and where further research Could be valuable. (JEL E32, O41, E60) C1 [Basu, Susanto] Boston Coll, Dept Econ, Chestnut Hill, MA 02167 USA. [Basu, Susanto] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Fernald, John G.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Basu, S (reprint author), Fed Reserve Bank Boston, Boston, MA USA. EM susanto.basu@bc.edu; john.fernald@sf.frb.org NR 66 TC 10 Z9 10 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 JUL-AUG PY 2009 VL 91 IS 4 BP 187 EP 213 PG 27 WC Business, Finance; Economics SC Business & Economics GA 474GC UT WOS:000268269600003 ER PT J AU Tetlow, RJ AF Tetlow, Robert J. TI The Challenges of Estimating Potential Output in Real Time SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material ID ACCELERATING INFLATION APPROACH C1 Fed Reserve Board, Div Res & Stat, Washington, DC USA. RP Tetlow, RJ (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC USA. EM robert.i.tetlow@frb.gov NR 10 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2009 VL 91 IS 4 BP 291 EP 296 PG 6 WC Business, Finance; Economics SC Business & Economics GA 474GC UT WOS:000268269600010 ER PT J AU Anderson, RG Gascon, CS AF Anderson, Richard G. Gascon, Charles S. TI Estimating US Output Growth with Vintage Data in a State-Space Framework SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 33rd Annual Economic Policy Conference of the Federal-Reserve-Bank-of-St-Louis CY OCT 20-21, 2008 CL St Louis, MO SP Fed Reserve Bank St Louis ID REAL-TIME; DATA REVISIONS; GAP; INVESTMENT; INFLATION; MODELS; GDP AB This study uses a state-space model to estimate the "true" unobserved measure of total output in the U.S. economy. The analysis uses the entire history (i.e., all vintages) of selected real-time data series to compute revisions and corresponding statistics for those series. The revision statistics, along with the most recent data vintage, are used in a state-space model to extract filtered estimates of the "true" series. Under certain assumptions, Monte Carlo simulations suggest this framework can improve published estimates by as much as 30 percent, lasting an average of 71 periods. Real-time experiments using a measure: of real gross domestic product show improvement closer to 10 percent, lasting for 1 to 2 quarters. (JEL C10, C53, E01) C1 [Anderson, Richard G.; Gascon, Charles S.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Anderson, RG (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM richard.g.anderson@stls.frb.org; charles.s.gascon@stls.frb.org RI Gascon, Charles/L-8119-2016 OI Gascon, Charles/0000-0002-6129-5741 NR 26 TC 1 Z9 1 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 JUL-AUG PY 2009 VL 91 IS 4 BP 349 EP 369 PG 21 WC Business, Finance; Economics SC Business & Economics GA 474GC UT WOS:000268269600015 ER PT J AU Coulibaly, B AF Coulibaly, Brahima TI CURRENCY UNIONS AND CURRENCY CRISES: AN EMPIRICAL ASSESSMENT SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article DE Currency union; currency crises; speculative attacks; exchange rate; speculative pressure ID PAYMENTS CRISES; BALANCE; MODELS; MARKET AB Using panel data of 192 Countries from 1970 through 1999, and 195 currency crisis episodes, this study examines the effect of membership in a currency union on the probability of experiencing a Currency crisis. Both parametric and nonparametric estimates suggest that membership in a Currency union reduces the likelihood of a Currency crash. This finding is robust to various definitions of currency crises and exchange rates, across time, and across regions. The results are further confirmed by case Studies of some countries that joined or left a currency union. We interpret these findings to suggest that the formation Of Currency unions should not be ruled out in the debate oil stability and the new financial architecture. Copyright (C) 2008 John Wiley & Sons, Ltd. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Coulibaly, B (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Mail Stop 24, Washington, DC 20551 USA. EM brahima.coulibaly@frb.gov NR 44 TC 4 Z9 4 U1 0 U2 3 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 1076-9307 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD JUL PY 2009 VL 14 IS 3 BP 199 EP 221 DI 10.1002/ijfe.363 PG 23 WC Business, Finance SC Business & Economics GA 470JL UT WOS:000267970900001 ER PT J AU Wheelock, DC Wilson, PW AF Wheelock, David C. Wilson, Paul W. TI Robust Nonparametric Quantile Estimation of Efficiency and Productivity Change in US Commercial Banking, 1985-2004 SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Commercial banks; Efficiency; Productivity; Quantile estimation ID FLEXIBLE FUNCTIONAL FORMS; DATA ENVELOPMENT ANALYSIS; FRONTIER MODELS; FINANCIAL INSTITUTIONS; DETECTING OUTLIERS; PERFORMANCE; INDUSTRY; PROGRESS; OUTPUTS; DEMAND AB This article uses a new nonparametric, unconditional, hyperbolic order-alpha quantile estimator to construct a hyperbolic version of the Malmquist index. Unlike traditional nonparametric efficiency estimators, the new estimator is both robust to data outliers and has a root-n convergence rate. We use this estimator to examine changes in the efficiency and productivity of U.S. banks between 1985 and 2004. We find that larger banks experienced larger efficiency and productivity gains than small banks, consistent with the presumption that recent changes in regulation and information technology have favored larger banks. C1 [Wheelock, David C.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Wilson, Paul W.] Clemson Univ, John E Walker 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@clemson.edu RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 46 TC 20 Z9 20 U1 1 U2 15 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JUL PY 2009 VL 27 IS 3 BP 354 EP 368 DI 10.1198/jbes.2009.06145 PG 15 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 491VX UT WOS:000269610800011 ER PT J AU Mishkin, FS AF Mishkin, Frederic S. TI Globalization and financial development SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article; Proceedings Paper CT Conference on New Perspectives on Financial Globalization CY APR 26-27, 2007 CL Washington, DC SP Int Monetary Fund, Res Dept DE Globalization; Financial development; Trade liberalization; Economic growth; Institutional reform ID ECONOMIC-REFORM; CROSS-COUNTRY; GROWTH; OPENNESS; LIBERALIZATION; TRADE; MARKETS; INTEGRATION; BOOMS AB This paper argues that globalization is a key factor in stimulating institutional reforms in developing countries that promote financial development and economic growth. Advanced countries can help in this process by supporting the opening of their markets to goods and services from emerging-market countries. By encouraging these countries to increase their participation in global markets, advanced countries can create exactly the right incentives for developing countries to implement the reforms that will enable them to have high economic growth. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Mishkin, FS (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM fsm3@columbia.edu NR 62 TC 19 Z9 20 U1 1 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 EI 1872-6089 J9 J DEV ECON JI J. Dev. Econ. PD JUL PY 2009 VL 89 IS 2 SI SI BP 164 EP 169 DI 10.1016/j.jdeveco.2007.11.004 PG 6 WC Economics SC Business & Economics GA 452AP UT WOS:000266512300002 ER PT J AU Durdu, CB Mendoza, EG Terrones, ME AF Durdu, Ceyhun Bora Mendoza, Enrique G. Terrones, Marco E. TI Precautionary demand for foreign assets in Sudden Stop economies: An assessment of the New Mercantilism SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article; Proceedings Paper CT Conference on New Perspectives on Financial Globalization CY APR 26-27, 2007 CL Washington, DC SP Int Monetary Fund, Res Dept DE Fisherian deflation; Liability dollarization; Financial globalization; Credit constraints; Precautionary saving; New Mercantilism; Sudden Stops ID COUNTRIES AB Financial globalization had a rocky start in emerging economies hit by Sudden Stops. Foreign reserves have grown very rapidly since then, as if those countries were practicing a New Mercantilism that views foreign reserves as a war chest for defense against Sudden Stops. This paper conducts a quantitative assessment of this argument using a stochastic intertemporal equilibrium framework in which precautionary foreign asset demand is driven by output variability, financial globalization, and Sudden Stop risk. In this framework, credit constraints produce endogenous Sudden Stops. We find that financial globalization and Sudden Stop risk can explain the surge in reserves but output variability cannot. These results hold using the intertemporal preferences of the Bewley-Aiyagari-Hugget precautionary savings model or the Uzawa-Epstein setup with endogenous impatience. (C) 2008 Elsevier B.V. All rights reserved, C1 [Durdu, Ceyhun Bora] Fed Reserve Board, Washington, DC USA. [Mendoza, Enrique G.] Univ Maryland, College Pk, MD 20742 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, Washington, DC USA. EM bora.durdu@frb.gov RI Terrones, Mauricio/B-3829-2014; fungsen, chan/H-1983-2016 NR 35 TC 43 Z9 44 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD JUL PY 2009 VL 89 IS 2 BP 194 EP 209 DI 10.1016/j.jdeveco.2008.01.010 PG 16 WC Economics SC Business & Economics GA 452AP UT WOS:000266512300005 ER PT J AU Smith, KA Valderrama, D AF Smith, Katherine A. Valderrama, Diego TI The composition of capital inflows when emerging market firms face financing constraints SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article; Proceedings Paper CT Conference on New Perspectives on Financial Globalization CY APR 26-27, 2007 CL Washington, DC SP Int Monetary Fund, Res Dept DE Capital inflow composition; Financing premium; Financial frictions; Small open economy ID FOREIGN DIRECT-INVESTMENT; LIQUIDITY; FLOWS AB The composition of capital inflows to emerging market economies tends to follow a predictable dynamic pattern across the business cycle. In most emerging market economies, total inflows are pro-cyclical, with debt and portfolio equity flowing in first, followed later in the expansion by foreign direct investment (FDI). To understand the dynamic composition of these flows, we use a small open economy (SOE) framework to model the composition of capital inflows as the equilibrium outcome of emerging market firms' financing decisions. We show how costly external financing and FDI search costs generate a state contingent cost of financing such that the cheapest source of financing depends on the phase of the business cycle. In this manner, the financial frictions are able to explain the interaction between the types of flows and deliver a time-varying composition of flows, as well as other standard features of emerging market business cycles. If, as this work suggests, flows are an equilibrium outcome of firms' financing decisions, then volatility of capital inflows is not necessarily bad for an economy. Furthermore, using capital controls to shut down one type of flow and encourage another is certain to have both short- and long-run welfare implications. Published by Elsevier B.V. C1 [Smith, Katherine A.] USN Acad, Dept Econ, Annapolis, MD 21402 USA. [Valderrama, Diego] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Smith, KA (reprint author), USN Acad, Dept Econ, 589 McNair Rd, Annapolis, MD 21402 USA. EM ksmith@usna.edu; Diego.Valderrama@sf.rb.org NR 23 TC 13 Z9 14 U1 1 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD JUL PY 2009 VL 89 IS 2 BP 223 EP 234 DI 10.1016/j.jdeveco.2008.05.003 PG 12 WC Economics SC Business & Economics GA 452AP UT WOS:000266512300007 ER PT J AU Kehoe, TJ Ruhl, KJ AF Kehoe, Timothy J. Ruhl, Kim J. TI Sudden stops, sectoral reallocations, and the real exchange rate SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article; Proceedings Paper CT Conference on New Perspectives on Financial Globalization CY APR 26-27, 2007 CL Washington, DC SP Int Monetary Fund, Res Dept DE Sudden stop; Developing country crisis; Real exchange rate; Tradable; Nontradable; Mexico; Total factor productivity ID RATE FLUCTUATIONS; BUSINESS-CYCLE; CRISES; DEBT; EXPECTATIONS; INVESTMENT; MEXICO; DECADE; LOST AB A sudden stop of capital flows into a developing country tends to be followed by a rapid switch from trade deficits to surpluses, a depreciation of the real exchange rate, and decreases in output and total factor productivity. Substantial reallocation takes place from the nontraded sector to the traded sector. We construct a multisector growth model, calibrate it to the Mexican economy, and use it to analyze Mexico's 1994-95 crisis. When subjected to a sudden stop, the model accounts for the trade balance reversal and the real exchange rate depreciation, but it cannot account for the decreases in GDP and TFR Extending the model to include labor frictions and variable capital utilization, we still find that it cannot quantitatively account for the dynamics of output and productivity Without losing the ability to account for the movements of other variables. (C) 2009 Elsevier B.V. All rights reserved. C1 [Ruhl, Kim J.] NYU, Stern Sch Business, New York, NY 10003 USA. [Kehoe, Timothy J.] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Kehoe, Timothy J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Ruhl, KJ (reprint author), NYU, Stern Sch Business, New York, NY 10003 USA. EM kim.ruhl@gmail.com RI fungsen, chan/H-1983-2016; OI Ruhl, Kim/0000-0002-5772-7396 NR 41 TC 28 Z9 29 U1 1 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD JUL PY 2009 VL 89 IS 2 BP 235 EP 249 DI 10.1016/j.jdeveco.2009.01.003 PG 15 WC Economics SC Business & Economics GA 452AP UT WOS:000266512300008 ER PT J AU Rose, AK Spiegel, MM AF Rose, Andrew K. Spiegel, Mark M. TI International financial remoteness and macroeconomic volatility SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article; Proceedings Paper CT Conference on New Perspectives on Financial Globalization CY APR 26-27, 2007 CL Washington, DC SP Int Monetary Fund, Res Dept DE Empirical; Data; Cross-section; Business cycle; Capital; Distance; Proximity ID GROWTH; GLOBALIZATION; INTEGRATION; GEOGRAPHY; MARKETS; CRISES; TRADE; RISK AB This paper shows that proximity to major international financial centers seems to reduce business cycle volatility. In particular, we show that countries that are farther from major locations of international financial activity systematically experience more volatile growth rates in both output and consumption, even after accounting for political institutions, trade, and other controls. Our results are relatively robust in the sense that more financially remote countries are more volatile, though the results are not always statistically significant. The comparative strength of this finding is in contrast to the more ambiguous evidence found in the literature. (C) 2008 Elsevier B.V. All rights reserved. C1 [Rose, Andrew K.] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA. [Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Rose, AK (reprint author), Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 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 27 TC 15 Z9 15 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD JUL PY 2009 VL 89 IS 2 BP 250 EP 257 DI 10.1016/j.jdeveco.2008.04.005 PG 8 WC Economics SC Business & Economics GA 452AP UT WOS:000266512300009 ER PT J AU Canaday, N Tamura, R AF Canaday, Neil Tamura, Robert TI White discrimination in provision of black education: Plantations and towns SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Discrimination; Education; Development; Income convergence ID ECONOMIC-DEVELOPMENT; SEGREGATED SCHOOLS; WAGE DIFFERENTIALS; UNITED-STATES; GROWTH; SOUTH; INVESTMENT; PROGRESS; RACE; HETEROGENEITY AB We present a model of public provision of education for blacks in two discriminatory regimes, white plantation controlled, and white yeoman-town controlled. We show that the ability to migrate to a non-discriminating district constrains the ability of both types of regimes to discriminate. The model produces time series of educational outcomes for whites and blacks that mimic the behavior seen in Post Reconstruction South Carolina to the onset of the Civil Rights Act. It also fits the Post World War II black-white income differentials. (c) 2008 Elsevier B.V. All rights reserved. C1 [Tamura, Robert] Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA. [Canaday, Neil] Vanderbilt Univ, Nashville, TN 37235 USA. [Tamura, Robert] Atlanta Fed Reserve Bank, Atlanta, GA USA. RP Tamura, R (reprint author), Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA. EM rtamura@clemson.edu NR 49 TC 4 Z9 4 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 JUL PY 2009 VL 33 IS 7 BP 1490 EP 1530 DI 10.1016/j.jedc.2009.02.012 PG 41 WC Economics SC Business & Economics GA 455CW UT WOS:000266735400007 ER PT J AU Mola, S Guidolin, M AF Mola, Simona Guidolin, Massimo TI Affiliated mutual funds and analyst optimism SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Analyst coverage; Analyst optimism; Ratings; Mutual funds ID CONFLICTS-OF-INTEREST; EARNINGS FORECASTS; BANKING RELATIONSHIPS; RECOMMENDATIONS; PERFORMANCE; STOCK; UNDERWRITER; INFORMATION; DECISIONS; INVESTORS AB This paper extends the literature on analyst optimism. Our analysis of a large sample of recommendations issued from 1995 through 2006 indicates that sell-side analysts are likely to assign frequent and favorable ratings to a stock after the analysts' affiliated mutual funds invest in that stock. Controlling for a number of variables, including the ties between analysts and investment banks, we find that the greater the portfolio weight of a stock in the fund family, the more optimistic the stock ratings from affiliated analysts become. Since 2002, analysts' optimism on stocks held by affiliated mutual funds has declined. However, an analyst's decision of upgrading a stock to a "strong buy" rating is still significantly associated with the portfolio weight of that stock in the fund family. (C) 2009 Elsevier B.V. All rights reserved. C1 [Mola, Simona] Arizona State Univ, Dept Finance, WP Carey Sch Business, Tempe, AZ 85287 USA. [Guidolin, Massimo] Univ Manchester, Manchester Business Sch, MAFG, Manchester M15 6PB, Lancs, England. [Guidolin, Massimo] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Mola, S (reprint author), Arizona State Univ, Dept Finance, WP Carey Sch Business, Tempe, AZ 85287 USA. EM simona.mola@asu.edu NR 72 TC 17 Z9 17 U1 2 U2 18 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD JUL PY 2009 VL 93 IS 1 BP 108 EP 137 DI 10.1016/j.jfineco.2008.06.006 PG 30 WC Business, Finance; Economics SC Business & Economics GA 468RC UT WOS:000267836600007 ER PT J AU Mathis, J McAndrews, J Rochet, JC AF Mathis, Jerome McAndrews, James Rochet, Jean-Charles TI Rating the raters: Are reputation concerns powerful enough to discipline rating agencies? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Credit rating agencies; Conflicts of interest; Reputation; Repeated games ID CREDIBILITY; INFORMATION; MARKETS AB Credit rating agencies (CRAs) are accused of bearing a strong responsibility for contributing to the subprime crisis by having been deliberately too lax in the ratings of some structured products. In response to this accusation, CRAs argue that such an attitude would be too dangerous for them, since their reputation is at stake. The objective of this article is to examine the validity of this argument within a formal model: Are reputation concerns sufficient to discipline rating agencies.? We show that the reputation argument only works when a sufficiency large fraction of the CRA income comes from other sources than rating complex products. By contrast when rating complex products becomes a major source of income for the CRA, we show that it is always too lax with a positive probability and inflates ratings with probability one when its reputation is good enough. We provide some empirical support for this prediction, by showing that ceteris paribus, the proportion of subprime residential mortgage-backed securities (RMBS) that were rated AAA by the three main CRAs indeed increased over the last eight years. We analyze the policy implications of our findings and advocate for a new business model of CRAs that we call the platform-pays model. (C) 2009 Elsevier B.V. All rights reserved. C1 [Mathis, Jerome; Rochet, Jean-Charles] Toulouse Univ, Toulouse Sch Econ, GREMAQ, F-31000 Toulouse, France. [McAndrews, James] Fed Reserve Bank New York, New York, NY 10045 USA. [Rochet, Jean-Charles] Toulouse Univ, IDEI, F-31000 Toulouse, France. RP Mathis, J (reprint author), Toulouse Univ, Toulouse Sch Econ, GREMAQ, 21 Allee Brienne, F-31000 Toulouse, France. EM jerome.mathis@TSE-fr.eu; Jamie.McAndrews@ny.frb.org; rochet@cict.fr NR 20 TC 98 Z9 98 U1 9 U2 51 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 2009 VL 56 IS 5 BP 657 EP 674 DI 10.1016/j.jmoneco.2009.04.004 PG 18 WC Business, Finance; Economics SC Business & Economics GA 489XA UT WOS:000269458300005 ER PT J AU Van den Heuvel, SJ AF Van den Heuvel, Skander J. TI Comment on "Financial regulation and securitization: Evidence from subprime loans" by Benjamin Keys, Tanmoy Mukherjee, Amit Seru, and Vikrant Vig SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Board, Washington, DC 20551 USA. RP Van den Heuvel, SJ (reprint author), Fed Reserve Board, Mailstop 153,20th & C St NW, Washington, DC 20551 USA. EM skander.j.vandenheuvel@frb.gov RI Vig, Vikrant/G-6932-2014 NR 4 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 2009 VL 56 IS 5 BP 721 EP 724 DI 10.1016/j.jmoneco.2009.05.004 PG 4 WC Business, Finance; Economics SC Business & Economics GA 489XA UT WOS:000269458300010 ER PT J AU Krusell, P Mukoyama, T Sahin, A Smith, AA AF Krusell, Per Mukoyama, Toshihiko Sahin, Ayseguel Smith, Anthony A., Jr. TI Revisiting the welfare effects of eliminating business cycles SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Cost of business cycles; Incomplete markets; Heterogeneity ID RISK; COST; WEALTH AB We investigate the welfare effects of eliminating business cycles in a model with substantial consumer heterogeneity. The heterogeneity arises from uninsurable and idiosyncratic uncertainty in preferences and employment status. We calibrate the model to match the distribution of wealth in U.S. data and features of transitions between employment and unemployment. in comparison with much of the literature, we find rather large effects. For our benchmark model, we find welfare effects that. on average across all consumers, are of a bit more than one order of magnitude larger than those computed by Lucas [Lucas Jr., R.E,, 1987. Models of Business Cycles. Basil Blackwell, New York]. When we distinguish long- from short-term unemployment, long-term unemployment being distinguished by poor (and highly procyclical) employment prospects and low unemployment compensation, the average gain from eliminating cycles is as much as 1% in consumption equivalents. In addition, in both models, there are large differences across groups: very poor consumers gain a lot when cycles are removed (the long-term unemployed as much as around 30%), as do very rich consumers, whereas the majority of consumers-the "middle class"-sees much smaller gains from removing cycles. Inequality also rises Substantially upon removing cycles. (C) 2009 Elsevier Inc. All rights reserved. C1 [Smith, Anthony A., Jr.] Yale Univ, New Haven, CT 06520 USA. [Krusell, Per] Princeton Univ, Princeton, NJ 08544 USA. [Krusell, Per] NBER, Cambridge, MA 02138 USA. [Mukoyama, Toshihiko] Univ Virginia, Charlottesville, VA 22903 USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY USA. RP Smith, AA (reprint author), Yale Univ, 28 Hillhouse Ave,Room 306, New Haven, CT 06520 USA. EM tony.smith@yale.edu NR 16 TC 24 Z9 24 U1 0 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2009 VL 12 IS 3 BP 393 EP 404 DI 10.1016/j.red.2009.01.002 PG 12 WC Economics SC Business & Economics GA 456JM UT WOS:000266841600001 ER PT J AU Chambers, MS Garriga, C Schlagenhauf, D AF Chambers, Matthew S. Garriga, Carlos Schlagenhauf, Don TI The loan structure and housing tenure decisions in an equilibrium model of mortgage choice SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Housing finance; First-time buyers; Life-cycle ID LIFE-CYCLE; PREPAYMENT AB The objective of this paper is to understand how loan structure affects (i) the borrower's selection of a mortgage contract and (ii) the aggregate economy. We develop a quantitative equilibrium theory of mortgage choice where households can choose from a menu of long-term (nominal) mortgage loans. The model accounts for observed patterns in housing consumption, ownership, and portfolio allocations. We find that the loan structure is a quantitatively significant factor in a household's housing finance decision. The model suggests that the mortgage structure preferred by a household is dependent on age and income and that loan products with low initial payments offer an alternative to mortgages with no downpayment. These effects are more important when inflation is low. The presence of inflation reduces the real value of the mortgage payment and the outstanding loan over time reducing mobility. Changes in the structure of mortgages have implications for risk sharing. (C) 2009 Elsevier Inc. All rights reserved. C1 [Schlagenhauf, Don] Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. [Chambers, Matthew S.] Towson Univ, Towson, MD USA. [Garriga, Carlos] Fed Reserve Bank St Louis, St Louis, MO USA. RP Schlagenhauf, D (reprint author), Florida State Univ, Dept Econ, 246 Bellamy Bldg, Tallahassee, FL 32306 USA. EM dschlage@fsu.edu RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 24 TC 26 Z9 26 U1 1 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2009 VL 12 IS 3 BP 444 EP 468 DI 10.1016/j.red.2009.01.003 PG 25 WC Economics SC Business & Economics GA 456JM UT WOS:000266841600004 ER PT J AU Lahiri, A Yi, KM AF Lahiri, Amartya Yi, Kei-Mu TI A tale of two states: Maharashtra and West Bengal SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE West Bengal; Indian states; Development; Wedges ID POLICIES; INDIA AB In this paper we study the decline of West Bengal relative to Maharashtra, historically two of the most important states of India. In 1960, West Bengal's per capita income exceeded that of Maharashtra, the third richest state at the time. By 1993, it had fallen to just 69 percent of Maharashtra's per capita income. We employ a "wedge" methodology based on the first order conditions of a multi-sector neoclassical growth model to ascertain the output and factor market sources of the divergent economic performances. Our diagnostic analysis reveals that a large part of West Bengal's development woes can be attributed to: (a) low sectoral productivity, especially in manufacturing and services; and (b) sectoral misallocation in labor markets between the manufacturing sector and the other sectors of the economy. We also present evidence on the labor market, the manufacturing sector, and public infrastructure that suggest a systematic worsening of the business environment in West Bengal during this period. Published by Elsevier Inc. C1 [Yi, Kei-Mu] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Lahiri, Amartya] Univ British Columbia, Dept Econ, Vancouver, BC V6T 1Z1, Canada. RP Yi, KM (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM alahiri@interchange.ubc.ca; kei-mu.yi@phil.frb.org NR 27 TC 2 Z9 2 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 2009 VL 12 IS 3 BP 523 EP 542 DI 10.1016/j.red.2008.09.006 PG 20 WC Economics SC Business & Economics GA 456JM UT WOS:000266841600008 ER PT J AU Alvarez, F Atkeson, A Kehoe, PJ AF Alvarez, Fernando Atkeson, Andrew Kehoe, Patrick J. TI Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID MARKET PARTICIPATION; TRANSACTIONS DEMAND; DYNAMIC ECONOMIES; FOREIGN-CURRENCY; REAL ACTIVITY; CONSUMPTION; LIQUIDITY; PREMIUM; MODELS; MONEY AB Under mild assumptions, the data indicate that fluctuations in nominal interest rate differentials across currencies are primarily fluctuations in time-varying risk. This finding is an immediate implication of the fact that exchange rates are roughly random walks. If most fluctuations in interest differentials are thought to be driven by monetary policy, then the data call for a theory which explains how changes in monetary policy change risk. Here, we propose such a theory based on a general equilibrium monetary model with an endogenous source of risk variation-a variable degree of asset market segmentation. C1 [Alvarez, Fernando] Univ Chicago, Chicago, IL 60637 USA. [Alvarez, Fernando; Atkeson, Andrew; Kehoe, Patrick J.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Atkeson, Andrew] Univ Calif, Fed Reserve Bank Minneapolis, Minneapolis, MN USA. [Kehoe, Patrick J.] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. RP Alvarez, F (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 42 TC 24 Z9 24 U1 4 U2 16 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2009 VL 76 IS 3 BP 851 EP 878 PG 28 WC Economics SC Business & Economics GA 458AI UT WOS:000266981300001 ER PT J AU Fitzpatrick, TJ Sagers, C AF Fitzpatrick, Thomas J. Sagers, Chris TI FAITH-BASED FINANCIAL REGULATION: A PRIMER ON OVERSIGHT OF CREDIT RATING ORGANIZATIONS SO ADMINISTRATIVE LAW REVIEW LA English DT Article ID CORPORATE-BONDS; STOCK-PRICES; WALL-STREET; ANALYSTS; YIELDS C1 [Fitzpatrick, Thomas J.] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. [Sagers, Chris] Cleveland State Univ, Cleveland, OH 44115 USA. RP Fitzpatrick, TJ (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. EM thomas.j.fitzpatrick@clev.frb.org; csagers@law.csuohio.edu NR 96 TC 3 Z9 3 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 0001-8368 J9 ADMIN LAW REV JI Adm. Law Rev. PD SUM PY 2009 VL 61 IS 3 BP 557 EP 610 PG 54 WC Law SC Government & Law GA 499CJ UT WOS:000270193900003 ER PT J AU Nelson, E AF Nelson, Edward TI An Overhaul of Doctrine: The Underpinning of UK Inflation Targeting SO ECONOMIC JOURNAL LA English DT Article; Proceedings Paper CT Conference on Sources of Macroeconomic Stability CY SEP 13-14, 2007 CL Bank England, London, ENGLAND HO Bank England ID MONETARY-POLICY; RULES AB The inflation targeting regime prevailing in the UK is not the result of a change in policy maker objectives. Analysis of UK policymakers' statements demonstrates that objectives have been essentially unchanged over five decades. Instead, the crucial underpinning of UK inflation targeting is an overhaul of doctrine. This overhaul involves changes in policymakers' views regarding key IS and Phillips curve parameters. They particularly have involved whether levels terms (of the real interest rate and the output gap) appear in the curves. Contrary to conventional wisdom, changing views on the expected-inflation term in the Phillips curve do not play a role. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Nelson, E (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 45 TC 5 Z9 5 U1 0 U2 6 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 JUN PY 2009 VL 119 IS 538 BP F333 EP F368 DI 10.1111/j.1468-0297.2009.02278.x PG 36 WC Economics SC Business & Economics GA 450TZ UT WOS:000266425100005 ER PT J AU Cohen, JP Coughlin, CC AF Cohen, Jeffrey P. Coughlin, Cletus C. TI Changing Noise Levels and Housing Prices Near the Atlanta Airport SO GROWTH AND CHANGE LA English DT Article ID RESIDENTIAL PROPERTY-VALUES; AIRCRAFT NOISE; IMPACT; PROXIMITY AB Using hedonic models, we analyze the effects of proximity and noise on housing prices in neighborhoods near Hartsfield-Jackson Atlanta International Airport during 1995-2002. Proximity to the airport is related positively to housing prices. We address complications caused by changes over time in the levels and geographic distribution of noise and by the fact that noise contours are measured infrequently. A general decline in noise boosted housing prices during 1995-2002. After accounting for proximity, house characteristics, and demographic variables, houses in noisier areas sold for less than houses subjected to less noise. Also, the noise discount is larger during 2000-2002 than 1995-1999. C1 [Cohen, Jeffrey P.] Univ Hartford, Barney Sch Business, Hartford, CT 06117 USA. [Coughlin, Cletus C.] Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. RP Cohen, JP (reprint author), Univ Hartford, Barney Sch Business, Hartford, CT 06117 USA. EM professorjeffrey@gmail.com; coughlin@stls.frb.org RI Coughlin, Cletus/K-6860-2016; OI Coughlin, Cletus/0000-0002-8304-2796; Cohen, Jeffrey/0000-0001-5467-7584 NR 24 TC 11 Z9 11 U1 0 U2 9 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0017-4815 J9 GROWTH CHANGE JI Growth Change PD JUN PY 2009 VL 40 IS 2 BP 287 EP 313 DI 10.1111/j.1468-2257.2009.00476.x PG 27 WC Planning & Development SC Public Administration GA 454RY UT WOS:000266701400004 ER PT J AU Hernando, I Nieto, MJ Wall, LD AF Hernando, Ignacio Nieto, Maria J. Wall, Larry D. TI Determinants of domestic and cross-border bank acquisitions in the European Union SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Bank acquisitions; Merger gains; Probability of acquisition ID INDUSTRY; MERGERS; PERFORMANCE; US AB This paper analyzes the determinants of bank acquisitions both within and across countries in the EU-25 over the period 1997-2004. Our results suggest poorly managed banks (high cost to income) and larger banks are more likely to be acquired by other banks in the same country. The probability of being a target in a cross-border deal is larger for banks that are quoted in the stock market. Finally, banks operating in more concentrated markets are less likely to be acquired by other banks in the same country but are more likely to be acquired by banks in other EU-25 countries. (c) 2008 Elsevier B.V. All rights reserved. C1 [Hernando, Ignacio; Nieto, Maria J.] Banco Espana, Madrid 28014, Spain. [Wall, Larry D.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Hernando, I (reprint author), Banco Espana, Alcala 48, Madrid 28014, Spain. EM hernando@bde.es; maria.nieto@bde.es; larry.wall@atl.frb.org NR 31 TC 22 Z9 22 U1 1 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD JUN PY 2009 VL 33 IS 6 BP 1022 EP 1032 DI 10.1016/j.jbankfin.2008.10.017 PG 11 WC Business, Finance; Economics SC Business & Economics GA 434YI UT WOS:000265309800005 ER PT J AU Guidolin, M Timmermann, A AF Guidolin, Massimo Timmermann, Allan TI Forecasts of US short-term interest rates: A flexible forecast combination approach SO JOURNAL OF ECONOMETRICS LA English DT Article; Proceedings Paper CT 1st Symposium on Econometric Theory and Applications (SETA) CY MAY 18-20, 2005 CL Acad Sinica, Taipei, TAIWAN HO Acad Sinica DE Forecast combinations; Regime switches; Short term interest rates; Expectations hypothesis ID VECTOR AUTOREGRESSION; EXCHANGE-RATES; REGIME; MODELS; ACCURACY; TESTS AB This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that, accounting for both regimes in interest rate dynamics, and combining forecasts from different models, helps improve the out-of-sample forecasting performance for US short-term rates. Imposing restrictions from the expectations hypothesis on the forecasting model are found to help at long forecasting horizons. (c) 2008 Elsevier B.V. All rights reserved. C1 [Timmermann, Allan] Univ Calif San Diego, La Jolla, CA 92093 USA. [Guidolin, Massimo] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Guidolin, Massimo] Manchester Business Sch, MAFG, Manchester M15 6PB, Lancs, England. RP Timmermann, A (reprint author), Univ Calif San Diego, 9500 Gilman Dr, La Jolla, CA 92093 USA. EM Massimo.Guidolin@mbs.ac.uk; atimmerm@ucsd.edu NR 29 TC 24 Z9 24 U1 1 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD JUN PY 2009 VL 150 IS 2 BP 297 EP 311 DI 10.1016/j.jeconom.2008.12.004 PG 15 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 459NN UT WOS:000267109800015 ER PT J AU Burks, S Carpenter, J Goette, L AF Burks, Stephen Carpenter, Jeffrey Goette, Lorenz TI Performance pay and worker cooperation: Evidence from an artefactual field experiment SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Field experiment; Social preferences; Compensation schemes; Sorting ID SOCIAL PREFERENCES AB We report the results of an artefactual field experiment with bicycle messengers in Switzerland and the United States. Messenger work is individualized enough that firms can choose to condition pay on it, but significant externalities in messenger behavior nonetheless give their on-the-job interactions the character of a social dilemma. Second-mover behavior in our sequential prisoner's dilemma allows us to characterize the cooperativeness of our participants. Among messengers, we find that employees at firms that pay for performance are significantly less cooperative than those at firms that pay hourly wages or who are members of cooperatives. To examine whether the difference is the result of treatment or selection we exploit the fact that firm type is location-specific in Switzerland and that entering messengers must work in performance pay firms in the U.S. (C) 2009 Elsevier B.V. All rights reserved. C1 [Goette, Lorenz] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Burks, Stephen] Univ Minnesota, Div Social Sci, Morris, MN 56267 USA. [Burks, Stephen; Carpenter, Jeffrey; Goette, Lorenz] Inst Study Labor IZA, D-53113 Bonn, Germany. [Carpenter, Jeffrey] Middlebury Coll, Dept Econ, Middlebury, VT 05753 USA. RP Goette, L (reprint author), Fed Reserve Bank Boston, Res Dept, 600 Atlantic Ave, Boston, MA 02210 USA. EM svburks@morris.umn.edu; jpc@middlebury.edu; lorenz.goette@bos.frb.org NR 23 TC 21 Z9 22 U1 2 U2 13 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 JUN PY 2009 VL 70 IS 3 BP 458 EP 469 DI 10.1016/j.jebo.2008.02.012 PG 12 WC Economics SC Business & Economics GA 460GJ UT WOS:000267175900004 ER PT J AU Bhattacharya, J Haslag, JH Martin, A AF Bhattacharya, Joydeep Haslag, Joseph H. Martin, Antoine TI Why does overnight liquidity cost more than intraday liquidity? SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Overnight liquidity; Intraday liquidity; Friedman rule; Monetary policy; Random-relocation models ID FRIEDMAN RULE; SETTLEMENT; PAYMENTS; BANKING; MONEY; MODEL; OPTIMALITY AB In this paper, we argue that the observed difference in the cost of intraday and overnight liquidity is part of an optimal payments system design. In our environment, overnight liquidity affects output while intraday liquidity affects only the distribution of resources between money holders and non-money holders. The low cost of intraday liquidity is explained by the Friedman rule. The optimal cost differential achieves the twin objective of reducing the incentive to overuse money at night and encouraging payment-risk sharing during the day. (C) 2009 Elsevier B.V. All rights reserved. C1 [Martin, Antoine] Fed Reserve Bank New York, New York, NY 10045 USA. [Bhattacharya, Joydeep] Iowa State Univ, Ames, IA 50011 USA. [Haslag, Joseph H.] Univ Missouri, Columbia, MO 65211 USA. RP Martin, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM Antoine.Martin@ny.frb.org OI Bhattacharya, Joydeep/0000-0002-3148-4592 NR 23 TC 3 Z9 3 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2009 VL 33 IS 6 BP 1236 EP 1246 DI 10.1016/j.jedc.2008.12.001 PG 11 WC Economics SC Business & Economics GA 447SG UT WOS:000266211500004 ER PT J AU Falato, A AF Falato, Antonio TI Happiness maintenance and asset prices SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE State-dependent utility; Affect and decision making; Equity premium puzzle ID EQUITY PREMIUM; CONSUMPTION; MARKET; RISK; BEHAVIOR; PUZZLE; RETURNS AB This paper constructs a simple dynamic asset pricing model that incorporates recent evidence on the influence of immediate emotions on risk preferences. Investors derive direct utility from both consumption and financial wealth and, consistent with the happiness maintenance feature documented by Isen (1999) and others, become more cautious toward their wealth in good times. Mild pro-cyclical changes in risk aversion over wealth cause large pro-cyclical fluctuations in the current price-dividend ratio which, due to general equilibrium restrictions, translate into counter-cyclical variation in the current consumption-wealth ratio and. in turn, in expected future returns. With a realistic consumption growth process and reasonable preference parameters, the model generates a sizable equity premium, a low and stable risk-free rate, volatile and predictable stock returns, and price-dividend and Sharpe ratios in line with the data. Published by Elsevier B.V. C1 Fed Reserve Board, Div Res & Stat, Washington, DC USA. RP Falato, A (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC USA. EM antonio.falato@frb.gov NR 34 TC 2 Z9 2 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2009 VL 33 IS 6 BP 1247 EP 1262 DI 10.1016/j.jedc.2008.09.007 PG 16 WC Economics SC Business & Economics GA 447SG UT WOS:000266211500005 ER PT J AU Carlson, MA AF Carlson, Mark A. TI The Evolution of Monetary Policy and Banking in the US SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 [Carlson, Mark A.] Fed Reserve Board, Washington, DC USA. RP Carlson, MA (reprint author), Fed Reserve Board, Washington, DC USA. NR 3 TC 0 Z9 0 U1 0 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD JUN PY 2009 VL 47 IS 2 BP 503 EP 505 PG 3 WC Economics SC Business & Economics GA 467CA UT WOS:000267712800014 ER PT J AU Gorton, G Kahl, M Rosen, RJ AF Gorton, Gary Kahl, Matthias Rosen, Richard J. TI Eat or Be Eaten: A Theory of Mergers and Firm Size SO JOURNAL OF FINANCE LA English DT Article ID ACQUIRING FIRMS; CORPORATE ACQUISITIONS; HORIZONTAL MERGERS; EMPIRICAL-EVIDENCE; MARKET VALUATION; TAKEOVER TARGETS; RISK REDUCTION; WAVES; INDUSTRY; PERFORMANCE AB We propose a theory of mergers that combines managerial merger motives with an industry-level regime shift that may lead to value-increasing merger opportunities. Anticipation of these merger opportunities can lead to defensive acquisitions, where managers acquire other firms to avoid losing private benefits if their firms are acquired, or "positioning" acquisitions, where firms position themselves as more attractive takeover targets to earn takeover premia. The identity of acquirers and targets and the profitability of acquisitions depend on the distribution of firm sizes within an industry, among other factors. We find empirical support for some unique predictions of our theory. C1 [Gorton, Gary] Yale Univ, New Haven, CT 06520 USA. [Gorton, Gary] NBER, Cambridge, MA 02138 USA. [Kahl, Matthias] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC USA. [Rosen, Richard J.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Gorton, G (reprint author), Yale Univ, New Haven, CT 06520 USA. NR 72 TC 36 Z9 37 U1 4 U2 45 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-1082 J9 J FINANC JI J. Financ. PD JUN PY 2009 VL 64 IS 3 BP 1291 EP 1344 DI 10.1111/j.1540-6261.2009.01465.x PG 54 WC Business, Finance SC Business & Economics GA 445CW UT WOS:000266028300007 ER PT J AU Ackert, LF Charupat, N Deaves, R Kluger, BD AF Ackert, Lucy F. Charupat, Narat Deaves, Richard Kluger, Brian D. TI Probability Judgment Error and Speculation in Laboratory Asset Market Bubbles SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID PROSPECT-THEORY; HOUSE MONEY; LOTTERIES; CRASHES; UNCERTAINTY AB In 12 sessions conducted in a typical bubble-generating experimental environment, we design a pair of assets that can detect both irrationality and speculative behavior. The specific form of irrationality we investigate is the probability judgement error associated with low-probability, high-payoff outcomes. Independently, we test for speculation by comparing prices off identically paying assets in multiperiod versus single-period markets. We establish that aggregate irrationality measured in one dimension (probability judgement error) is associated with aggregate irrationality measured in another (bubble formation). C1 [Ackert, Lucy F.] Kennesaw State Univ, Coles Coll Business, Dept Econ & Finance, Kennesaw, GA 30144 USA. [Ackert, Lucy F.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Charupat, Narat; Deaves, Richard] McMaster Univ, DeGroote Sch Business, Hamilton, ON L8S 4M4, Canada. [Kluger, Brian D.] Univ Cincinnati, Coll Business, Cincinnati, OH 45221 USA. RP Ackert, LF (reprint author), Kennesaw State Univ, Coles Coll Business, Dept Econ & Finance, 1000 Chastain Rd, Kennesaw, GA 30144 USA. EM lackert@kennesaw.edu; charupat@mcmail.cis.mcmaster.ca; deavesr@mcmaster.ca; brian.kluger@uc.edu NR 24 TC 7 Z9 7 U1 0 U2 8 PU UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION PI SEATTLE PA C/O OFFICE MANAGER, 115 LEWIS HALL, BOX 353200, SEATTLE, WA 98195-3200 USA SN 0022-1090 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD JUN PY 2009 VL 44 IS 3 BP 719 EP 744 DI 10.1017/S0022109009990019 PG 26 WC Business, Finance; Economics SC Business & Economics GA 487JN UT WOS:000269269300009 ER PT J AU Dwyer, GP Samartin, M AF Dwyer, Gerald P., Jr. Samartin, Margarita TI Why do banks promise to pay par on demand? SO JOURNAL OF FINANCIAL STABILITY LA English DT Article DE Banking panics; Suspension of payments; Banking history; Money market funds ID FINANCIAL INTERMEDIATION; LIQUIDITY PROVISION; MARKETS; RUNS; EQUILIBRIUM; PANICS; POLICY; INFORMATION; ALLOCATION; INSURANCE AB We survey the theories on why banks promise to pay par on demand and examine evidence on the conditions under which banks have promised to pay the par value of deposits and banknotes on demand when holding only fractional reserves. The theoretical literature is divided into four strands: liquidity provision; asymmetric information; legal restrictions; and a medium of exchange. We assume that it is not zero cost to make a promise to redeem a liability at par value on demand. If so, then the conditions in the theories that result in par redemption are possible explanations why banks promise to pay par on demand. If the explanation based on customers' demand for liquidity is correct, payment of deposits at par will be promised when banks hold assets that are illiquid in the short run. If the asymmetric-information explanation based on the difficulty of valuing assets is correct, the marketability of banks' assets determines whether banks promise to pay par. If the legal restrictions explanation of par redemption is correct, banks will not promise to pay par if they are not required to do so. If the transaction explanation is correct, banks will promise to pay par if the deposits are used in transactions. We examine the history of banking in several countries in different eras: fourth century Athens. medieval Italy, Tokugawa Japan, and free banking and money market mutual funds in the United States. Each of the theories explains some of the observed banking arrangements and none explains all of them. (C) 2008 Elsevier B.V. All rights reserved. C1 [Dwyer, Gerald P., Jr.] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Dwyer, Gerald P., Jr.; Samartin, Margarita] Univ Carlos III Madrid, Dept Econ Empresa, Madrid 28903, Spain. RP Dwyer, GP (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM gdwyer@dwyerecon.com; samartin@emp.uc3m.es NR 97 TC 5 Z9 5 U1 8 U2 18 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 JUN PY 2009 VL 5 IS 2 BP 147 EP 169 DI 10.1016/j.jfs.2008.01.002 PG 23 WC Business, Finance; Economics SC Business & Economics GA 649XF UT WOS:000281808100003 ER PT J AU Davis, MA Martin, RF AF Davis, Morris A. Martin, Robert F. TI Housing, home production, and the equity- and value-premium puzzles SO JOURNAL OF HOUSING ECONOMICS LA English DT Article DE Housing; House prices; Equity-premium; Value-premium ID BUSINESS-CYCLE; CONSUMPTION; ESTIMATORS; PRICE AB We ask if a standard representative agent model with a home-production sector can resolve the equity-premium or value-premium puzzles. In the model, agents value market (numeraire) consumption and a home consumption good that is produced from the stock of housing, home labor, and a labor-augmenting technology shock. We construct the Unobserved quantity of the home consumption good by combining observed data on numeraire consumption, hours worked in the marketplace, and rents paid on housing with restrictions of the model. We test the first-order conditions of the model using GMM. The model is rejected by the data; it cannot explain either the historical equity-premium or the value-premium. (C) 2009 Elsevier Inc. All rights reserved. C1 [Davis, Morris A.] Univ Wisconsin, Dept Real Estate & Urban Land Econ, Madison, WI 53706 USA. [Martin, Robert F.] Fed Reserve Board, Int Finance Div, Washington, DC 20051 USA. RP Davis, MA (reprint author), Univ Wisconsin, Dept Real Estate & Urban Land Econ, 5261 Grainger Hall,975 Univ Ave, Madison, WI 53706 USA. EM mdavis@bus.wisc.edu NR 18 TC 7 Z9 7 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 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD JUN PY 2009 VL 18 IS 2 BP 81 EP 91 DI 10.1016/j.jhe.2009.04.006 PG 11 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 459CW UT WOS:000267078500002 ER PT J AU Landry, A AF Landry, Anthony TI Expectations and exchange rate dynamics: A state-dependent pricing approach SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE State-dependent pricing; Variable demand elasticity; International business cycle transmission; Exchange rate dynamics ID MONETARY-POLICY; BUSINESS CYCLES; RATIONAL-EXPECTATIONS; PASS-THROUGH; MENU COSTS; MODELS; TRANSMISSION; PRICES; SHOCKS; RIGIDITIES AB This paper presents a two-country DSGE model with state-dependent pricing as in Dotsey et al. [Dotsey, M., King, R.G., and Wolman, A.L, 1999. State-dependent pricing and the general equilibrium dynamics of money and output. Quarterly journal of Economics 114, 655-690] and variable demand elasticity as in Kimball [Kimball, M.S., 1995. The quantitative analytics of the basis neomonetarist model. journal of Money, Credit, and Banking 27, 1241-1277]. Following a domestic monetary expansion, the model predicts: (i) positive hump-shaped responses of domestic output and consumption, (ii) positive spillover effects on foreign output and consumption, (iii) a high international output correlation relative to consumption correlation, (iv) a delayed increase in domestic and foreign inflation, (v) a delayed nominal exchange rate overshooting, (vi) a deterioration in the terms of trade. and (vii) a J-curve in the trade balance. The model matches the impulse responses from an identified VAR more closely than an otherwise identical model with time-dependent pricing. (C) 2009 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Landry, A (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM anthony.landry@dal.frb.org NR 43 TC 6 Z9 6 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD JUN PY 2009 VL 78 IS 1 BP 60 EP 71 DI 10.1016/j.jinteco.2009.01.010 PG 12 WC Economics SC Business & Economics GA 456KU UT WOS:000266845900006 ER PT J AU Strum, BE AF Strum, Brad E. TI Monetary Policy in a Forward-Looking Input-Output Economy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E50; E52; E58; inflation targeting; price-level targeting; intermediate goods ID PRICE-LEVEL; CYCLICAL BEHAVIOR; INFLATION; MODEL; COMMITMENT; TARGET; RATES; WAGE AB This paper examines the implications for monetary policy of sticky prices in both final and intermediate goods in a New Keynesian model. Both optimal policy under commitment and discretionary policy under simple loss functions are studied. Household utility losses under alternative loss functions are compared; additionally, the robustness of policy performance to model and shock misperceptions and parameter uncertainty is examined. Targeting inflation in both consumer and intermediate goods performs better than targeting inflation in one sector; targeting price levels of both final and intermediate goods performs significantly better. Moreover, targeting price levels in both sectors yields superior robustness properties. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Strum, BE (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM brad.e.strum@frb.gov NR 42 TC 1 Z9 1 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 JUN PY 2009 VL 41 IS 4 BP 619 EP 650 DI 10.1111/j.1538-4616.2009.00225.x PG 32 WC Business, Finance; Economics SC Business & Economics GA 445CU UT WOS:000266028100003 ER PT J AU Carlstrom, CT Fuerst, TS Paustian, M AF Carlstrom, Charles T. Fuerst, Timothy S. Paustian, Matthias TI Inflation Persistence, Monetary Policy, and the Great Moderation SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E31; E42; E52; E58; inflation persistence; great moderation; monetary policy; dynamic New Keynesian models AB There is growing evidence that the empirical Phillips curve within the United States has changed significantly since the early 1980s. In particular, inflation persistence has declined sharply. This paper demonstrates that this decline is consistent with a standard dynamic New Keynesian (DNK) model in which: (i) the variability of technology shocks has declined and (ii) the central bank more aggressively responds to inflation. C1 [Carlstrom, Charles T.; Fuerst, Timothy S.] Fed Reserve Bank Cleveland, Cleveland, OH USA. [Fuerst, Timothy S.; Paustian, Matthias] Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH USA. EM charles.t.carlstrom@clev.frb.org; tfuerst@bgsu.edu; paustim@bgsu.edu NR 11 TC 6 Z9 6 U1 1 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 JUN PY 2009 VL 41 IS 4 BP 767 EP 786 DI 10.1111/j.1538-4616.2009.00231.x PG 20 WC Business, Finance; Economics SC Business & Economics GA 445CU UT WOS:000266028100009 ER PT J AU Benhabib, J Spiegel, MM AF Benhabib, Jess Spiegel, Mark M. TI Moderate Inflation and the Deflation-Depression Link SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E3; E5; E6; E31; E42; E52; E58; E65; inflation; deflation; depression; growth; empirics ID MONETARY-POLICY; GROWTH; MONEY AB Recent research has concluded that the historical evidence only provides weak support for the contention that deflation episodes are harmful to economic growth. In this paper, we revisit this relationship by allowing for inflation and growth to have a nonlinear specification dependent on inflation levels. In particular, we allow for the possibility that high inflation is negatively correlated with growth, while a positive relationship exists over the range of negative to moderate inflation. Our results confirm a positive relationship between inflation and growth at moderate inflation levels, and support the contention that the relationship between inflation and growth is nonlinear over the entire sample range. C1 [Benhabib, Jess] NYU, New York, NY 10003 USA. [Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Benhabib, J (reprint author), NYU, New York, NY 10003 USA. EM jess.benhabib@nyu.edu; Mark.spiegel@sf.frb.org NR 15 TC 5 Z9 5 U1 3 U2 12 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2009 VL 41 IS 4 BP 787 EP 798 DI 10.1111/j.1538-4616.2009.00232.x PG 12 WC Business, Finance; Economics SC Business & Economics GA 445CU UT WOS:000266028100010 ER PT J AU Duca, JV Wu, T AF Duca, John V. Wu, Tao TI Regulation and the Neo-Wicksellian Approach to Monetary Policy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E43; E44; E50; neutral real interest rate; deposit regulation; price controls AB Laubach and Williams (2003) employ a Kalman filter approach to jointly estimate the neutral real federal funds rate and trend output growth using an IS relationship and an output-gap-based inflation equation. They find a positive link between these two variables, but also much error surrounding neutral real rate estimates. We modify their approach by including variables for regulations on deposit interest rates and on wages and prices. These variables are statistically significant and notably affect estimates of two policy-relevant coefficients: the sensitivity of output to the real interest rate and that of inflation to the output gap. C1 [Duca, John V.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. RP Duca, JV (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. EM John.V.Duca@dal.frb.org; Tao.wu@dal.frb.org NR 13 TC 4 Z9 4 U1 0 U2 4 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2009 VL 41 IS 4 BP 799 EP 807 DI 10.1111/j.1538-4616.2009.00233.x PG 9 WC Business, Finance; Economics SC Business & Economics GA 445CU UT WOS:000266028100011 ER PT J AU Mendoza, EG Quadrini, V Rios-Rull, JV AF Mendoza, Enrique G. Quadrini, Vincenzo Rios-Rull, Jose-Victor TI Financial Integration, Financial Development, and Global Imbalances SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID RISK AB Global financial imbalances can result from financial integration when countries differ in financial markets development. Countries with more advanced financial markets accumulate foreign liabilities in a gradual, long-lasting process. Differences in financial development also affect the composition of foreign portfolios: countries with negative net foreign asset positions maintain positive net holdings of non-diversifiable equity and foreign direct investment. Three observations motivate our analysis: (1) financial development varies widely even among industrial countries, with the United States on top; (2) the secular decline in the U. S. net foreign asset position started in the early 1980s, together with a gradual process of international financial integration; (3) the portfolio composition of U. S. net foreign assets features increased holdings of risky assets and a large increase in debt. C1 [Mendoza, Enrique G.] Univ Maryland, College Pk, MD 20742 USA. [Mendoza, Enrique G.; Quadrini, Vincenzo; Rios-Rull, Jose-Victor] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Quadrini, Vincenzo] Univ So Calif, Ctr Econ Policy Res, Los Angeles, CA 90089 USA. [Rios-Rull, Jose-Victor] Univ Minnesota, Fed Reserve Bank Minneapolis, Ctr Anal & Estudios Rios Perez, Ctr Econ Policy Res, Minneapolis, MN 55455 USA. RP Mendoza, EG (reprint author), Univ Maryland, College Pk, MD 20742 USA. NR 48 TC 117 Z9 118 U1 0 U2 22 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD JUN PY 2009 VL 117 IS 3 BP 371 EP 416 PG 46 WC Economics SC Business & Economics GA 453UQ UT WOS:000266638800001 ER PT J AU Kocherlakota, N Pistaferri, L AF Kocherlakota, Narayana Pistaferri, Luigi TI Asset Pricing Implications of Pareto Optimality with Private Information SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID CONSUMER EXPENDITURE SURVEY; EQUITY PREMIUM; EXCHANGE-RATES; MORAL HAZARD; CONSUMPTION; MODELS; HETEROGENEITY; PARTICIPATION; TAXATION; MARKETS AB We compare the empirical performance of a standard incomplete markets asset pricing model with that of a novel model with constrained Pareto-optimal allocations. We represent the models' stochastic discount factors in terms of the cross-sectional distribution of consumption and use these representations to evaluate the models' empirical implications. The first model is inconsistent with the equity premium in the United States, United Kingdom, and Italy. The second model is consistent with the equity premium and the risk-free rate in all three countries if the coefficient of relative risk aversion is roughly 5 and the quarterly discount factor is less than 0.5. C1 [Kocherlakota, Narayana] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Pistaferri, Luigi] Stanford Univ, Natl Bur Econ Res, Stanford, CA 94305 USA. RP Kocherlakota, N (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. NR 39 TC 17 Z9 17 U1 2 U2 7 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 JUN PY 2009 VL 117 IS 3 BP 555 EP 590 PG 36 WC Economics SC Business & Economics GA 453UQ UT WOS:000266638800005 ER PT J AU Spiegel, MM AF Spiegel, Mark M. TI Monetary and financial integration: Evidence from the EMU SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article; Proceedings Paper CT Conference on Financial Globalization CY SEP 04-05, 2007 CL Acad Hill, Tokyo, JAPAN SP Tokyo Ctr Econom Res, Natl Bureau Econom Res, Ctr Econom Policy Res, Univ Tokyo HO Acad Hill DE Monetary union; Financial integration; Difference-in-differences; Portugal; Greece ID TRADE AB This paper examines the impact of European Monetary Union (EMU) accession on bilateral international commercial bank lending patterns. Using a difference-in-differences methodology, I demonstrate that accession to the EMU was accompanied by a change in Portuguese and Greek borrowing in favor of borrowing from their EMU partner nations. This extends the evidence in the literature that overall international borrowing is facilitated by the creation of a monetary union, and raises the possibility of financial diversion. J. Japanese Int. Economies 23 (2) (2009) 114-130. Federal Reserve Bank of San Francisco, USA. (C) 2008 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM mark.spiegel@sf.frb.org NR 22 TC 11 Z9 11 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 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD JUN PY 2009 VL 23 IS 2 BP 114 EP 130 DI 10.1016/j.jjie.2008.07.001 PG 17 WC Economics; International Relations SC Business & Economics; International Relations GA 457OG UT WOS:000266940700003 ER PT J AU Hirasuna, DP Stinson, TF AF Hirasuna, Donald P. Stinson, Thomas F. TI Minnesota's Earned Income Credit Program: Utilization by Current and Former Welfare Households and the Impact of Policy Parameters SO NATIONAL TAX JOURNAL LA English DT Article ID TAX CREDIT; SINGLE MOTHERS; WORK; FAMILIES; EITC AB We examine the utilization of a state earned income credit by current and former welfare recipients using two measures: receipt among all current and former welfare recipients and among only those eligible for the credit. Both measures may be useful, depending upon which groups policymakers hope to target. We further characterize utilization by examining how receipt varies with earnings and by demographic group, the length of time current and former welfare households receive the state earned income credit, and whether recipient households respond to changes in the parameters to state earned income credit programs. C1 [Hirasuna, Donald P.] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Hirasuna, Donald P.] Minnesota House Representat, Res Dept, Minneapolis, MN 55401 USA. [Stinson, Thomas F.] Univ Minnesota, Dept Appl Econ, St Paul, MN 55108 USA. RP Hirasuna, DP (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. NR 25 TC 0 Z9 0 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 JUN PY 2009 VL 62 IS 2 BP 269 EP 298 PG 30 WC Business, Finance; Economics SC Business & Economics GA 479TW UT WOS:000268684800004 ER PT J AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. TI Combining Forecasts from Nested Models SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article DE C53; C52 ID OUTPUT GAP; INFLATION; SAMPLE AB Motivated by the common finding that linear autoregressive models often forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the unrestricted model is true, but a subset of the coefficients is treated as being local-to-zero. This approach captures the practical reality that the predictive content of variables of interest is often low. We derive mean square error-minimizing weights for combining the restricted and unrestricted forecasts. Monte Carlo and empirical analyses verify the practical effectiveness of our combination approach. C1 [Clark, Todd E.] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. [McCracken, Michael W.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 1 Mem Dr, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org; michael.w.mccracken@stls.frb.org RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 FU Deutsch Bundesbank; Federal Reserve Bank of Kansas City, FX We gratefully acknowledge excellent research assistance from Taisuke Nakata and helpful comments from anonymous referees, Jan Groen, David Hendry, Jim Stock, seminar participants at the Deutsch Bundesbank and Federal Reserve Bank of Kansas City, and participants at the Bank of England Workshop on Econometric Forecasting Models and Methods, the 2005 World Congress of the Econometric Society, NBER Summer Institute, and Stanford's SITE workshop on economic forecasting. The views expressed herein are solely those of the authors and do not necessary reflect the views of the Federal Reserve Banks of Kansas City or St Louis or the Federal Reserve System. NR 27 TC 7 Z9 7 U1 3 U2 8 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0305-9049 J9 OXFORD B ECON STAT JI Oxf. Bull. Econ. Stat. PD JUN PY 2009 VL 71 IS 3 BP 303 EP 329 DI 10.1111/j.1468-0084.2009.00547.x PG 27 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 428AK UT WOS:000264820000001 ER PT J AU Borzekowski, R Thomadsen, R Taragin, C AF Borzekowski, Ron Thomadsen, Raphael Taragin, Charles TI Competition and price discrimination in the market for mailing lists SO QME-QUANTITATIVE MARKETING AND ECONOMICS LA English DT Article DE Price discrimination; Competition; Direct marketing; Segmentation ID OLIGOPOLY; INFORMATION; CUSTOMERS AB This paper examines whether mailing list sellers, when faced with additional competitors, are more likely to try to segment consumers by offering additional choices at different prices (second-degree price discrimination) and/or offering different prices to readily identifiable groups of consumers (third-degree price discrimination). We utilize a dataset that includes information about all consumer response lists derived from mail order buyers (i.e. lists derived from catalogs) available for rental in 1997 and 2002. Our results indicate that increased competition leads to an increased propensity to price discriminate along each of the dimensions we investigate. These results hold for both second-degree and third-degree price discrimination. Further, list owners offer menus with more choices in more competitive markets. These results, taken together with results from other empirical studies, suggest that the connection between competition and increased price discrimination is a result that applies broadly. C1 [Thomadsen, Raphael] Univ Calif Los Angeles, Anderson Sch Management, Los Angeles, CA 90095 USA. [Borzekowski, Ron] Fed Reserve Board, Washington, DC 20551 USA. [Taragin, Charles] US Dept Justice, Washington, DC 20004 USA. RP Thomadsen, R (reprint author), Univ Calif Los Angeles, Anderson Sch Management, 110 Westwood Plaza,Suite B411, Los Angeles, CA 90095 USA. EM raphael.thomadsen@anderson.ucla.edu NR 44 TC 10 Z9 10 U1 2 U2 9 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 1570-7156 J9 QME-QUANT MARK ECON JI QME-Quant. Mark. Econ. PD JUN PY 2009 VL 7 IS 2 BP 147 EP 179 DI 10.1007/s11129-009-9050-7 PG 33 WC Business; Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 448GO UT WOS:000266251300002 ER PT J AU Valverde, SC del Paso, RL AF Carbo Valverde, Santiago Lopez del Paso, Rafael TI Bank-lending channel and non-financial firms: evidence for Spain SO SPANISH ECONOMIC REVIEW LA English DT Article DE Monetary policy transmission; Liquidity; Firms ID MONETARY-POLICY; TRADE CREDIT; EXTERNAL FINANCE; PANEL-DATA; TRANSMISSION; INVESTMENT; MARKET; INVENTORIES; INFORMATION; LIQUIDITY AB During the 1990s, liquidity was relatively abundant in the European Union and the European central banks mostly developed a relaxed monetary policy. While the bank lending channel view of the monetary policy would have suggested an increase in loans to firms in this context, the demand for bank corporate lending, however, slowed down, suggesting that monetary policy was not effective in this area. This article analyses how the financing behaviour of Spanish firms during 1992-2003 is related to their liquidity holdings and how this relationship may affect the effectiveness of the bank lending channel. The empirical evidence provided suggests that firms holding high liquid assets may replace bank lending by other sources of financing. Hence, higher liquidity holdings allow firms to invest in attractive investment projects in the event of a tightening of monetary conditions. C1 [Carbo Valverde, Santiago; Lopez del Paso, Rafael] Univ Granada, Fac Ciencias Eco & Empresari, Dept Teoria & Hist Econ, E-18071 Granada, Spain. [Carbo Valverde, Santiago] Fed Reserve Bank Chicago, Chicago, IL USA. RP Valverde, SC (reprint author), Univ Granada, Fac Ciencias Eco & Empresari, Dept Teoria & Hist Econ, Campus Univ Cartuja S-N, E-18071 Granada, Spain. EM scarbo@ugr.es; lopezdelpaso@yahoo.es NR 45 TC 1 Z9 1 U1 1 U2 6 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1435-5469 J9 SPAN ECON REV JI Span. Econ. Rev. PD JUN PY 2009 VL 11 IS 2 BP 125 EP 140 DI 10.1007/s10108-008-9046-6 PG 16 WC Economics SC Business & Economics GA 440FV UT WOS:000265687100003 ER PT J AU Palumbo, MG Parker, JA AF Palumbo, Michael G. Parker, Jonathan A. TI The Integrated Financial and Real System of National Accounts for the United States: Does It Presage the Financial Crisis? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 121st Annual Meeting of the American-Economic-Association CY JAN 03-05, 2009 CL San Francisco, CA SP Amer Econ Assoc C1 [Palumbo, Michael G.] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. [Parker, Jonathan A.] Northwestern Univ, Kellogg Sch Management, Evanston, IL 60208 USA. RP Palumbo, MG (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. EM Michael.G.Palumbo@frb.gov; Jonathan-Parker@Kellogg.Northwestern.edu NR 5 TC 3 Z9 3 U1 0 U2 3 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 2009 VL 99 IS 2 BP 80 EP 86 DI 10.1257/aer.99.2.80 PG 7 WC Economics SC Business & Economics GA 451GI UT WOS:000266458300014 ER PT J AU De Nardi, M French, E Jones, JB AF De Nardi, Mariacristina French, Eric Jones, John Bailey TI Life Expectancy and Old Age Savings SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 121st Annual Meeting of the American-Economic-Association CY JAN 03-05, 2009 CL San Francisco, CA SP Amer Econ Assoc C1 [De Nardi, Mariacristina; French, Eric] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. [De Nardi, Mariacristina] NBER, Cambridge, MA 02138 USA. [Jones, John Bailey] SUNY Albany, Dept Econ, Albany, NY 12222 USA. RP De Nardi, M (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S La Salle St, Chicago, IL 60604 USA. EM denardim@nber.org NR 11 TC 19 Z9 19 U1 0 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 MAY PY 2009 VL 99 IS 2 BP 110 EP 115 DI 10.1257/aer.99.2.110 PG 6 WC Economics SC Business & Economics GA 451GI UT WOS:000266458300019 ER PT J AU Sullivan, D von Wachter, T AF Sullivan, Daniel von Wachter, Till TI Average Earnings and Long-Term Mortality: Evidence from Administrative Data SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 121st Annual Meeting of the American-Economic-Association CY JAN 03-05, 2009 CL San Francisco, CA SP Amer Econ Assoc ID ECONOMIC-STATUS; HEALTH C1 [Sullivan, Daniel] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [von Wachter, Till] Columbia Univ, NBER, CEPR, New York, NY 10027 USA. [von Wachter, Till] IZA, New York, NY 10027 USA. RP Sullivan, D (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60604 USA. EM Daniel.Sullivan@chi.frb.org; vw2112@columbia.edu NR 11 TC 16 Z9 16 U1 0 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2009 VL 99 IS 2 BP 133 EP 138 DI 10.1257/aer.99.2.133 PG 6 WC Economics SC Business & Economics GA 451GI UT WOS:000266458300023 ER PT J AU Coulibaly, B Logan, TD AF Coulibaly, Brahima Logan, Trevon D. TI South Africa's Post-Apartheid Two-Step: Social Demands versus Macro Stability SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 121st Annual Meeting of the American-Economic-Association CY JAN 03-05, 2009 CL San Francisco, CA SP Amer Econ Assoc C1 [Coulibaly, Brahima] Fed Reserve Syst, Div Int Finance, Washington, DC 20551 USA. [Logan, Trevon D.] Ohio State Univ, Dept Econ, Columbus, OH 43210 USA. RP Coulibaly, B (reprint author), Fed Reserve Syst, Div Int Finance, Mail Stop 24, Washington, DC 20551 USA. EM brahima.coulibaly@frb.gov; logan.155@osu.edu NR 11 TC 1 Z9 1 U1 0 U2 2 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 2009 VL 99 IS 2 BP 275 EP 281 DI 10.1257/aer.99.2.275 PG 7 WC Economics SC Business & Economics GA 451GI UT WOS:000266458300046 ER PT J AU Kimball, MS Sahm, CR Shapiro, MD AF Kimball, Miles S. Sahm, Claudia R. Shapiro, Matthew D. TI Risk Preferences in the PSID: Individual Imputations and Family Covariation SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 121st Annual Meeting of the American-Economic-Association CY JAN 03-05, 2009 CL San Francisco, CA SP Amer Econ Assoc C1 [Kimball, Miles S.; Shapiro, Matthew D.] Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. [Sahm, Claudia R.] Fed Reserve Board, Washington, DC 20551 USA. RP Kimball, MS (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. EM mkimball@umich.edu; Claudia.R.Sahm@frb.gov; shapiro@umich.edu FU NIA NIH HHS [R03 AG016143-01, R03 AG016143]; NICHD NIH HHS [R24 HD041028] NR 7 TC 23 Z9 24 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2009 VL 99 IS 2 BP 363 EP 368 DI 10.1257/aer.99.2.363 PG 6 WC Economics SC Business & Economics GA 451GI UT WOS:000266458300060 PM 21132079 ER PT J AU Dynan, KE Edelberg, W Palumbo, MG AF Dynan, Karen E. Edelberg, Wendy Palumbo, Michael G. TI The Effects of Population Aging on the Relationship among Aggregate Consumption, Saving, and Income SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 121st Annual Meeting of the American-Economic-Association CY JAN 03-05, 2009 CL San Francisco, CA SP Amer Econ Assoc ID LIFE-CYCLE C1 [Dynan, Karen E.; Palumbo, Michael G.] Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. [Edelberg, Wendy] Council Econ Advisors, Execut Off President, Washington, DC 20502 USA. RP Dynan, KE (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. EM kdynan@frb.gov; Wendy_M._Edelberg@cea.eop.gov; mpalumbo@frb.gov RI Palumbo, Michael/H-6212-2012 NR 7 TC 3 Z9 3 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 2009 VL 99 IS 2 BP 380 EP 386 DI 10.1257/aer.99.2.380 PG 7 WC Economics SC Business & Economics GA 451GI UT WOS:000266458300063 ER PT J AU Agarwal, S Skiba, PM Tobacman, J AF Agarwal, Sumit Skiba, Paige Marta Tobacman, Jeremy TI Payday Loans and Credit Cards: New Liquidity and Credit Scoring Puzzles? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 121st Annual Meeting of the American-Economic-Association CY JAN 03-05, 2009 CL San Francisco, CA SP Amer Econ Assoc ID CONSTRAINTS C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Skiba, Paige Marta] Vanderbilt Univ, Sch Law, Nashville, TN 37203 USA. [Tobacman, Jeremy] Univ Penn, Philadelphia, PA 19104 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, 230 S Lasalle St, Chicago, IL 60604 USA. EM sumit.agarwal@chi.frb.org; paige.skiba@vanderbilt.edu; tobacman@wharton.upenn.edu RI Agarwal, Sumit/F-4836-2012 NR 15 TC 25 Z9 25 U1 0 U2 17 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 2009 VL 99 IS 2 BP 412 EP 417 DI 10.1257/aer.99.2.412 PG 6 WC Economics SC Business & Economics GA 451GI UT WOS:000266458300068 ER PT J AU Brown, JR Wilcox, DW AF Brown, Jeffrey R. Wilcox, David W. TI Discounting State and Local Pension Liabilities SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 121st Annual Meeting of the American-Economic-Association CY JAN 03-05, 2009 CL San Francisco, CA SP Amer Econ Assoc C1 [Brown, Jeffrey R.] Univ Illinois, Dept Finance, Champaign, IL 61820 USA. [Wilcox, David W.] Fed Reserve Board Governors, Washington, DC 20551 USA. RP Brown, JR (reprint author), Univ Illinois, Dept Finance, 515 E Gregory St, Champaign, IL 61820 USA. EM brownjr@illinois.edu; dwilcox@frb.gov NR 12 TC 32 Z9 33 U1 0 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 MAY PY 2009 VL 99 IS 2 BP 538 EP 542 DI 10.1257/aer.99.2.538 PG 5 WC Economics SC Business & Economics GA 451GI UT WOS:000266458300089 ER PT J AU Adrian, T Shin, HS AF Adrian, Tobias Shin, Hyun Song TI Money, Liquidity, and Monetary Policy SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 121st Annual Meeting of the American-Economic-Association CY JAN 03-05, 2009 CL San Francisco, CA SP Amer Econ Assoc C1 [Adrian, Tobias] Fed Reserve Bank New York, New York, NY 10045 USA. [Shin, Hyun Song] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08540 USA. RP Adrian, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM tobias.adrian@ny.frb.org; hsshin@princeton.edu OI Adrian, Tobias/0000-0001-9379-9592 NR 12 TC 79 Z9 81 U1 4 U2 31 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 2009 VL 99 IS 2 BP 600 EP 605 DI 10.1257/aer.99.2.600 PG 6 WC Economics SC Business & Economics GA 451GI UT WOS:000266458300100 ER PT J AU Cavalcanti, RD Nosal, E AF Cavalcanti, Ricardo de O. Nosal, Ed TI Some benefits of cyclical monetary policy SO ECONOMIC THEORY LA English DT Article DE Monetary circulation; Seasonal and trade cycles; Cyclical monetary policy; Mechanism design ID MONEY; MODEL AB We show that modeling monetary circulation and cyclical activity offers insights about monetary policy that cannot be had in representative-agent models. Two fundamental ideas emerge: (i) the reflux of money back to the hands of those making current expenditures can be inefficient, and (ii) expansionary policy may accommodate more trade during high-demand seasons, at the expense of less trade in low-demand seasons and a less valuable currency. The paper provides a foundation for the optimality of a cyclical monetary policy. C1 [Nosal, Ed] Fed Reserve Bank Chicago, Financial Markets Grp, Chicago, IL 60604 USA. [Cavalcanti, Ricardo de O.] Getulio Vargas Fdn, EPGE, BR-22250 Rio De Janeiro, Brazil. RP Nosal, E (reprint author), Fed Reserve Bank Chicago, Financial Markets Grp, Chicago, IL 60604 USA. EM ricardo.cavalcanti@fgv.br; ed.nosal@chi.frb.org NR 16 TC 4 Z9 5 U1 0 U2 5 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD MAY PY 2009 VL 39 IS 2 BP 195 EP 216 DI 10.1007/s00199-007-0329-1 PG 22 WC Economics SC Business & Economics GA 407KG UT WOS:000263361400002 ER PT J AU Gandelman, N Hernandez-Murillo, R AF Gandelman, Nestor Hernandez-Murillo, Ruben TI The Impact of Inflation and Unemployment on Subjective Personal and Country Evaluations SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID HAPPINESS; OVERCONFIDENCE AB The authors use data from the Gallup World Poll to analyze what determines individual assessments of past, present, and future personal and country well-being. These measures allow the analysis of two dimensions of happiness data not previously examined in the literature: the better-than-average effect and optimism. The authors find that individuals tend to evaluate their personal well-being as being better than their country's and tend to expect that their future well-being will improve. The authors also analyze the impact of inflation and unemployment on these subjective measures and find that both variables have a negative effect on individuals' assessments of past and present well-being for themselves and their country; in contrast with other studies, however, they do not find that the effect of unemployment is significantly different from that of inflation. (JEL D60, 130, E31, E24, Z13) C1 [Hernandez-Murillo, Ruben] Fed Reserve Bank St Louis, St Louis, MO USA. NR 27 TC 7 Z9 7 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 MAY-JUN PY 2009 VL 91 IS 3 BP 107 EP 126 PG 20 WC Business, Finance; Economics SC Business & Economics GA 447ZD UT WOS:000266229800001 ER PT J AU Engemann, KM Wall, HJ AF Engemann, Kristie M. Wall, Howard J. TI A Journal Ranking for the Ambitious Economist SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The authors devise an "ambition-adjusted" journal ranking based on citations from a short list of top general-interest journals in economics. Underlying this ranking is the notion that an ambitious economist wishes to be acknowledged not only in the highest reaches of the profession, but also outside his or her subfield. In addition to the conceptual advantages that they find in their ambition adjustment, they see two main practical advantages: greater transparency and a consistent treatment of subfields. They compare their 2008 ranking based on citations from 2001 to 2007 with a ranking for 2002 based on citations from 1995 to 2001. (JEL A11) C1 [Engemann, Kristie M.; Wall, Howard J.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Engemann, KM (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 10 TC 23 Z9 23 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 2009 VL 91 IS 3 BP 127 EP 139 PG 13 WC Business, Finance; Economics SC Business & Economics GA 447ZD UT WOS:000266229800002 ER PT J AU Younas, J Bandyopadhyay, S AF Younas, Javed Bandyopadhyay, Subhayu TI Do Donors Care About Declining Trade Revenue from Liberalization? An Analysis of Bilateral Aid Allocation SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID FOREIGN-AID; DEVELOPING-COUNTRIES; UNITED-NATIONS; POLICY; GROWTH; MODEL AB Many developing-country governments rely heavily on trade tax revenue. Therefore, trade liberalization can be a potential source of significant fiscal instability and may affect government spending on development activities-at least in the short run. This article investigates whether donors use aid to compensate recipient nations for lost trade revenue or perhaps to reward them for moving toward freer trade regimes. The authors do not find empirical evidence supporting such motives. This is of some concern because binding government revenue constraints may hinder development prospects of some poorer nations. The authors use fixed effects to control for the usual political, strategic, and other considerations for aid allocations. (JEL F35, H0) C1 [Younas, Javed] Cent Michigan Univ, Dept Econ, Mt Pleasant, MI 48859 USA. [Bandyopadhyay, Subhayu] Fed Reserve Bank St Louis, St Louis, MO USA. RP Younas, J (reprint author), Cent Michigan Univ, Dept Econ, Mt Pleasant, MI 48859 USA. RI Bandyopadhyay, Subhayu/I-5739-2016 OI Bandyopadhyay, Subhayu/0000-0003-1626-6543 NR 30 TC 5 Z9 5 U1 3 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 2009 VL 91 IS 3 BP 141 EP 153 PG 13 WC Business, Finance; Economics SC Business & Economics GA 447ZD UT WOS:000266229800003 ER PT J AU Braun, H De Bock, R DiCecio, R AF Braun, Helge De Bock, Reinout DiCecio, Riccardo TI Supply Shocks, Demand Shocks, and Labor Market Fluctuations SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TECHNOLOGY SHOCKS; BUSINESS-CYCLE; EQUILIBRIUM UNEMPLOYMENT; AGGREGATE FLUCTUATIONS; CYCLICAL BEHAVIOR; JOB DESTRUCTION; UNITED-STATES; EMPLOYMENT; FLOWS; REALLOCATION AB The authors use structural vector autoregressions to analyze the responses of worker flows, job flows, vacancies, and hours to demand and supply shocks. They identify these shocks by restricting the short-run responses of output and the pride level. On the demand side, they disentangle a monetary and nonmonetary shock by restricting the response of the interest rate. The responses of labor market variables are similar across shocks: Expansionary shocks increase job creation, the job-finding rate, vacancies, and hours; and they decrease job destruction and the separation rate. Supply shocks have more persistent effects than demand shocks. Demand and supply shocks are equally important in driving business cycle fluctuations of labor market variables. The authors' findings for demand shocks are robust to alternative identification schemes involving the response of labor productivity at different horizons. Supply shocks identified by restricting productivity generate a higher fraction of impulse responses inconsistent with standard search and matching models. (JEL C32, E24, E32, J63) C1 [Braun, Helge] Univ Cologne, D-5000 Cologne 41, Germany. [DiCecio, Riccardo] Fed Reserve Bank St Louis, St Louis, MO USA. RP Braun, H (reprint author), Univ Cologne, D-5000 Cologne 41, Germany. RI DiCecio, Riccardo/K-6861-2016 OI DiCecio, Riccardo/0000-0002-3288-8396 NR 41 TC 5 Z9 5 U1 1 U2 10 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2009 VL 91 IS 3 BP 155 EP 178 PG 24 WC Business, Finance; Economics SC Business & Economics GA 447ZD UT WOS:000266229800004 ER PT J AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. TI IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID STRUCTURAL-CHANGE; STOCHASTIC INTEGRALS; CHANGE-POINT; MODELS; TESTS; BREAKS; OUTPUT; CONVERGENCE; INSTABILITY; GROWTH AB This article presents analytical, Monte Carlo, and empirical evidence on combining recursive and rolling forecasts when linear predictive models are subject to structural change. Using a characterization of the bias-variance trade-off faced when choosing between either the recursive and rolling schemes or a scalar convex combination of the two, we derive optimal observation windows and combining weights designed to minimize mean square forecast error. Monte Carlo experiments and several empirical examples indicate that combination can often provide improvements in forecast accuracy relative to forecasts made using the recursive scheme or the rolling scheme with a fixed window width. C1 [Clark, Todd E.] Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 1 Mem Dr, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 39 TC 28 Z9 29 U1 1 U2 9 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2009 VL 50 IS 2 BP 363 EP 395 DI 10.1111/j.1468-2354.2009.00533.x PG 33 WC Economics SC Business & Economics GA 436PH UT WOS:000265425800002 ER PT J AU Fujita, S Ramey, G AF Fujita, Shigeru Ramey, Garey TI THE CYCLICALITY OF SEPARATION AND JOB FINDING RATES SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID LABOR-MARKET DYNAMICS; UNEMPLOYMENT; FLOWS AB This article uses CPS gross flow data to analyze the business cycle dynamics of separation and job finding rates and quantify their contributions to overall unemployment variability. Cyclical changes in the separation rate are negatively correlated with changes in productivity and move contemporaneously with them, whereas the job finding rate is positively correlated with and tends to lag productivity. Contemporaneous fluctuations in the separation rate explain between 40 and 50% of fluctuations in unemployment, depending on how the data are detrended. This figure becomes larger when dynamic interactions between the separation and job finding rates are considered. C1 [Fujita, Shigeru] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. Univ Calif San Diego, San Diego, CA 92103 USA. RP Fujita, S (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Shigeru.Fujita@phil.frb.org NR 22 TC 87 Z9 87 U1 1 U2 8 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2009 VL 50 IS 2 BP 415 EP 430 DI 10.1111/j.1468-2354.2009.00535.x PG 16 WC Economics SC Business & Economics GA 436PH UT WOS:000265425800004 ER PT J AU Ennis, HM AF Ennis, Huberto M. TI AVOIDING THE INFLATION TAX SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PRICE DISPERSION; WELFARE; MONEY; SEARCH; POLICY AB I study the effects of inflation on the purchasing behavior of buyers in the Lagos-Wright monetary economy. The standard framework fails to capture the long-standing intuition that when inflation increases, agents try to spend their money holdings speedily. I propose a simple, realistic extension in which buyers can rebalance their money holdings only sporadically (i.e., not every period). I show that, in such a case, higher inflation can induce buyers to spend their money faster by frontloading their consumption and searching more intensively for transactions. These trade distortions have, traditionally, been associated with the economic costs of inflation. C1 [Ennis, Huberto M.] Univ Carlos III Madrid, Dept Econ, E-28903 Getafe, Madrid, Spain. [Ennis, Huberto M.] Fed Reserve Bank Richmond, Richmond, VA USA. RP Ennis, HM (reprint author), Univ Carlos III Madrid, Dept Econ, C Madrid 126, E-28903 Getafe, Madrid, Spain. EM hennis@eco.uc3m.es NR 20 TC 10 Z9 10 U1 0 U2 3 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2009 VL 50 IS 2 BP 607 EP 625 DI 10.1111/j.1468-2354.2009.00542.x PG 19 WC Economics SC Business & Economics GA 436PH UT WOS:000265425800011 ER PT J AU Beechey, M Hjalmarsson, E Osterholm, P AF Beechey, Meredith Hjalmarsson, Erik Osterholm, Par TI Testing the expectations hypothesis when interest rates are near integrated SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Bonferroni tests; Cointegration; Expectations hypothesis; Near integration; Term premium ID TERM STRUCTURE; TIME-SERIES; EFFICIENT TESTS; UNITED-STATES; PASS-THROUGH; RISK PREMIA; COINTEGRATION; TRANSMISSION; REGRESSION; VECTORS AB Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in 10 of the 14 countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia. Published by Elsevier B.V. C1 [Hjalmarsson, Erik] Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. [Beechey, Meredith] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. [Osterholm, Par] Uppsala Univ, Dept Econ, S-75120 Uppsala, Sweden. RP Hjalmarsson, E (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, 20th & C St, Washington, DC 20551 USA. EM meredith.j.beechey@frb.gov; erik.hjalmarsson@frb.gov; par.osterholm@nek.uu.se NR 45 TC 10 Z9 12 U1 2 U2 13 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 2009 VL 33 IS 5 BP 934 EP 943 DI 10.1016/j.jbankfin.2008.10.008 PG 10 WC Business, Finance; Economics SC Business & Economics GA 425CN UT WOS:000264614700016 ER PT J AU Martinez, L AF Martinez, Leonardo TI A theory of political cycles SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Political cycles; Career concerns; Reputation; Agency; Dynamic games; Elections ID CAREER CONCERNS; BUDGET CYCLES; PERFORMANCE; ELECTIONS; CONTRACTS; ECONOMICS AB We study how the proximity of elections affects policy choices in a model in which policymakers want to improve their reputation to increase their reelection chances. Policymakers' equilibrium decisions depend on both their reputation and the proximity of the next election. Typically, incentives to influence election results are stronger closer to the election (for a given reputation level), as argued in the political cycles literature, and these political cycles are less important when the policymaker's reputation is better. Our analysis sheds light on other agency relationships in which part of the compensation is decided upon infrequently. (C) 2008 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Martinez, L (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM leonardo.martinez@rich.frb.org NR 32 TC 11 Z9 11 U1 2 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2009 VL 144 IS 3 BP 1166 EP 1186 DI 10.1016/j.jet.2008.10.006 PG 21 WC Economics SC Business & Economics GA 446IJ UT WOS:000266115000012 ER PT J AU Ashcraft, AB Santos, JAC AF Ashcraft, Adam B. Santos, Joao A. C. TI Has the CDS market lowered the cost of corporate debt? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Credit default swaps; Loan spreads; Credit spreads ID CREDIT RATING ANNOUNCEMENTS; DEFAULT SWAP; DERIVATIVES; LOANS; BONDS AB Many have claimed that credit default swaps (CDSs) have lowered the cost of debt financing to firms by creating new hedging opportunities and information for investors. This paper evaluates the impact that the onset of CDs trading has on the spreads that underlying firms pay to raise funding in the corporate bond and syndicated loan markets. Employing a range of methodologies, we fail to find evidence that the onset of CDS trading lowers the cost of debt financing for the average borrower. Further, we uncover economically significant adverse effects on risky and informationally opaque firms. (C) 2009 Elsevier B.V. All rights reserved. C1 [Ashcraft, Adam B.; Santos, Joao A. C.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Ashcraft, AB (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM adam.ashcraft@ny.frb.org RI nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 15 TC 43 Z9 43 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 MAY PY 2009 VL 56 IS 4 BP 514 EP 523 DI 10.1016/j.jmoneco.2009.03.008 PG 10 WC Business, Finance; Economics SC Business & Economics GA 461VD UT WOS:000267299400005 ER PT J AU De Graeve, F Emiris, M Wouters, R AF De Graeve, Ferre Emiris, Marina Wouters, Raf TI A structural decomposition of the US yield curve SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Term structure; DSGE; Expectations hypothesis; Bayesian estimation ID TERM-STRUCTURE DYNAMICS; INTEREST-RATES; MONETARY-POLICY; MODEL; ECONOMIES AB By expanding the macro part of macro-finance models, historical fluctuations in US bond yields turn out to be largely consistent with the rational expectations hypothesis. We estimate a medium-scale macro-finance DSGE model of the term structure to establish this. Our finding contrasts with existing macro-finance models and suggests that their-small-scale or non-structural-perspective on the macroeconomy mutes expectations, thereby underestimating the expectations hypothesis' potential. Out-of-sample forecasts are competitive with more flexible term structure models. Given the empirical validation, we interpret various episodes through the lens of the model and investigate which Structural shocks cause the yield curve to contain information about future growth. (C) 2009 Elsevier B.V. All rights reserved. C1 [De Graeve, Ferre] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Emiris, Marina; Wouters, Raf] Natl Bank Belgium, B-1000 Brussels, Belgium. RP De Graeve, F (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM ferre.degraeve@dal.frb.org NR 33 TC 14 Z9 14 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 MAY PY 2009 VL 56 IS 4 BP 545 EP 559 DI 10.1016/j.jmoneco.2009.03.013 PG 15 WC Business, Finance; Economics SC Business & Economics GA 461VD UT WOS:000267299400008 ER PT J AU Gavin, WT Keen, BD Pakko, MR AF Gavin, William T. Keen, Benjamin D. Pakko, Michael R. TI INFLATION RISK AND OPTIMAL MONETARY POLICY SO MACROECONOMIC DYNAMICS LA English DT Article DE Optimal Monetary Policy; Nominal Rigidities; Inflation Risk ID INFORMATION; MODEL AB This paper shows that the optimal monetary policies recommended by New Keynesian models still imply a large amount of inflation risk. We calculate the term structure of inflation uncertainty in New Keynesian models when the monetary authority adopts the optimal policy. When the monetary policy rules are modified to include some weight on a price path, the economy achieves equilibria with substantially lower long-run inflation risk. With either sticky prices or sticky wages, a price path target reduces the variance of inflation by an order of magnitude more than it increases the variability of the output gap. C1 [Gavin, William T.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. [Keen, Benjamin D.] Univ Oklahoma, Norman, OK 73019 USA. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM gavin@stls.frb.org NR 32 TC 3 Z9 3 U1 0 U2 2 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD MAY PY 2009 VL 13 SU 1 BP 58 EP 75 DI 10.1017/S1365100509080110 PG 18 WC Economics SC Business & Economics GA 456XQ UT WOS:000266888100003 ER PT J AU Comin, D Hobijn, B AF Comin, Diego Hobijn, Bart TI LOBBIES AND TECHNOLOGY DIFFUSION SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID GROWTH; ACCOUNTABILITY; GOVERNMENT AB This paper explores whether lobbies slow down technology diffusion. To answer this question, we exploit the differential effect of various institutional attributes that should affect the costs of erecting barriers when the new technology has a technologically close predecessor but not otherwise. We implement this test using a data set that covers the diffusion of twenty technologies for 23 countries over the past two centuries. We find that each of the relevant institutional variables that affect the costs of erecting barriers has a significantly larger effect on the diffusion of technologies with a competing predecessor technology than when no such technology exists. These effects are quantitatively important. Thus, we conclude that lobbies are an important barrier to technology adoption and to development. C1 [Comin, Diego] Harvard Univ, Cambridge, MA 02138 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank New York, New York, NY USA. RP Comin, D (reprint author), Harvard Univ, Cambridge, MA 02138 USA. NR 56 TC 21 Z9 21 U1 1 U2 12 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2009 VL 91 IS 2 BP 229 EP 244 DI 10.1162/rest.91.2.229 PG 16 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 447ZC UT WOS:000266229700001 ER PT J AU Wilson, DJ AF Wilson, Daniel J. TI BEGGAR THY NEIGHBOR? THE IN-STATE, OUT-OF-STATE, AND AGGREGATE EFFECTS OF R&D TAX CREDITS SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article AB The proliferation of R&D tax incentives among U. S. states in recent decades raises two questions: (i) Are these tax incentives effective in increasing in-state R&D? (ii) How much of any increase is due to R&D being drawn away from other states? This paper answers (i) "yes" and (ii) "nearly all." The paper estimates an augmented R&D factor demand model using state panel data from 1981 to 2004. I estimate that the long-run elasticity of in-state R&D with respect to the in-state user cost is about -2.5, while its elasticity with respect to out-of-state user costs is about +2.5, suggesting a zero-sum game among states. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Wilson, DJ (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 11 TC 31 Z9 31 U1 2 U2 4 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2009 VL 91 IS 2 BP 431 EP 436 DI 10.1162/rest.91.2.431 PG 7 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 447ZC UT WOS:000266229700013 ER PT J AU Fitzpatrick, J Hotchkiss, JL AF Fitzpatrick, Jill Hotchkiss, Julie L. TI JOB SEPARATION OUTCOMES OF WELFARE HIRES: INSIGHT FROM LINKED PERSONNEL AND STATE ADMINISTRATIVE DATA SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID WORK; MOBILITY; HISTORY AB This article makes use of a unique personnel data set and state administrative data to follow welfare and nonwelfare hires that separate from similar jobs with the same firm. Welfare hires are more likely to be on welfare after separation but are equally likely as similarly low-skilled nonwelfare hires to transition to another job after separation. Among those with a new job, welfare hires experience a significantly lower wage gain, suggesting that welfare hires would benefit (even more than nonwelfare hires) from focused assistance with job search and transition skills. (JEL H53, J62, C35). C1 [Fitzpatrick, Jill] ERS Grp, Tallahassee, FL 32303 USA. [Hotchkiss, Julie L.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Hotchkiss, Julie L.] Georgia State Univ, Res Dept, Atlanta, GA 30309 USA. RP Fitzpatrick, J (reprint author), ERS Grp, 4901 Tower Court, Tallahassee, FL 32303 USA. EM jfitzpatrick@ersgroup.com; Julie.L.Hotchkiss@atl.frb.org NR 23 TC 0 Z9 0 U1 1 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1074-3529 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD APR PY 2009 VL 27 IS 2 BP 137 EP 146 DI 10.1111/j.1465-7287.2008.00122.x PG 10 WC Economics; Public Administration SC Business & Economics; Public Administration GA 436IR UT WOS:000265407600001 ER PT J AU Kamin, SB Reeve, TA Sheets, N AF Kamin, Steven B. Reeve, Trevor A. Sheets, Nathan TI US EXTERNAL ADJUSTMENT: IS IT DISORDERLY? IS IT UNIQUE? WILL IT DISRUPT THE REST OF THE WORLD? SO CONTEMPORARY ECONOMIC POLICY LA English DT Article AB This article focuses on the historical experience with U.S. external adjustment, that is, narrowings of the trade deficit. Using data from the past 35 years, we compare economic performance in episodes during which the U.S. trade balance declined against episodes during which it rose. We find that trade balance adjustment has been generally benign: U.S. real gross domestic product growth tended to fall but not to a statistically significant extent; housing construction slumped; inflation generally rose modestly; and although nominal interest rates tended to rise, real interest rates fell. The article then compares these outcomes to those in foreign industrial economies. We find that the economic performance of the United States during periods of external adjustment is remarkably similar to the foreign experience. Finally, we also examine the performance of the foreign industrial economies during the periods when the U.S. trade deficit widened and narrowed. Contrary to concerns that U.S. adjustment will prove injurious to foreign economies, our analysis suggests that the foreign economies fared reasonably well during past periods when the U.S. trade deficit narrowed. (JEL F32, F41). C1 [Kamin, Steven B.; Reeve, Trevor A.; Sheets, Nathan] Fed Reserve Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Kamin, SB (reprint author), Fed Reserve Board Governors, Div Int Finance, Washington, DC 20551 USA. EM steven.kamin@frb.gov; trevor.a.reeve@frb.gov; nathan.sheets@frb.gov NR 16 TC 0 Z9 0 U1 0 U2 2 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1074-3529 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD APR PY 2009 VL 27 IS 2 BP 265 EP 292 DI 10.1111/j.1465-7287.2008.00139.x PG 28 WC Economics; Public Administration SC Business & Economics; Public Administration GA 436IR UT WOS:000265407600010 ER PT J AU Engelhardt, GV Kumar, A AF Engelhardt, Gary V. Kumar, Anil TI The elasticity of intertemporal substitution: New evidence from 401(k) participation SO ECONOMICS LETTERS LA English DT Article DE Elasticity of intertemporal substitution; 401(k)s AB Using Health and Retirement Study data and a structural econometric model, we exploit variation in employer matching rates in 401(k) plans to generate new estimates of the EIS: 0.74 in our richest specification, with a 95% confidence interval of 0.37-1.21. (C) 2009 Elsevier B.V. All rights reserved. C1 [Engelhardt, Gary V.] Syracuse Univ, Syracuse, NY 13210 USA. [Kumar, Anil] Fed Reserve Bank Dallas, Dallas, TX USA. RP Engelhardt, GV (reprint author), Syracuse Univ, 426 Eggers Hall, Syracuse, NY 13210 USA. EM gvengelh@maxwell.syr.edu NR 5 TC 6 Z9 6 U1 0 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD APR PY 2009 VL 103 IS 1 BP 15 EP 17 DI 10.1016/j.econlet.2009.01.010 PG 3 WC Economics SC Business & Economics GA 433AI UT WOS:000265175300005 ER PT J AU Kuester, K Muller, GJ Stolting, S AF Kuester, Keith Mueller, Gernot J. Stoelting, Sarah TI Is the New Keynesian Phillips curve flat? SO ECONOMICS LETTERS LA English DT Article; Proceedings Paper CT 22nd Annual Congress of the European-Economic-Association/Econometric-Society-European Meeting CY AUG 27-31, 2007 CL Budapest, HUNGARY SP European Econ Assoc, Econometr Soc DE Price rigidities; New Keynesian Phillips curve; Cost-push shocks; GMM estimation ID MODELS; SHOCKS; PRICES AB This paper provides Monte Carlo evidence that GMM estimates of the New Keynesian Phillips curve are biased towards finding too much price rigidity if cost-push shocks are auto-correlated. This result may reconcile GMM estimates with the microevidence on price rigidities. (C) 2009 Elsevier B.V. All rights reserved. C1 [Mueller, Gernot J.] Univ Bonn, D-53113 Bonn, Germany. [Kuester, Keith] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Stoelting, Sarah] European Univ Inst, I-50133 Florence, Italy. RP Muller, GJ (reprint author), Univ Bonn, Lennestr 37, D-53113 Bonn, Germany. EM keith.kuester@phil.frb.org; gernot.mueller@uni-bonn.de; Sarah.Stolting@EUI.eu NR 9 TC 4 Z9 4 U1 1 U2 3 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 APR PY 2009 VL 103 IS 1 BP 39 EP 41 DI 10.1016/j.econlet.2009.01.024 PG 3 WC Economics SC Business & Economics GA 433AI UT WOS:000265175300012 ER PT J AU Goldberg, LS AF Goldberg, Linda S. TI Understanding Banking Sector Globalization SO IMF STAFF PAPERS LA English DT Article ID INTEREST-RATES; INTERNATIONAL TRANSMISSION; GOVERNMENT OWNERSHIP; ECONOMIC-GROWTH; BUSINESS CYCLES; SHOCKS; INTEGRATION; INVESTMENT; FINANCE; REGIME AB This article profiles the recent evolution and consequences of banking sector globalization. After presenting trends in international banking, the article overviews macroeconomic consequences of banking sector globalization, including the role of banks in the international transmission of shocks, comovements of business cycles, financial crises, and economic growth. Other consequences of banking globalization have parallels with the effects of real-side foreign direct investment, including technology transfers, productivity enhancements, and wage spillovers into the host country. Finally, the article provides arguments that banking globalizing can have important consequences for financial supervision and regulation. [JEL F3, G2] C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Goldberg, LS (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 68 TC 25 Z9 25 U1 1 U2 19 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 1020-7635 J9 IMF STAFF PAPERS JI IMF Staff Pap. PD APR PY 2009 VL 56 IS 1 BP 171 EP 197 DI 10.1057/imfsp.2008.31 PG 27 WC Business, Finance; Economics SC Business & Economics GA 427ZF UT WOS:000264816900006 ER PT J AU Spiegel, MM AF Spiegel, Mark M. TI Financial Globalization and Monetary Policy Discipline: A Survey with New Evidence from Financial Remoteness SO IMF STAFF PAPERS LA English DT Article ID EXTERNAL WEALTH; FOREIGN-ASSETS; LIABILITIES; INDUSTRIAL; VOLATILITY; NATIONS; MARKET AB The literature appears to have reached a consensus that financial globalization has had a "disciplining effect'' on monetary policy, as it has reduced the returns from and hence the temptation for-using monetary policy to stabilize output. As a result, monetary policy over recent years has placed more emphasis on stabilizing inflation, resulting in reduced inflation and greater output stability. However, this consensus has not been accompanied by convincing empirical evidence that such a relationship exists. One reason is likely to be that de facto measures of financial globalization are endogenous, and that instruments for financial globalization are elusive. This paper introduces a new instrument-financial remoteness-as a plausibly exogenous instrument for financial openness. It examines the relationship between financial globalization and median inflation levels over an 11-year cross-section from 1994 through 2004, as well as a panel of five-year median inflation levels between 1980 and 2004. The results confirm a negative relationship between median inflation and financial globalization in the base specification, but this relationship is sensitive to the inclusion of conditioning variables or country fixed effects, precluding any strong inferences. [JEL E5, E52, E58, F21, F36, F4] 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 36 TC 2 Z9 2 U1 1 U2 6 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 1020-7635 J9 IMF STAFF PAPERS JI IMF Staff Pap. PD APR PY 2009 VL 56 IS 1 BP 198 EP 221 DI 10.1057/imfsp.2008.34 PG 24 WC Business, Finance; Economics SC Business & Economics GA 427ZF UT WOS:000264816900007 ER PT J AU Thomas, CP Marquez, J AF Thomas, Charles P. Marquez, Jaime TI MEASUREMENT MATTERS FOR MODELLING US IMPORT PRICES SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article DE Aggregation methods; automated specification; exchange rates; pass-through; Penn World Tables; US import prices ID RATE PASS-THROUGH; EXCHANGE-RATES AB We focus on capturing the increasingly important role that emerging economies play in determining US import prices. Emerging-market producers differ from others in two respects: (1) their cost structure is well below that of developed-market producers, and (2) their wide profit. margins induce pricing policies that seek to exhaust production capacity. We argue that these features have dampened the short-run responses of import prices to changes in the value of the dollar but that they have not altered the associated long-run response. To capture these considerations, we develop a new method to measure foreign prices and adopt a formulation that differentiates between short- and long-run responses. Our econometric work asks two questions: First, can one replicate the literature's dispersion of pass-through estimates? Second, is there any evidence of a change in the dynamic response of import prices to changes in the exchange value of the dollar? To address the first question, we estimate the parameters or our models using several alternative measures of US and foreign prices, dynamic specifications, and sample periods. We find that these alternative inputs translate into a large range of parameter estimates. a finding that helps to rationalizing the existing dispersion of estimates. To address the second question, we compute the implied dynamic adjustment of import prices to a change in the value of the dollar using parameters estimated from two samples: 1974-2000 and 1974-2005. The long-run response of import prices is similar regardless of which sample is used-roughly one-half of the change in the exchange rate is passed through to import prices. However, the short-run response is quite sensitive to the sample period. Specifically, the short-run response based on data through 2005 is smaller than the short-run response based on data through 2000. We argue that one force behind the change in dynamics of the import-price process is the greater presence of producers from emerging economies and that their effect on import prices can be captured with their measure of foreign prices. Published in 2008 by John Wiley & Sons, Ltd. C1 [Thomas, Charles P.; Marquez, Jaime] Fed Reserve Board, Div Int Finance, Washington, DC USA. RP Marquez, J (reprint author), Fed Reserve Board, Div Int Finance, Washington, DC USA. EM jaime.marquez@frb.gov NR 17 TC 1 Z9 1 U1 1 U2 5 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 1076-9307 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD APR PY 2009 VL 14 IS 2 BP 120 EP 138 DI 10.1002/ijfe.370 PG 19 WC Business, Finance SC Business & Economics GA 425VT UT WOS:000264666500002 ER PT J AU Martens, M van Dijk, D de Pooter, M AF Martens, Martin van Dijk, Dick de Pooter, Michiel TI Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Realized volatility; Long memory; Day-of-the-week effect; Leverage effect; Volatility forecasting; Model confidence set; Macroeconomic news announcements ID TIME PRICE DISCOVERY; HIGH-FREQUENCY DATA; MICROSTRUCTURE NOISE; RETURN VOLATILITY; REALIZED VARIANCE; FOREIGN-EXCHANGE; STOCK-MARKET; MODELS; NEWS; INFORMATION AB We evaluate the forecasting performance of time series models for realized volatility, which accommodate long memory, level shifts, leverage effects, day-of-the-week and holiday effects, as well as macroeconomic news announcements. Applying the models to daily realized volatility for the S&P 500 futures index, we find that explicitly accounting for these stylized facts of volatility improves out-of-sample forecast accuracy for horizons up to 20 days ahead. Capturing the long memory feature of realized volatility by means of a flexible high-order AR-approximation instead of a parsimonious but stringent fractionally integrated specification also leads to improvements in forecast accuracy, especially for longer horizon forecasts. (C) 2009 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. C1 [van Dijk, Dick] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands. [Martens, Martin] Erasmus Univ, Dept Finance, NL-3000 DR Rotterdam, Netherlands. [de Pooter, Michiel] Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP van Dijk, D (reprint author), Erasmus Univ, Inst Econometr, POB 1738, NL-3000 DR Rotterdam, Netherlands. EM mmartens@ese.eur.nl; djvandijk@ese.eur.nl; michiel.d.depooter@frb.gov RI van Dijk, Dick/C-3542-2012 OI van Dijk, Dick/0000-0002-1880-204X NR 50 TC 37 Z9 39 U1 4 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD APR-JUN PY 2009 VL 25 IS 2 BP 282 EP 303 DI 10.1016/j.ijforecast.2009.01.010 PG 22 WC Economics; Management SC Business & Economics GA 432XD UT WOS:000265166800005 ER PT J AU Guidolin, M Hyde, S McMillan, D Ono, S AF Guidolin, Massimo Hyde, Stuart McMillan, David Ono, Sadayuki TI Non-linear predictability in stock and bond returns: When and where is it exploitable? SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Non-linearities; Regime switching; Threshold predictive regressions; Forecasting ID TIME-SERIES; EXPECTED RETURNS; MARKETS; MODELS; TESTS; VARIABLES; ACCURACY; PRICES AB We systematically examine the comparative predictive performance of a number of linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive, (STAR) regime switching models, we also estimate univariate models in which conditional heteroskedasticity is captured by GARCH and in which predicted volatilities appear in the conditional mean function. We find that capturing nonlinear effects may be key to improving forecasting. In contrast to other G7 countries, US and UK asset return data are "special," requiring that non-linear dynamics be modeled, especially when using a Markov switching framework. The results appear to be remarkably stable over time, robust to changes in the loss function used in statistical evaluations as well as to the methodology employed to perform pair-wise comparisons. (C) 2009 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. C1 [Guidolin, Massimo] Univ Manchester, Manchester Business Sch, Manchester M13 9PL, Lancs, England. [Guidolin, Massimo] Fed Reserve Bank St Louis, St Louis, MO USA. [McMillan, David] Univ St Andrews, St Andrews KY16 9AJ, Fife, Scotland. [Ono, Sadayuki] Univ York, York YO10 5DD, N Yorkshire, England. RP Guidolin, M (reprint author), Univ Manchester, Manchester Business Sch, MBS Crawford House, Manchester M13 9PL, Lancs, England. EM Massimo.Guidolin@mbs.ac.uk OI McMillan, David/0000-0002-5891-4193; Hyde, Stuart/0000-0003-0224-5442 NR 30 TC 17 Z9 17 U1 0 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 EI 1872-8200 J9 INT J FORECASTING JI Int. J. Forecast. PD APR-JUN PY 2009 VL 25 IS 2 SI SI BP 373 EP 399 DI 10.1016/j.ijforecast.2009.01.002 PG 27 WC Economics; Management SC Business & Economics GA 432XD UT WOS:000265166800009 ER PT J AU Campbell, SD Diebold, FX AF Campbell, Sean D. Diebold, Francis X. TI Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Business cycle; Equity premium; Expected equity returns; Livingston survey; Prediction; Risk aversion; Risk premium ID RISK PREMIA; MARKET VOLATILITY; TIME; CONSUMPTION; INVESTMENT; CYCLE AB Using survey data, we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a counter-cyclical fashion. Moreover, inclusion of expected business conditions in otherwise-standard predictive return regressions substantially reduce the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R(2). Expected business conditions retain predictive power even when including the key nonfinancial predictor, the generalized consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, whereas time-varying consumption/wealth may capture time-varying risk aversion. C1 [Campbell, Sean D.] Fed Reserve Board, Washington, DC USA. [Diebold, Francis X.] Univ Penn, Philadelphia, PA 19104 USA. [Diebold, Francis X.] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Campbell, SD (reprint author), Fed Reserve Board, Washington, DC USA. EM sean.d.campbell@frb.gov; fdiebold@sas.upenn.edu FU Humboldt Foundation; Guggenheim Foundation; National Science Foundation; Wharton Financial Institutions Center FX For support, we thank the Humboldt Foundation, the Guggenheim Foundation, the National Science Foundation, and the Wharton Financial Institutions Center. For helpful comments, we thank seminar participants at the Board of Governors of the Federal Reserve System and the Swiss National Bank (Study Center Gerzensee), as well as Andrew Ang, Ravi Bansal, Hui Guo, Martin Lettau, Sydney Ludvigson, Josh Rosenberg, Steve Sharpe, Jessica Wachter, and Kamil Yilmaz. None of those thanked, however, are responsible for the outcome. NR 26 TC 23 Z9 23 U1 0 U2 6 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD APR PY 2009 VL 27 IS 2 BP 266 EP 278 DI 10.1198/jbes.2009.0025 PG 13 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 477GJ UT WOS:000268506500010 ER PT J AU Moreira, MJ Porter, JR Suarez, GA AF Moreira, Marcelo J. Porter, Jack R. Suarez, Gustavo A. TI Bootstrap validity for the score test when instruments may be weak SO JOURNAL OF ECONOMETRICS LA English DT Article DE Bootstrap; t-statistic; Score statistic; Identification; Non-regular case; Edgeworth expansion; Instrumental variable regression ID VARIABLES REGRESSION; STRUCTURAL PARAMETERS; EDGEWORTH EXPANSIONS; MODELS; IDENTIFICATION; DISTRIBUTIONS; INFERENCE AB It is well-known that size adjustments based on bootstrapping the t-statistic perform poorly when instruments are weakly correlated with the endogenous explanatory variable. In this paper, we provide a theoretical proof that guarantees the validity of the bootstrap for the score statistic. This theory does not follow from standard results, since the score statistic is not a smooth function of sample means and some parameters are not consistently estimable when the instruments are uncorrelated with the explanatory variable. (C) 2008 Elsevier B.V. All rights reserved. C1 [Moreira, Marcelo J.] Columbia Univ, New York, NY 10027 USA. [Porter, Jack R.] Univ Wisconsin, Madison, WI 53706 USA. [Suarez, Gustavo A.] Fed Reserve Board, Washington, DC USA. RP Moreira, MJ (reprint author), Columbia Univ, New York, NY 10027 USA. EM mjmoreira@columbia.edu NR 40 TC 9 Z9 9 U1 0 U2 7 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD APR PY 2009 VL 149 IS 1 BP 52 EP 64 DI 10.1016/j.jeconom.2008.10.008 PG 13 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 437EI UT WOS:000265468700004 ER PT J AU Durdu, CB AF Durdu, Ceyhun Bora TI Quantitative implications of indexed bonds in small open economies SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Indexed bonds; Degree of indexation; Financial frictions; Sudden Stops ID BUSINESS CYCLES; DEVELOPING-COUNTRIES; MODELS AB This paper analyzes the macroeconomic implications of real-indexed bonds using a general equilibrium model of a small open economy with financial frictions. Although indexed bonds provide a hedge to income fluctuations and can thereby mitigate the effects of financial frictions, they introduce interest rate fluctuations. Because of this tradeoff, there exists a nonmonotonic relation between the "degree of indexation" (i.e., the percentage of the shock reflected in the return) and the benefits that these bonds introduce. When the nonindexed bond market is shut down and only indexed bonds are available, indexation strengthens the precautionary savings motive, increases consumption volatility and deepens the impact of Sudden Stops for degrees of indexation higher than a certain threshold. When the nonindexed bond market is retained, nonmonotonic relationship between the degree of indexation and the benefits of indexed bonds still remain. Degrees of indexation higher than a certain threshold lead to more volatile consumption than lower degrees of indexation. The threshold degree of indexation depends on the volatility and persistence of income shocks as well as oil the relative openness of the economy. Published by Elsevier B.V. C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Durdu, CB (reprint author), Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. EM bora.durdu@frb.gov NR 35 TC 3 Z9 3 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD APR PY 2009 VL 33 IS 4 BP 883 EP 902 DI 10.1016/j.jedc.2008.09.006 PG 20 WC Economics SC Business & Economics GA 422YB UT WOS:000264462500007 ER PT J AU Campbell, SD Sharpe, SA AF Campbell, Sean D. Sharpe, Steven A. TI Anchoring Bias in Consensus Forecasts and Its Effect on Market Prices SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID RATIONAL-EXPECTATIONS; INTEREST-RATES; ECONOMIC-NEWS; EXCHANGE; ANNOUNCEMENTS AB Previous empirical studies on the "rationality" of economic. and financial forecasts generally test for generic properties such as bias or autocorrelated errors but provide only limited insight into the behavior behind inefficient forecasts. This paper tests for a specific form of forecast bias. In particular, we examine whether expert consensus forecasts of monthly economic releases are systematically biased toward the value of previous months' releases. Such a bias would be consistent with the anchoring and adjustment heuristic described by Tversky and Kahneman (1974) or could arise from professional forecasters' strategic incentives. We find broad-based and significant evidence for this form of bias, which in some cases results in sizable predictable forecast errors. To investigate whether market participants' expectations are influenced by this bias, we examine interest rate reactions to economic news. We find that bond yields react only to the residual, or unpredictable, component of the forecast error and not to the component induced by anchoring, suggesting that expectations of market participants anticipate this bias embedded in expert forecasts. C1 [Campbell, Sean D.; Sharpe, Steven A.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Campbell, SD (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM sean.d.campbell@frb.gov; ssharpe@frb.gov NR 18 TC 19 Z9 19 U1 2 U2 22 PU UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION PI SEATTLE PA C/O OFFICE MANAGER, 115 LEWIS HALL, BOX 353200, SEATTLE, WA 98195-3200 USA SN 0022-1090 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD APR PY 2009 VL 44 IS 2 BP 369 EP 390 DI 10.1017/S0022109009090127 PG 22 WC Business, Finance; Economics SC Business & Economics GA 471FL UT WOS:000268041300005 ER PT J AU Neely, CJ Weller, PA Ulrich, JM AF Neely, Christopher J. Weller, Paul A. Ulrich, Joshua M. TI The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID TECHNICAL TRADING RULES; COVERED INTEREST ARBITRAGE; STOCK RETURNS; UNEXPLOITED PROFITS; CURRENCY MARKETS; REALITY CHECK; RATE DYNAMICS; PROFITABILITY; INTERVENTION; STRATEGIES AB We analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously studied rules. The excess returns of the 1970s and 1980s were genuine and not just the result of data mining. But these profit opportunities had disappeared by the early 1990s for filter and. moving average rules. Returns to less-studied rules also have declined but have probably not completely disappeared. High volatility prevents precise estimation of mean returns. These regularities are consistent with the Adaptive Markets Hypothesis (Lo (2004)), but not with the Efficient Markets Hypothesis. C1 [Neely, Christopher J.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. [Weller, Paul A.] Univ Iowa, Tippie Coll Business, Iowa City, IA 52245 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM neely@stls.frb.org; paul-weller@uiowa.edu; joshua.m.ulrich@gmail.com RI Neely, Christopher/D-3636-2012; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 63 TC 50 Z9 52 U1 3 U2 24 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-1090 EI 1756-6916 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD APR PY 2009 VL 44 IS 2 BP 467 EP 488 DI 10.1017/S0022109009090103 PG 22 WC Business, Finance; Economics SC Business & Economics GA 471FL UT WOS:000268041300009 ER PT J AU Pasquariello, P Vega, C AF Pasquariello, Paolo Vega, Clara TI The on-the-run liquidity phenomenon SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE Treasury bond markets; Liquidity; On-the-rum bonds; Off-the-run bonds; Macroeconomic news announcements ID BID-ASK SPREAD; US TREASURY SECURITIES; EXCHANGE-RATE DYNAMICS; TIME PRICE DISCOVERY; IMPERFECT COMPETITION; EMPIRICAL-ANALYSIS; MARKET LIQUIDITY; FOREIGN-EXCHANGE; BOND MARKET; ORDER FLOW AB We test the implications of a model of multi-asset speculative trading in which liquidity differentials between on-the-run and off-the-run U.S. Treasury bonds ensue from endowment shocks in the presence of two realistic market frictions-information heterogeneity and imperfect competition among informed traders-and a public signal. Cur evidence suggests that (i) off/on-the-run liquidity differentials are economically and statistically significant, even after controlling for several of the bonds' intrinsic characteristics (such as duration, convexity, repo rates, or term premiums), and (ii) off/on-the-run liquidity differentials are smaller immediately following bond auction dates, and larger when the uncertainty surrounding the ensuing auction allocations is high, when the dispersion of beliefs across informed traders is high, and when macroeconomic announcements are noisy, consistent with our model. (C) 2009 Published by Elsevier B.V. C1 [Pasquariello, Paolo] Univ Michigan, Ross Sch Business, Ann Arbor, MI 48109 USA. [Vega, Clara] Fed Reserve Board Governors, Washington, DC 20551 USA. RP Pasquariello, P (reprint author), Univ Michigan, Ross Sch Business, Ann Arbor, MI 48109 USA. EM ppasquar@bus.umich.edu; clara.vega@frb.gov RI Pasquariello, Paolo/A-1143-2007; Cherkes, Martin/A-4726-2012 NR 77 TC 7 Z9 7 U1 1 U2 14 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD APR PY 2009 VL 92 IS 1 BP 1 EP 24 DI 10.1016/j.jfineco.2008.04.005 PG 24 WC Business, Finance; Economics SC Business & Economics GA 432YY UT WOS:000265171500001 ER PT J AU Hirtle, B AF Hirtle, Beverly TI Credit derivatives and bank credit supply SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Credit derivatives; Risk management; Credit supply; Bank lending ID CAPITAL STRUCTURE; RISK-MANAGEMENT AB Credit derivatives are the latest in a series of innovations that have had a significant impact on credit markets. Using a micro data set of individual corporate loans. this paper explores whether use of credit derivatives is associated with an increase in bank credit supply. We find only limited evidence that greater use of credit derivatives is associated with greater Supply of bank credit. The strongest effect is for large term loans-newly negotiated loan extensions to large corporate borrowers, with a largely negative impact on (previously negotiated) commitment lending. Even for large term borrowers, increases in the volume of credit are offset by higher spreads. These findings suggest that the benefits of the growth of credit derivatives may be narrow, accruing mainly to large firms that are likely to be "named credits" in these transactions. Finally, use of credit derivatives appears to be complementary to other forms of hedging by banks, though the banks most active in hedging appear to charge more for additional amounts of credit. Published by Elsevier Inc. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Hirtle, B (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM beverly.hirtle@ny.frb.org NR 20 TC 30 Z9 30 U1 1 U2 16 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2009 VL 18 IS 2 BP 125 EP 150 DI 10.1016/j.jfi.2008.08.001 PG 26 WC Business, Finance SC Business & Economics GA 422DG UT WOS:000264406700001 ER PT J AU Schotter, A Yorulmazer, T AF Schotter, Andrew Yorulmazer, Tanju TI On the dynamics and severity of bank runs: An experimental study SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE Bank runs; Banking crises; Informed depositors; Deposit insurance; Experiments ID DEPOSIT INSURANCE; PANICS; CRISES; EQUILIBRIUM; INFORMATION; LIQUIDITY; ATTACKS; MODELS; GAMES AB This paper presents an experimental investigation of the factors that affect the dynamics and severity of bank runs. our experiments demonstrate that the more information laboratory economic agents can expect to learn about the crisis as it develops, the more willing they are to restrain themselves from withdrawing their funds once a crisis occurs. Furthermore, our results indicate that the presence of insiders, who know the quality of the bank, significantly affects the dynamics of bank runs and helps mitigate their severity. We also show that deposit insurance, even of a limited type, can help diminish the severity of bank runs. Published by Elsevier Inc. C1 [Yorulmazer, Tanju] Fed Reserve Bank New York, New York, NY 10045 USA. [Schotter, Andrew] NYU, New York, NY USA. [Schotter, Andrew] Ctr Expt Social Sci, New York, NY USA. RP Yorulmazer, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM andrew.schotter@nyu.edu; Tanju.Yorulmazer@ny.trb.org NR 38 TC 22 Z9 22 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 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2009 VL 18 IS 2 BP 217 EP 241 DI 10.1016/j.jfi.2008.06.002 PG 25 WC Business, Finance SC Business & Economics GA 422DG UT WOS:000264406700005 ER PT J AU Bacchetta, P Mertens, E van Wincoop, E AF Bacchetta, Philippe Mertens, Elmar van Wincoop, Eric TI Predictability in financial markets: What do survey expectations tell us? SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Excess returns; Expectations; Predictability ID EXCHANGE-RATE EXPECTATIONS; DISTORTED BELIEFS; TERM STRUCTURE; RISK PREMIA; RATES; REGRESSIONS; ECONOMICS; FORECASTS; RETURNS; PUZZLES AB There is widespread evidence of excess return predictability in financial markets. For the foreign exchange market a number of studies have documented that the predictability of excess returns is closely related to the predictability of expectational errors of excess returns. In this paper we investigate the link between the predictability of excess returns and expectational errors in a much broader set of financial markets, using data on survey expectations of market participants in the stock market, the foreign exchange market, the bond market and money markets in various countries. The results are striking. First, in markets where there is significant excess return predictability, expectational errors of excess returns are predictable as well, with the same sign and often even with similar magnitude. This is the case for foreign exchange, stock and bond markets. Second, in the only market where excess returns are generally not predictable, the money market, expectational errors are not predictable either. These findings suggest that an explanation for the predictability of excess returns must be closely linked to an explanation for the predictability of expectational errors. (C) 2008 Elsevier Ltd. All rights reserved. C1 [Bacchetta, Philippe] Univ Lausanne, Swiss Finance Inst, Fac Business & Econ, CH-1015 Lausanne, Switzerland. [Mertens, Elmar] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [van Wincoop, Eric] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. [Bacchetta, Philippe] CEPR, CH-1015 Lausanne, Switzerland. RP Bacchetta, P (reprint author), Univ Lausanne, Swiss Finance Inst, Fac Business & Econ, CH-1015 Lausanne, Switzerland. EM philippe.bacchetta@unil.ch NR 32 TC 26 Z9 26 U1 0 U2 6 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 APR PY 2009 VL 28 IS 3 BP 406 EP 426 DI 10.1016/j.jimonfin.2008.09.001 PG 21 WC Business, Finance SC Business & Economics GA 432ZZ UT WOS:000265174400003 ER PT J AU Coulibaly, B AF Coulibaly, Brahima TI Effects of financial autarky and integration: The case of the South Africa embargo SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE International finance; Embargo; Autarky; Financial integration; Financial isolation; Economic growth ID ECONOMIC-GROWTH; STOCK-MARKET; LIBERALIZATION; INVESTMENT AB The paper interprets the imposition in 1985 and removal in 1993 of the embargo on South Africa as financial autarky and financial integration I natural experiments', and studies the effects on the economy. The aggregate data indicate a decrease in the levels and growth rates of investment, capital, and output during the embargo period relative to the pre-embargo and post-embargo periods. To further rationalize these findings, we calibrate a neoclassical growth model to the economy. During the transition to steady state, we limit the country's ability to borrow for a period corresponding to the duration of the embargo. The derived dynamics for investment, capital, and output support the findings of a positive (negative) link between financial integration (isolation) and economic growth. (C) 2008 Elsevier Ltd. All rights reserved. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Coulibaly, B (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Mail Stop 24, Washington, DC 20551 USA. EM brahima.coulibaly@frb.gov NR 33 TC 5 Z9 5 U1 0 U2 8 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 APR PY 2009 VL 28 IS 3 BP 454 EP 478 DI 10.1016/j.jimonfin.2008.11.003 PG 25 WC Business, Finance SC Business & Economics GA 432ZZ UT WOS:000265174400005 ER PT J AU Andolfatto, D Nosal, E AF Andolfatto, David Nosal, Ed TI Money, intermediation, and banking SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Money; Intermediation; Banking ID PRIVATE MONEY; LIQUIDITY; CREATION AB The business of money creation is conceptually distinct from that of intermediation. Yet, these two activities are frequently-but not always-combined together in the form of a banking system. We develop a simple model to examine the question: When is banking essential? There is a role for money due to a lack of record-keeping and a role for intermediation due to the existence of private information: both money and intermediation are essential. When monitoring costs associated with intermediation are sufficiently low, the two activities can be separated from one another. However, when monitoring costs are sufficiently high, a banking system that combines these two activities is essential. (C) 2009 Elsevier B.V. All rights reserved. C1 [Nosal, Ed] Fed Reserve Bank Chicago, Financial Markets Grp, Chicago, IL 60604 USA. [Andolfatto, David] Simon Fraser Univ, Dept Econ, Burnaby, BC V5A 1S6, Canada. RP Nosal, E (reprint author), Fed Reserve Bank Chicago, Financial Markets Grp, 230 S LaSalle St, Chicago, IL 60604 USA. EM dandolfa@sfu.ca; ed.nosal@chi.frb.org RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 19 TC 7 Z9 7 U1 1 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2009 VL 56 IS 3 BP 289 EP 294 DI 10.1016/j.jmoneco.2008.12.005 PG 6 WC Business, Finance; Economics SC Business & Economics GA 457LW UT WOS:000266931300002 ER PT J AU Chang, YS Hornstein, A Sarte, PD AF Chang, Yongsung Hornstein, Andreas Sarte, Pierre-Daniel TI On the employment effects of productivity shocks: The role of inventories, demand elasticity, and sticky prices SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Productivity; Employment; Inventory investment; Sticky prices ID AGGREGATE FLUCTUATIONS; TECHNOLOGY SHOCKS; BUSINESS-CYCLE; CONTRACTIONARY; IMPROVEMENTS; DYNAMICS AB Whether technological progress raises or lowers employment in the short run has been the subject of much debate in the recent years. We show that cross-industry differences in inventory holding costs, demand elasticities, and price rigidities potentially all affect employment decisions in the face of productivity shocks. In particular, the employment response to a permanent productivity shock is more likely to be positive the less costly it is to hold inventories, the more elastic industry demand is, and the more flexible prices are. Using data on 458 4-digit U.S. manufacturing industries over the period 1958-1996, we find statistically significant effects of variations in inventory holdings and demand elasticities on short-run employment responses, but less conclusive evidence pertaining to the effects of measured price stickiness. (C) 2008 Elsevier B.V. All rights reserved. C1 [Hornstein, Andreas; Sarte, Pierre-Daniel] Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. [Chang, Yongsung] Univ Rochester, Rochester, NY 14627 USA. [Chang, Yongsung] Yonsei Univ, Seoul 120749, South Korea. RP Hornstein, A (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM ychang14@mail.rochester.edu; andreas.hornstein@rich.frb.org; pierre.sarte@rich.frb.org NR 27 TC 14 Z9 14 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2009 VL 56 IS 3 BP 328 EP 343 DI 10.1016/j.jmoneco.2009.02.004 PG 16 WC Business, Finance; Economics SC Business & Economics GA 457LW UT WOS:000266931300005 ER PT J AU Kim, J Ruge-Murcia, FJ AF Kim, Jinill Ruge-Murcia, Francisco J. TI How much inflation is necessary to grease the wheels? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Optimal inflation; Asymmetric adjustment costs; Downward wage rigidity; Nonlinear dynamics ID NOMINAL WAGE RIGIDITY; MONETARY-POLICY; STICKY PRICES; EQUILIBRIUM-MODELS; BUSINESS-CYCLE; ADJUSTMENT; MARKET; LABOR AB Tobin's proposition that inflation "greases" the wheels of the labor market is studied using a simple dynamic stochastic general equilibrium model with asymmetric wage adjustment costs. The simulated method of moments is used to estimate the nonlinear model based on its second-order approximation. Optimal inflation is determined by a benevolent government that maximizes the households' welfare. Econometric results indicate that nominal wages are downwardly rigid and that the optimal level of grease inflation for the U.S. economy is about 0.35% per year, with a 95% confidence interval ranging from 0.04% to 0.87%. (C) 2008 Elsevier B.V. All rights reserved. C1 [Ruge-Murcia, Francisco J.] Univ Montreal, Dept Econ & Cireq, Montreal, PQ H3C 3J7, Canada. [Kim, Jinill] Fed Reserve Board, Washington, DC USA. RP Ruge-Murcia, FJ (reprint author), Univ Montreal, Dept Econ & Cireq, CP 6128,Succursale Ctr Ville, Montreal, PQ H3C 3J7, Canada. EM francisco.ruge-murcia@umontreal.ca NR 43 TC 19 Z9 19 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2009 VL 56 IS 3 BP 365 EP 377 DI 10.1016/j.jmoneco.2009.03.004 PG 13 WC Business, Finance; Economics SC Business & Economics GA 457LW UT WOS:000266931300008 ER PT J AU Chirinko, RS Schaller, H AF Chirinko, Robert S. Schaller, Huntley TI The irreversibility premium SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Irreversibility; Investment; Non-convex adjustment costs ID INVESTMENT DYNAMICS; INTERNATIONAL EVIDENCE; LIQUIDITY CONSTRAINTS; FINANCING CONSTRAINTS; CORPORATE-INVESTMENT; AGGREGATE INVESTMENT; ADJUSTMENT COSTS; FIRM INVESTMENT; PANEL-DATA; UNCERTAINTY AB When investment is irreversible, theory suggests that firms will be "reluctant to invest." This reluctance creates a wedge between the discount rate guiding investment decisions and the standard Jorgensonian user cost (adjusted for risk). We use the intertemporal tradeoff between benefits and costs of changing the capital stock to estimate this wedge, which we label the irreversibility premium. Estimates are based on panel data for the period 1980-2001. The large dataset allows us to estimate the effects of limited resale markets, low depreciation rates, high uncertainty, and negative industry-wide shocks on the irreversibility premium. Our estimates provide a readily interpretable measure of the importance of irreversibility and document that the irreversibility premium is both economically and statistically significant. (C) 2009 Elsevier B.V. All rights reserved. C1 [Schaller, Huntley] Carleton Univ, Dept Econ, Ottawa, ON K1S 5B6, Canada. [Chirinko, Robert S.] Univ Illinois, Dept Finance, Chicago, IL 60607 USA. [Chirinko, Robert S.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Schaller, H (reprint author), Carleton Univ, Dept Econ, 1125 Colonel Dr, Ottawa, ON K1S 5B6, Canada. EM chirinko@uic.edu; schaller@ccs.carleton.ca NR 63 TC 10 Z9 10 U1 1 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 APR PY 2009 VL 56 IS 3 BP 390 EP 408 DI 10.1016/j.jmoneco.2009.02.001 PG 19 WC Business, Finance; Economics SC Business & Economics GA 457LW UT WOS:000266931300010 ER PT J AU Polgreen, L Silos, P AF Polgreen, Linnea Silos, Pedro TI Crude substitution: The cyclical dynamics of oil prices and the skill premium SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Skill heterogeneity; Energy Prices; Business cycles; Capital-skill complementarity ID COMPLEMENTARITY; INEQUALITY AB At the business cycle frequency, energy prices and the skill premium display a strong, negative correlation. This fact is robust to different de-trending procedures. Identifying exogenous shocks to oil prices using the Hoover-Perez [1994. Post hoc ergo propter once more: an evaluation of 'Does monetary policy matter?' in the spirit of James Tobin. journal of Monetary Econonmics 34, 47-73] dates, shows that the skill premium falls in response to Such a shock. The estimation of the parameters of an aggregate technology that uses, among other inputs, energy and heterogeneous skills, demonstrates that capital-skill and capital-energy complementarity are responsible for this correlation. As energy prices rise, the use of capital decreases and the demand for unskilled labor-relative to skilled labor-increases, lowering the skill premium. (C) 2009 Elsevier B.V. All rights reserved. C1 [Silos, Pedro] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. [Polgreen, Linnea] Univ Iowa, Coll Pharm, Iowa City, IA 52242 USA. RP Silos, P (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM linnea-polgreen@uiowa.edu; Pedro.Silos@atl.frb.org NR 18 TC 5 Z9 5 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2009 VL 56 IS 3 BP 409 EP 418 DI 10.1016/j.jmoneco.2009.03.002 PG 10 WC Business, Finance; Economics SC Business & Economics GA 457LW UT WOS:000266931300011 ER PT J AU Sargent, T Williams, N Zha, T AF Sargent, Thomas Williams, Noah Zha, Tao TI The Conquest of South American Inflation SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID TIME-SERIES; SEIGNIORAGE AB We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that assigns roles both to fundamentals in the form of government deficits that are financed by money creation and to destabilizing expectations dynamics that can occasionally divorce inflation from fundamentals. Levels and conditional volatilities of monetized deficits drove most hyperinflations and stabilizations, with a notable exception in Peru, where a cosmetic reform of the type emphasized by Marcet and Nicolini occurred. C1 [Sargent, Thomas] NYU, New York, NY 10003 USA. [Sargent, Thomas] Hoover Inst War Revolut & Peace, Stanford, CA 94305 USA. [Williams, Noah] Univ Wisconsin, Madison, WI 53706 USA. [Williams, Noah] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Zha, Tao] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Zha, Tao] Emory Univ, Atlanta, GA 30322 USA. RP Sargent, T (reprint author), NYU, New York, NY 10003 USA. NR 29 TC 11 Z9 12 U1 0 U2 5 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 2009 VL 117 IS 2 BP 211 EP 256 PG 46 WC Economics SC Business & Economics GA 438XU UT WOS:000265590600002 ER PT J AU Craig, BR Jackson, WE Thomson, JB AF Craig, Ben R. Jackson, William E., III Thomson, James B. TI The Economic Impact of the Small Business Administration's Intervention in the Small Firm Credit Market: A Review of the Research Literature SO JOURNAL OF SMALL BUSINESS MANAGEMENT LA English DT Article ID LENDING RELATIONSHIPS; FINANCE; GROWTH; AVAILABILITY; ALLOCATION AB The guaranteed lending programs of the Small Business Administration (SBA) are large and growing rapidly. The SBA's fiscal year 2009 Performance Budget calls for $28 billion in guaranteed loans for small businesses-a new record for the agency. Some critics of SBA programs suggest they do not help small businesses or overall economic performance. Other critics suggest that these programs unfairly benefit the financial institutions that participate in SBA's guaranteed lending programs. Whereas very little serious empirical evidence exists on whether the net economic impact of the SBA's guaranteed lending programs is positive or negative, a few recent studies provide some insight into the question. In general, they suggest a small positive impact of the SBA's programs on economic performance. However, the results are very tentative and further research is needed to declare a more definitive position. We provide a general overview of the SBA's guaranteed lending programs and summarize the results of these studies. C1 [Jackson, William E., III] Univ Alabama, Culverhouse Coll Commerce, Smith Fdn Chair Business Integr, Tuscaloosa, AL 35487 USA. [Craig, Ben R.; Thomson, James B.] Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH USA. RP Jackson, WE (reprint author), Univ Alabama, Culverhouse Coll Commerce, Smith Fdn Chair Business Integr, Box 870225, Tuscaloosa, AL 35487 USA. EM wjackson@cba.ua.edu NR 28 TC 3 Z9 3 U1 0 U2 10 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0047-2778 J9 J SMALL BUS MANAGE JI J. Small Bus. Manag. PD APR PY 2009 VL 47 IS 2 BP 221 EP 231 DI 10.1111/j.1540-627X.2009.00269.x PG 11 WC Management SC Business & Economics GA 418UZ UT WOS:000264176200005 ER PT J AU Buera, FJ Kaboski, JP AF Buera, Francisco J. Kaboski, Joseph P. TI CAN TRADITIONAL THEORIES OF STRUCTURAL CHANGE FIT THE DATA? SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID GROWTH AB Two traditional explanations for structural changes are sector-biased technological progress and non-homothetic preferences. This paper integrates both into an otherwise standard growth model and quantitatively evaluates them vis-a-vis time series. The exercise identifies a set of puzzles for standard theories: (i) the model cannot account for the steep decline in manufacturing and rise in services in the later data; (ii) the standard model requires implausibly low elasticity of substitution across goods to match the consumption and output data; and (iii) the behavior of consumption and output shares differs significantly from that of employment shares. We argue that models that incorporate home production, sector-specific factor distortions, and differences across sectors in the accumulation of human capital are promising avenues to amend the standard models. (JEL: O11, O14, O41) C1 [Buera, Francisco J.] Univ Calif Los Angeles, Los Angeles, CA 90059 USA. [Kaboski, Joseph P.] Ohio State Univ, Columbus, OH 43210 USA. [Kaboski, Joseph P.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Buera, FJ (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90059 USA. EM fjbuera@econ.ucla.edu; kaboski.1@osu.edu NR 20 TC 25 Z9 25 U1 0 U2 8 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR PY 2009 VL 7 IS 2-3 BP 469 EP 477 PG 9 WC Economics SC Business & Economics GA 435TK UT WOS:000265366000013 ER PT J AU Daly, MC Wilson, DJ AF Daly, Mary C. Wilson, Daniel J. TI HAPPINESS, UNHAPPINESS, AND SUICIDE: AN EMPIRICAL ASSESSMENT SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID SATISFACTION; INCOME AB The use of subjective well-being (SWB) data for investigating the nature of individual preferences has increased tremendously in recent years. There has been much debate about the cross-sectional and time series patterns found in these data, particularly with respect to the relationship between SWB and relative status. Part of this debate concerns how well SWB data measure true utility or preferences. In a recent paper, Daly, Wilson, and Johnson (2008) propose using data on suicide as a revealed preference (outcome-based) measure of well-being and find strong evidence that reference-group income negatively affects suicide risk. In this paper, we compare and contrast the empirical patterns of SWB and suicide data. Despite no obvious aggregate relationship between the two series-either time series or cross-sectionalwe find a strikingly strong and consistent relationship in the determinants of SWB and suicide in individual-level, multivariate regressions. This latter result cross-validates suicide and SWB micro data as useful and complementary indicators of latent utility. (JEL: I31, D6, H0, J0) C1 [Daly, Mary C.; Wilson, Daniel J.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Daly, MC (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM Mary.Daly@sf.frb.org; daniel.wilson@sf.frb.org NR 10 TC 19 Z9 19 U1 0 U2 6 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR PY 2009 VL 7 IS 2-3 BP 539 EP 549 PG 11 WC Economics SC Business & Economics GA 435TK UT WOS:000265366000020 ER PT J AU Nunes, R AF Nunes, Ricardo TI LEARNING THE INFLATION TARGET SO MACROECONOMIC DYNAMICS LA English DT Article; Proceedings Paper CT 10th Spring Meeting of Young Economists CY APR 22-24, 2005 CL Grad Inst Int Studies, Geneva, SWITZERLAND HO Grad Inst Int Studies DE Adaptive Learning; Heterogeneity; Volcker Disinflation ID KEYNESIAN PHILLIPS-CURVE; MONETARY-POLICY; IMPERFECT CREDIBILITY; RATIONAL-EXPECTATIONS; MODELS; CONVERGENCE; PERSPECTIVE; INFORMATION; COMMITMENT; DYNAMICS AB We propose a framework in which expectations have a rational and a learning component. We describe a Solution method for these frameworks and provide an application to the Volcker disinflation with the New Keynesian model. Although the model with rational expectations does not seem to account for this episode, results improve when a small and empirically plausible proportion of private agents are learning. The learning component is argued to be more robust and plausible than the rule-of-thumb expectations present in the hybrid Phillips Curve. C1 [Nunes, Ricardo] Fed Reserve Board, Washington, DC USA. RP Nunes, R (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM ricardo.p.nunes@frb.gov RI nipe, cef/A-4218-2010 NR 51 TC 7 Z9 7 U1 1 U2 5 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2009 VL 13 IS 2 BP 167 EP 188 DI 10.1017/S136510050807051X PG 22 WC Economics SC Business & Economics GA 413RJ UT WOS:000263809900002 ER PT J AU Liu, Z Waggoner, DF Zha, T AF Liu, Zheng Waggoner, Daniel F. Zha, Tao TI Asymmetric expectation effects of regime shifts in monetary policy SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Rational expectation; Imperfect credibility; Inflation; Monetary policy; Macroeconomic volatility; Lucas critique ID BUSINESS-CYCLE; PERSISTENCE; MODELS; TECHNOLOGY; FRAMEWORK; SHOCKS AB This paper addresses two substantive issues: (1) Does the magnitude of the expectation effect of regime switching in monetary policy depend on a particular policy regime? (2) Under which regime is the expectation effect quantitatively important? Using two canonical DSGE models, we show that there exists asymmetry in the expectation effect across regimes. The expectation effect under the dovish policy regime is quantitatively more important than that under the hawkish regime. These results suggest that the possibility of regime shifts in monetary policy can have important effects on rational agents' expectation formation and on equilibrium dynamics. They offer a theoretical explanation for the empirical possibility that a policy shift from the dovish regime to the hawkish regime may not be the main source of substantial reductions in the volatilities of inflation and output. (C) 2008 Elsevier Inc. All rights reserved. C1 [Waggoner, Daniel F.; Zha, Tao] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Liu, Zheng; Zha, Tao] Emory Univ, Atlanta, GA 30322 USA. [Liu, Zheng] Fed Reserve San Francisco, San Francisco, CA USA. RP Zha, T (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM tzha@earthlink.net NR 38 TC 17 Z9 17 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2009 VL 12 IS 2 BP 284 EP 303 DI 10.1016/j.red.2008.10.001 PG 20 WC Economics SC Business & Economics GA 416FW UT WOS:000263992000003 ER PT J AU Lansing, KJ AF Lansing, Kevin J. TI Time-varying US inflation dynamics and the New Keynesian Phillips curve SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Inflation expectations; Phillips curve; Time-varying persistence and volatility ID MONETARY-POLICY; STAGGERED PRICES; TREND INFLATION; EXPECTATIONS; INFORMATION; PERSISTENCE; UNEMPLOYMENT; FORECASTS; HYBRID; MODELS AB This paper introduces a form of boundedly-rational inflation expectations in the New Keynesian Phillips curve. The representative agent is assumed to behave as an econometrician, employing a time series model for inflation that allows for both permanent and temporary shocks. The near-unity coefficient on expected inflation in the Phillips curve causes the agent's perception of a unit root in inflation to become close to self-fulfilling. In a "consistent expectations equilibrium," the value of the Kalman gain parameter in the agent's forecast rule is pinned down using the observed autocorrelation of inflation changes. The forecast errors observed by the agent are close to white noise, making it difficult for the agent to detect a misspecification of the forecast rule. I show that this simple model of inflation expectations can generate time-varying persistence and volatility that is broadly similar to that observed in long-run U.S. data. Model-based values for expected inflation track well with movements in survey-based measures of U.S. expected inflation. In numerical simulations, the model can generate pronounced low-frequency swings in the level of inflation that are driven solely by expectational feedback, not by changes in monetary policy. (C) 2008 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94120 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, Res Dept, POB 7702, San Francisco, CA 94120 USA. EM kevin.j.lansing@sf.frb.org NR 76 TC 10 Z9 10 U1 3 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2009 VL 12 IS 2 BP 304 EP 326 DI 10.1016/j.red.2008.07.002 PG 23 WC Economics SC Business & Economics GA 416FW UT WOS:000263992000004 ER PT J AU Williamson, SD AF Williamson, Stephen D. TI Transactions, credit, and central banking in a model of segmented markets SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Monetary policy; Payments economics; Segmented markets; Credit ID EXCHANGE-RATES; LIQUIDITY; MONEY; SEARCH; POLICY AB A segmented markets model is constructed in which transactions are conducted using credit and currency. Goods market segmentation plays an important role, in addition to the role played by conventional segmentation of asset markets. An important novelty of the paper is to show how the nonneutralities of money and their persistence depend on the nature of goods market transactions and on the arrangements for clearing and settlement of consumer credit. The model permits open market operations, daylight overdrafts, reserve-holding, and overnight lending and borrowing, allowing the consideration of a rich array of central banking arrangements and their implications. (C) 2008 Elsevier Inc. All rights reserved. C1 [Williamson, Stephen D.] Washington Univ, Dept Econ, St Louis, MO 63130 USA. [Williamson, Stephen D.] Richmond Fed Reserve Bank, Richmond, VA USA. [Williamson, Stephen D.] St Louis Fed Reserve Bank, St Louis, MO USA. RP Williamson, SD (reprint author), Washington Univ, Dept Econ, Campus Box 1208, St Louis, MO 63130 USA. EM swilliam@artsci.wustl.edu RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 20 TC 7 Z9 7 U1 1 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2009 VL 12 IS 2 BP 344 EP 362 DI 10.1016/j.red.2008.09.003 PG 19 WC Economics SC Business & Economics GA 416FW UT WOS:000263992000006 ER PT J AU Carbo-Valverde, S Rodriguez-Fernandez, F Udell, GF AF Carbo-Valverde, Santiago Rodriguez-Fernandez, Francisco Udell, Gregory F. TI Bank Market Power and SME Financing Constraints* SO REVIEW OF FINANCE LA English DT Article DE G21; L11 ID SMALL BUSINESS DATA; PANEL-DATA; ASYMMETRIC INFORMATION; INTERNATIONAL EVIDENCE; LENDING RELATIONSHIPS; MANUFACTURING FIRMS; SHARE INEQUALITY; CREDIT MARKET; COMPETITION; INVESTMENT AB Some studies find that market power is associated with credit availability (information hypothesis); others find that less competitive banking markets lead to more credit rationing (market power hypothesis). Empirical research has relied solely on concentration as a measure of market power. The industrial organization literature, however, argues that a structural competition indicator such as the Lerner index is a superior measure. We test the information hypothesis and the market power hypothesis using these two alternative measures of market power and find that they generally give conflicting results. However, we also offer evidence suggesting that both views can be reconciled. C1 [Carbo-Valverde, Santiago; Rodriguez-Fernandez, Francisco] Univ Granada, E-18071 Granada, Spain. [Carbo-Valverde, Santiago] Fed Reserve Bank Chicago, Chicago, IL USA. [Udell, Gregory F.] Indiana Univ, Kelley Sch Business, Bloomington, IN 47405 USA. RP Carbo-Valverde, S (reprint author), Univ Granada, E-18071 Granada, Spain. NR 78 TC 42 Z9 42 U1 1 U2 40 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1572-3097 J9 REV FINANC JI Rev. Financ. PD APR PY 2009 VL 13 IS 2 BP 309 EP 340 DI 10.1093/rof/rfp003 PG 32 WC Business, Finance; Economics SC Business & Economics GA 434LY UT WOS:000265277400005 ER PT J AU Burke, MA Fournier, GM Prasad, K AF Burke, Mary A. Fournier, Gary M. Prasad, Kislaya TI The Diffusion of a Medical Innovation: Is Success in the Stars? Further Evidence SO SOUTHERN ECONOMIC JOURNAL LA English DT Article AB Burke, Fournier, and Prasad (2007) present evidence of star effects in the adoption and utilization of stents following their introduction in the mid-1990s. Here, we experiment with alternative constructions of star status and with additional control variables in the analysis and find further supporting evidence. Conditioning star status upon prior adoption of stents yields significant effects on the utilization of stents by nonstars. In contrast, the results show no evidence that the number of nonstars present affects the utilization of stars. Moreover, the empirical effect is stronger when the definition of star physicians is restricted to those with more recent residency training. We argue for further research focusing on asymmetric aspects of peer effects among physicians interacting locally in medical practice environments. C1 [Fournier, Gary M.] Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. [Burke, Mary A.] Fed Reserve Bank Boston, Econ Res Dept, Boston, MA 02205 USA. [Prasad, Kislaya] Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA. RP Fournier, GM (reprint author), Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. EM mary.burke@bos.frb.org; gary.fournier@fsu.edu; kprasad@rhsmith.umd.edu NR 4 TC 1 Z9 1 U1 1 U2 6 PU UNIV NORTH CAROLINA PI CHAPEL HILL PA SOUTHERN ECONOMIC JOURNAL, CHAPEL HILL, NC 27514 USA SN 0038-4038 J9 SOUTH ECON J JI South. Econ. J. PD APR PY 2009 VL 75 IS 4 BP 1274 EP 1278 PG 5 WC Economics SC Business & Economics GA 437RG UT WOS:000265504000019 ER PT J AU Cagetti, M De Nardi, M AF Cagetti, Marco De Nardi, Mariacristina TI Estate Taxation, Entrepreneurship, and Wealth SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INEQUALITY; MODEL; DEBT; MOBILITY; GROWTH; TAXES AB This paper studies the estate tax in a quantitative framework with business investment, borrowing constraints, estate transmission, and wealth inequality. We find that the estate tax has little effect on the saving and investment decisions of small businesses, but does distort the decisions of larger firms, thereby reducing aggregate output and savings. Removing such distortions by eliminating the estate tax does not necessarily imply that everyone would be better off If other taxes were raised to reestablish fiscal balance, those at the top of the wealth distribution would experience a large welfare gain, but most of the population would lose. (JEL D31, E21, H2) C1 [Cagetti, Marco] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. [De Nardi, Mariacristina] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60615 USA. [De Nardi, Mariacristina] Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Cagetti, M (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 97, Washington, DC 20551 USA. EM Marco.Cagetti@frb.gov; denardim@nber.org NR 61 TC 22 Z9 22 U1 1 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 MAR PY 2009 VL 99 IS 1 BP 85 EP 111 DI 10.1257/aer.99.1.85 PG 27 WC Economics SC Business & Economics GA 427NH UT WOS:000264785500004 ER PT J AU Lagos, R Rocheteau, G AF Lagos, Ricardo Rocheteau, Guillaume TI Liquidity in Asset Markets With Search Frictions SO ECONOMETRICA LA English DT Article DE Bid-ask spreads; trading delays; liquidity; search; trade volume ID TRADING COSTS; EQUILIBRIUM; MONEY; EXCHANGE; PRICES AB We develop a search-theoretic model of financial intermediation in an over-the-counter market and study how trading frictions affect the distribution of asset holdings and standard measures of liquidity. A distinctive feature of our theory is that it allows for unrestricted asset holdings, so market participants can accommodate trading frictions by adjusting their asset positions. We show that these individual responses of asset demands constitute a fundamental feature of illiquid markets: they are a key determinant of trade volume, bid-ask spreads, and trading delays-the dimensions of market liquidity that search-based theories seek to explain. C1 [Lagos, Ricardo] NYU, Dept Econ, New York, NY 10003 USA. [Rocheteau, Guillaume] Univ Calif Irvine, Dept Econ, Irvine, CA 92697 USA. [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Lagos, R (reprint author), NYU, Dept Econ, 269 Mercer St, New York, NY 10003 USA. EM ricardo.lagos@nyu.edu; grochete@uci.edu FU C. V. Starr Center for Applied Economics FX Financial support from the C. V. Starr Center for Applied Economics at NYU is gratefully acknowledged. NR 29 TC 52 Z9 52 U1 0 U2 9 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD MAR PY 2009 VL 77 IS 2 BP 403 EP 426 DI 10.3982/ECTA7250 PG 24 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 415BL UT WOS:000263909200002 ER PT J AU Huang, KXD Liu, Z Zha, T AF Huang, Kevin X. D. Liu, Zheng Zha, Tao TI Learning, Adaptive Expectations and Technology Shocks SO ECONOMIC JOURNAL LA English DT Article ID BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; INDIVISIBLE LABOR; NASH INFLATION; CONVERGENCE; INEQUALITY; BELIEFS; MODELS AB This study explores the macroeconomic implications of adaptive expectations in a standard growth model. We show that the self-confirming equilibrium under adaptive expectations is the same as the steady state rational expectations equilibrium for all admissible parameter values, but that dynamics around the steady state are substantially different between the two equilibria. The differences are driven mainly by the dampened wealth effect and the strengthened intertemporal substitution effect, not by escapes emphasised by Williams (2003). Consequently, adaptive expectations can be an important source of frictions that amplify and propagate technology shocks and seem promising for generating plausible labour market dynamics. C1 [Huang, Kevin X. D.] Vanderbilt Univ, Nashville, TN 37203 USA. [Liu, Zheng] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Liu, Zheng; Zha, Tao] Emory Univ, Atlanta, GA 30322 USA. [Zha, Tao] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Huang, KXD (reprint author), Vanderbilt Univ, Nashville, TN 37203 USA. NR 38 TC 14 Z9 14 U1 1 U2 7 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0133 J9 ECON J JI Econ. J. PD MAR PY 2009 VL 119 IS 536 BP 377 EP 405 DI 10.1111/j.1468-0297.2008.02238.x PG 29 WC Economics SC Business & Economics GA 409QA UT WOS:000263519700004 ER PT J AU Beechey, M Osterholm, P AF Beechey, Meredith Osterholm, Par TI Time-varying inflation persistence in the Euro area SO ECONOMIC MODELLING LA English DT Article DE Monetary policy; Central bank preferences ID PRICES; POLICY AB This paper investigates how inflation persistence in the Euro area has evolved between 1991 and 2006. Employing an ARMA(1,11) model with time-varying autoregressive parameter, we find that inflation persistence has fallen markedly since the third stage of the EMU began in January 1999 and inflation no longer exhibits unit-root behaviour. (C) 2008 Elsevier B.V. All rights reserved. C1 [Osterholm, Par] Natl Inst Econ Res, S-10362 Stockholm, Sweden. [Beechey, Meredith] Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Osterholm, P (reprint author), Natl Inst Econ Res, Box 3116, S-10362 Stockholm, Sweden. EM meredith.j.beechey@frb.gov; par.osterholm@konj.se NR 21 TC 16 Z9 16 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0264-9993 J9 ECON MODEL JI Econ. Model. PD MAR PY 2009 VL 26 IS 2 BP 532 EP 535 DI 10.1016/j.econmod.2008.11.001 PG 4 WC Economics SC Business & Economics GA 408GV UT WOS:000263424400030 ER PT J AU Denis, R AF Denis, Richard TI Robustness SO ECONOMIC RECORD LA English DT Book Review C1 [Denis, Richard] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Denis, R (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0249 J9 ECON REC JI Econ. Rec. PD MAR PY 2009 VL 85 IS 268 BP 108 EP 109 PG 2 WC Economics SC Business & Economics GA 412VE UT WOS:000263751500008 ER PT J AU Lai, ELC Riezman, R Wang, P AF Lai, Edwin L-C. Riezman, Raymond Wang, Ping TI Outsourcing of innovation SO ECONOMIC THEORY LA English DT Article; Proceedings Paper CT Symposium on Organization, Heterogeneity and Trade CY 2002 CL Geneva, SWITZERLAND DE R&D outsourcing; Principal-agent problem; Fixed versus revenue-sharing contract ID TECHNOLOGY ADOPTION; ECONOMIC-GROWTH; CONTRACTS; EQUILIBRIUM; INTEGRATION; PRINCIPAL; PROPERTY; DESIGN; COSTS; MODEL AB This paper looks at the outsourcing of research and development (R&D) activities. We consider cost reducing R&D and allow manufacturing firms to decide whether to outsource the project to research subcontractors or carry out the research in-house. We use a principal-agent framework and consider fixed and revenue-sharing contracts. We solve for the optimal contract under these constraints. We find that allowing for revenue-sharing contracts increases the chance of outsourcing and improves economic efficiency. However, the principal may still find it optimal to choose a contract that allows the leakage to occur-a second-best outcome when leakage cannot be monitored or verified. Stronger protection of trade secrets can induce more R&D outsourcing without inhibiting technology diffusion and increase economic efficiency, as long as it does not significantly lengthen the product cycle. C1 [Lai, Edwin L-C.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. [Riezman, Raymond] Univ Iowa, Dept Econ, Iowa City, IA 52242 USA. [Wang, Ping] Washington Univ, St Louis, MO USA. [Wang, Ping] NBER, Cambridge, MA 02138 USA. RP Riezman, R (reprint author), Univ Iowa, Dept Econ, Iowa City, IA 52242 USA. EM edwin.l.lai@gmail.com; raymond-riezman@uiowa.edu OI Lai, Edwin/0000-0002-1188-4855 NR 31 TC 22 Z9 28 U1 3 U2 18 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD MAR PY 2009 VL 38 IS 3 BP 485 EP 515 DI 10.1007/s00199-007-0326-4 PG 31 WC Economics SC Business & Economics GA 391KY UT WOS:000262233400004 ER PT J AU Sander, W Testa, WA AF Sander, William Testa, William A. TI Education and Household Location in Chicago SO GROWTH AND CHANGE LA English DT Article ID DEMAND; INCOME; CITIES AB This paper examines the choice of residential location in the city of Chicago versus its suburban areas. Data from the 5 percent Public Use Microdata Sample from the 1990 and 2000 Census of Population and Housing are used. Particular attention is given to the effects of educational attainment. Place of work continues to dominate the residential location decision. However, conditioning on place of work, demographics, and income, educational attainment is found to be statistically significant in residential choice of the city versus the suburbs in 2000 for non-Hispanic whites, especially those with graduate degrees. In contrast, more educated African-Americans and Hispanics tend to locate in suburban areas. C1 [Sander, William] Depaul Univ, Dept Econ, Chicago, IL 60604 USA. [Testa, William A.] Fed Reserve Bank Chicago, Reg Programs, Chicago, IL 60604 USA. RP Sander, W (reprint author), Depaul Univ, Dept Econ, 1 E Jackson Blvd,Suite 6200, Chicago, IL 60604 USA. EM wsander@depaul.edu; William.Testa@chi.frb.org NR 47 TC 3 Z9 3 U1 0 U2 3 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0017-4815 J9 GROWTH CHANGE JI Growth Change PD MAR PY 2009 VL 40 IS 1 BP 116 EP 139 DI 10.1111/j.1468-2257.2008.00463.x PG 24 WC Planning & Development SC Public Administration GA 411YV UT WOS:000263691300005 ER PT J AU Eusepi, S AF Eusepi, Stefano TI On expectations-driven business cycles in economies with production externalities SO INTERNATIONAL JOURNAL OF ECONOMIC THEORY LA English DT Article DE expectations-driven business cycles; indeterminacy; externalities; C62; E32 ID INCREASING RETURNS; SUNSPOT EQUILIBRIA; INDETERMINACY; FLUCTUATIONS; DYNAMICS; MODELS AB Expectations-driven business cycles are defined as positive co-movement between consumption, investment and hours that result from a change in expectations, holding constant technology, preferences and government intervention. This note explores the possibility of expectations-driven business cycles in business cycle models with external effects. It is found that in one-sector models conditions for expectations-driven business cycles and conditions for multiple equilibria are tightly connected. In two-sector models those conditions appear to be mutually exclusive. C1 Fed Reserve Bank New York, Res & Stat, New York, NY 10045 USA. RP Eusepi, S (reprint author), Fed Reserve Bank New York, Res & Stat, New York, NY 10045 USA. EM stefano.eusepi@ny.frb.org NR 18 TC 10 Z9 10 U1 0 U2 4 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1742-7355 J9 INT J ECON THEORY JI Int. J. Econ. Theory PD MAR PY 2009 VL 5 IS 1 BP 9 EP 23 DI 10.1111/j.1742-7363.2008.00101.x PG 15 WC Economics SC Business & Economics GA 407CY UT WOS:000263342400002 ER PT J AU Coury, T Wen, Y AF Coury, Tarek Wen, Yi TI Global indeterminacy in locally determinate real business cycle models SO INTERNATIONAL JOURNAL OF ECONOMIC THEORY LA English DT Article DE global indeterminacy; real business cycles; sunspots; chaos; limit cycles; C62; E13; E32 ID SECTOR-SPECIFIC EXTERNALITIES; FINANCE CONSTRAINED ECONOMY; INCREASING RETURNS; ADJUSTMENT COSTS; AGGREGATE FLUCTUATIONS; CAPACITY UTILIZATION; CONSTANT RETURNS; ANIMAL SPIRITS; FISCAL-POLICY; SUNSPOTS AB We investigate the global dynamics of real business cycle models with production externalities. We confirm that purely local analysis does not tell the full story. With externalities smaller than required for local indeterminacy, local analysis shows the steady state to be a saddle, implying a unique equilibrium. However, global analysis reveals that the steady state is surrounded by stable deterministic cycles. Our analysis suggests that indeterminacy is more pervasive than previously believed, and the results strengthen the view that caution should be exercised when linearized versions of this class of real business cycle models are used in applied work. C1 [Coury, Tarek] Univ Oxford, Dept Econ, Oxford, England. [Wen, Yi] Fed Reserve Bank St Louis, Res Dept, St Louis, MO USA. RP Coury, T (reprint author), Univ Oxford, Dept Econ, Oxford, England. EM yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 49 TC 6 Z9 6 U1 1 U2 8 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1742-7355 J9 INT J ECON THEORY JI Int. J. Econ. Theory PD MAR PY 2009 VL 5 IS 1 BP 49 EP 60 DI 10.1111/j.1742-7363.2008.00102.x PG 12 WC Economics SC Business & Economics GA 407CY UT WOS:000263342400004 ER PT J AU Farmer, REA Waggoner, DF Zha, T AF Farmer, Roger E. A. Waggoner, Daniel F. Zha, Tao TI Indeterminacy in a forward-looking regime switching model SO INTERNATIONAL JOURNAL OF ECONOMIC THEORY LA English DT Article DE policy rule; inflation; serial dependence; multiple equilibria; stationary equilibrium; bounded equilibrium; E12; E40; E52 ID MONETARY-POLICY; RATIONAL-EXPECTATIONS AB This paper considers the properties of Markov switching rational expectations (MSRE) models. We discuss possible solution concepts for MSRE models, distinguishing between stationary and bounded equilibria. For the case of models with one variable we provide a necessary and sufficient condition for uniqueness of a bounded equilibrium and we relate this condition to an alternative, the "generalized Taylor principle," suggested by Davig and Leeper. We provide examples of models with multiple bounded and multiple stationary equilibria which suggest that it might be more difficult to rule out non-fundamental equilibria in MSRE models than in the single regime case where the Taylor principle is known to guarantee local uniqueness. C1 [Farmer, Roger E. A.] Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90024 USA. [Waggoner, Daniel F.; Zha, Tao] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Zha, Tao] Emory Univ, Atlanta, GA 30322 USA. RP Farmer, REA (reprint author), Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90024 USA. EM rfarmer@econ.ucla.edu NR 19 TC 6 Z9 6 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1742-7355 EI 1742-7363 J9 INT J ECON THEORY JI Int. J. Econ. Theory PD MAR PY 2009 VL 5 IS 1 BP 69 EP 84 DI 10.1111/j.1742-7363.2008.00094.x PG 16 WC Economics SC Business & Economics GA 407CY UT WOS:000263342400006 ER PT J AU Bisin, A Topa, G Verdier, T AF Bisin, Alberto Topa, Giorgio Verdier, Thierry TI Cultural transmission, socialization and the population dynamics of multiple-trait distributions SO INTERNATIONAL JOURNAL OF ECONOMIC THEORY LA English DT Article DE socialization; population dynamics; cultural transmission; D10; C61; Z10 ID PREFERENCES AB This paper studies the population dynamics of multiple preference traits in a model of intergenerational cultural transmission. Parents socialize and transmit their preferences to their children with endogenous intensities. Populations concentrated on a single cultural group are in general not stable. There is a unique stable stationary distribution, and it supports two or more cultural groups, in particular those with greater intolerance with respect to others' traits. The larger the heterogeneity of intolerance levels across cultural groups, the smaller the number of traits that are supported in the stable stationary distribution. C1 [Bisin, Alberto] NYU, Dept Econ, New York, NY 10003 USA. [Topa, Giorgio] Fed Reserve Bank New York, New York, NY 10045 USA. [Verdier, Thierry] Paris Jourdan Sci Econ, Paris, France. [Verdier, Thierry] Univ Southampton, Econ Div, Southampton SO9 5NH, Hants, England. [Verdier, Thierry] Ctr Econ Policy Res, London SW1Y 6LA, England. RP Bisin, A (reprint author), NYU, Dept Econ, New York, NY 10003 USA. EM alberto.bisin@nyu.edu NR 24 TC 8 Z9 8 U1 1 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1742-7355 EI 1742-7363 J9 INT J ECON THEORY JI Int. J. Econ. Theory PD MAR PY 2009 VL 5 IS 1 BP 139 EP 154 DI 10.1111/j.1742-7363.2008.00098.x PG 16 WC Economics SC Business & Economics GA 407CY UT WOS:000263342400010 ER PT J AU DiCecio, R AF DiCecio, Riccardo TI Sticky wages and sectoral labor comovement SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Comovement; Business cycles; Sticky wages ID BUSINESS CYCLES; MONETARY-POLICY; FLUCTUATIONS; GROWTH; SHOCKS AB A defining feature of business cycles is the comovement of inputs at the sectoral level with aggregate activity. Standard models cannot account for this phenomenon. This paper develops and estimates a two-sector dynamic general equilibrium model that can account for this key regularity. My model incorporates three shocks to the economy: monetary policy shocks, neutral technology shocks, and embodied technology shocks in the capital-producing sector. The estimated model is able to account for the response of the U.S. economy to all three shocks. Using this model, I argue that the key friction underlying sectoral comovement is rigidity in nominal wages. (C) 2008 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP DiCecio, R (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM dicecio@stls.frb.org RI DiCecio, Riccardo/K-6861-2016 OI DiCecio, Riccardo/0000-0002-3288-8396 NR 35 TC 15 Z9 15 U1 2 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2009 VL 33 IS 3 BP 538 EP 553 DI 10.1016/j.jedc.2008.08.003 PG 16 WC Economics SC Business & Economics GA 417MS UT WOS:000264080800002 ER PT J AU Andres, J Lopez-Salido, JD Nelson, E AF Andres, Javier Lopez-Salido, J. David Nelson, Edward TI Money and the natural rate of interest: Structural estimates for the United States and the euro area SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Money; Natural rate; New Keynesian models ID OPTIMAL MONETARY-POLICY; BUSINESS-CYCLE; MODEL AB We examine the role of money in three environments: the New Keynesian model with separable utility and static money demand; a nonseparable utility variant with habit formation; and a version with adjustment costs for holding real balances. The last two variants imply forward-looking behavior of real money balances, with forecasts of future interest rates entering current portfolio decisions. We conduct a structural econometric analysis of the U.S. and euro area economies. FIML estimates confirm the forward-looking character of money demand. A consequence is that real money balances are valuable in anticipating future variations in the natural interest rate. Published by Elsevier B.V. C1 [Nelson, Edward] Fed Reserve Bank St Louis, St Louis, MO USA. [Andres, Javier] Univ Valencia, E-46003 Valencia, Spain. [Lopez-Salido, J. David] Fed Reserve Board, Washington, DC USA. RP Nelson, E (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM javier.andres@uv.es; david.j.lopez-salido@frb.gov; edward.nelson@stls.frb.org RI Andres, Javier/K-7793-2014 OI Andres, Javier/0000-0003-0980-4833 NR 38 TC 16 Z9 16 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2009 VL 33 IS 3 BP 758 EP 776 DI 10.1016/j.jedc.2008.01.011 PG 19 WC Economics SC Business & Economics GA 417MS UT WOS:000264080800016 ER PT J AU Crowley, MA AF Crowley, Meredith A. TI Elements of Multinational Strategy SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 [Crowley, Meredith A.] Fed Reserve Bank Chicago, Chicago, IL USA. RP Crowley, MA (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 2 TC 0 Z9 0 U1 0 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD MAR PY 2009 VL 47 IS 1 BP 171 EP 172 PG 2 WC Economics SC Business & Economics GA 427VM UT WOS:000264807200007 ER PT J AU Aaronson, D French, E AF Aaronson, Daniel French, Eric TI The Effects of Progressive Taxation on Labor Supply when Hours and Wages Are Jointly Determined SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID LIFE-CYCLE; INTERTEMPORAL SUBSTITUTION; COMMODITY DEMANDS; TAXABLE INCOME; TAX-REFORM; FULL-TIME; MODEL; ELASTICITIES; EMPLOYMENT; OFFERS AB This paper extends a standard intertemporal labor supply model to account for progressive taxation as well as the joint determination of hourly wages and hours worked. We show that these two factors can have implications for both estimating labor supply elasticities as well as for using these elasticities in tax analysis. Failure to account for wage-hours ties and progressive taxation may cause the hours response to marginal tax rate changes to be understated by 5 to 30 percent for men. C1 [Aaronson, Daniel; French, Eric] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Aaronson, D (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM daaronson@frbchi.org; efrench@frbchi.org NR 37 TC 3 Z9 3 U1 0 U2 4 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X J9 J HUM RESOUR JI J. Hum. Resour. PD SPR PY 2009 VL 44 IS 2 BP 386 EP 408 PG 23 WC Economics; Industrial Relations & Labor SC Business & Economics GA 436VO UT WOS:000265444400005 ER PT J AU Mukoyama, T Sahin, A AF Mukoyama, Toshihiko Sahin, Ayseguel TI Why did the average duration of unemployment become so much longer? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Unemployment duration; Wage dispersion; Job search model ID WAGE INEQUALITY; SEARCH; SKILL; INSURANCE; DEMAND; RISE AB There has been a substantial increase in the average duration of unemployment relative to the unemployment rate in the U.S. over the last 30 years. We evaluate the performance of a standard job-search model in explaining this phenomenon. In particular, we examine whether the increase in within-group wage inequality and the decline in the incidence of unemployment can account for the increase in unemployment duration. The results indicate that these two changes can explain a significant part of the increase over the last 30 years, although the model fails to match the behavior of unemployment duration during 1980s. (C) 2008 Elsevier B.V. All rights reserved. C1 [Mukoyama, Toshihiko] Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. [Sahin, Ayseguel] Fed Reserve Bank New York, New York, NY 10045 USA. RP Mukoyama, T (reprint author), Univ Virginia, Dept Econ, POB 400182, Charlottesville, VA 22904 USA. EM tm5hs@virginia.edu NR 32 TC 4 Z9 4 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2009 VL 56 IS 2 BP 200 EP 209 DI 10.1016/j.jmoneco.2008.11.002 PG 10 WC Business, Finance; Economics SC Business & Economics GA 429WW UT WOS:000264951800005 ER PT J AU Amromin, G Chakravorti, S AF Amromin, Gene Chakravorti, Sujit TI Whither Loose Change ? The Diminishing Demand for Small-Denomination Currency SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE D23; E41; G21; payment networks; money demand; consumer choice; technology adoption ID CASH; PAYMENTS; MARKET AB While payment card usage has increased dramatically, the stock of outstanding currency has not declined as rapidly. We analyze changes in cash demand for 13 advanced economies from 1988 to 2003 by separating cash into three denomination categories to disentangle its store of wealth and payment functions. Defining denominations commonly dispensed by automated teller machines (ATMs) as the "medium" category, we show that demand for small-denomination currency decreases with greater debit card usage and with greater retail market consolidation. In contrast, the demand for high-denomination notes decreases when interest rates rise but is generally unaffected by changes in debit card usage. C1 [Amromin, Gene; Chakravorti, Sujit] Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL USA. RP Amromin, G (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL USA. EM gamromin@frbchi.org; sujit.chakravorti@chi.frb.org RI Amromin, Gene/B-7425-2011 NR 43 TC 12 Z9 12 U1 0 U2 9 PU WILEY-BLACKWELL PUBLISHING, INC 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 2009 VL 41 IS 2-3 BP 315 EP 335 DI 10.1111/j.1538-4616.2009.00207.x PG 21 WC Business, Finance; Economics SC Business & Economics GA 424KI UT WOS:000264565200003 ER PT J AU Rose, AK Spiegel, MM AF Rose, Andrew K. Spiegel, Mark M. TI Noneconomic Engagement and International Exchange: The Case of Environmental Treaties SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE F02; F10; F34; assets; debt; theory; reputation; discount; empirical; arrangement; partnership ID SOVEREIGN DEBT; AGREEMENTS; DEFAULT; MODEL; REPUDIATION; CREDIT; TRADE; FLOWS; RISK AB We examine the role of noneconomic partnerships in promoting international economic exchange. Since far-sighted countries are more willing to join costly international partnerships such as environmental treaties, environmental engagement tends to encourage international lending. Countries with such noneconomic partnerships also find it easier to engage in economic exchanges since they face the possibility that debt default might also spill over to hinder their noneconomic relationships. We present a theoretical model of these ideas and then verify their empirical importance using a bilateral cross-section of data on international cross-holdings of assets and environmental treaties. Our results support the notion that international environmental cooperation facilitates economic exchange. C1 [Rose, Andrew K.] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA. [Rose, Andrew K.] NBER, Cambridge, MA 02138 USA. [Spiegel, Mark M.] Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Rose, AK (reprint author), Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 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 29 TC 14 Z9 14 U1 0 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC 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 2009 VL 41 IS 2-3 BP 337 EP 363 DI 10.1111/j.1538-4616.2009.00208.x PG 27 WC Business, Finance; Economics SC Business & Economics GA 424KI UT WOS:000264565200004 ER PT J AU Martin, A AF Martin, Antoine TI Reconciling Bagehot and the Fed's Response to September 11 SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E4; E5; G2; liquidity provision; lender of last resort; Bagehot; commodity money ID BANK RUNS; DEPOSIT INSURANCE; LAST RESORT; LIQUIDITY; PROVISION; LENDER; SYSTEM; PANICS; CRISES; MODEL AB Bagehot (1873) states that to prevent bank panics a central bank should provide liquidity at a "very high rate of interest." In contrast, most of the theoretical literature on liquidity provision suggests that central banks should lend at an interest rate of zero. This is broadly consistent with the Federal Reserve's behavior in the days following September 11, 2001. This paper shows that both policies can be reconciled. With commodity money, as in Bagehot's time, liquidity is scarce and a high price allows banks to self-select. In contrast, the Fed has a virtually unlimited ability to temporarily expand the money supply so self-selection is unnecessary. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Martin, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM antoine.martin@ny.frb.org NR 36 TC 3 Z9 3 U1 1 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC 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 2009 VL 41 IS 2-3 BP 397 EP 415 DI 10.1111/j.1538-4616.2009.00210.x PG 19 WC Business, Finance; Economics SC Business & Economics GA 424KI UT WOS:000264565200006 ER PT J AU Ergashev, B AF Ergashev, Bakhodir TI Estimating the lognormal-gamma model of operational risk using the Markov chain Monte Carlo method SO JOURNAL OF OPERATIONAL RISK LA English DT Article ID QUANTILE DISTANCE ESTIMATORS; ASYMPTOTIC PROPERTIES; BAYES INFERENCE AB The lognormal-gamma distribution, being a heavy-tailed distribution, is very attractive from an operational risk modeling perspective because historical operational losses also exhibit heavy tails. Unfortunately, fitting this model requires two severe challenges to be properly addressed. First, the density function of the lognormal-gamma distribution is expressed in the form of a Lebesgue integral. Second, if the information contained in a sample of losses is insufficient to accurately estimate the shape of the distribution's tail, the capital estimates become extremely volatile. We address both challenges by using the Markov chain Monte Carlo method and imposing prior assumptions about the model's unknown parameters. C1 Fed Reserve Bank Richmond, Charlotte Off, Charlotte, NC 28230 USA. RP Ergashev, B (reprint author), Fed Reserve Bank Richmond, Charlotte Off, POB 30248, Charlotte, NC 28230 USA. EM Bakhodir.Ergashev@rich.frb.org NR 31 TC 6 Z9 6 U1 0 U2 3 PU INCISIVE MEDIA PI LONDON PA HAYMARKET HOUSE, 28-29 HAYMARKET, LONDON, SW1Y 4RX, ENGLAND SN 1744-6740 J9 J OPER RISK JI J. Oper. Risk. PD SPR PY 2009 VL 4 IS 1 BP 35 EP 57 PG 23 WC Business, Finance SC Business & Economics GA 559GF UT WOS:000274810500002 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, Pia M. Zavodny, Madeline TI The Effects of Tougher Enforcement on the Job Prospects of Recent Latin American Immigrants SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Article ID UNITED-STATES; REFORM; EARNINGS; DURATION; WORKERS; ARAB AB Attempts to enforce immigration laws in the U.S. interior have proliferated in recent years, yet the effects of these laws on immigrants are largely unknown. This paper examines whether increases in immigration-related law enforcement since 2001 have adversely affected the labor market outcomes of low-education male immigrants from. Latin America, a group that comprises the bulk of undocumented workers in the U.S. The crackdown on the use of fraudulent Social Security numbers, increased requirements for government-issued identification, and other changes associated with greater focus on national security likely lowered the demand for undocumented foreign-born workers in the years following the 9/11 terrorist attacks. Using Current Population Survey data and a difference-in-differences estimation technique, we find strong evidence of worse labor market outcomes among recent Latin American immigrants in the post-9/11 period relative to natives and prior Latin American immigrants. The results indicate a decline in employment, hours worked, and earnings among recent male Latin American immigrants relative to similarly low-skilled black and Hispanic natives and vis-a-vis Latin American immigrants who have been in the U.S. longer. Our findings arc, consistent with firms increasingly substituting legal workers for undocumented labor in the years following 9/11. (C) 2009 by the Association for Public Policy Analysis and Management. C1 [Orrenius, Pia M.] Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. [Zavodny, Madeline] Agnes Scott Coll, Dept Econ, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. NR 41 TC 17 Z9 17 U1 0 U2 10 PU JOHN WILEY & SONS INC PI HOBOKEN PA 111 RIVER ST, HOBOKEN, NJ 07030 USA SN 0276-8739 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD SPR PY 2009 VL 28 IS 2 BP 239 EP 257 DI 10.1002/pam.20425 PG 19 WC Economics; Public Administration SC Business & Economics; Public Administration GA 420PM UT WOS:000264301700005 ER PT J AU Zhao, B Bradbury, K AF Zhao, Bo Bradbury, Katharine TI Designing State Aid Formulas SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Article ID FISCAL DISPARITIES; ALLOCATION AB This paper designs a new equalization-aid formula based on fiscal gaps of local communities. When states are in transition to a new local aid formula, the issue of whether and how to hold existing aid harmless poses a challenge. The authors show that some previous studies and the formulas derived from them give differential weights to existing and new aid in filling the gap and hence effectively treat communities receiving greater amounts of existing aid more favorably than communities receiving less or no existing aid. As a fairer alternative, the authors propose a new approach that considers existing and new aid as completely equivalent in filling the gap by focusing on the equalizing impact of combined (new and existing) aid. In addition, unlike most previous research that focuses only on a single yearn new aid distribution, the authors simulate the dynamics of aid distributions over multiple years using Massachusetts data. They further provide and compare several possible methods by which state policymakers could direct extra aid dollars to communities with larger unfilled gaps in dollar terms. Although the proposed aid formula is designed for municipal aid and tailored to Massachusetts, the authors note that foundation aid formulas for education implicitly treat existing aid in the same way and suggest that the framework, principles, and policy recommendations might also be applicable to other states. (C) 2009 by the Association for Public Policy Analysis and Management. C1 [Zhao, Bo] Fed Reserve Bank Boston, New England Publ Policy Ctr, Boston, MA USA. [Bradbury, Katharine] Fed Reserve Bank Boston, Res Dept, Boston, MA USA. RP Zhao, B (reprint author), Fed Reserve Bank Boston, New England Publ Policy Ctr, Boston, MA USA. NR 23 TC 1 Z9 1 U1 0 U2 3 PU JOHN WILEY & SONS INC PI HOBOKEN PA 111 RIVER ST, HOBOKEN, NJ 07030 USA SN 0276-8739 J9 J POLICY ANAL MANAG JI J. Policy Anal. Manage. PD SPR PY 2009 VL 28 IS 2 BP 278 EP 295 DI 10.1002/pam.20427 PG 18 WC Economics; Public Administration SC Business & Economics; Public Administration GA 420PM UT WOS:000264301700007 ER PT J AU Owyang, MT Rapach, DE Wall, HJ AF Owyang, Michael T. Rapach, David E. Wall, Howard J. TI States and the business cycle SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE State business cycles; Common factors ID MONETARY-POLICY; FACTOR MODELS; US STATES; SHOCKS; NUMBER; FLUCTUATIONS; EMPLOYMENT; MARKETS; REGIONS AB We model the US business Cycle using a dynamic factor model that identifies common factors underlying fluctuations in state-level income and employment growth. We find three such common factors, each of which is associated with a set of factor loadings that indicate the extent to which each state's economy is related to the national business cycle. According to the factor loadings, there is a great deal of heterogeneity in the nature of the links between state and national economies. In addition to exhibiting geographic patterns, the closeness of state economies to the national business cycle is related not only to differences in industry mix but also to non-industry variables such as agglomeration and neighbor effects. Finally, we find that the common factors tend to explain large proportions of the total variability in state-level business cycles, although, again, there is a great deal of cross-state heterogeneity. (c) 2008 Elsevier Inc. All rights reserved. C1 [Wall, Howard J.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. [Rapach, David E.] St Louis Univ, St Louis, MO 63103 USA. RP Wall, HJ (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM wall@stls.frb.org RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 42 TC 16 Z9 16 U1 1 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2009 VL 65 IS 2 BP 181 EP 194 DI 10.1016/j.jue.2008.11.001 PG 14 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 406EN UT WOS:000263277900006 ER PT J AU Bradbury, K Zhao, B AF Bradbury, Katharine Zhao, Bo TI Measuring Non-School Fiscal Disparities among Municipalities SO NATIONAL TAX JOURNAL LA English DT Article ID STATE AID; TAX CAPITALIZATION; LIMITATIONS; FORMULAS; COST AB This paper develops new ineasurcs of non-school revenue capacity and environmental costs for Massachusetts cities and towns as the basis for a new municipal aid formula. On the capacity side, We account for the constraints Of a tax limitation by estimating them as a function of residents' incomes, and also take account of non-property-tax revenue sources and non-municipal budget obligations. Oil the cost side, we quantify file effects oil local non-school spending of characteristics related to environmental costs, controlling for preferences, efficiency, and non-school local revenue capacity. Our approach is potentially applicable to other states. C1 [Bradbury, Katharine] Fed Reserve Bank Boston, Res Dept, Boston, MA 02205 USA. [Zhao, Bo] Fed Reserve Bank Boston, New England Publ Policy Ctr, Boston, MA 02205 USA. RP Bradbury, K (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02205 USA. NR 29 TC 7 Z9 7 U1 0 U2 3 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 MAR PY 2009 VL 62 IS 1 BP 25 EP 56 PG 32 WC Business, Finance; Economics SC Business & Economics GA 454QS UT WOS:000266698100003 ER PT J AU Dokko, JK AF Dokko, Jane K. TI Does the NEA Crowd Out Private Charitable Contributions to the Arts? SO NATIONAL TAX JOURNAL LA English DT Article ID PUBLIC-GOODS; GOVERNMENT GRANTS; PROVISION; DONATIONS; SAMPLE; INCOME AB This paper investigates the mechanism by which the federal governments funding of the arts through the National Endowment for the Arts (NEA) displaces private charitable contributions to non-profit arts organizatious. I estimate that private charitable contributions to arts organizations increased by 50 to 60 cents due to a major funding cut to the NEA during the mid-1990s. These increases, however, also coincided with, on average, a 25 cent increase in fund-raising expenditures by arts organizations for every dollar decrease in government grants. The estimate of crowding out found in this paper is relatively large, particularly for a study using a micro-data set. I argue that an appropriate interpretation of an estimate of a crowding-out parameter, in general, depends crucially on the context. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Dokko, JK (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 25 TC 7 Z9 7 U1 0 U2 7 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 MAR PY 2009 VL 62 IS 1 BP 57 EP 75 PG 19 WC Business, Finance; Economics SC Business & Economics GA 454QS UT WOS:000266698100004 ER PT J AU Garrett, TA Coughlin, CC AF Garrett, Thomas A. Coughlin, Cletus C. TI Inter-temporal Differences in the Income Elasticity of Demand for Lottery Tickets SO NATIONAL TAX JOURNAL LA English DT Article ID STATE LOTTERIES; TAX INCIDENCE; REGRESSIVITY; COMPETITION; PROPENSITY; SALES; GAMES AB We estiniatc annual income elasticities of demand for lottery tickets using county-level panel data for three states and,find that the income elasticity of demand (and, thus, the tax burden) for lottery tickets has changed over time. This is due to changes in a state's lottery game portfolio and the growth in consumer income more so than competition from alternative gambling opportunities. Trends in the income elasticity for instant and online lottery games appear to be different. Our results raise doubts about the long-term growth potential of lottery revenue and have policy implications for state governments and those concerned about regressivity. C1 [Garrett, Thomas A.; Coughlin, Cletus C.] Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. RI Coughlin, Cletus/K-6860-2016 OI Coughlin, Cletus/0000-0002-8304-2796 NR 36 TC 4 Z9 4 U1 0 U2 3 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 MAR PY 2009 VL 62 IS 1 BP 77 EP 99 PG 23 WC Business, Finance; Economics SC Business & Economics GA 454QS UT WOS:000266698100005 ER PT J AU Wheeler, CH AF Wheeler, Christopher H. TI Technology and industrial agglomeration: Evidence from computer usage SO PAPERS IN REGIONAL SCIENCE LA English DT Article DE R11; Technological adoption; agglomeration economies; industrial localization ID INFORMATION TECHNOLOGY; GEOGRAPHIC CONCENTRATION; INCREASING RETURNS; WAGE INEQUALITY; PRODUCTIVITY; SCALE; DEMAND; GROWTH; MARKET; SKILL AB Although the association between industrial agglomeration and productivity has been widely examined and documented, little work has explored the possibility that these 'external' productivity shifts are the product of more advanced technologies. This paper offers a look at this hypothesis using data on individual-level computer usage across a sample of U.S. metropolitan areas over the years 1984, 1989, 1993 and 1997. The results indicate that, for a wide array of industries at the two, three, and four digit SIC level, an industry's scale within a metropolitan area is positively associated with the frequency of computer use by its workers. However, in spite of these observable differences in workplace technology, I also find that estimated localization effects on wages are largely not explained by computer usage. Even after controlling for computer use, there remain significant own-industry scale effects in labour earnings. C1 Fed Reserve Bank, Div Res, St Louis, MO 63166 USA. RP Wheeler, CH (reprint author), Fed Reserve Bank, Div Res, St Louis, MO 63166 USA. EM christopher.h.wheeler@stls.frb.org NR 26 TC 0 Z9 0 U1 1 U2 2 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 2009 VL 88 IS 1 BP 43 EP 62 DI 10.1111/j.1435-5957.2008.00186.x PG 20 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 413YJ UT WOS:000263830800004 ER PT J AU Gatev, E Schuermann, T Strahan, PE AF Gatev, Evan Schuermann, Til Strahan, Philip E. TI Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE G18; G21 ID COMMERCIAL PAPER; INSURANCE; CREATION; DEBT AB Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We show instead that transactions deposits help banks hedge liquidity risk from unused loan commitments. Bank stock-return volatility increases with unused commitments, but only for banks with low levels of transactions deposits. This deposit-lending hedge becomes more powerful during periods of tight liquidity, when nervous investors move funds into their banks. Our results reverse the standard notion of liquidity risk at banks, where runs from depositors had been seen as the cause of trouble. C1 [Strahan, Philip E.] Boston Coll, Wharton Financial Inst Ctr, Chestnut Hill, MA 02467 USA. [Strahan, Philip E.] Natl Bur Econ Res, Cambridge, MA 02138 USA. [Schuermann, Til] Fed Reserve Bank New York, New York, NY USA. RP Strahan, PE (reprint author), Boston Coll, Wharton Financial Inst Ctr, 140 Commonwealth Ave, Chestnut Hill, MA 02467 USA. EM philip.strahan@bc.edu FU FDIC Center for Financial Research FX We would like to thank the FDIC Center for Financial Research for financial support, as well as for helpful comments on the research. We would also like to thank seminar participants at Boston College, Ohio University, Tilburg University, and the University of Amsterdam, and participants at the 2nd FIRS (Financial Intermediation Research Society) Conference in Shanghai and the China International Conference in Finance (CICF) in Xian, as well as Robert de Young, Paul Kupiec, Tobias Moskowitz (the editor), and an anonymous referee. Kristin Wilson assisted with preparation of the data. Any views expressed represent those of the authors only and not necessarily those of the Federal Reserve Bank of New York or the Federal Reserve System. NR 36 TC 34 Z9 34 U1 5 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 MAR PY 2009 VL 22 IS 3 BP 995 EP 1020 DI 10.1093/rfs/hhm060 PG 26 WC Business, Finance; Economics SC Business & Economics GA 408HC UT WOS:000263425100003 ER PT J AU Sundaresan, S Wang, ZY AF Sundaresan, Suresh Wang, Zhenyu TI Y2K Options and the Liquidity Premium in Treasury Markets SO REVIEW OF FINANCIAL STUDIES LA English DT Article DE G1; G12; G18 ID CONSISTENT COVARIANCE-MATRIX; SPECIAL REPO RATES; HETEROSKEDASTICITY; PRIVATE AB Financial institutions around the world expected the millennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to the concern, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers. The options gave the dealers the right to borrow from the Fed at a predetermined interest rate. Using the implied volatilities of Y2K options and the on/off-the-run spread, we demonstrate that the Fed's action eased the fears of bond dealers, contributing to a drop in the liquidity premium of Treasury securities. Our analysis shows the link between the microstructure of government debt markets and the central bank's provision of liquidity. We argue that Y2K options and their effects on liquidity premium broadly conform to the economic theory on public provision of private liquidity. C1 [Sundaresan, Suresh] Columbia Univ, New York, NY 10027 USA. [Wang, Zhenyu] Fed Reserve Bank New York, New York, NY USA. RP Sundaresan, S (reprint author), Uris Hall,Room 811,3022 Broadway, New York, NY 10027 USA. EM ms122@columbia.edu FU Columbia Business School; J. P. Morgan and Moody's Investment Service FX The authors are indebted to the anonymous referee for suggestions and appreciate comments from Viral Acharya, Tobias Adrian, B. P. A. Andrews, Sudipto Bhattacharya, Ulrich Bindseil, Michael Fleming, Ken Garbade, Lorenzo Garlappi, Spence Hilton, Berngt Holmstrom, Arvind Krishnamurthy, Owen Lamont, Francis Longstaff, Asani Sarkar, and participants of seminars and conferences where the paper was presented. The authors are grateful to the Federal Reserve Bank of New York for providing the data on the auction of Y2K options and Spence Hilton for helping us with the data. Sundaresan acknowledges Columbia Business School summer research grant and research grants from J. P. Morgan and Moody's Investment Service. Brett Dunn, Alexis Iwanisziw, and Michal Lementowski have provided excellent research assistance. The views stated here are those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of New York or the Federal Reserve System. NR 19 TC 8 Z9 8 U1 0 U2 6 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD MAR PY 2009 VL 22 IS 3 BP 1021 EP 1056 DI 10.1093/rfs/hhn005 PG 36 WC Business, Finance; Economics SC Business & Economics GA 408HC UT WOS:000263425100004 ER PT J AU Goette, L Stutzer, A Yavuzcan, G Frey, BM AF Goette, Lorenz Stutzer, Alois Yavuzcan, Gurcan Frey, Beat M. TI Free cholesterol testing as a motivation device in blood donations: evidence from field experiments SO TRANSFUSION LA English DT Article ID DONOR RECRUITMENT; INCENTIVES; VOLUNTEER AB Health tests are often seen as promising donor incentives to improve the supply of blood. However, systematic behavioral evidence on donor recruitment is scarce. To study the effectiveness of a free cholesterol test in attracting new donors and motivating previous donors, two field experiments were conducted. In Study 1, 2825 nondonors were randomly assigned to one of three treatments: a solicitation letter, a solicitation letter plus an appeal, or a solicitation letter plus an appeal and the offer of a free cholesterol test. In Study 2, 8269 previous donors were randomly assigned to one of three treatments: a standard invitation, an invitation plus an appeal, or an invitation plus an appeal and a cholesterol test. Marginal effects from probit estimations were calculated to study the effects of the treatments on donors' response. In Study 1, only 0.6 percent reacted to the solicitation letter. There were no significant differences in the response rates between the three treatments. In Study 2, 45.3 percent of the invited previous donors came to donate. The appeal (marginal effect, -0.5%; standard error [SE], 1.9%) and offering a cholesterol test (marginal effect, 1.6%; SE, 1.8%) did not significantly increase the probability of a donation relative to the standard invitation. The treatment effects for the cholesterol test did not systematically differ between frequent and infrequent donors and female and male donors. There is some evidence that young donors responded relatively most positive to the cholesterol test (marginal effect, 4.4%; SE, 2.2%). Contrary to conclusions from survey studies, free cholesterol testing did not significantly increase donations from nondonors and previous donors during a 3-month campaign. The two studies show that field experiments are an important method to evaluate donation incentives, because measuring donors' intentions alone can lead to significantly different conclusions. C1 [Frey, Beat M.] Blood Transfus Serv SRC, CH-8952 Schlieren, Switzerland. Fed Reserve Bank Boston, Ctr Behav Econ & Decis Making, Boston, MA 02210 USA. Univ Basel, Dept Econ & Business, Basel, Switzerland. RP Frey, BM (reprint author), Blood Transfus Serv SRC, Rutistr 19, CH-8952 Schlieren, Switzerland. EM bm.frey@zhbsd.ch RI Stutzer, Alois/A-2302-2013 NR 26 TC 24 Z9 24 U1 0 U2 2 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0041-1132 J9 TRANSFUSION JI Transfusion PD MAR PY 2009 VL 49 IS 3 BP 524 EP 531 DI 10.1111/j.1537-2995.2008.02007.x PG 8 WC Hematology SC Hematology GA 407KL UT WOS:000263361900020 PM 19040493 ER PT J AU Barrow, L Markman, L Rouse, CE AF Barrow, Lisa Markman, Lisa Rouse, Cecilia Elena TI Technology's Edge: The Educational Benefits of Computer-Aided Instruction SO AMERICAN ECONOMIC JOURNAL-ECONOMIC POLICY LA English DT Article ID ACHIEVEMENT; CHILDREN; QUALITY; SCHOOLS AB We present results from a randomized study of a well-defined use of computers in schools, a popular instructional computer program for pre-algebra and algebra. We primarily assess the program using a test designed to target pre-algebra and algebra skills. Students randomly assigned to computer-aided instruction score significantly higher on a pre-algebra and algebra test than students randomly assigned to traditional instruction. We hypothesize that this effectiveness arises from increased individualized instruction as the effects appear larger for students in larger classes and in classes with high student absentee rates. (JEL H75, 121) C1 [Barrow, Lisa] Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. [Markman, Lisa] Princeton Univ, Firestone Lib, Educ Res Sect, Princeton, NJ 08544 USA. [Rouse, Cecilia Elena] Princeton Univ, Woodrow Wilson Sch, Princeton, NJ 08544 USA. [Rouse, Cecilia Elena] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. RP Barrow, L (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, 230 S LaSalle St, Chicago, IL 60604 USA. EM lbarrow@frbchi.org; lmarkman@princeton.edu; rouse@princeton.edu NR 30 TC 27 Z9 27 U1 1 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7731 J9 AM ECON J-ECON POLIC JI Am. Econ. J.-Econ. Policy PD FEB PY 2009 VL 1 IS 1 BP 52 EP 74 DI 10.1257/pol.1.1.52 PG 23 WC Economics SC Business & Economics GA 683WY UT WOS:000284510200003 ER PT J AU Lewis, K AF Lewis, Kurt F. TI The Two-Period Rational Inattention Model: Accelerations and Analyses SO COMPUTATIONAL ECONOMICS LA English DT Article DE Rational inattention; Information-processing constraints; Numerical optimization AB This paper demonstrates the properties of, and a solution method for, the more general two-period Rational Inattention model of Sims (Rational inattention: A research agenda, 2006). It is shown that the corresponding optimization problem is convex and can be solved very quickly. This paper also demonstrates a computational tool well-suited to solving Rational Inattention models and further illustrates a critique raised in Sims (Rational inattention: A research agenda, 2006) regarding Rational Inattention models whose solutions assume parametric formulations rather than solve for their optimally-derived, non-parametric counterparts. C1 Fed Reserve Syst, Board Governors, Monetary Affairs, Washington, DC 20551 USA. RP Lewis, K (reprint author), Fed Reserve Syst, Board Governors, Monetary Affairs, 20th St & Constitut Ave,Nw, Washington, DC 20551 USA. EM kurt.f.lewis@frb.gov NR 6 TC 0 Z9 0 U1 0 U2 3 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0927-7099 J9 COMPUT ECON JI Comput. Econ. PD FEB PY 2009 VL 33 IS 1 BP 79 EP 97 DI 10.1007/s10614-008-9151-5 PG 19 WC Economics; Management; Mathematics, Interdisciplinary Applications SC Business & Economics; Mathematics GA 382RJ UT WOS:000261622800004 ER PT J AU Francesconi, M Rainer, H van der Klaauw, W AF Francesconi, Marco Rainer, Helmut van der Klaauw, Wilbert TI THE EFFECTS OF IN-WORK BENEFIT REFORM IN BRITAIN ON COUPLES: THEORY AND EVIDENCE SO ECONOMIC JOURNAL LA English DT Article ID MARRIAGE MARKET; WELFARE-REFORM; LABOR; DECISIONS; CHILDREN AB This article develops a simple model of household decisions that explicitly accounts for the role played by the Working Families' Tax Credit (WFTC) to examine its effects on couples in Britain. The main implications of the model are tested using panel data from the British Household Panel Survey collected between 1991 and 2002. Overall, the financial incentives of the reform had small and statistically insignificant effects on a wide range of married mothers' decisions. Women's responses, however, were highly heterogeneous, depending on their partners' labour supply and earnings. C1 [Francesconi, Marco] Univ Essex, Colchester CO4 3SQ, Essex, England. Univ St Andrews, St Andrews KY16 9AJ, Fife, Scotland. Fed Reserve Bank New York, New York, NY USA. RP Francesconi, M (reprint author), Univ Essex, Colchester CO4 3SQ, Essex, England. NR 32 TC 11 Z9 11 U1 0 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0133 J9 ECON J JI Econ. J. PD FEB PY 2009 VL 119 IS 535 BP F66 EP F100 PG 35 WC Economics SC Business & Economics GA 400RU UT WOS:000262887100004 ER PT J AU Christoffel, K Kuester, K AF Christoffel, Kai Kuester, Keith TI The elasticity of the unemployment rate with respect to benefits SO ECONOMICS LETTERS LA English DT Article DE Real business cycles; Bargaining; Structural reforms; Unemployment insurance ID EQUILIBRIUM UNEMPLOYMENT; CYCLICAL BEHAVIOR; FLUCTUATIONS; VACANCIES; MODELS AB Calibrated to replicate unemployment fluctuations, the standard Mortensen-Pissarides model implies that unemployment rises too strongly when benefits increase. Under an alternative bargaining assumption (right-to-manage) the model matches unemployment fluctuations, and implies a reasonable elasticity of unemployment with respect to benefits. Published by Elsevier B.V. C1 [Kuester, Keith] Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. [Christoffel, Kai] European Cent Bank, D-60311 Frankfurt, Germany. RP Kuester, K (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Ten Independence Mall, Philadelphia, PA 19106 USA. EM kai.christoffel@ecb.europa.eu; keith.kuester@phil.frb.org NR 6 TC 2 Z9 2 U1 1 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD FEB PY 2009 VL 102 IS 2 BP 102 EP 105 DI 10.1016/j.econlet.2008.11.015 PG 4 WC Economics SC Business & Economics GA 412EW UT WOS:000263707800012 ER PT J AU Bhattacharya, J Haslag, J Martin, A AF Bhattacharya, Joydeep Haslag, Joseph Martin, Antoine TI Optimal monetary policy and economic growth SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Friedman rule; Tobin effect; Monetary policy ID FRIEDMAN RULE; INFLATION; MONEY; LIQUIDITY; INTERMEDIATION; MODELS; CRISES AB A question at the center of many analyses of optimal monetary policy is, why do central banks never implement the Friedman rule? To the list of answers to this question, we add neoclassical production (specifically, the Tobin effect) as one possible explanation. To that end, we study an overlapping generations economy with capital where limited communication and stochastic relocation create an endogenous transactions role for fiat money. We assume a production function with a knowledge externality (Romer style) that nests economies with endogenous growth (AK form) and those with no long-run growth (the Diamond model). The Tobin effect is shown to be always operative. Under CRRA preferences, a mild degree of social increasing returns is sufficient (but not necessary) for some positive inflation to dominate zero inflation and for the Friedman rule to be sub-optimal, irrespective of the degree of risk aversion. (C) 2008 Elsevier B.V. All rights reserved. C1 [Martin, Antoine] Fed Reserve Bank New York, Payment Studies Funct, New York, NY 10045 USA. [Bhattacharya, Joydeep] Iowa State Univ, Ames, IA USA. [Haslag, Joseph] Univ Missouri, Columbia, MO 65211 USA. RP Martin, A (reprint author), Fed Reserve Bank New York, Payment Studies Funct, 33 Liberty St, New York, NY 10045 USA. EM antoine.martin@ny.frb.org OI Bhattacharya, Joydeep/0000-0002-3148-4592 NR 29 TC 5 Z9 5 U1 1 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD FEB PY 2009 VL 53 IS 2 BP 210 EP 221 DI 10.1016/j.euroecorev.2008.03.003 PG 12 WC Economics SC Business & Economics GA 430DH UT WOS:000264968500007 ER PT J AU Hannan, TH Prager, RA AF Hannan, Timothy H. Prager, Robin A. TI The profitability of small single-market banks in an era of multi-market banking SO JOURNAL OF BANKING & FINANCE LA English DT Article DE Banks; Competition; Pricing ID COMPETITION; INDUSTRY AB This paper examines the relationship between the profitability of small single-market banks and the presence in the market of large banking organizations and banking organizations that operate primarily outside of the local banking market. We find that, in rural banking markets, the profitability of small single-market banks is significantly related to the presence of both large and small primarily-out-of-market banks. We also find that an increased presence of large or small primarily-out-of-market banks in rural banking markets reduces the positive effect of all increase in concentration on small single-market bank profits. This finding is consistent with theoretical predictions reported in the recent literature and has important implications for antitrust policy. In urban banking markets, we find little evidence of any relationship between the profitability of small single-market banks and the presence of large or primarily-out-of-market banks. Published by Elsevier B.V. C1 [Hannan, Timothy H.; Prager, Robin A.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Prager, RA (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM THannan@frb.gov; Robin.Prager@frb.gov NR 14 TC 25 Z9 26 U1 0 U2 10 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 2009 VL 33 IS 2 BP 263 EP 271 DI 10.1016/j.jbankfin.2008.07.018 PG 9 WC Business, Finance; Economics SC Business & Economics GA 389RX UT WOS:000262113300009 ER PT J AU Wachter, JA Warusawitharana, M AF Wachter, Jessica A. Warusawitharana, Missaka TI Predictable returns and asset allocation: Should a skeptical investor time the market? SO JOURNAL OF ECONOMETRICS LA English DT Article ID VARIANCE-EFFICIENT PORTFOLIOS; EXPECTED STOCK RETURNS; MODEL UNCERTAINTY; EQUITY PREMIUM; EXPECTATIONS HYPOTHESIS; PARAMETER UNCERTAINTY; DIVIDEND YIELDS; ESTIMATION RISK; PRICING-MODELS; TERM STRUCTURE AB We investigate optimal portfolio choice for an investor who is skeptical about the degree to which excess returns are predictable. Skepticism is modeled as an informative prior over the R(2) of the predictive regression. We find that the evidence is sufficient to convince even an investor with a highly skeptical prior to vary his portfolio on the basis of the dividend-price ratio and the yield spread. The resulting weights are less volatile and deliver superior out-of-sample performance as compared to the weights implied by an entirely model-based or data-based view. (C) 2008 Elsevier B.V. All rights reserved. C1 [Wachter, Jessica A.] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA. [Wachter, Jessica A.] NBER, Cambridge, MA 02138 USA. [Warusawitharana, Missaka] Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Wachter, JA (reprint author), Univ Penn, Wharton Sch, Dept Finance, 2300 SH DH, Philadelphia, PA 19104 USA. EM jwachter@wharton.upenn.edu; missaka.n.warusawitharana@frb.gov FU Aronson + Johnson + Ortiz FX For helpful comments, we thank the associate editor and two anonymous referees, as well as John Campbell, John Cochrane, Joel Dickson, Itarnar Drechsler, Bjorn Eraker. John Geweke. Martin Lettau, Stijn Van Nieuwerburgh, Lubos Pastor,Jay Shanken, Robert Stambaugh, Alexander Stremme, Ivo Welch, Amir Yaron, Motohiro Yoga and seminar participants at the 2005 CIRANO-CIREQ Financial Econometrics Conference, the 2006 AFA meetings, the 2006 SED meetings. the 2007 D-CAF Conference on Return Predictability, and at Harvard University, the Vanguard Group, and the Wharton School. We are grateful for financial support from the Aronson + Johnson + Ortiz fellowship through the Rodney L. White Center for Financial Research. This manuscript does not reflect the views of the Board of Governors of the Federal Reserve System. NR 99 TC 28 Z9 30 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 FEB PY 2009 VL 148 IS 2 BP 162 EP 178 DI 10.1016/j.jeconom.2008.10.009 PG 17 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 418IZ UT WOS:000264143200006 ER PT J AU Tetlow, RJ von zur Muehlen, P AF Tetlow, Robert J. von zur Muehlen, Peter TI Robustifying learnability SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Monetary policy; Learning; E-stability; Learnability; Robust control ID MONETARY-POLICY RULES; MODEL UNCERTAINTY; RATIONAL-EXPECTATIONS; STABILITY; INFLATION; COMMITMENT; AGENTS AB In recent years, the learnability of rational expectations equilibria (REE) and determinacy of economic structures have rightfully joined the usual performance criteria among the sought-after goals of policy design. Some contributions to the literature, including Bullard and Mitra [2002. Learning about monetary policy rules. journal of Monetary Economics 49 (6), 1105-1139] and Evans and Honkapohja [2006. Monetary Policy, Expectations, and Commitment, Scandinavian journal of Economics 108, 15-38], have made significant headway in establishing certain features of monetary policy rules that facilitate learning. However a treatment of policy design for learnability in worlds where agents have potentially misspecified their learning models has yet to surface. This paper provides such a treatment. We begin with the notion that because the profession has yet to settle on a consensus model of the economy, it is unreasonable to expect private agents to have collective rational expectations. We assume that agents have only an approximate understanding of the workings of the economy and that their learning the reduced forms of the economy is subject to potentially destabilizing perturbations. The issue is then whether a central bank can design policy to account for perturbations and still assure the learnability of the model. We provide two examples one of which-the canonical New Keynesian business cycle model-serves as a test case. For different parameterizations of a given policy rule, we use structured singular value analysis (from robust control theory) to find the largest ranges of misspecifications that can be tolerated in a learning model without compromising convergence to an REE. In addition, we study the cost, in terms of performance in the steady state of a central bank that acts to robustify learnability on the transition path to REE. Published by Elsevier B.V. C1 [Tetlow, Robert J.; von zur Muehlen, Peter] Fed Reserve Board, Washington, DC 20551 USA. RP Tetlow, RJ (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM rtetlow@frb.gov; pmuehlen@verizon.net NR 45 TC 7 Z9 7 U1 4 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD FEB PY 2009 VL 33 IS 2 BP 296 EP 316 DI 10.1016/j.jedc.2008.06.005 PG 21 WC Economics SC Business & Economics GA 388VU UT WOS:000262048800003 ER PT J AU Sarkar, A Schwartz, RA AF Sarkar, Asani Schwartz, Robert A. TI Market Sidedness: Insights into Motives for Trade Initiation SO JOURNAL OF FINANCE LA English DT Article ID US TREASURY MARKET; BID-ASK SPREAD; EARNINGS ANNOUNCEMENTS; PUBLIC INFORMATION; ECONOMIC-NEWS; BOND PRICES; VOLUME; LIQUIDITY; STOCK; BELIEFS AB We infer motives for trade initiation from market sidedness. We define trading as more two-sided (one-sided) if the correlation between the number of buyer- and seller-initiated trades increases (decreases), and assess changes in sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information, trading is more one-sided before merger news. Consistent with belief heterogeneity, trading is more two-sided before earnings and macro announcements with greater dispersion in analyst forecasts, and after news with larger announcement surprises. We examine the codeterminacy of sidedness, bid-ask spread, volatility, number of trades, and order imbalance. C1 [Sarkar, Asani] Fed Reserve Bank New York, New York, NY 10045 USA. [Schwartz, Robert A.] CUNY, Baruch Coll, Zicklin Sch Business, New York, NY USA. RP Sarkar, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 47 TC 20 Z9 22 U1 12 U2 25 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-1082 J9 J FINANC JI J. Financ. PD FEB PY 2009 VL 64 IS 1 BP 375 EP 423 DI 10.1111/j.1540-6261.2008.01437.x PG 49 WC Business, Finance SC Business & Economics GA 397OT UT WOS:000262672700011 ER PT J AU Agarwal, S Faircloth, S Liu, CL Rheed, SG AF Agarwal, Sumit Faircloth, Sheri Liu, Chunlin Rheed, S. Ghon TI Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia SO JOURNAL OF FINANCIAL MARKETS LA English DT Article DE Trading performance; Foreign investor; Domestic investor; Poor timing of trade hypothesis; Information advantage hypothesis; Aggressive trading hypothesis; Initiated orders; Non-initiated orders; Indonesian stock market AB Foreign investors generally underperform domestic investors in trading activities. This study shows that their inferior performance is attributable to non-initiated orders. Foreign investors actually perform better than domestic investors in initiated orders. In addition, their performance is also mixed when trades are classified depending on who the counterparties are. These mixed performances can be explained by neither the information disadvantage hypothesis proposed by [Dvorak, T., 2005. Do domestic investors have an information advantage? Evidence from Indonesia. Journal of Finance 60, 817-839.] nor the poor timing of trade hypothesis suggested by [Choe, H., Kho, B.C., Stulz, R., 2005. Do domestic investors have an edge? The trading experience of foreign investors in Korea. Review of Financial Studies 18, 795-829.]. We propose and confirm that their inferior performance is explained by their aggressive trading behavior. Three metrics we utilize to measure the aggressiveness of foreign investors' trading provide overwhelmingly strong evidence that foreign investors are more aggressive than their domestic counterparts. (c) 2008 Elsevier B.V. All rights reserved. C1 [Faircloth, Sheri; Liu, Chunlin] Univ Nevada, Coll Business Adm, Reno, NV 89557 USA. [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. [Rheed, S. Ghon] Univ Hawaii, Shidler Coll Business, Honolulu, HI 96822 USA. [Rheed, S. Ghon] Sungkyunkwan Univ, Seoul, South Korea. RP Liu, CL (reprint author), Univ Nevada, Coll Business Adm, Reno, NV 89557 USA. EM sagarwal@frbchi.org; fairclos@unr.nevada.edu; liuc@unr.edu; rheesg@hawaii.edu RI Agarwal, Sumit/F-4836-2012 NR 8 TC 17 Z9 17 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 1386-4181 J9 J FINANC MARK JI J. Financ. Mark. PD FEB PY 2009 VL 12 IS 1 BP 32 EP 53 DI 10.1016/j.finmar.2008.04.001 PG 22 WC Business, Finance SC Business & Economics GA 399ID UT WOS:000262792700002 ER PT J AU Ely, DP Robinson, KJ AF Ely, David P. Robinson, Kenneth J. TI Credit Unions and Small Business Lending SO JOURNAL OF FINANCIAL SERVICES RESEARCH LA English DT Article DE Credit unions; Small businesses loans; Member business loans ID BANK CONSOLIDATION; AVAILABILITY; INDUSTRY; MARKETS; ACQUISITIONS; MERGERS; RATES AB Among the issues raised by consolidation within the banking industry is a concern that small businesses will be less able to obtain credit as community banks are acquired by larger or non-local institutions. Community banks have traditionally been a major source of funding for small businesses. The impact of bank consolidation on credit availability may depend in part on whether the remaining community institutions expand their small business lending activities. This study examines whether credit unions have a propensity to extend business loans in markets that have experienced bank merger and acquisition activity. We find some evidence that credit unions are more likely to engage in business lending in markets characterized by greater bank merger and acquisition activity. Moreover, the estimated economic significance is meaningful in many of the specifications. C1 [Robinson, Kenneth J.] Fed Reserve Bank Dallas, Dallas, TX 75201 USA. [Ely, David P.] San Diego State Univ, Dept Finance, San Diego, CA 92182 USA. RP Robinson, KJ (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM Kenneth.j.robinson@dal.frb.org NR 36 TC 2 Z9 2 U1 1 U2 11 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 2009 VL 35 IS 1 BP 53 EP 80 DI 10.1007/s10693-008-0038-3 PG 28 WC Business, Finance SC Business & Economics GA 387LA UT WOS:000261952500003 ER PT J AU Ferrero, A AF Ferrero, Andrea TI Fiscal and monetary rules for a currency union SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE Currency union; Optimal policy; Flexibility; Welfare ID TARGETING RULES; POLICY; MODEL; AREAS AB This paper addresses the optimal joint conduct of fiscal and monetary policy in a two-country model of a currency union with staggered price setting and distortionary taxes. A tractable linear-quadratic approximation permits a representation of the optimal policy plan in terms of targeting rules. In the optimal equilibrium, monetary policy should achieve aggregate price stability following a flexible inflation targeting rule. Fiscal policy should stabilize idiosyncratic shocks allowing for permanent variations of government debt but should abstain from creating inflationary expectations at the union level. Simple policy rules can approximate the optimal commitment benchmark through a mix of strict inflation targeting and flexible budget rules. Conversely, the welfare costs of balanced budget rules are at least one order of magnitude higher than conventional estimates of the costs of business cycle fluctuactions. (c) 2008 Elsevier B.V. All rights reserved. C1 [Ferrero, Andrea] Fed Reserve Bank New York, New York, NY USA. RP Ferrero, A (reprint author), 33 Liberty St,3rd Floor, New York, NY 10045 USA. EM andrea.ferrero@ny.frb.org NR 29 TC 33 Z9 33 U1 1 U2 11 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 FEB PY 2009 VL 77 IS 1 BP 1 EP 10 DI 10.1016/j.jinteco.2008.09.004 PG 10 WC Economics SC Business & Economics GA 400QS UT WOS:000262884200001 ER PT J AU Baier, SL Bergstrand, JH AF Baier, Scott L. Bergstrand, Jeffrey H. TI Estimating the effects of free trade agreements on international trade flows using matching econometrics SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE International trade flows; Free trade agreements; Matching econometrics; Treatment effects ID GRAVITY EQUATION; ECONOMIC-INTEGRATION; PROPENSITY SCORE; GROWTH; CAUSAL; POLICY; COSTS; EEC AB This paper provides the first cross-section estimates of long-run treatment effects of free trade agreements on members' bilateral international trade flows using (nonparametric) matching econometrics. Our nonparametric cross-section estimates of ex post long-run treatment effects are much more stable across years and have more economically plausible values than corresponding OLS cross-section estimates from typical gravity equations. We provide plausible estimates of the long-run effects of membership in the original European Economic Community (EEC) and the Central American Common Market (CACM) between 1960 and 2000 and the estimates confirm anecdotal reports of these agreements' effectiveness. (c) 2008 Elsevier B.V. All rights reserved. C1 [Bergstrand, Jeffrey H.] Univ Notre Dame, Dept Finance, Mendoza Coll Business, Notre Dame, IN 46556 USA. [Baier, Scott L.] Clemson Univ, John E Walter Dept Econ, Clemson, SC 29634 USA. [Baier, Scott L.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Bergstrand, Jeffrey H.] Univ Notre Dame, Kellogg Inst Int Studies, Notre Dame, IN 46556 USA. [Bergstrand, Jeffrey H.] CESifo, Munich, Germany. RP Bergstrand, JH (reprint author), Univ Notre Dame, Dept Finance, Mendoza Coll Business, Notre Dame, IN 46556 USA. EM Bergstrand.1@nd.edu NR 50 TC 50 Z9 50 U1 4 U2 29 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 FEB PY 2009 VL 77 IS 1 BP 63 EP 76 DI 10.1016/j.jinteco.2008.09.006 PG 14 WC Economics SC Business & Economics GA 400QS UT WOS:000262884200006 ER PT J AU Baier, SL Bergstrand, JH AF Baier, Scott L. Bergstrand, Jeffrey H. TI Bonus vetus OLS: A simple method for approximating international trade-cost effects using the gravity equation SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE International trade; Gravity equation; Multilateral resistance terms; Border barriers ID AGREEMENTS; DETERMINANTS AB Using a Taylor-series expansion, we solve for a simple reduced-form gravity equation revealing a transparent theoretical relationship among bilateral trade flows, incomes, and trade costs, based upon the model in Anderson and van Wincoop [Anderson, James E., and van Wincoop, Eric. "Gravity with Gravitas: A Solution to the Border Puzzle." American Economic Review 93, no. 1 (March 2003): 170-192.]. Monte Carlo results support that virtually identical coefficient estimates are obtained easily by estimating the reduced-form gravity equation including theoretically-motivated exogenous multilateral resistance terms. We show our methodology generalizes to many settings and delineate the economic conditions under which our approach works well for computing comparative statics and under which it does not. (c) 2008 Elsevier B.V. All rights reserved. C1 [Bergstrand, Jeffrey H.] Univ Notre Dame, Dept Finance, Mendoza Coll Business, Notre Dame, IN 46556 USA. [Baier, Scott L.] Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA. [Baier, Scott L.] Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. [Bergstrand, Jeffrey H.] Univ Notre Dame, Kellogg Inst Int Studies, Notre Dame, IN 46556 USA. [Bergstrand, Jeffrey H.] CESifo, Munich, Germany. RP Bergstrand, JH (reprint author), Univ Notre Dame, Dept Finance, Mendoza Coll Business, Notre Dame, IN 46556 USA. EM Sbaier@Clemson.edu; Bergstrand.1@nd.edu NR 22 TC 121 Z9 122 U1 3 U2 27 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 FEB PY 2009 VL 77 IS 1 BP 77 EP 85 DI 10.1016/j.jinteco.2008.10.004 PG 9 WC Economics SC Business & Economics GA 400QS UT WOS:000262884200007 ER PT J AU Gagnon, JE AF Gagnon, Joseph E. TI Currency crashes and bond yields in industrial countries SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Exchange rate; Depreciation; Interest rate; Inflation AB This paper examines episodes of sudden large exchange rate depreciations (currency crashes) in industrial countries and characterizes the behavior of government bond yields during and after these crashes. The most important determinant of changes in bond yields appears to be inflationary expectations. When inflation is high and rising at the time of a currency crash, bond yields tend to rise. Otherwise-and in every currency crash since 1985-bond yields tend to fall. Over the past 20 years, inflation rates have been remarkably stable in industrial countries after currency crashes. Published by Elsevier Ltd. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Gagnon, JE (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, 2000 C St NW, Washington, DC 20551 USA. EM joseph.e.gagnon@frb.gov NR 18 TC 6 Z9 6 U1 0 U2 2 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 2009 VL 28 IS 1 BP 161 EP 181 DI 10.1016/j.jimonfin.2008.08.008 PG 21 WC Business, Finance SC Business & Economics GA 407WA UT WOS:000263393800009 ER PT J AU Garrett, TA Wagner, GA AF Garrett, Thomas A. Wagner, Gary A. TI Red Ink in the Rearview Mirror: Local Fiscal Conditions and the Issuance of Traffic Tickets SO JOURNAL OF LAW & ECONOMICS LA English DT Article ID OPTIMAL SPEED LIMIT; SAFETY INSPECTIONS; CRIME; LAWS; ENFORCEMENT; SCIENCE; POLICE AB Municipalities have revenue motives for enforcing traffic laws in addition to public-safety motives because many traffic offenses are punished via fines and the issuing municipality often retains the revenue. Anecdotal evidence supports this revenue motive. We empirically test the revenue motive using a panel of annual data for North Carolina counties from 1990 to 2003. We find that significantly more tickets are issued in the year following a decline in revenue but that the issuance of traffic tickets does not decline in years following revenue increases. Elasticity estimates reveal that a 10 percent decrease in negative revenue growth results in a 6.4 percent increase in the growth rate of traffic tickets. Our results suggest that tickets are used as a revenue-generation tool rather than solely a means to increase public safety. C1 [Garrett, Thomas A.] Fed Reserve Bank St Louis, St Louis, MO USA. [Wagner, Gary A.] Univ Arkansas, Little Rock, AR 72204 USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 42 TC 6 Z9 6 U1 2 U2 7 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-2186 J9 J LAW ECON JI J. Law Econ. PD FEB PY 2009 VL 52 IS 1 BP 71 EP 90 PG 20 WC Economics; Law SC Business & Economics; Government & Law GA 429ZM UT WOS:000264958600004 ER PT J AU Armesto, MT Hernandez-Murillo, R Owyang, MT Piger, J AF Armesto, Michelle T. Hernandez-Murillo, Ruben Owyang, Michael T. Piger, Jeremy TI Measuring the Information Content of the Beige Book: A Mixed Data Sampling Approach SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE C50; E27; R11; data sampling frequency; textual analysis; DICTION; Beige Book ID LEADERSHIP; MEDIA AB Studies of the predictive ability of the Federal Reserve's Beige Book for aggregate output and employment have proven inconclusive. This might be attributed, in part, to its irregular release schedule. We use a model that allows for data sampling at mixed frequencies to analyze the predictive power of the Beige Book. We find that the Beige Book's national summary and District reports predict GDP and aggregate employment and that most District reports provide information content for regional employment. In addition, there appears to be an asymmetry in the predictive content of the Beige Book language. C1 [Armesto, Michelle T.; Hernandez-Murillo, Ruben; Owyang, Michael T.] Fed Reserve Bank St Louis, St Louis, MO USA. [Piger, Jeremy] Univ Oregon, Eugene, OR 97403 USA. RP Armesto, MT (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM Michelle.T.Armesto@stls.frb.org; Ruben.Hernandez@stls.frb.org; Owyang@stls.frb.org; jpiger@uoregon.edu RI Piger, Jeremy/I-7643-2012; Owyang, Michael/I-5750-2016 OI Piger, Jeremy/0000-0001-6592-9986; Owyang, Michael/0000-0002-2109-3432 NR 22 TC 10 Z9 10 U1 2 U2 6 PU WILEY-BLACKWELL PUBLISHING, INC 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 2009 VL 41 IS 1 BP 35 EP 55 DI 10.1111/j.1538-4616.2008.00186.x PG 21 WC Business, Finance; Economics SC Business & Economics GA 397OF UT WOS:000262671300002 ER PT J AU Jensen, MJ AF Jensen, Mark J. TI The Long-Run Fisher Effect: Can It Be Tested ? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE E43; Fisher effect; long memory; fractional integration ID MACROECONOMIC TIME-SERIES; INTERNATIONAL EVIDENCE; INFLATION RATES; MEMORY; AGGREGATION; NEUTRALITY; MODEL; REAL AB In this paper, I provide a plausible explanation as to why past studies have been unable to find support for the long-run Fisher effect. My argument is that exogenous shocks to the inflation rates in industrialized economies have not produced the permanent change to inflation necessary for testing the Fisher effect. Instead of finding a nonstationary, unit-root process for inflation like previous Fisher effect studies, here each country's inflation rate is found to follow a mean-reverting, fractionally integrated, long-memory process. Applying a bivariate, maximum likelihood estimator to a multivariate, fractionally integrated model of inflation and nominal interest, I find that the estimated inflation rates in 17 developed countries are highly persistent, fractionally integrated, mean-reverting processes with order of integration parameters significantly less than one. Since a permanent change to inflation has not occurred, a test of whether a permanent change to inflation affects the nominal interest rate one-for-one will be uninformative as to the truth or fallacy of the Fisher effect hypothesis. C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Jensen, MJ (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM Mark.Jensen@atl.frb.org NR 32 TC 4 Z9 4 U1 0 U2 4 PU WILEY-BLACKWELL PUBLISHING, INC 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 2009 VL 41 IS 1 BP 221 EP 231 DI 10.1111/j.1538-4616.2008.00194.x PG 11 WC Business, Finance; Economics SC Business & Economics GA 397OF UT WOS:000262671300010 ER PT J AU Gerardi, KS Shapiro, AH AF Gerardi, Kristopher S. Shapiro, Adam Hale TI Does Competition Reduce Price Dispersion? New Evidence from the Airline Industry SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID MARKET POWER; DISCRIMINATION; NETWORKS AB We analyze the effects of competition on price dispersion in the airline industry, using panel data from 1993: Q1 through 2006: Q3. Competition has a negative effect on price dispersion, in line with the textbook treatment of price discrimination. This effect is pronounced for routes with consumers characterized by relatively heterogeneous elasticities of demand. On routes with a homogeneous customer base, the effects of competition on price dispersion are smaller. Our results contrast with those of Borenstein and Rose, who found that price dispersion increases with competition. We reconcile the different results by showing that the cross-sectional estimator suffers from omitted-variable bias. C1 [Gerardi, Kristopher S.] Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Gerardi, KS (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 21 TC 62 Z9 62 U1 1 U2 19 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD FEB PY 2009 VL 117 IS 1 BP 1 EP 37 PG 37 WC Economics SC Business & Economics GA 418SF UT WOS:000264168200001 ER PT J AU Love, DA Palumbo, MG Smith, PA AF Love, David A. Palumbo, Michael G. Smith, Paul A. TI The trajectory of wealth in retirement SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE Retirement wealth; life-cycle saving; Mortality risk; Precautionary saving; Bequests; Risk; Uncertainty ID LIFE-CYCLE; CAPITAL ACCUMULATION; UNCERTAIN LIFETIME; SOCIAL-SECURITY; BEQUEST MOTIVES; CONSUMPTION; INSURANCE; ANNUITIES; SAVINGS; EXPENDITURE AB In this paper, we develop a measure of household resources that converts total financial and non-financial assets, plus annuity like assets (mainly, Social Security and defined-benefit pensions) into an expected annual amount of wealth per person in retirement. We use this measure, which we call "annualized comprehensive wealth," to investigate spend-down behavior among a panel of older households in the Health and Retirement Study (HRS) from 1998 to 2006. Our analysis indicates that for most retired households, comprehensive wealth balances decline much more slowly than their remaining life expectancies, so that the predominate trend is for real annualized wealth to rise significantly with age over the course of retirement. Comparing the estimated age profiles for annualized wealth with profiles simulated from several different life-cycle models, we find that a model that takes into account uncertain longevity, random medical expenses, and intended bequests lines up best with the broad patterns of rising annualized wealth in the HRS. (c) 2008 Elsevier B.V. All rights reserved. C1 [Palumbo, Michael G.; Smith, Paul A.] Fed Reserve Board, Washington, DC 20551 USA. [Love, David A.] Williams Coll, Dept Econ, Williamstown, MA 01267 USA. RP Smith, PA (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM david.love@williams.edu; michael.g.palumbo@frb.gov; paul.a.smith@frb.gov RI Palumbo, Michael/H-6212-2012 NR 48 TC 12 Z9 12 U1 3 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD FEB PY 2009 VL 93 IS 1-2 BP 191 EP 208 DI 10.1016/j.jpubeco.2008.09.003 PG 18 WC Economics SC Business & Economics GA 400NU UT WOS:000262875900014 ER PT J AU Owen, AL You, RL AF Owen, Ann L. You, Rongling TI Growth, Attitudes towards Women, and Women's Welfare SO REVIEW OF DEVELOPMENT ECONOMICS LA English DT Article ID MISSING WOMEN; FERTILITY; HEALTH AB The authors find that attitudes towards women are more progressive as per capita income rises and that the quality and quantity of women's human capital increases with per capita income. Prior to presenting these empirical results, the authors first demonstrate the importance of these relationships with a simple model that shows how a feedback loop between attitudes towards women, investment in women's human capital, and income affects the dynamic path of the economy. Depending on the nature of the relationship between per capita income and attitudes towards women, they identify the possibility of a gender-equity poverty trap. Finally, they extend the model to show the dynamic interplay between attitudes towards women, income, and fertility. C1 [Owen, Ann L.] Hamilton Coll, Clinton, NY 13323 USA. [You, Rongling] Fed Reserve Board Governors, Washington, DC 20551 USA. RP Owen, AL (reprint author), Hamilton Coll, 198 Coll Hill Rd, Clinton, NY 13323 USA. EM aowen@hamilton.edu; RongLing.You@frb.gov NR 16 TC 3 Z9 3 U1 1 U2 3 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 1363-6669 J9 REV DEV ECON JI Rev. Dev. Econ. PD FEB PY 2009 VL 13 IS 1 BP 134 EP 150 DI 10.1111/j.1467-9361.2008.00466.x PG 17 WC Economics; Planning & Development SC Business & Economics; Public Administration GA 397ER UT WOS:000262645700011 ER PT J AU Vigfusson, RJ Sheets, N Gagnon, J AF Vigfusson, Robert J. Sheets, Nathan Gagnon, Joseph TI Exchange Rate Passthrough to Export Prices: Assessing Cross-Country Evidence SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article AB A growing empirical literature reports evidence of a decline in exchange rate passthrough to import prices in a number of industrial countries. Our paper complements this literature by examining passthrough from the other side of the transaction; that is, we assess the exchange rate sensitivity of export prices (denominated in the exporter's currency). We find that the prices charged on exports to the United States are more responsive to the exchange rate than are export prices to other destinations, which is consistent with results in the literature that import price passthrough in the US market is relatively low. In addition, the exchange rate sensitivity of export prices over time has been significantly affected by country- and region-specific factors, including the Asian financial crisis (for emerging Asia), deepening integration with the United States (for Canada), and the effects of the 1992 ERM crisis (for the United Kingdom). C1 [Vigfusson, Robert J.; Sheets, Nathan; Gagnon, Joseph] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Vigfusson, RJ (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM robert.j.vigfusson@frb.gov NR 19 TC 6 Z9 6 U1 2 U2 4 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0965-7576 J9 REV INT ECON JI Rev. Int. Econ. PD FEB PY 2009 VL 17 IS 1 BP 17 EP 33 DI 10.1111/j.1467-9396.2008.00801.x PG 17 WC Economics SC Business & Economics GA V16AU UT WOS:000207843300002 ER PT J AU Amiti, M Wei, SJ AF Amiti, Mary Wei, Shang-Jin TI Service Offshoring and Productivity: Evidence from the US SO WORLD ECONOMY LA English DT Article ID INTERNATIONAL-TRADE; GLOBALIZATION; INDUSTRIES AB The practice of sourcing service inputs from overseas suppliers has been growing in response to new technologies that have made it possible to trade in some business and computing services that were previously considered non-tradable. This paper estimates the effects of offshoring on productivity in US manufacturing industries between 1992 and 2000. It finds that service offshoring has a significant positive effect on productivity in the United States, accounting for around 10 per cent of labour productivity growth during this period. Offshoring material inputs also have a positive effect on productivity, but the magnitude is smaller accounting for approximately 5 per cent of productivity growth. C1 [Amiti, Mary] Fed Reserve Bank New York, New York, NY 10045 USA. [Wei, Shang-Jin] NBER, Columbia Business Sch, Cambridge, MA 02138 USA. RP Amiti, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 30 TC 76 Z9 76 U1 0 U2 29 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0378-5920 J9 WORLD ECON JI World Econ. PD FEB PY 2009 VL 32 IS 2 BP 203 EP 220 DI 10.1111/j.1467-9701.2008.01149.x PG 18 WC Business, Finance; Economics; International Relations SC Business & Economics; International Relations GA 408WX UT WOS:000263467400001 ER PT J AU Gavin, WT Keen, BD Pakko, MR AF Gavin, William T. Keen, Benjamin D. Pakko, Michael R. BE Otamendi, J Bargiela, A Montes, JL Pedrera, LMD TI TAYLOR-TYPE RULES AND PERMANENT SHIFTS IN PRODUCTIVITY GROWTH SO 23RD EUROPEAN CONFERENCE ON MODELLING AND SIMULATION (ECMS 2009) LA English DT Proceedings Paper CT 23rd European Conference on Modelling and Simulation (ECMS) CY JUN 09-12, 2009 CL Rey Juan Carlos Univ, Madrid, SPAIN SP Agencia Desarrollo Economico Madrid Emprende, Econom Dev Agcy, Ayuntamiento Madrid, Direccion Gen Universidades Investigacion-Res & Univ Gen Off, Comunidad Madrid - Region Madrid, Latvian Simulat Soc (LSS), Inst Elect & Elect Engineers (IEEE), ASIM - German Speaking Simulat Soc, EUROSIM - Federat European Simulat Societies, PTSK - Polish Soc Comp Simulat HO Rey Juan Carlos Univ DE Permanent Productivity Shocks; Taylor Rule; Price Path Targeting AB This paper uses simulation techniques to evaluate variants of the Taylor rule in a model where the underlying trend rate of growth is subject to permanent shifts. We show that the original Taylor rule is not particularly well-formulated for dealing with this type of environment. However, we also find that a Taylor-type rule in which the output gap is replaced by output growth or one that is augmented by an explicit policy response to deviations of the price level from a target path will look much like the optimal policy. C1 [Gavin, William T.; Pakko, Michael R.] Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. EM gavin@stls.frb.org NR 9 TC 0 Z9 0 U1 0 U2 0 PU EUROPEAN COUNCIL MODELLING & SIMULATION PI NOTTINGHAM PA SCHOOL COMPUTING & MATHEMATICS, NOTTINGHAM TRENT UNIV, BURTON STREET, NOTTINGHAM, NG1 4BU, ENGLAND BN 978-0-9553018-9-6 PY 2009 BP 457 EP 462 PG 6 WC Computer Science, Hardware & Architecture; Computer Science, Information Systems SC Computer Science GA BZM28 UT WOS:000302016000067 ER PT J AU Taylor, JB Williams, JC AF Taylor, John B. Williams, John C. TI A Black Swan in the Money Market SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID MONETARY-POLICY; JAPAN PREMIUM; DETERMINANTS AB The recent financial crisis saw a dramatic and persistent jump in interest rate spreads between overnight federal funds and longer-term interbank loans. The Fed took several actions to reduce these spreads including the creation of the Term Auction Facility (TA F). The effectiveness of these policies depends on the cause of the increased spreads such as counterparty risk, liquidity, or other factors. Using a no-arbitrage pricing framework and various measures of risk, we find robust evidence that increased counterparty risk contributed to the rise in spreads but do not find robust evidence that the TAF had a significant effect on spreads. (JEL E43, E44, E52, G21) C1 [Taylor, John B.] Stanford Univ, Dept Econ, Stanford, CA 94305 USA. [Williams, John C.] Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Taylor, JB (reprint author), Stanford Univ, Dept Econ, Stanford, CA 94305 USA. EM JohnBTaylor@stan-ford.edu; john.c.williams@sf.frb.org RI Williams, John/A-8226-2009 NR 21 TC 138 Z9 140 U1 5 U2 36 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 2009 VL 1 IS 1 BP 58 EP 83 DI 10.1257/mac.1.1.58 PG 26 WC Economics SC Business & Economics GA 683WX UT WOS:000284510100004 ER PT J AU Chari, VV Kehoe, PJ McGrattan, ER AF Chari, V. V. Kehoe, Patrick J. McGrattan, Ellen R. TI New Keynesian Models: Not Yet Useful for Policy Analysis SO AMERICAN ECONOMIC JOURNAL-MACROECONOMICS LA English DT Article ID MONETARY-POLICY; INFLATION; PRICES AB Macroeconomists have largely converged on method, model design, reduced-form shocks, and principles of policy advice. Our main disagreements today are about implementing the methodology. Some think New Keynesian models are ready to be used for quarter-to-quarter quantitative policy advice. We do not. Focusing on the state-of-the-art version of these models, we argue that some of its shocks and other features are not structural or consistent with microeconomic evidence. Since an accurate structural model is essential to reliably evaluate the effects of policies, we conclude that New Keynesian models are not yet useful for policy analysis. (JEL E12, E60) C1 [Chari, V. V.; Kehoe, Patrick J.; McGrattan, Ellen R.] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. [Chari, V. V.; Kehoe, Patrick J.; McGrattan, Ellen R.] Univ Minnesota, Minneapolis, MN 55455 USA. RP Chari, VV (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave,POB 291, Minneapolis, MN 55480 USA. EM chari@res.mpls.frb.fed.us; pkehoe@res.mpls.frb.fed.us; erm@ellen.mpls.frb.fed.us NR 20 TC 78 Z9 78 U1 0 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 1945-7707 J9 AM ECON J-MACROECON JI Am. Econ. J.-Macroecon. PD JAN PY 2009 VL 1 IS 1 BP 242 EP 266 DI 10.1257/mac.1.1.242 PG 25 WC Economics SC Business & Economics GA 683WX UT WOS:000284510100010 ER PT S AU Rouse, CE Barrow, L AF Rouse, Cecilia Elena Barrow, Lisa TI School Vouchers and Student Achievement: Recent Evidence and Remaining Questions SO ANNUAL REVIEW OF ECONOMICS SE Annual Review of Economics LA English DT Article; Book Chapter DE school competition; school efficiency; school choice; academic achievement ID PUBLIC-SCHOOLS; BENEFIT STUDENTS; PARENTAL VALUATION; COGNITIVE OUTCOMES; CATHOLIC-SCHOOLS; PRIVATE SCHOOLS; COMPETITION; CHOICE; MILWAUKEE; TAXPAYERS AB In this article, we review the empirical evidence on the impact of education vouchers on student achievement and briefly discuss the evidence from other forms of school choice. The best research to date finds relatively small achievement gains for students offered education vouchers, most of which are not statistically different from zero. Furthermore, what little evidence exists regarding the potential for public schools to respond to increased competitive pressure generated by vouchers suggests that one should remain wary that large improvements would result from a more comprehensive voucher system. The evidence from other forms of school choice is also consistent with this conclusion. Many questions remain unanswered, however, including whether vouchers have longer-run impacts on outcomes such as graduation rates, college enrollment, or even future wages, and whether vouchers might nevertheless provide a cost-neutral alternative to our current system of public education provision at the elementary and secondary school level. C1 [Rouse, Cecilia Elena] Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. [Rouse, Cecilia Elena] Princeton Univ, Woodrow Wilson Sch, Princeton, NJ 08544 USA. [Rouse, Cecilia Elena] Princeton Univ, Educ Res Sect, Firestone Lib, Princeton, NJ 08544 USA. [Barrow, Lisa] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Rouse, CE (reprint author), Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. EM rouse@princeton.edu; lbarrow@frbchi.org NR 70 TC 35 Z9 36 U1 8 U2 21 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0139 USA SN 1941-1383 BN 978-0-8243-4601-0 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2009 VL 1 BP 17 EP 42 DI 10.1146/annurev.economics.050708.143354 PG 26 WC Economics SC Business & Economics GA 544CO UT WOS:000273630000003 ER PT S AU Heathcote, J Storesletten, K Violante, GL AF Heathcote, Jonathan Storesletten, Kjetil Violante, Giovanni L. TI Quantitative Macroeconomics with Heterogeneous Households SO ANNUAL REVIEW OF ECONOMICS SE Annual Review of Economics LA English DT Review; Book Chapter ID INCOME FLUCTUATION PROBLEM; NEOCLASSICAL GROWTH-MODEL; ASSET-PRICING PUZZLES; LIFE-CYCLE EARNINGS; LABOR-MARKET RISK; BUSINESS CYCLES; INCOMPLETE MARKETS; WELFARE COST; CONSUMPTION INEQUALITY; LIQUIDITY CONSTRAINTS AB Macroeconomics is evolving from the study of aggregate dynamics to the study of the dynamics of the entire equilibrium distribution of allocations across individual economic actors. This article reviews the quantitative macroeconomic literature that focuses on household heterogeneity, with a special emphasis on the "standard" incomplete markets model. We organize the vast literature according to three themes that are central to understanding how inequality matters for macroeconomics. First, what are the most important sources of individual risk and cross-sectional heterogeneity? Second, what are individuals' key channels of insurance? Third, how does idiosyncratic risk interact with aggregate risk? C1 [Heathcote, Jonathan] CEPR, Minneapolis, MN 55401 USA. [Heathcote, Jonathan] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. [Storesletten, Kjetil] Univ Oslo, Dept Econ, NO-0317 Oslo, Norway. [Storesletten, Kjetil] CEPR, NO-0317 Oslo, Norway. [Violante, Giovanni L.] NYU, CEPR, NBER, New York, NY 10003 USA. [Violante, Giovanni L.] NYU, Dept Econ, New York, NY 10003 USA. RP Heathcote, J (reprint author), CEPR, Minneapolis, MN 55401 USA. EM heathcote@minneapolisfed.org; kjstore@econ.uio.no; glv2@nyu.edu RI Vyacheslav, Gromyko/I-5054-2012; Violante, Giovanni/F-1872-2017 NR 181 TC 50 Z9 50 U1 2 U2 20 PU ANNUAL REVIEWS PI PALO ALTO PA 4139 EL CAMINO WAY, PO BOX 10139, PALO ALTO, CA 94303-0139 USA SN 1941-1383 BN 978-0-8243-4601-0 J9 ANNU REV ECON JI Annu. Rev. Econ. PY 2009 VL 1 BP 319 EP 354 DI 10.1146/annurev.economics.050708.142922 PG 36 WC Economics SC Business & Economics GA 544CO UT WOS:000273630000014 ER EF